/raid1/www/Hosts/bankrupt/TCR_Public/210627.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 27, 2021, Vol. 25, No. 177

                            Headlines

AGL CLO 5: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
AIG CLO 2020-1: S&P Assigns Prelim 'BB- (sf)' Rating on E-R Notes
APEX CREDIT 2021: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
ARBOR REALTY 2021-FL2: DBRS Finalizes B(low) Rating on Cl. G Notes
ARES LX CLO: Moody's Assigns Ba3 Rating to $22.5MM Class E Notes

ARES XLIII CLO: Moody's Gives Ba3 Rating to $34MM Class E-R Notes
ATLAS SENIOR VII: S&P Affirms CCC+ (sf) Rating on Class F-R Notes
AVIS BUDGET 2020-1: Moody's Assigns Ba2 Rating to Class D Notes
AVIS BUDGET 2020-1: Moody's Raises Class C Notes Rating From Ba1
BALBOA BAY 2021-1: S&P Assigns Prelim BB- (sf) Rating on E Notes

BALLYROCK CLO 16: S&P Assigns BB-(sf) Rating on $18MM Cl. D Notes
BBCMS 2021-AGW: DBRS Gives Prov. B(low) Rating on Class G Trusts
BBCMS MORTGAGE 2021-C10: Fitch Affirms B- Rating on 2 Tranches
BBCMS TRUST 2019-CLP: DBRS Confirms BB(low) Rating on Class E Certs
BELLEMEADE RE 2021-2: Moody's Assigns B3 Rating to Cl. B-1 Notes

BFLD 2021-FPM: Moody's Assigns B2 Rating to Cl. HRR Certificates
BRAVO RESIDENTIAL 2021-NQM1: DBRS Finalizes B Rating on B-2 Notes
BROAD RIVER 2020-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
BX TRUST 2021-VIEW: DBRS Finalizes BB(low) Rating on Class F Certs
CARVANA AUTO 2021-P2: DBRS Gives Prov. BB(high) Rating on N Notes

CATAMARAN CLO 2013-1: Moody's Cuts Rating on Cl. F-R Notes to Caa1
CD MORTGAGE 2017-CD5: Fitch Affirms B- Rating on Class F Debt
CD MORTGAGE 2018-CD7: Fitch Affirms B- Rating on G-RR Certs
CFMT 2021-HB6: DBRS Gives Prov. B(high) Rating on Class M5 Notes
CIM TRUST 2019-R5: Moody's Hikes Rating on Cl. B2 Certs to B1

CITIGROUP MORTGAGE 2021-J2: Fitch Gives 'B(EXP)' Rating on B-5 Debt
COMM 2015-CCRE24: DBRS Cuts Class X-E Certs Rating to B(low)
COMM MORTGAGE 2017-COR2: Fitch Affirms B- Rating on G-RR Debt
CROWN POINT 10: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
CSWF 2021-SOP2: S&P Assigns Prelim B- (sf) Rating on Class F Certs

ELLINGTON CLO IV: Moody's Gives Ba3 Rating to Class E-2-R Notes
FLAGSTAR MORTGAGE 2021-4: DBRS Gives Prov. B Rating on B-5 Certs
FREDDIE MAC 2021-2: DBRS Finalizes B(low) Rating on Class M Trusts
FREDDIE MAC 2021-HQA2: Moody's Assigns (P)3 Rating to Cl. B-1B Debt
GCAT 2021-NQM3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs

GFCM LLC 2003-1: Moody's Hikes Rating on Class G Certs to B3
GREAT LAKES 2019-1: S&P Stays BB- (sf) Rating on Class E Notes
GULF STREAM 5: S&P Assigns Prelim BB- (sf) Rating on Class D Notes
HALSEYPOINT CLO 4: S&P Assigns Prelim BB- (sf) Rating on E Notes
HERTZ VEHICLE 2021-1: Moody's Assigns (P)Ba2 Rating to Cl. D Notes

HPS LOAN 10-2016: S&P Assigns Prelim B- (sf) Rating on Cl. E Notes
ICG US 2017-1: S&P Assigns Prelim BB-(sf) Rating on Cl. E-RR Notes
ICG US CLO 2017-1: S&P Assigns BB- (sf) Rating on Class E-RR Notes
IMPERIAL FUND 2021-NQM1: DBRS Finalizes B(low) Rating on B-2 Certs
INVESCO CLO 2021-2: Moody's Assigns Ba3 Rating to Class E Notes

JP MORGAN 2016-JP3: Fitch Affirms B- Rating on Class F Certs
JPMBB COMMERCIAL 2015-C29: DBRS Cuts Rating of 2 Classes to C
JPMBB COMMERCIAL 2015-C30: DBRS Cuts Class F Certs Rating to CCC
KKR CLO 25: Moody's Assigns Ba3 Rating to Class E-R Notes
MADISON PARK XXIII: S&P Affirms B+ (sf) Rating on Class E Notes

MADISON PARK XXXVIII: S&P Assigns BB- (sf) Rating on Cl. E Notes
MAPS 2021-1 TRUST: Moody's Assigns Ba1 Rating to Class C Notes
MAPS 2021-1: S&P Assigns BB (sf) Rating on $50.240MM Class C Notes
MCF CLO VII: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
MCF DIRECT: S&P Assigns BB- (sf) Rating on $53.375MM Class B Loans

MCF DIRECT: S&P Assigns Prelim BB- (sf) Rating on Class B Loans
MELLO MORTGAGE 2021-INV1: DBRS Gives Prov. B Rating on B-5 Certs
MELLO MORTGAGE 2021-INV1: Moody's Gives B3 Rating to Cl. B-5 Certs
MF1 2021-FL6: DBRS Gives Prov. B(low) Rating on Class G Notes
MFA 2021-RPL1: DBRS Gives Prov. B Rating on Class B-2 Notes

MOFT TRUST 2020-ABC: DBRS Confirms B(low) Rating on Class D Certs
MORGAN STANLEY 2019-H7: Fitch Affirms B- Rating on G-RR Certs
MORGAN STANLEY 2020-HR8: DBRS Confirms BB Rating on Cl. J-RR Certs
MORGAN STANLEY 2021-3: Fitch Affirms B(EXP) Rating on B-5 Debt
NEUBERGER BERMAN 37: S&P Assigns Prelim 'BB-' Rating on E-R Notes

NEUBERGER BERMAN 42: S&P Assigns Prelim BB- (sf) Rating on E Notes
NORTHWOODS CAPITAL XV: Moody's Rates $24.3MM Class E-R Notes 'Ba3'
OAKTREE CLO 2020-1: S&P Assigns BB (sf) Rating on Class E Notes
OBX 2021-NQM2: S&P Assigns Prelim B+(sf) Rating on Class B-2 Notes
PALMER SQUARE 2015-1: Moody's Gives B3 Rating to Class E-R4 Notes

PARALLEL 2021-1: S&P Assigns BB- (sf) Rating on Class E Notes
PSMC 2021-2: S&P Assigns B (sf) Rating on Class B-5 Certificates
REGATTA FUNDING VII: Moody's Rates $23MM Class E-R2 Notes 'Ba3'
RR 1 LTD: Moody's Assigns Ba3 Rating to $28MM Class D-1-B Notes
SARANAC CLO V: Moody's Hikes Rating on Class E-R Notes to Caa1

SIXTH STREET XIX: S&P Assigns Prelim BB- (sf) Rating on E Notes
SLC STUDENT 2008-2: Fitch Lowers Rating on Class A-4 Notes to 'D'
SLC STUDENT 2008-2: S&P Cuts Rating of Class A-4 Notes to 'D (sf)'
SLG OFFICE 2021-OVA: DBRS Gives Prov. B Rating on Class G Certs
STARWOOD MORTGAGE 2021-3: Fitch Gives 'B(EXP)' Rating to B-2 Debt

TROPIC CDO II: Moody's Lowers Rating on Class A-3L Notes to Ba3
TRYSAIL CLO 2021-1: S&P Assigns Prelim BB- (sf) Rating on E Notes
VERUS SECURITIZATION 2021-3: S&P Assigns (P) B-(sf) on B-2 Notes
WAMU COMMERCIAL 2007-SL2: Moody's Hikes Cl. X Certs Rating to Caa3
WELLMAN PARK: S&P Assigns BB- (sf) Rating on $22.5MM Class E Notes

WELLS FARGO 2017-RC1: DBRS Cuts Class X-D Certs Rating to BB (high)
WELLS FARGO 2018-C46: Fitch Affirms B- Rating on G-RR Certs
WESTLAKE AUTOMOBILE 2021-2: S&P Assigns 'B' Rating on Cl. F Notes
WIND RIVER 2019-1: S&P Assigns Prelim B- (sf) Rating on F-R Notes
WP GLIMCHER 2015-WPG: DBRS Keeps Class PR2 BB Rating Under Review

[*] DBRS Reviews 704 Classes from 23 U.S. RMBS Transactions
[*] DBRS Takes Rating Actions on 2 United Auto Credit Transactions
[*] DBRS Takes Rating Actions on 4 Westlake Auto Transactions
[*] S&P Takes Various Actions on 88 Classes from 27 U.S. RMBS Deals

                            *********

AGL CLO 5: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A1R, A2R, BR, CR, DR, and ER replacement notes from AGL CLO 5 Ltd.,
a CLO originally issued in June 2020 that is managed by AGL CLO
Credit Management LLC.

The preliminary ratings are based on information as of June 22,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the June 28, 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 A1R, A2R, BR, CR, DR, and ER notes are
expected to be issued at a lower spread over three-month LIBOR than
the original notes.

-- The stated maturity and reinvestment period will be extended by
four years.

-- The non-call period will be extended to June 2023.

-- The weighted average life test date will be extended to nine
years after the closing date.

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."

  Preliminary Ratings Assigned

  AGL CLO 5 Ltd.

  Class A1R, $496.00 million: AAA (sf)
  Class A2R, $24.00 million: Not rated
  Class BR, $88.00 million: AA (sf)
  Class CR (deferrable), $48.00 million: A (sf)
  Class DR (deferrable), $48.00 million: BBB- (sf)
  Class ER (deferrable), $32.00 million: BB- (sf)
  Subordinated notes, $65.10 million: Not rated



AIG CLO 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, D-R, and E-R replacement notes and the proposed new
class A-L notes from AIG CLO 2020-1 LLC, a CLO originally issued in
2020 that is managed by AIG Credit Management LLC.

The preliminary ratings are based on information as of June 21,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the June 24, 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, D-R, and E-R notes are
expected to be issued at lower spreads over three-month LIBOR than
the original notes and are expected to benefit from higher
subordination compared to before the reset.

-- The new floating-rate class A-L notes are expected to be issued
pari passu to the replacement class A-R notes, with identical
spread over three-month LIBOR.

-- The stated maturity will be extended by approximately five
years, the reinvestment period will be extended by five years, the
non-call period will be extended by two years, and the weighted
average life test date will be extended by four years.

-- The post reset structure will not include replacement classes
for the original class F notes and class I and II exchangeable
secured notes.

-- The required minimum overcollateralization and interest
coverage ratios will be amended.

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 24, 2021, refinancing date will be
Oct. 15, 2021.

The transaction updated language regarding the purchase of
workout-related assets. The transaction also added a 5%
concentration in senior secured and unsecured bonds, with unsecured
bonds limited to 2.5%. In addition, the transaction has adopted
benchmark replacement language and made updates to conform to
current rating agency methodology.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $123.00 million: Three-month LIBOR + 1.16%
  Class A-L, $100.00 million: Three-month LIBOR + 1.16%
  Class B-R, $46.00 million: Three-month LIBOR + 1.70%
  Class C-R, $21.30 million: Three-month LIBOR + 2.00%
  Class D-R, $20.70 million: Three-month LIBOR + 3.00%
  Class E-R, $13.00 million: Three-month LIBOR + 6.30%
  Subordinated notes, $35.30 million: Not applicable

  Original notes

  Class A, $210.00 million: Three-month LIBOR + 2.05%
  Class B, $51.00 million: Three-month LIBOR + 2.63%
  Class C, $17.75 million: Three-month LIBOR + 3.54%
  Class D, $20.00 million: Three-month LIBOR + 5.38%
  Class E, $12.00 million: Three-month LIBOR + 7.81%
  Class F, $6.50 million: Three-month LIBOR + 8.80%
  Class I exchangeable secured notes, $80.55 million: Not
applicable
  Class II exchangeable secured notes, $36.80 million: Not
applicable
  Subordinated notes, $15.50 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

  AIG CLO 2020-1 LLC

  Class A-R, $123.0 million: 'AAA (sf)'
  Class A-L, $100.0 million: 'AAA (sf)'
  Class B-R, $46.0 million: 'AA (sf)'
  Class C-R, $21.3 million: 'A (sf)'
  Class D-R, $20.7 million: 'BBB- (sf)'
  Class E-R, $13.0 million: 'BB- (sf)'
  Subordinated notes, $35.3 million: Not rated



APEX CREDIT 2021: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Apex Credit
CLO 2021 Ltd./Apex Credit CLO 2021 LLC's floating- and fixed-rate
notes.

The note issuance is a CLO transaction backed primarily by broadly
syndicated speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of June 15,
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

  Apex Credit CLO 2021 Ltd./Apex Credit CLO 2021 LLC

  Class A-N, $199.0 million: AAA (sf)
  Class A-F, $25.0 million: AAA (sf)
  Class B, $41.9 million: AA (sf)
  Class C (deferrable), $21.0 million: A (sf)
  Class D-1 (deferrable), $17.5 million: BBB+ (sf)
  Class D-2 (deferrable), $3.5 million: BBB- (sf)
  Class D-3 (deferrable), $2.0 million: BBB- (sf)
  Class E (deferrable), $12.0 million: BB- (sf)
  Subordinated notes, $37.0 million: Not rated



ARBOR REALTY 2021-FL2: DBRS Finalizes B(low) Rating on Cl. G Notes
------------------------------------------------------------------
DBRS, Inc. finalized provisional ratings to the following classes
of commercial mortgage-backed notes to be issued by Arbor Realty
Commercial Real Estate Notes 2021-FL1, Ltd. (ARCREN 2021-FL1 or the
Issuer):

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)

All trends are Stable.

The collateral consists of 25 floating-rate mortgage loans and
senior participations secured by 50 mostly transitional properties,
with an initial cut-off date balance totaling $653.0 million, which
includes approximately $9.0 million of non-interest-accruing future
funding that the Issuer will acquire at closing. Each collateral
interest is secured by a mortgage on a multifamily property or a
portfolio of multifamily properties. The transaction is a managed
vehicle, which includes a 180-day ramp-up acquisition period and a
30-month reinvestment period. The ramp-up acquisition period will
be used to increase the trust balance by $162.0 million to a total
target collateral principal balance of $815.0 million. DBRS
Morningstar assessed the $162.0 million ramp component using a
conservative pool construct, and, as a result, the ramp loans have
expected losses above the pool WA loan expected loss. During the
reinvestment period, so long as the note protection tests are
satisfied and no event of default has occurred and is continuing,
the collateral manager may direct the reinvestment of principal
proceeds to acquire reinvestment collateral interest, including
funded companion participations, meeting the eligibility criteria.
The eligibility criteria, among other things, has minimum debt
service coverage ratio (DSCR), loan-to-value ratio (LTV), and loan
size limitations. In addition, only mortgages secured by
multifamily properties are allowed as ramp-up collateral interests,
while other commercial property types, except healthcare, retail,
and hospitality properties, are allowed as reinvestment collateral
interests, subject to pool concentration limitations. Lastly, the
eligibility criteria stipulates a rating agency confirmation (RAC)
on ramp loans, reinvestment loans, and pari passu participation
acquisitions above $500,000 if a portion of the underlying loan is
already included in the pool, thereby allowing DBRS Morningstar the
ability to review the new collateral interest and any potential
impacts to the overall ratings.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the cut-off
balances were measured against the DBRS Morningstar As-Is NCF, 16
loans, representing 51.9% of the initial pool balance, had a DBRS
Morningstar As-Is DSCR of 1.00x or below, a threshold indicative of
default risk. Additionally, the DBRS Morningstar Stabilized DSCR of
three loans, representing 9.5% of the initial pool balance, are
below 1.00x, which is indicative of elevated refinance risk. The
properties are often transitioning with potential upside in cash
flow; however, DBRS Morningstar does not give full credit to the
stabilization if there are no holdbacks or if other loan structural
features in place are insufficient to support such treatment.
Furthermore, even with the structure provided, DBRS Morningstar
generally does not assume the assets will stabilize to above-market
levels. The transaction will have a sequential-pay structure.

The sponsor for the transaction, Arbor Realty SR, Inc., is a
majority-owned subsidiary of Arbor Realty Trust, Inc. (Arbor; NYSE:
ABR) and an experienced commercial real estate (CRE) collateralized
loan obligation (CLO) issuer and collateral manager. The ARCREN
2021-FL2 transaction will be Arbor's 15th post-crisis CRE CLO
securitization, and the firm has five outstanding transactions
representing approximately $2 billion in investment-grade proceeds.
Additionally, Arbor will purchase and retain 100.0% of the Class F
Notes, the Class G Notes, and the Preferred Shares, which total
$140,588,000, or 17.25% of the transaction total.

Twenty-one loans, representing 82.8% of the pool balance, represent
acquisition financing. Acquisition financing generally requires the
respective sponsor(s) to contribute material cash equity as a
source of funding in conjunction with the mortgage loan, resulting
in a higher sponsor cost basis in the underlying collateral and
aligns the financial interests between the sponsor and lender.

The initial collateral pool is diversified across 11 states and has
a loan Herfindahl score of approximately 28.3. The loan Herfindahl
score is similar to those of recent Arbor CRE CLO transactions.
Three of the loans, representing 15.1% of the initial pool balance,
are portfolio loans that benefit from multiple property pooling.
Mortgages backed by cross-collateralized cash flow streams from
multiple properties typically exhibit lower cash flow volatility.

The DBRS Morningstar Business Plan Scores (BPS) for loans analyzed
by DBRS Morningstar ranged between 1.38 and 3.08, with an average
of 2.08. Higher DBRS Morningstar BPS indicate more risk in the
sponsor's business plan. DBRS Morningstar considers the anticipated
lift at the property from current performance, planned property
improvements, sponsor experience, projected time horizon, and
overall complexity of the business plan. Compared with similar
transactions, the subject has a low average DBRS Morningstar BPS,
which is indicative of lower risk.

The loan collateral was generally found to be in good physical
condition as evidenced by one loan (4.6% of the trust balance)
secured by properties that DBRS Morningstar deemed to be Excellent
in quality. An additional three loans, representing 12.9% of the
trust balance, are secured by properties with Above Average
quality.

The ongoing Coronavirus Disease (COVID-19) pandemic continues to
pose challenges and risks to the CRE sector, and, while DBRS
Morningstar expects multifamily to fare better than most other
property types, the long-term effects on the macroeconomy and
consumer sentiment remain unsettled. Arbor provided coronavirus and
business plan updates for all loans in the pool, confirming that
all debt service payments have been received in full through
January 2021. Furthermore, no loans are in forbearance or other
debt service relief. Twenty-five loans, totaling 100.0% of the
trust balance, were originated after March 2020, or the beginning
of the pandemic. Loans originated after the pandemic include timely
property performance reports and recently completed third-party
reports, including appraisals. Given the uncertainty and elevated
execution risk stemming from the coronavirus pandemic, 12 loans,
totaling 43.4% of the trust balance, have substantial upfront
interest reserves, some of which are expected to cover six months
or more of interest shortfalls.

Notes: All figures are in U.S. dollars unless otherwise noted.


ARES LX CLO: Moody's Assigns Ba3 Rating to $22.5MM Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by Ares LX CLO Ltd. (the "Issuer" or "Ares LX").

Moody's rating action is as follows:

US$317,500,000 Class A Senior Floating Rate Notes due 2034 (the
"Class A Notes"), Definitive Rating Assigned Aaa (sf)

US$22,500,000 Class E Mezzanine Deferrable Floating Rate Notes due
2034 (the "Class E Notes"), Definitive Rating 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.

Ares LX is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans and eligible investments, and up to 10.0% of
the portfolio may consist of non-senior secured loans, including
permitted non-loan assets (senior secured bond, senior secured
floating rate note or senior unsecured bond). The portfolio is
approximately 95% ramped as of the closing date.

Ares U.S. CLO Management III LLC-Series A (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 classes of
secured notes and one class of subordinated notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount: $500,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 3050

Weighted Average Spread (WAS): 3.45%

Weighted Average Coupon (WAC): 4.50%

Weighted Average Recovery Rate (WARR): 47.25%

Weighted Average Life (WAL): 9 years

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in U.S. economic activity.

Moody's regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

Factors That Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the 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.


ARES XLIII CLO: Moody's Gives Ba3 Rating to $34MM Class E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by Ares XLIII CLO Ltd. (the "Issuer" or "Ares
XLIII").

Moody's rating action is as follows:

US$500,000,000 Class A-R Senior Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$34,000,000 Class E-R Mezzanine 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.

Ares XLIII 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 and eligible investments, and up to 10% of the
portfolio may consist of non-senior secured loans.

Ares 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, three other
classes of secured notes and additional subordinated notes, a
variety of other changes to transaction features will occur in
connection with the refinancing. These include: extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; and changes to
the overcollateralization test levels; the inclusion of updated
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: $800,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 3276

Weighted Average Spread (WAS): 3.55%

Weighted Average Coupon (WAC): 7.50%

Weighted Average Recovery Rate (WARR): 47.0%

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.


ATLAS SENIOR VII: S&P Affirms CCC+ (sf) Rating on Class F-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R2 and
B-R2 replacement notes from Atlas Senior Loan Fund VII Ltd./Atlas
Senior Loan Fund VII LLC, a CLO originally issued in 2016 that is
managed by Crescent Capital Group L.P. At the same time, S&P
withdrew its ratings on the class A-1-R, B-1-R, and B-2-R notes
following payment in full on the June 15, 2021, refinancing date.
S&P also affirmed its ratings on the class X-R, C-R, D-R, E-R, and
F-R notes, which were not refinanced. S&P did not rate the class
A-2-R notes, which were not refinanced.

  Replacement And Refinanced Note Issuances

  Replacement notes

  Class A-1-R2, $242.46 million: Three-month LIBOR + 1.10%
  Class B-R2, $33.00 million: Three-month LIBOR + 1.70%

  Refinanced notes

  Class A-1-R, $242.46 million: Three-month LIBOR + 1.28%
  Class B-1-R, $15.00 million: Three-month LIBOR + 1.80%
  Class B-2-R, $18.00 million: 4.90%

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

  Atlas Senior Loan Fund VII Ltd./Atlas Senior Loan Fund VII LLC

  Class A-1-R2, $242.46 million: AAA (sf)
  Class B-R2, $33.00 million: AA (sf)

  Ratings Withdrawn

  Atlas Senior Loan Fund VII Ltd./Atlas Senior Loan Fund VII LLC

  Class A-1-R to not rated from 'AAA (sf)'
  Class B-1-R to not rated from 'AA (sf)'
  Class B-2-R to not rated from 'AA (sf)'

  Ratings Affirmed

  Atlas Senior Loan Fund VII Ltd./Atlas Senior Loan Fund VII LLC

  Class X-R: AAA (sf)
  Class C-R: A (sf)
  Class D-R: BBB- (sf)
  Class E-R: B+ (sf)
  Class F-R: CCC+ (sf)

  Other Outstanding Notes

  Atlas Senior Loan Fund VII Ltd./Atlas Senior Loan Fund VII LLC

  Class A-2-R: Not rated
  Subordinated notes: Not rated


AVIS BUDGET 2020-1: Moody's Assigns Ba2 Rating to Class D Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings of Ba2 (sf) to the
Series 2018-2 Class D fixed rate Rental Car Asset Backed Notes and
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).

Moody's also announced that the issuance of Class D of Series
2018-2, 2019-2 and 2020-1, will not result in a reduction,
withdrawal, or placement under review for possible downgrade of any
of the ratings currently assigned to the outstanding series of
notes issued by the issuer.

The complete rating actions are as follows:

Issuer: Avis Budget Rental Car Funding (AESOP) LLC

Series 2018-2 Fixed Rate Rental Car Asset Backed Notes, Class D,
Definitive Rating Assigned Ba2 (sf)

Series 2019-2 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba2 (sf)

Series 2020-1 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba2 (sf)

RATINGS RATIONALE

The definitive 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 its
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%)

8Correlation: 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 Raises Class C Notes Rating From Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on nine tranches
of rental car asset-backed securities 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 increase
in credit enhancement that the affected notes have after the
issuance of new Class D notes by Avis Budget Rental Car Funding
(AESOP) LLC Series 2018-2, 2019-2 and 2020-1 on June 18, 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,
Upgraded to Aaa (sf); previously on Jun 10, 2021 Aa1 (sf) Placed
Under Review for Possible Upgrade

Series 2018-2 Fixed Rate Rental Car Asset Backed Notes, Class B,
Upgraded to A1 (sf); previously on Jun 10, 2021 Baa2 (sf) Placed
Under Review for Possible Upgrade

Series 2018-2 Fixed Rate Rental Car Asset Backed Notes, Class C,
Upgraded to Baa2 (sf); previously on Jun 10, 2021 Ba1 (sf) Placed
Under Review for Possible Upgrade

Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2019-2

Series 2019-2 Rental Car Asset Backed Notes, Class A, Upgraded to
Aaa (sf); previously on Jun 10, 2021 Aa1 (sf) Placed Under Review
for Possible Upgrade

Series 2019-2 Rental Car Asset Backed Notes, Class B, Upgraded to
A1 (sf); previously on Jun 10, 2021 Baa2 (sf) Placed Under Review
for Possible Upgrade

Series 2019-2 Rental Car Asset Backed Notes, Class C, Upgraded to
Baa2 (sf); previously on Jun 10, 2021 Ba1 (sf) Placed Under Review
for Possible Upgrade

Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2020-1

Series 2020-1 Rental Car Asset Backed Notes, Class A, Upgraded to
Aaa (sf); previously on Jun 10, 2021 Aa1 (sf) Placed Under Review
for Possible Upgrade

Series 2020-1 Rental Car Asset Backed Notes, Class B, Upgraded to
A2 (sf); previously on Jun 10, 2021 Baa2 (sf) Placed Under Review
for Possible Upgrade

Series 2020-1 Rental Car Asset Backed Notes, Class C, Upgraded to
Baa3 (sf); previously on Jun 10, 2021 Ba1 (sf) Placed Under Review
for Possible Upgrade

RATINGS RATIONALE

The rating actions were prompted by the increase in credit
enhancement that the affected notes have due to the new Class D
notes issued by Avis Budget Rental Car Funding (AESOP) LLC Series
2018-2, 2019-2 and 2020-1 on June 18, 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, Moody's 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.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of corporate assets as the US economy
continues on the path toward normalization. Economic activity will
continue to strengthen in 2021 because of several factors,
including the rollout of vaccines, growing household consumption
and an accommodative central bank policy. However, specific sectors
and individual businesses will remain weakened by extended pandemic
related restrictions.

Moody's regard the coronavirus outbreak as a social risk under its
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 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.


BALBOA BAY 2021-1: S&P Assigns Prelim BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Balboa Bay
Loan Funding 2021-1 Ltd./Balboa Bay Loan Funding 2021-1 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 22,
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

  Balboa Bay Loan Funding 2021-1 Ltd./Balboa Bay Loan Funding
2021-1 LLC

  Class A, $244.0 million: AAA (sf)
  Class B, $60.0 million: AA (sf)
  Class C (deferrable), $24.0 million: A (sf)
  Class D (deferrable), $24.0 million: BBB- (sf)
  Class E (deferrable), $12.0 million: BB- (sf)
  Subordinated notes, $39.7 million: Not rated



BALLYROCK CLO 16: S&P Assigns BB-(sf) Rating on $18MM Cl. D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Ballyrock CLO 16
Ltd./Ballyrock CLO 16 LLC's floating-rate debt.

The debt 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 debt through collateral
selection, ongoing portfolio management, and trading; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Ratings Assigned

  Ballyrock CLO 16 Ltd./Ballyrock CLO 16 LLC

  Class A-1 loans(i), $150.00 million: AAA (sf)
  Class A-1, $133.50 million: AAA (sf)
  Class A-2, $58.50 million: AA (sf)
  Class B, $27.00 million: A (sf)
  Class C, $27.00 million: BBB- (sf)
  Class D, $18.00 million: BB- (sf)
  Subordinated notes, $44.40 million: Not rated

(i)The class A-1 loans will be issued on the closing date in the
amount shown above. Thereafter, neither the class A-1 loans nor the
class A-1 notes are exchangeable into either notes or loans,
respectively.


BBCMS 2021-AGW: DBRS Gives Prov. B(low) Rating on Class G Trusts
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
BBCMS 2021-AGW Mortgage Trust, Series 2021-AGW, as follows:

-- Class A at AAA (sf)
-- Class X-CP at AA (low) (sf)
-- Class X-NCP at AA (low) (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class D at A (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)

All trends are Stable. Class HRR is not rated by DBRS Morningstar.

Class X-CP and X-NCP are interest-only (IO) classes whose balance
is notional.

The BBCMS 2021-AGW Mortgage Trust single-asset/single-borrower
transaction is collateralized by the leasehold interest in 16
cross-collateralized, suburban office assets totaling approximately
two million sf located on the North Shore of Long Island, NY.
Angelo Gordon purchased a 95.5% leasehold interest in the portfolio
in November 2019 from the WE'RE Group (WE'RE), which retained the
remaining 4.5% leasehold interest and 100% of the leased fee
interest. The acquisition coincided with a bifurcation of the fee
and leasehold interests and the creation of new 99-year Section 467
leases for each asset. The Section 467 leases were used for tax
planning purposes on behalf of WE'RE, who developed each of the
assets in the portfolio from 1970 to 2007.

As of June 2021, the portfolio is 86.8% occupied by a diverse
roster of tenants in the medical, finance, and law industries with
no single tenant comprising more than 24.1% of base rent or 18.3%
of NRA. Approximately 50.6% of base rent is derived from
investment-grade tenants and/or tenants with investment-grade
parent entities and the top three tenants include ProHealth Corp.
(24.1% of base rent), Northwell Health (10.5% of base rent), and
Newsday (5.8% of base rent). Outside of the top three tenants, no
single tenant represents more than 3.3% of base rent or 3.7% of
NRA. The weighted average (WA) remaining lease term and WA tenure
of the portfolio are 6.1 years and 14.8 years, respectively.
Medical tenants comprise 53.8% of base rent and have a WA tenure of
16.3 years. Since acquisition, the sponsor has executed more than
440,000 sf of new and renewal leasing (approximately 21.7% of NRA),
improving net operating income by approximately $12 million.

Only 50.9% of base rent and 40.3% of leased sf expire during the
fully extended loan term. Tenants representing no more than 12.0%
of NRA or 16.2% of base rent roll in any single year during fully
extended loan term. The WA remaining lease term of the 10 largest
tenants, which comprise 59.5% of base rent, is 6.6 years, and the
WA remaining lease term for the portfolio is 6.1 years.

The sponsorship is a joint venture between Angelo Gordon and WE'RE.
Angelo Gordon has been investing in commercial real estate since
1993 and has acquired more than $35 billion of properties globally.
Angelo Gordon's investment strategies span a broad spectrum of
value creation, ranging from light value add to heavy value add,
with the goal of increasing cash flow and stabilizing
underperforming properties. The WE'RE Group, owned by the Rechler
and Wexler families, has designed, built, owned, and managed more
than 10 million sf of commercial real estate in Long Island, NY,
over the past 50 years. WE'RE exhibits tenant retention rates of
90% across its entire portfolio and has decades of experience in
owning and operating Long Island office properties.

The portfolio is well located along the North Shore of Long Island,
which contains some of Long Island's strongest submarkets and all
assets are located within close proximity of major arterials
including the Northern Parkway and the Long Island Expressway. The
western Nassau County assets, which represent 61.8% of portfolio
NOI, are proximate to Long Island Jewish Hospital and North Shore
University Hospital, which merged in 2016 to form Northwell Health.
These renowned hospitals are major demand drivers for medical
office space on the North Shore.

The proximity of the properties to the major hospitals on Long
Island's North Shore makes the portfolio a highly desirable
location for medical tenants, which comprise approximately 53.8% of
base rent with a WA tenure of 16.3 years vs 14.8 years at the
property overall. Medical tenants tend to receive above market
allocations for tenant improvements, but will often spend
additional capital on the build out of their space. This larger
upfront investment substantially increases potential relocation
costs upon lease expiration and increases probability of renewal.

New supply has been limited because of the infill nature of the
portfolio's submarkets and the high surrounding population density.
Per the appraisals, two of the submarkets, Western and Eastern
Nassau (collectively 63.9% of NRA) have had no new supply within
the past 12 months and no new construction is under way. Western
Suffolk (36.1% of NRA) has only had 15,000 sf of new supply within
the past 12 months and only 65,700 sf of new supply (0.3% of total
submarket inventory) is currently under construction.

The DBRS Morningstar LTV is high at 99.7% based on the $350 million
in total mortgage debt. In order to account for the high leverage,
DBRS Morningstar programmatically reduced its LTV benchmark targets
for the transaction by 1.5% across the capital structure.

The sponsor is partially using proceeds from the mortgage loan to
repatriate approximately $98.1 million of equity. DBRS Morningstar
views cash-out refinancing transactions as less favorable than
acquisition financings because sponsors typically have less
incentive to support a property through times of economic stress if
less of their own cash equity is at risk. Based on the appraiser's
as-is valuation of $458.7 million, the sponsor will have
approximately $108.7 million of unencumbered market equity
remaining in the transaction.

The nonrecourse carveout guarantors are five Angelo Gordon fund
entities on a several (and not joint basis) that are required to
maintain an aggregate minimum net worth of at least $200 million,
exclusive of the properties with no liquidity requirement. This
effectively limits the recourse to the sponsor for bad act
carveouts. "Bad boy" guarantees and consequent access to the
guarantor help mitigate the risk and increased loss severity of
bankruptcy, additional encumbrances, unapproved transfers, fraud,
misappropriation of rents, and other potential bad acts of the
borrower or its sponsor.

The loan allows for pro rata paydowns associated with property
releases for the first 20% of the unpaid principal balance. The
loan has been structured with a partial pro rata/sequential-pay
structure. DBRS Morningstar considers this structure credit
negative, particularly at the top of the capital stack. Under a
partial pro rata structure, deleveraging of the senior notes
through the release of individual properties occurs at a slower
pace compared with a sequential-pay structure. DBRS Morningstar
applied a penalty to the transaction's capital structure to account
for the pro rata nature of certain voluntary prepayments.

Individual properties are permitted to be released with customary
requirements. However, the prepayment premium for the release of
individual assets is 105% of the allocated loan amount for the
applicable property up to 10% of the original principal balance,
110% of the ALA for the applicable property up to 20% and 115%
thereafter. With regard to the individual assets located within the
Lake Success Quadrangle, the release price shall equal 115% at any
given time for: 1 Dakota Drive; 3000 Marcus Avenue; 2800 Marcus
Avenue; 3 Delaware Drive; 3003 New Hyde Park; 5 Delaware Drive; and
6 Ohio Drive and 120% at any given time for: 3 Dakota Drive; 5
Dakota Drive; 2 Ohio Drive; and 4 Ohio Drive. DBRS Morningstar
elected not to apply a penalty to the transactions capital
structure as 63.5% of the portfolio by ALA is subject to a release
price of 115% or greater, which DBRS Morningstar considers to be
credit neutral.

Notes: All figures are in U.S. dollars unless otherwise noted.


BBCMS MORTGAGE 2021-C10: Fitch Affirms B- Rating on 2 Tranches
--------------------------------------------------------------
Fitch Ratings has issued a presale report on BBCMS Mortgage Trust
2021-10, commercial mortgage pass-through certificates, series
2021-C10.

Fitch expects to rate the transaction and assign Rating Outlooks as
follows:

-- $23,478,000 class A-1 'AAAsf'; Outlook Stable;

-- $24,100,000 class A-2 'AAAsf'; Outlook Stable;

-- $120,000,000a class A-4 'AAAsf'; Outlook Stable;

-- $360,300,000a class A-5 'AAAsf'; Outlook Stable;

-- $40,774,000 class A-SB 'AAAsf'; Outlook Stable;

-- $568,652,000b class X-A 'AAAsf'; Outlook Stable;

-- $146,225,000b class X-B 'A-sf'; Outlook Stable;

-- $75,144,000 class A-S 'AAAsf'; Outlook Stable;

-- $35,540,000 class B 'AA-sf'; Outlook Stable;

-- $35,541,000 class C 'A-sf'; Outlook Stable;

-- $38,587,000bc class X-D 'BBB-sf'; Outlook Stable;

-- $11,170,000bc class X-F 'BB+sf'; Outlook Stable;

-- $8,124,000bc class X-G 'BB-sf'; Outlook Stable;

-- $8,123,000bc class X-H 'B-sf'; Outlook Stable;

-- $21,325,000c class D 'BBBsf'; Outlook Stable;

-- $17,262,000c class E 'BBB-sf'; Outlook Stable;

-- $11,170,000c class F 'BB+sf'; Outlook Stable;

-- $8,124,000c class G 'BB-sf'; Outlook Stable;

-- $8,123,000c class H-RR 'B-sf'; Outlook Stable.

The following classes are not expected to be rated by Fitch:

-- $31,479,939bc class X-J;

-- $31,479,939c class J-RR;

-- $22,208,016 class RR Certificates;

-- $12,213,699 RR Interest.

(a) The initial certificate balances of the class A-4 and A-5
certificates are unknown and expected to be $480,300,000 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
$240,000,000, and the expected class A-5 balance range is
$240,300,000 to $480,300,000. The balance of each class displayed
above is the hypothetical midpoint of the class range.

(b) Notional amount and interest only.

(c) Privately-place and pursuant to Rule 144a.

(d) Represents the "eligible vertical interest" comprising 4.07% of
the pool.

TRANSACTION SUMMARY

The expected ratings are based on information provided by the
issuer as of June 18, 2021.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 64 loans secured by 127
commercial properties having an aggregate principal balance of
$846,782,655 as of the cut-off date. The loans were contributed to
the trust by Societe Generale Financial Corporation, Barclays
Capital Real Estate, Starwood Mortgage Capital LLC, UBS AG and
KeyBank National Association. The Master Servicer is expected to be
KeyBank National Association and the Special Servicer is expected
to be Rialto Capital Advisors, LLC.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 45.9% of the properties
by balance, cash flow analyses of 79.5% of the pool, and asset
summary reviews on 100% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus (which causes COVID-19) 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
of the loans are current and are not subject to any forbearance
requests.

KEY RATING DRIVERS

Leverage Exceeds that of Recent Transactions: The pool has a higher
leverage than those of other recent multiborrower transactions
rated by Fitch. The pool's Fitch loan-to-value (LTV) ratio of
105.2% is higher than the YTD 2021 and 2020 averages of 101.6% and
99.6%, respectively. Additionally, the pool's Fitch debt service
coverage ratio (DSCR) of 1.29x is lower than the YTD 2021 and 2020
averages of 1.39x and 1.32x, respectively.

Investment-Grade Credit Opinion Loans: Only two loans representing
8.2% of the pool received an investment-grade credit opinion. MGM
Grand & Mandalay Bay, representing 5.8% of the pool, received a
standalone credit opinion of 'BBB+sf', and Kings Plaza,
representing 2.4% of the pool received a standalone credit opinion
of 'BBB-sf'. This is below the YTD 2021 average of 15.0% and
considerably below the 2020 average of 24.5%.

High Multifamily Exposure and Low Retail and Hotel Exposure: Loans
secured by traditional multifamily properties represent 21.1% of
the pool by balance, including four of the top 20 loans. The total
multifamily concentration is higher than the YTD 2021 and 2020
averages of 14.2% and 16.3%, respectively. Loans secured by
multifamily properties have a lower probability of default in
Fitch's multiborrower model, all else equal. Loans secured by
retail properties represent 9.3% of the pool by balance, lower than
the YTD 2021 and 2020 averages of 16.5% and 16.3%, respectively.
There are only two hotel loans in the Pool, MGM Grand & Mandalay
Bay (5.8% of the cutoff) and Wyndham National Hotel Portfolio (1.2%
of the cutoff). Fitch considers hotel and retail asset types to
have the greatest downside risk among all commercial asset types as
a result of the coronavirus pandemic.

Diverse Pool: The pool's 10 largest loans represent 42.6% of the
pool's cutoff balance, which is considerably lower than the YTD
2021 and 2020 averages of 53.5% and 56.8%, respectively. The pool's
LCI of 281 is also considerably lower than the YTD 2021 and 2020
averages of 405 and 440, respectively. 2020 and 2019 averages of
56.8% and 51.0%, respectively. The SCI of 302 indicates that there
is little sponsor concentration.

RATING SENSITIVITIES

This section provides insight into the sensitivity of ratings when
one assumption is modified, while holding others equal. For U.S.
CMBS, the sensitivity reflects the impact of changes to property
net cash flow (NCF) in up- and down-environments. The results below
should only be considered as one potential outcome, as the
transaction is exposed to multiple dynamic risk factors. It should
not be used as an indicator of possible future performance.

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' / 'BB-sf' / 'B-sf'

10% NCF Decline: 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' /
'BBsf' / 'B+sf' / CCCsf'

20% NCF Decline: 'A-sf' / 'BBBsf' / 'BB+sf' / 'BB-sf' / 'CCCsf' /
'CCCsf' / 'CCCsf' / 'CCCsf'

30% NCF Decline: 'BBBsf' / 'BB+sf' / 'Bsf' / 'CCCsf' / 'CCCsf' /
'CCCsf' / 'CCCsf' / 'CCCsf'

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' / 'BB-sf' / 'B-sf'

20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' /
'A-sf' / 'BBB+sf' / 'BBBsf'

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.

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.


BBCMS TRUST 2019-CLP: DBRS Confirms BB(low) Rating on Class E Certs
-------------------------------------------------------------------
DBRS, Inc. confirmed all ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-CLP issued by BBCMS Trust
2019-CLP (the Issuer) as follows:

-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction. At issuance, the trust consisted of a $290.4
million mortgage loan secured by 56 industrial assets totaling 6.4
million sf in Sacramento and Stockton, California. Per the May 2021
remittance report, the trust balance was reported at $231.2
million, representing a 20.4% collateral reduction since issuance.
The cumulative outstanding mezzanine debt has been reduced to
$119.1 million. Ten properties have been released from the
collateral with 46 properties consisting of 5.2 million square feet
(sf) remaining within the collateral. Per the servicer, there were
three additional properties (Arden 1, 2, and 3) with a total
allocated loan amount of $4.0 million that were released from the
collateral in May 2021 but the figures were not yet reflected in
the May 2021 remittance report.

The loan is structured with a two-year initial term followed by
three one-year extension options. The borrower exercised the first
option extending the loan maturity to December 2021. The capital
stack also includes the two mezzanine loans referenced above. The
floating interest-only loan is based on the one-month LIBOR plus
1.14% and the borrower was required to purchase interest-rate cap
protection at a strike rate of 4.25%. Blackstone, one of the
world's largest private-equity companies, controls the loan sponsor
and has nearly $55 million in cash equity at risk.

Individual properties are permitted to be released with a 105.0%
premium relative to the allocated loan balance for the first 25.0%
of the total loan balance. The premium increases to 110.0% after
the loan balance reduces to $217.8 million, which could occur in
the near term. The trust originally was structured as a partial pro
rata pay; however, the trust has since surpassed the 15.0%
threshold and future principal paydowns will be applied
sequentially.

The entire portfolio is secured by industrial properties located in
Northern California. Industrial properties are viewed favorably
following the Coronavirus Disease (COVID-19) pandemic as e-commerce
demand accelerated, which subsequently increased demand for
industrial space. The portfolio is relatively diverse by property
size and has a granular/diverse tenancy. Per the servicer, the
largest tenant represents just 4.9% of the remaining net rentable
area (NRA) as of May 2021. The Sacramento market also features high
barriers to entry as construction and entitlement costs are still
substantial relative to rental rates and limit new construction
within the market.

During the fully extended loan term, leases representing 78.2% of
NRA are scheduled to expire. The lease rollover risk was evenly
spread throughout the loan term. At issuance, it was noted the
collateral properties were located in low vacancy markets that
exhibited rental rate appreciation over recent years. The
collateral's occupancy rate was 97.3% as of December 2019 and 92.9%
as of December 2020, according to the servicer. The occupancy rate
decline is attributed to the loss of tenants with lease expirations
and releases of well-occupied collateral properties. As of March
2021, there are two properties, Overland (3.2% of the collateral
NRA) and Arden 3 (0.6% of the collateral NRA), that are completely
vacant and overall occupancy was 93.2% per rent rolls provided by
the servicer. Near-term lease rollover risk comprises 38 tenants,
representing 11.8% of collateral NRA, with lease expirations in
2021 and an additional 65 tenants, representing 19.6% of the
collateral NRA, with lease expirations in 2022.

Reis data as of April 2021 for Sacramento warehouse/distribution
properties reported an average asking rent of $5.17 per sf (psf)
and an average vacancy rate of 10.6%. Overall, the market has
displayed moderate rental income growth and a gradual vacancy rate
increase since issuance. Sacramento's warehouse/distribution market
had an average asking rent of $4.87 psf and an average vacancy rate
of 8.2% as of Q4 2018. Reis projects the market's average asking
rent will increase to $5.50 psf and for the average vacancy rate to
decrease to 9.2% as of Q4 2022. Demand for warehouse/distribution
will remain strong in the near to medium term as rental growth
continues and the vacancy rate compresses. The vacancy rate
increase in 2020 is partially attributed to the 1.3 million sf of
new inventory delivered to the market and only 143,000 sf of net
absorption. Another 2.0 million sf of additional stock is projected
to be delivered in 2021. Overall, total inventory stock is
projected to increase 2.9% between Q4 2018 and Q4 2021.

The adjusted underwritten Issuer Net Cash Flow (NCF) for the
remaining properties totaled $24.0 million as of May 2021. DBRS
Morningstar applied a pro rata reduction by the trust balance to
the original DBRS Morningstar NCF to derive an updated DBRS
Morningstar NCF of $21.5 million for the subject analysis. The NCF
reduction equates to a 10.3% haircut relative to the adjusted
underwritten Issuer NCF for the remaining properties. Cash flow
growth has exceeded underwritten figures thus far; however, the
release of several well-occupied properties and upcoming lease
rollover could cause NCF growth to slow over the next few years..

Notes: All figures are in U.S. dollars unless otherwise noted.


BELLEMEADE RE 2021-2: Moody's Assigns B3 Rating to Cl. B-1 Notes
----------------------------------------------------------------
Moody's Investors Service has assigned definitive 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 A1 (sf)

Cl. M-1B, Assigned Baa1 (sf)

Cl. M-1C, Assigned Baa3 (sf)

Cl. M-2, Assigned B1 (sf)

Cl. B-1, Assigned B3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expect this insured pool's aggregate exposed principal
balance to incur 1.71% losses in a base case scenario, and 15.14%
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 its
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 above 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.


BFLD 2021-FPM: Moody's Assigns B2 Rating to Cl. HRR Certificates
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of CMBS securities, issued by BFLD 2021-FPM Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2021-FPM:

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa3 (sf)

Cl. E, Definitive Rating Assigned Ba2 (sf)

Cl. F, Definitive Rating Assigned B1 (sf)

Cl. HRR, Definitive Rating Assigned B2 (sf)

Note: Moody's previously assigned a provisional rating to Class
X-CP of (P) Aaa (sf), described in the prior press release, dated
June 3, 2021. Subsequent to the release of the provisional ratings
for this transaction, the structure was modified. Based on the
current structure, Moody's has withdrawn its provisional rating for
Class X-CP and will not rate this certificate.

RATINGS RATIONALE

The certificates are collateralized by a single, floating-rate loan
secured by the borrower's fee simple and leasehold interests in
Fashion Place (the "property"), a super-regional mall located in
Murray, UT. The collateral for the loan consists of a 632,264 SF
portion (the "collateral") of the 969,864 SF property. Moody's
ratings are based on the credit quality of the loan and the
strength of the securitization structure.

The property is of Class A quality and well located in Murray, UT,
approximately 11 miles south of downtown Salt Lake City. The
property is anchored by Macy's (161,634 SF, 25.6% of collateral
NRA), Dillard's (non-collateral; 200,000 SF) and Nordstrom
(non-collateral; 137,600 SF). Large tenants at the property
(greater than 10,000 SF) include Crate & Barrel (29,341 SF, 4.6% of
collateral NRA), Zara (28,866 SF, 4.6% of collateral NRA), The
Container Store (25,011 SF, 4.0% of collateral NRA), H&M (22,777
SF, 3.6% of collateral NRA), The Cheesecake Factory (10,230 SF,
1.6% of collateral NRA), Forever 21 (10,135 SF, 1.6% of collateral
NRA) and Urban Outfitters (10,003 SF, 1.6% of collateral NRA).

Other noteworthy retailers at the property Apple, Lululemon,
Sephora, Peloton, Lego, Sur La Table, Lovesac, White House Black
Market, Vans, Madewell, Athleta, Victoria's Secret and Banana
Republic. The subject contains approximately numerous food venues,
including an eight-bay food court (5,072 SF) and seven full-service
restaurants. Some of the noteworthy food venues include The
Cheesecake Factory, California Pizza Kitchen, Brio Italian Grille,
Shake Shack, Red Rock Place, Olive Garden, Chick-fil-A and Taqueria
27.

As of April 30, 2021, the occupancy of the collateral was
approximately 93.7% (excluding Dillard's and Nordstrom). Total
occupancy at the property (including Dillard's and Nordstrom) is
approximately 95.9%.

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 $290,000,000 (the "loan" or "mortgage
loan"). The mortgage loan has an initial three-year term, with two,
one-year extension options.

The Moody's first-mortgage DSCR is 2.22x and Moody's first-mortgage
stressed DSCR (at a 9.25% constant) is 0.89x. Moody's DSCR is based
on Moody's assessment of the property's stabilized NCF.

The first mortgage balance of $290,000,000 represents a Moody's LTV
of 102.9%.

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 subject received a
property quality grade of 1.75.

Notable strengths of the transaction include: property's trophy
qualities, capital investment, strong location, exceptional tenant
roster, in-line sales, strong NOI margins and experienced
sponsorship.

Notable concerns of the transaction include: tenant rollover, lack
of asset diversification, recent decline in operating performance,
floating-rate/interest-only mortgage loan profile and certain
credit negative legal features.

The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in September 2020.

Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
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 U.S. economic activity.


BRAVO RESIDENTIAL 2021-NQM1: DBRS Finalizes B Rating on B-2 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized provisional ratings on the following
Mortgage-Backed Notes, Series 2021-NQM1 (the Notes) 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 a portfolio of fixed- and
adjustable-rate prime and non-prime first-lien residential
mortgages funded by the issuance of the Mortgage-Backed Notes,
Series 2021-NQM1 (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 annum. 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. 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 Indenture Trustee and Owner
Trustee. Wells Fargo Bank, N.A. (rated AA with a Negative trend by
DBRS Morningstar) will act as Custodian. Citibank, N.A. (rated
AA(low) with a Stable trend by DBRS Morningstar), an affiliate of
Citigroup Inc., will serve as Paying Agent and Note Registrar.

The proposed pool is about 44 months seasoned on a weighted average
(WA) 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 CFPB Qualified Mortgage (QM) rules, 72.3% of
the loans by balance are designated as non-QM. 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 Banker 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 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.


BROAD RIVER 2020-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
and D-R replacement notes and 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. At the same time, S&P withdrew its ratings on the
original class A, B, C, and D notes following payment in full on
the June 15, 2021, refinancing date.

The replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:

-- The replacement class A-R, B-R, C-R, and D-R notes were issued
at a lower spread over three-month LIBOR than the original notes.

-- The stated maturity of the replacement notes and reinvestment
period were each extended by 5.25 years, to July 2034 and July
2026, respectively.

-- The non-call period was extended to July 2023, and the weighted
average life test date was extended by four years.

-- The required minimum overcollateralization (O/C) and interest
coverage ratios were amended.

-- The new class E-R floating-rate notes were 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
was 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.

-- No additional subordinated notes were issued on the refinancing
date.

-- The transaction added 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."

  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

  Ratings Withdrawn

  Broad River BSL Funding CLO Ltd. 2020-1/Broad River BSL Funding
CLO 2020-1 LLC

  Class A, $212.50 million: to NR from 'AAA (sf)'
  Class B, $53.75 million: to NR from 'AA (sf)'
  Class C, $18.00 million: to NR from 'A (sf)'
  Class D, $21.50 million: to NR from 'BBB- (sf)'

  NR--Not rated.



BX TRUST 2021-VIEW: DBRS Finalizes BB(low) Rating on Class F Certs
------------------------------------------------------------------
DBRS, Inc. finalized its 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 2021-P2: DBRS Gives Prov. BB(high) Rating on N Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Carvana Auto Receivables Trust 2021:

-- $112,000,000 Class A-1 Notes at R-1 (high) (sf)
-- $231,850,000 Class A-2 Notes at AAA (sf)
-- $235,810,000 Class A-3 Notes at AAA (sf)
-- $124,040,000 Class A-4 Notes at AAA (sf)
-- $25,580,000 Class B Notes at AA (high) (sf)
-- $29,060,000 Class C Notes at A (high) (sf)
-- $16,660,000 Class D Notes at BBB (high) (sf)
-- $27,430,000 Class N Notes at BB (high) (sf)

The provisional ratings are based on DBRS Morningstar's review of
the following analytical considerations:

(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.

-- Credit enhancement is in the form of overcollateralization,
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 40,000
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 50 or higher.

-- As of the June 3, 2021, cut-off date, the collateral pool for
the transaction is primarily composed of receivables due from prime
and near-prime obligors with a weighted-average (WA) FICO score of
706 and WA annual percentage rate of 7.97% and a WA loan-to-value
ratio of 89.06%. Approximately 40.42%, 40.56%, and 19.02% of the
pool include loans with Carvana Deal Scores greater than or equal
to 80, between 60 and 79, and between 50 and 59, respectively.
Additionally, 12.10% of the collateral balance is composed of
obligors with FICO scores greater than 800, 35.40% consists of FICO
scores between 701 to 800, and 3.24% 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-P2 pool.

(6) The DBRS Morningstar CNL assumption is 2.75% 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 expected presence of legal opinions,
which will 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-1, A-2, A-3, and A-4 Notes reflects 9.70%
of initial hard credit enhancement provided by subordinated notes
in the pool (9.20%) and the reserve account (0.50%). The ratings on
the Class B, C, and D Notes reflect 6.40%, 2.65%, and 0.50% of
initial hard credit enhancement, respectively.

Notes: All figures are in U.S. dollars unless otherwise noted.


CATAMARAN CLO 2013-1: Moody's Cuts Rating on Cl. F-R Notes to Caa1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Catamaran CLO 2013-1 Ltd.:

US$57,400,000 Class B-R Floating Rate Notes due 2028 (the "Class
B-R Notes"), Upgraded to Aaa (sf); previously on December 17, 2020
Upgraded to Aa1 (sf)

US$28,900,000 Class C-R Deferrable Floating Rate Notes due 2028
(the "Class C-R Notes"), Upgraded to Aa2 (sf); previously on
December 17, 2020 Upgraded to A1 (sf)

US$31,300,000 Class D-R Deferrable Floating Rate Notes due 2028
(the "Class D-R Notes"), Upgraded to Baa1 (sf); previously on
August 14, 2020 Confirmed at Baa3 (sf)

Moody's also downgraded the rating on the following notes:

US$10,500,000 Class F-R Deferrable Floating Rate Notes due 2028
(the "Class F-R Notes"), Downgraded to Caa1 (sf); previously on
August 14, 2020 Confirmed at B3 (sf)

Catamaran CLO 2013-1 Ltd., originally issued in June 2013 and
refinanced in December 2017, is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in January 2020.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since December 2020. The Class
A-R notes have been paid down by approximately 41.4% or $112.3
million since December 2020. Based on the trustee's May 2021 report
[1], the OC ratios for the Class A-R/B-R, Class C-R, Class D-R and
Class E-R notes are reported at 150.84%, 133.05%, 117.98% and
108.52%, respectively, versus November 2020 levels of 131.27%,
120.65%, 110.94% and 104.46%, respectively.

The downgrade rating action on the Class F-R notes reflects the
specific risks to the junior notes posed by credit deterioration
observed in the underlying CLO portfolio. Furthermore, the
trustee-reported weighted average rating factor (WARF) [2] have
been deteriorating and the current level is currently 3376 compared
to 3291 in November 2020 report [3], failing the current trigger of
2965.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Performing par and principal proceeds balance: $328,898,424

Defaulted par: $2,780,516

Diversity Score: 61

Weighted Average Rating Factor (WARF): 3058

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.39%

Weighted Average Recovery Rate (WARR): 46.7%

Weighted Average Life (WAL): 3.67 years

Par haircut in OC tests and interest diversion test: 1.02%

In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from Moody's base case. Some of the
additional scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; sensitivity analysis on
deteriorating credit quality due to a large exposure to loans with
negative outlook, and a lower recovery rate assumption on defaulted
assets to reflect declining loan recovery rate expectations.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in the US economic activity.

Moody's regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Methodology Used for the Rating Action

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change.


CD MORTGAGE 2017-CD5: Fitch Affirms B- Rating on Class F Debt
-------------------------------------------------------------
Fitch Ratings has affirmed 15 classes and revised the Rating
Outlooks to Stable from Negative on three classes of CD 2017-CD5
Mortgage Trust Series 2017-CD5.

   DEBT               RATING           PRIOR
   ----               ------           -----
CD 2017-CD5

A-1 12515HAW5   LT  AAAsf   Affirmed   AAAsf
A-2 12515HAX3   LT  AAAsf   Affirmed   AAAsf
A-3 12515HAY1   LT  AAAsf   Affirmed   AAAsf
A-4 12515HAZ8   LT  AAAsf   Affirmed   AAAsf
A-AB 12515HBA2  LT  AAAsf   Affirmed   AAAsf
A-S 12515HBB0   LT  AAAsf   Affirmed   AAAsf
B 12515HBC8     LT  AA-sf   Affirmed   AA-sf
C 12515HBD6     LT  A-sf    Affirmed   A-sf
D 12515HAA3     LT  BBB-sf  Affirmed   BBB-sf
E 12515HAC9     LT  BB-sf   Affirmed   BB-sf
F 12515HAE5     LT  B-sf    Affirmed   B-sf
X-A 12515HBJ3   LT  AAAsf   Affirmed   AAAsf
X-B 12515HBK0   LT  A-sf    Affirmed   A-sf
X-D 12515HAQ8   LT  BBB-sf  Affirmed   BBB-sf
X-E 12515HBM6   LT  BB-sf   Affirmed   BB-sf

KEY RATING DRIVERS

Decline in Loss Expectations: The majority of the pool continues
exhibiting relatively stable performance and pool loss expectations
have declined since the prior rating action mainly due to lower
expected losses for AHIP Northeast Portfolio IV, Embassy Suites
Anaheim Orange, and Residence Inn Long Beach. Ten loans (25.6% of
the current pool balance) have been designated as Fitch Loans of
Concern (FLOCs), including four loans (17.6%) in the top 15 and
three specially serviced loans (6.4%).

Fitch's current ratings reflect a base case loss expectation of
3.7%. The Negative Outlooks reflect losses that could reach 5.4%
when factoring additional pandemic-related stresses.

Fitch Loans of Concern/Specially Serviced Loans: The largest
increase in loss since the prior review and largest contributor to
loss is the specially serviced Gurnee Mills (2.1%) loan which is
secured by a 1.7 million-sf regional mall located in Gurnee, IL
approximately 45 miles north of Chicago. The loan transferred to
the special servicer in June 2020 for imminent monetary default and
borrower and server agreed on a forbearance to defer the monthly
payments from May 2020 through December 2020. Regular payments
resumed with the January 2021 payment and beginning with the March
2021 payment, the borrower has begun to repay the deferred amounts
through February 2023.

According to the special servicer the loan is transferring back to
the master servicer. The mall's primary competitors are Hawthorn
Mall (Centennial) and Pleasant Prairie Premium Outlets (Simon)
which are both located within a 15-mile radius. The mall is
anchored by Marcus Cinema (non-collateral), Burlington Coat Factory
(non-collateral) and Value City Furniture (non-collateral), Bass
Pro Shops Outdoor World, Floor & Decor, Kohl's, Macy's, and Tilt
Studio (arcade/ice rink). Sears Grand (12% NRA; 6.4% of total base
rent) was previously the largest collateral tenant and vacated in
2Q18 prior to its April 2019 lease expiration. Neiman Marcus Last
Call, (1.8% NRA) vacated its space in 1Q18 prior to its January
2020 lease expiration. As of YE 2020, occupancy was 86.7%, down
from 93% at issuance and the YE 2020 NOI DSCR was 1.24x compared to
1.42x at YE 2019 and 1.58x at YE 2018.

lnline tenant sales for YE 2019 were $325psf down from $347 at
issuance. Fitch's loss of approximately 50% reflects a 15% cap rate
and a small stress to the YE 2019 NOI which implies a cap rate of
15.9%.

The largest non-specially serviced FLOC and second largest
contributor to loss is AHIP Northeast Portfolio IV (6.1%). The
portfolio is four hotels located in Maryland (2) and New Jersey
(2). The portfolio totals 467-keys and all properties were built in
2002 or later and renovated in 2017. The Special Servicer approved
a loan modification in August 2020, which allowed debt service
payments for August through October 2020 to be made from the PIP
Reserve and Monthly FF&E Reserve and deposits were also deferred
for those months.

The borrower has re-funded the PIP Reserve and FF&E payments per
the loan modification from November 2020 through April 2021.
Portfolio occupancy declined to 65% at YE 2020 from 82% at YE 2019,
83% at YE 2018 and 81% at YE 2017. YE 2020 NOI decreased 33.3% from
YE 2019. YE 2020 DSCR was 1.27x compared to 2.50x at YE 2019, 2.49x
at YE 2018 and 2.75x at YE 2017. Fitch's analysis applied a 26%
stress to the YE 2019 NOI due to performance declines from the
pandemic which equates to a 13% expected loss.

The largest specially serviced loan and third largest contributor
to loss is the Embassy Suites Anaheim Orange (3.6%) which is a
230-key hotel located in Orange, CA. The property was built in 1989
and renovated in 2014 and is situated less than 1.5 miles from the
Angel Stadium of Anaheim, the Honda Center, and Disneyland. The
loan transferred for Imminent Monetary Default at the borrower's
request as a result of the pandemic. The special servicer approved
an assumption of the loan by a new borrower. In Fitch's analysis,
the 10% expected loss is based on the YE 2019 NOI with an 11.25%
cap rate and 26% NOI stress.

The fourth largest contributor to loss, Starwood Capital Group
Hotel Portfolio properties (4.4%), is secured by a portfolio of 65
hotels spanning the limited service, full service and extended stay
varieties. The hotels range in size from 56 to 147 rooms, with an
average count of 98 rooms. Per servicer updates, pandemic relief
has been granted to the borrower.

Relief terms include three months of deferred reserves and ability
to utilize reserve funds towards three months of debt service
payments. Repayment is occurring over a 12-month period which began
with the February 2021 payment. Portfolio occupancy and
servicer­reported NOI DSCR for this interest-only loan were 53%
and 0.93x as of YTD September 2020, down from 74% and 2.73x at YE
2019 and 75% and 3.05x at issuance. The special servicer will
monitor asset performance for a transfer back to the master
servicer. Fitch's loss expectation of approximately 15% is based on
a 11.5% cap rate and 26% stress to YE 2019 NOI.

Limited Amortization; Minimal Changes to Credit Enhancement: As of
the May 2021 distribution date, the pool's aggregate balance has
been reduced by 2.4% to $909.3 million, from $931.6 million at
issuance. The pool is scheduled to amortize by 9.3% of the initial
pool balance by maturity. Thirteen loans (42.7%) are full-term
interest­only and only three loans (7.9%) have partial
interest-only terms remaining.

Coronavirus Exposure: Seven loans (21.6%) are secured by hotel
properties and 14 loans (16.4%) are secured by retail properties.
Fitch applied additional stresses to four hotel loans and one
retail loan to account for potential cash flow disruptions due to
the coronavirus pandemic; these additional stresses contributed to
the Negative Outlooks.

Investment-Grade Credit Opinion Loans: Three loans, representing
23.2% of the pool, had investment-grade credit opinions at
issuance. General Motors Building (11% of the pool) had an
investment-grade credit opinion of 'AAAsf' on a standalone basis,
while 245 Park Avenue (5.6% of the pool) and Olympic Tower (6.6% of
the pool) had investment-grade credit opinions of 'BBB-sf' and
'BBBsf', respectively, on a stand-alone basis.

RATING SENSITIVITIES

The Negative Outlooks reflect the potential for downgrades given
concerns with the FLOCs, especially the Gurnee Mills loan. The
Stable Outlooks on classes A-1 through C, X-A and X-B reflect
sufficient credit enhancement and the expectation of paydown from
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, X-B, C, D, and X-D
    would occur with increased paydown and/or defeasance combined
    with performance stabilization, and would be limited as
    concentrations increase.

-- Classes would not be upgraded above 'Asf' if there is a
    likelihood for interest shortfalls. Upgrades to classes E, X
    E, and Fare not likely unless performance of the FLOCs
    stabilize and if the performance of the remaining pool is
    stable, and would not likely occur until later years in the
    transaction assuming losses were minimal.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

-- An increase in pool level losses from underperforming loans.
    Downgrades to the classes rated 'AAAsf' and 'AA-sf' are not
    considered likely due to sufficient credit enhancement and
    expected continued amortization, but may occur at 'AAAsf' or
    'AA-sf' should interest shortfalls occur.

-- Downgrades to classes C, X-B, D and X-D are possible should
    defaults occur or loss expectations increase. Downgrades to
    classes E, X-E, and F are possible should performance of the
    FLOCs fail to stabilize or decline 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.


CD MORTGAGE 2018-CD7: Fitch Affirms B- Rating on G-RR Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 15 classes of the CD 2018-CD7 Mortgage
Trust Commercial Mortgage Pass-Through Certificates, Series
2018-CD7.

    DEBT               RATING          PRIOR
    ----               ------          -----
CD 2018-CD7

A-1 12512JAR5   LT  AAAsf   Affirmed   AAAsf
A-2 12512JAS3   LT  AAAsf   Affirmed   AAAsf
A-3 12512JAV6   LT  AAAsf   Affirmed   AAAsf
A-4 12512JAW4   LT  AAAsf   Affirmed   AAAsf
A-M 12512JAY0   LT  AAAsf   Affirmed   AAAsf
A-SB 12512JAT1  LT  AAAsf   Affirmed   AAAsf
B 12512JAZ7     LT  AA-sf   Affirmed   AA-sf
C 12512JBA1     LT  A-sf    Affirmed   A-sf
D 12512JAE4     LT  BBB-sf  Affirmed   BBB-sf
E-RR 12512JAG9  LT  BBB-sf  Affirmed   BBB-sf
F-RR 12512JAJ3  LT  BB-sf   Affirmed   BB-sf
G-RR 12512JAL8  LT  B-sf    Affirmed   B-sf
X-A 12512JAX2   LT  AAAsf   Affirmed   AAAsf
X-B 12512JAA2   LT  AA-sf   Affirmed   AA-sf
X-D 12512JAC8   LT  BBB-sf  Affirmed   BBB-sf

KEY RATING DRIVERS

Generally Stable Pool Performance: Loss expectations have improved
slightly since prior review with many loans experiencing less
severe coronavirus related declines than expected at the prior
rating action. However, one top 15 loan has transferred to special
servicing since the prior rating action. There are eight loans
(18.3%) that have been designated as Fitch Loans of Concern
(FLOCs), including three loans (11.0%) in the top 15, one specially
serviced loan (4.5%), one hotel portfolio (3.6%) and one office
loan (2.8%) that are continuing to recover from pandemic related
performance declines. Fitch's current ratings incorporate a base
case loss of 4.8%. The Negative Outlooks on classes F-RR and G-RR
reflect losses that could reach 5.8% when factoring in additional
stresses related to the coronavirus pandemic.

The largest loan is special servicing and largest FLOC is the
NoLita Multifamily Portfolio (4.5%), which is secured by three
multifamily properties and 5,528 sf of retail space. All three
properties are located in the NoLita and SoHo neighborhoods of
Manhattan. The loan entered special servicing on April 20, 2021 for
imminent monetary default stemming from issues relating to the
coronavirus pandemic. Performance since issuance has declined
slightly with a reported June 2020 WA NOI DSCR of 1.01x and a March
2020 WA occupancy rate of 97.9%; these metrics are down from the
issuance NOI DSCR and occupancy of 1.25x and 100%, respectively.
Fitch has concerns with the loan due to the declining performance
of the portfolio and the loan's delinquency status (30 days past
due as of May 2021). The borrower has not been granted additional
relief or a loan modification at this time; Fitch will continue to
monitor the loan status.

The second largest FLOC is the Alabama Hotel Portfolio (3.6%),
which is secured by one full-service hotel in Birmingham, AL and
one limited-service hotel in Tuscaloosa, AL totaling 304-keys
across the portfolio. As of December 2020, the portfolio occupancy
was reported to be 50% compared to 77% at issuance. The December
2020 portfolio NOI DSCR was reported to be 0.94x compared to 2.27x
at issuance. Given the low DSCR, the servicer is in the process of
establishing a lockbox account and the loan is expected to be cash
managed. The loan was briefly in special servicing in March 2020,
but has remained current for the previous 12-month period. Fitch
will continue to monitor the loan status.

Minimal Change in Credit Enhancement (CE): CE has had minimal
change since issuance due to limited amortization, no loan payoffs
and no defeasance. As of the June 2021 distribution period, the
pool's aggregate balance has been paid down by 0.86% to $711
million from $717 million at issuance. There are 13 loans (49.8% of
the pool) that are full-term IO, nine (10.6% of the pool) balloon
loans and 20 (39.6% of the pool) partial IO then balloon loans. The
pool does not have any amortizing loans.

Coronavirus Exposure: The eight loans (14.1% of pool) that are
secured by hotel properties have a weighted average (WA) NOI DSCR
of 2.21x. Ten loans (22.4% of pool), which have a WA NOI DSCR of
1.82x, are secured by retail properties. Limited additional
stresses were only applied to two hotel loans due to the
availability of YE 2020 financials. All other hotel loans had
additional COVID stresses applied to YE 2019 financials due to
expected performance decline in the 2020 figures.

RATING SENSITIVITIES

The Negative Outlooks on classes F-RR and G-RR, reflect performance
concerns with the specially serviced and FLOCs, which are primarily
secured by hotel and retail properties, that continue to
underperform. The Stable Outlooks on classes A-1 through E-RR
reflect the 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 additional
    paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf'
    rated classes are not expected but would likely occur with
    significant improvement in CE and/or defeasance and/or the
    stabilization to the properties impacted from the coronavirus
    pandemic.

-- 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 'BB-sf' and 'B-sf' 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 A-1 through B and interest only classes X-A and
    X-B are not likely due to the position in the capital
    structure and the high CE, but may occur should interest
    shortfalls affect these classes. Downgrades to classes C, D,
    E-RR and interest only class X-D may occur should expected
    losses for the pool increase substantially and/or all of the
    loans susceptible to the coronavirus pandemic suffer losses.

-- Downgrades to classes F-RR and G-RR would occur should overall
    pool loss expectations increase from continued performance
    decline of the FLOCs, loans susceptible to the pandemic not
    stabilize, additional loans default or transfer to special
    servicing and/or higher losses incurred on the specially
    serviced loans than expected. The 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.


CFMT 2021-HB6: DBRS Gives Prov. B(high) Rating on Class M5 Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Asset-Backed Notes, Series 2021-2, to be issued by CFMT 2021-HB6,
LLC:

-- $796.6 million Class A at AAA (sf)
-- $6.0 million Class M1 at AA (low) (sf)
-- $50.7 million Class M2 at A (low) (sf)
-- $49.2 million Class M3 at BBB (low) (sf)
-- $45.0 million Class M4 at BB (low) (sf)
-- $8.2 million Class M5 at B (high) (sf)

The AAA (sf) rating reflects 21.7% of credit enhancement. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(high) (sf) ratings reflect 15.1%, 10.1%, 5.2%, 0.8%, and 0.0% of
credit enhancement, respectively.

Other than the specified classes above, DBRS Morningstar did not
rate any other classes in this transaction.

Lenders typically offer reverse mortgage loans to people who are at
least 62 years old. Through reverse mortgage loans, borrowers have
access to home equity through a lump sum amount or a stream of
payments without periodically repaying principal or interest,
allowing the loan balance to accumulate over a period of time until
a maturity event occurs. Loan repayment is required (1) if the
borrower dies, (2) if the borrower sells the related residence, (3)
if the borrower no longer occupies the related residence for a
period (usually a year), (4) if it is no longer the borrower's
primary residence, (5) if a tax or insurance default occurs, or (6)
if the borrower fails to properly maintain the related residence.
In addition, borrowers must be current on any homeowners
association dues if applicable. Reverse mortgages are typically
nonrecourse; borrowers don't have to provide additional assets in
cases where the outstanding loan amount exceeds the property's
value (the crossover point). As a result, liquidation proceeds will
fall below the loan amount in cases where the outstanding balance
reaches the crossover point, contributing to higher loss severities
for these loans.

As of the Cut-Off Date (May 31, 2021), the collateral has
approximately $962.7 million in unpaid principal balance (UPB) from
4,048 performing and nonperforming home equity conversion mortgage
reverse mortgage loans and real estate owned (REO) assets secured
by first liens typically on single-family residential properties,
condominiums, townhomes, multifamily (two- to four-family)
properties, manufactured homes, and planned unit developments. A
majority of the mortgage assets (3,677, or 91.3% of the pool
balance) were previously securitized in CFMT 2019-HB1, CFMT
2020-HB2, and CFMT 2020-HB3 transactions. In addition to the
mortgage assets, the transaction will benefit from the REO Trust
Accounts from previous securitizations totaling approximately $55
million. The mortgage assets were originally originated between
1997 and 2016. Of the total assets, 1,613 have a fixed interest
rate (40.71% of the balance), with a 5.17% weighted-average coupon
(WAC). The remaining 2,435 assets have floating-rate interest
(59.29% of the balance) with a 1.63% WAC, bringing the entire
collateral pool to a 3.07% WAC.

As of the Cut-Off Date, the loans in this transaction are both
performing and nonperforming (i.e., inactive). There are 645
performing loans representing 16.04% of the total UPB. For the
3,403 nonperforming loans, 1,576 loans are referred for foreclosure
(45.55% of the balance), 227 are in bankruptcy status (5.49%), 531
are called due following recent maturity (13.20%), 311 are REO
(5.71%), 95 are inactive (0.86%), and the remaining 663 are in
default (13.14%). However, all these loans are insured by the
United States Department of Housing and Urban Development (HUD),
which mitigates losses vis-à-vis uninsured loans. Because the
insurance supplements the home value, the industry metric for this
collateral is not the loan-to-value ratio (LTV) but rather the WA
effective LTV adjusted for HUD insurance, which is 57.69% for the
loans in this pool. To calculate the WA LTV, DBRS Morningstar
divides the UPB by the maximum claim amount and the asset value.

Among the 645 performing assignable loans, 302 loans, representing
6.52% of the total UPB, are flagged to be assigned to HUD (the
Intended Assignment set), and 343 loans, representing 9.52% of the
total UPB, will be held, not assigned (the Strategically Held
set).

The transaction uses a sequential structure. No subordinate note
shall receive any principal payments until the senior notes (Class
A notes) have been reduced to zero. This structure provides credit
enhancement in the form of subordinate classes and reduces the
effect of realized losses. These features increase the likelihood
that holders of the most senior class of notes will receive regular
distributions of interest and/or principal. All note classes have
available fund caps.

Notes: All figures are in U.S. dollars unless otherwise noted.


CIM TRUST 2019-R5: Moody's Hikes Rating on Cl. B2 Certs to B1
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 8 tranches
from four transactions issued by Citigroup Mortgage Loan Trust and
CIM 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.

A List of Affected Credit Ratings is available
https://bit.ly/3wHxs2A

The complete rating actions are as follows:

Issuer: CIM Trust 2019-R5

Cl. B1, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed
at Ba2 (sf)

Cl. B2, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed
at B3 (sf)

Issuer: Citigroup Mortgage Loan Trust 2015-A

Cl. B-3, Upgraded to Aa2 (sf); previously on May 7, 2019 Upgraded
to A1 (sf)

Issuer: Citigroup Mortgage Loan Trust 2015-PS1

Cl. B-2, Upgraded to Aaa (sf); previously on Oct 18, 2018 Upgraded
to Aa2 (sf)

Cl. B-3, Upgraded to Baa1 (sf); previously on Oct 18, 2018 Upgraded
to Baa3 (sf)

Issuer: Citigroup Mortgage Loan Trust 2015-RP2

Cl. B-2, Upgraded to Aaa (sf); previously on Oct 18, 2018 Upgraded
to Aa2 (sf)

Cl. B-3, Upgraded to Aa3 (sf); previously on Jan 14, 2020 Upgraded
to A2 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 14, 2020 Upgraded
to Ba1 (sf)

RATINGS RATIONALE

The rating upgrades on the tranches from the Citigroup Mortgage
Loan Trust transactions reflect the higher credit enhancement
available to these bonds due to higher prepayment rates, which has
averaged around 24% in the last 12 months. The rating upgrades on
the tranches from CIM Trust 2019-R5 reflect the increase in the
level of credit enhancement available due to the sequential
principal distribution in this transaction, and faster paydown with
prepayment rates averaging around 13% in the last 12 months. The
rating action also reflects Moody's updated loss expectations on
the underlying pools.

Citigroup Mortgage Loan Trust 2015-A, 2015-PS1 and 2015-RP2
transactions have a shifting interest structure with subordination
floors that protect the bonds against tail risk. CIM Trust 2019-R5
transaction has a sequential pay structure, and excess spread (if
available) will be used to pay down additional principal of the
bonds sequentially.

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 of the three
Citigroup Mortgage Loan Trust transactions, the proportion of loans
that have enrolled in payment relief plans ranged between 4-6% as
of March 2021, compared to the peak in June 2020 of 11-17%. Based
on Moody's analysis of CIM Trust 2019-R5, the proportion of loans
that have enrolled in payment relief plans was around 9% as of
March 2021, compared to the peak in June 2020 of 12%. 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 has decreased from the June 2020 peak. 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 the 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 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.


CITIGROUP MORTGAGE 2021-J2: Fitch Gives 'B(EXP)' Rating on B-5 Debt
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Citigroup Mortgage
Loan Trust 2021-J2 (CMLTI 2021-J2).

DEBT                   RATING
----                   ------
CMLTI 2021-J2

A-1        LT  AAA(EXP)sf  Expected Rating
A-1-IO1    LT  AAA(EXP)sf  Expected Rating
A-1-IO2    LT  AAA(EXP)sf  Expected Rating
A-1-IOX    LT  AAA(EXP)sf  Expected Rating
A-1A       LT  AAA(EXP)sf  Expected Rating
A-1-IO3    LT  AAA(EXP)sf  Expected Rating
A-1-IO1W   LT  AAA(EXP)sf  Expected Rating
A-1-IO2W   LT  AAA(EXP)sf  Expected Rating
A-1W       LT  AAA(EXP)sf  Expected Rating
A-2        LT  AAA(EXP)sf  Expected Rating
A-2-IO1    LT  AAA(EXP)sf  Expected Rating
A-2-IO2    LT  AAA(EXP)sf  Expected Rating
A-2-IOX    LT  AAA(EXP)sf  Expected Rating
A-2A       LT  AAA(EXP)sf  Expected Rating
A-2-IO3    LT  AAA(EXP)sf  Expected Rating
A-2-IO1W   LT  AAA(EXP)sf  Expected Rating
A-2-IO2W   LT  AAA(EXP)sf  Expected Rating
A-2W       LT  AAA(EXP)sf  Expected Rating
A-3        LT  AAA(EXP)sf  Expected Rating
A-3-IO1    LT  AAA(EXP)sf  Expected Rating
A-3-IO2    LT  AAA(EXP)sf  Expected Rating
A-3-IOX    LT  AAA(EXP)sf  Expected Rating
A-3A       LT  AAA(EXP)sf  Expected Rating
A-3-IO3    LT  AAA(EXP)sf  Expected Rating
A-3-IO1W   LT  AAA(EXP)sf  Expected Rating
A-3-IO2W   LT  AAA(EXP)sf  Expected Rating
A-3W       LT  AAA(EXP)sf  Expected Rating
A-4        LT  AAA(EXP)sf  Expected Rating
A-4-IO1    LT  AAA(EXP)sf  Expected Rating
A-4-IO2    LT  AAA(EXP)sf  Expected Rating
A-4-IOX    LT  AAA(EXP)sf  Expected Rating
A-4A       LT  AAA(EXP)sf  Expected Rating
A-4-IO3    LT  AAA(EXP)sf  Expected Rating
A-4-IO1W   LT  AAA(EXP)sf  Expected Rating
A-4-IO2W   LT  AAA(EXP)sf  Expected Rating
A-4W       LT  AAA(EXP)sf  Expected Rating
A-5        LT  AAA(EXP)sf  Expected Rating
A-5-IO1    LT  AAA(EXP)sf  Expected Rating
A-5-IO2    LT  AAA(EXP)sf  Expected Rating
A-5-IOX    LT  AAA(EXP)sf  Expected Rating
A-5A       LT  AAA(EXP)sf  Expected Rating
A-5-IO3    LT  AAA(EXP)sf  Expected Rating
A-5-IO1W   LT  AAA(EXP)sf  Expected Rating
A-5-IO2W   LT  AAA(EXP)sf  Expected Rating
A-5W       LT  AAA(EXP)sf  Expected Rating
A-6        LT  AAA(EXP)sf  Expected Rating
A-6-IO1    LT  AAA(EXP)sf  Expected Rating
A-6-IO2    LT  AAA(EXP)sf  Expected Rating
A-6-IOX    LT  AAA(EXP)sf  Expected Rating
A-6A       LT  AAA(EXP)sf  Expected Rating
A-6-IO3    LT  AAA(EXP)sf  Expected Rating
A-6-IO1W   LT  AAA(EXP)sf  Expected Rating
A-6-IO2W   LT  AAA(EXP)sf  Expected Rating
A-6W       LT  AAA(EXP)sf  Expected Rating
A-7        LT  AAA(EXP)sf  Expected Rating
A-7-IO1    LT  AAA(EXP)sf  Expected Rating
A-7-IO2    LT  AAA(EXP)sf  Expected Rating
A-7-IOX    LT  AAA(EXP)sf  Expected Rating
A-7A       LT  AAA(EXP)sf  Expected Rating
A-7-IO3    LT  AAA(EXP)sf  Expected Rating
A-7-IO1W   LT  AAA(EXP)sf  Expected Rating
A-7-IO2W   LT  AAA(EXP)sf  Expected Rating
A-7W       LT  AAA(EXP)sf  Expected Rating
A-8        LT  AAA(EXP)sf  Expected Rating
A-8-IO1    LT  AAA(EXP)sf  Expected Rating
A-8-IO2    LT  AAA(EXP)sf  Expected Rating
A-8-IOX    LT  AAA(EXP)sf  Expected Rating
A-8A       LT  AAA(EXP)sf  Expected Rating
A-8-IO3    LT  AAA(EXP)sf  Expected Rating
A-8-IO1W   LT  AAA(EXP)sf  Expected Rating
A-8-IO2W   LT  AAA(EXP)sf  Expected Rating
A-8W       LT  AAA(EXP)sf  Expected Rating
A-11       LT  AAA(EXP)sf  Expected Rating
A-11-IO    LT  AAA(EXP)sf  Expected Rating
A-12       LT  AAA(EXP)sf  Expected Rating
B-1        LT  AA(EXP)sf   Expected Rating
B-1-IO     LT  AA(EXP)sf   Expected Rating
B-1-IOX    LT  AA(EXP)sf   Expected Rating
B-1-IOW    LT  AA(EXP)sf   Expected Rating
B-1W       LT  AA(EXP)sf   Expected Rating
B-2        LT  A(EXP)sf    Expected Rating
B-2-IO     LT  A(EXP)sf    Expected Rating
B-2-IOX    LT  A(EXP)sf    Expected Rating
B-2-IOW    LT  A(EXP)sf    Expected Rating
B-2W       LT  A(EXP)sf    Expected Rating
B-3        LT  BBB(EXP)sf  Expected Rating
B-3-IO     LT  BBB(EXP)sf  Expected Rating
B-3-IOX    LT  BBB(EXP)sf  Expected Rating
B-3-IOW    LT  BBB(EXP)sf  Expected Rating
B-3W       LT  BBB(EXP)sf  Expected Rating
B-4        LT  BB(EXP)sf   Expected Rating
B-5        LT  B(EXP)sf    Expected Rating
B-6        LT  NR(EXP)sf   Expected Rating
A-IO-S     LT  NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 466 fixed-rate mortgages (FRMs)
with a total balance of approximately $415.6 million as of the
cutoff date. The loans were originated by various mortgage
originators and Fay Servicing, LLC (Fay) will be the servicer.
Distributions of principal and income (P&I) and loss allocations
are based on a traditional senior-subordinate, shifting interest
structure.

KEY RATING DRIVERS

High Quality Mortgage Pool (Positive): The pool consists of very
high quality, 30-year fixed-rate, fully amortizing safe harbor
qualified mortgage (SHQM) loans to borrowers with strong credit
profiles, relatively low leverage and large liquid reserves. Per
Fitch's calculation methodology, the loans are seasoned an average
of four months.

The pool has a weighted average (WA) original FICO score of 782,
which is indicative of very high credit quality borrowers.
Approximately 93% of the loans have an original FICO score of 750
or above. In addition, the original WA combined loan-to-value ratio
(CLTV) of 68% represents substantial borrower equity in the
property and reduced default risk.

Shifting Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate, shifting
interest structure whereby the subordinate classes receive only
scheduled principal and are locked out from receiving unscheduled
principal or prepayments for five years. The lockout feature helps
to maintain subordination for a longer period should losses occur
later in the life of the deal. The applicable credit support
percentage feature redirects subordinate principal to classes of
higher seniority if specified credit enhancement (CE) levels are
not maintained.

Full Advancing (Mixed): Citigroup Global Markets Realty Corp.
(CGMRC) will provide full advancing for the life of the
transaction. To the extent CGMRC fails to make an advance, U.S.
Bank as Trust Administrator, will be obligated to advance such
amounts to the trust. While this helps the liquidity of the
structure, it also increases the expected loss due to unpaid
servicer advances.

Subordination Floor (Positive): A CE or senior subordination floor
of 1.00% has been considered to mitigate potential tail-end risk
and loss exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, 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, no loans
currently under a coronavirus-related forbearance or deferral plan
were included in this transaction. To the extent that a borrower
goes on a coronavirus-related forbearance or deferral plan in the
future, P&I will be advanced so long as those advances are deemed
recoverable.

Third-Party Due Diligence Results (Positive): Third-party due
diligence was performed on 100% of loans in the transaction by
SitusAMC, which is assessed by Fitch as an 'Acceptable - Tier 1'
TPR firm. The due diligence results identified no material
exceptions as 100% of loans were graded 'A' or 'B'. Credit
exceptions were deemed immaterial and supported by compensating
factors, and compliance exceptions were primarily related to the
TRID rule and cured with subsequent documentation. Fitch applied a
credit for loans that received due diligence, which ultimately
reduced the 'AAAsf' loss expectation by 17bps.

Representation and Warranty Framework Adjustment (Positive): The
mortgage loan seller, CGMRC, is providing the loan-level
representations and warranties (R&W) with respect to the loans in
the trust. The R&W framework for this transaction is consistent
with Fitch criteria for newly originated loans and contains the
appropriate loan-level R&Ws to meet a Tier 1 framework. Overall,
Fitch reduced its loss expectations by 15bps at the 'AAAsf' rating
category to reflect the Tier 1 framework and the investment-grade
counterparty supporting the repurchase obligations of the
representation, warranty and enforcement (RW&E) providers.

The 120-day delinquency automatic review trigger will exclude loans
subject to a forbearance plan or other loss mitigation measure due
to a hardship resulting from a pandemic or national emergency. This
will limit the number of unnecessary R&W breach reviews due to a
loan going delinquent due to coronavirus or FEMA disaster
forbearance.

Low Operational Risk (Positive): Operational risk is well
controlled for this transaction. Fitch has reviewed the CGMRC
acquisition platform and assessed it as 'Above Average' due to its
robust risk controls. Approximately 35% of the loans in the
transaction pool were originated by Quicken Loans, which Fitch has
reviewed and has assessed to be an 'Above Average' originator. Fay
Servicing, rated 'RSS3+'/Negative by Fitch, is the named servicer
for 100% of the transaction pool. Overall, Fitch reduced its
expected losses at the 'AAAsf' rating stress by 14bps to reflect
the concentration of an 'Above Average' originator and the 'Above
Average' aggregator assessment.

There is no master servicer for this transaction. However, Fitch is
comfortable with the absence of a master servicer due to the
presence of CGMRC as the obligated advancing party in place of the
servicer. CGMRC is an investment-grade counterparty rated 'A' by
Fitch.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area (MSA) level.
Sensitivity analysis was conducted at the state and national level
to assess the effect of higher MVDs for the subject pool and lower
MVDs, illustrated by a gain in home prices.

Factor that could, individually or collectively, lead to a 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 40.4% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

Factor that could individually or collectively, lead to a positive
rating action/upgrade:

-- The defined positive rating sensitivity analysis demonstrates
    how the ratings would react to positive home price growth of
    10% with no assumed overvaluation. Excluding the senior class,
    which is already rated 'AAAsf', the analysis indicates there
    is potential positive rating migration for all of the rated
    classes. Specifically, a 10% gain in home prices would result
    in a full category upgrade for the rated class excluding those
    being assigned ratings of 'AAAsf'.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence described in
Form 15E focused on credit, compliance, data integrity, and
property valuation. Fitch considered this information in its
analysis and it did not have an effect on Fitch's analysis or
conclusions.

The entirety (100%) of the pool received a final grade of 'A' or
'B', which confirms no incidence of material exceptions.

ESG CONSIDERATIONS

CMLTI 2021-J2 has an ESG Relevance Score of '+4' for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in CMLTI 2021-J2 and include strong R&W and transaction due
diligence as well as a strong aggregator which resulted in a
reduction in expected losses.

Unless otherwise disclosed in this section, the highest level of
ESG Credit Relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


COMM 2015-CCRE24: DBRS Cuts Class X-E Certs Rating to B(low)
------------------------------------------------------------
DBRS, Inc. downgraded its ratings on five classes of the Commercial
Mortgage Pass-Through Certificates, Series 2015-CCRE24 (the
Certificates) issued by COMM 2015-CCRE24 Commercial Mortgage Trust
as follows:

-- Class E to B (sf) from BB (sf)
-- Class F to B (low) (sf) from B (high) (sf)
-- Class G to CCC (sf) from B (low) (sf)
-- Class X-D to B (high) (sf) from BB (high) (sf)
-- Class X-E to B (low) (sf) from B (sf)

DBRS Morningstar confirmed its ratings on the remaining classes as
follows:

-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class X-C at BBB (sf)
-- Class D at BBB (low) (sf)

All trends are Stable with the exception of Classes D, E, F, X-C,
X-D, and X-E, which have Negative trends, and Class G, which does
not carry a trend.

The rating downgrades and Negative trends generally reflect the
overall weakened performance of the collateral and the increased
likelihood of losses to the trust upon the resolution of several of
the specially serviced loans, particularly the Crowne Plaza Houston
Katy Freeway and DoubleTree Beachwood loans. These loans showed
significant performance declines prior to the onset of the
Coronavirus Disease (COVID-19) pandemic, although other loans in
the pool have seen their performance more directly affected by the
pandemic. The pool has a high concentration of retail and
hospitality properties (43.2% of the pool) that have been hit
particularly hard by the effects of the pandemic.

At issuance, the transaction consisted of 81 loans with an original
trust balance of $1.4 billion. As of the June 2021 remittance
report, 77 loans remained in the transaction with a trust balance
of $1.3 billion, representing a collateral reduction of
approximately 9.3% since issuance resulting from amortization and
the payoff of four loans. In addition, five loans, totaling $46.9
million, have defeased. Twenty-three loans, representing 31.% of
the pool, are on the servicer's watchlist, primarily because of
cash flow declines or coronavirus-related relief. The watchlist
also contains three of the largest 10 loans in the pool.

Per the June 2021 remittance, five loans are in special servicing,
totaling 11.6% of the trust balance. Of particular concern is
Palazzo Verdi (Prospectus ID#4; 5.76% of the pool balance), which
is secured by a Class A 15-story office building totaling 302,245
square feet in Greenwood Village, Colorado, approximately 15 miles
southeast of the Denver central business district (CBD). The loan
transferred to special servicing in November 2020 for delinquency
after the property's largest tenant, Newmont Mining (59.8% net
rentable area), vacated upon expiration of its October 2020 lease,
decreasing the occupancy rate to 36.8% as of April 2021.
Backfilling the vacant space could present a challenge to the
sponsor, given the amount of space available in the submarket where
Reis reported a vacancy rate of 18% as of Q1 2021. Mitigating these
concerns somewhat was a cash sweep triggered nine months prior to
the Newmont Mining lease expiration date that resulted in $3.6
million in the cash flow sweep reserve and $5.5 million in tenant
improvement/leasing commission reserves as of June 2021.The
borrower recently submitted a discounted payoff offer, based on a
$60 million purchase price, that was denied by the special
servicer. The servicer is dual-tracking foreclosure as it continues
to negotiate possible workout alternatives. The property was
reappraised in January 2021 at $80 million, which reflects a 29.6%
decrease from the at-issuance appraisal of $113.6 million. DBRS
Morningstar liquidated this loan as part of this analysis and
assumed a loss to the trust.

The Westin Portland loan (Prospectus ID#8; 4.2% of the pool
balance) is secured by a 19-story, full-service, 205-key luxury
hotel in the CBD of Portland, Oregon. The hotel has been closed
since March 2020 because of the disruption in demand drivers
resulting from the pandemic. The loan transferred to the special
servicer in June 2020 after failing to remit payments for several
months. The special servicer was previously limited in terms of
enforcement options because of the State of Oregon's moratorium on
foreclosures, which expired in September 2020. The special servicer
is dual-tracking foreclosure as it continues to negotiate possible
modification terms. The hotel's performance has been subpar since
2016 as a significant number of new hospitality properties have
been delivered to the submarket since issuance and the sponsor
converted the hotel to the Dossier boutique brand from the original
Westin flag in 2018. The property was reappraised in August 2020 at
$40.8 million, which reflects a 51.2% decrease from the at-issuance
appraisal of $83.6 million. DBRS Morningstar liquidated this loan
as part of this analysis and assumed a loss to the trust.

Notes: All figures are in U.S. dollars unless otherwise noted.


COMM MORTGAGE 2017-COR2: Fitch Affirms B- Rating on G-RR Debt
-------------------------------------------------------------
Fitch Ratings has affirmed all classes of COMM 2017-COR2 Mortgage
Trust, Series 2017-COR2.

    DEBT               RATING          PRIOR
    ----               ------          -----
COMM 2017-COR2

A-1 12595EAA3   LT  AAAsf   Affirmed   AAAsf
A-2 12595EAC9   LT  AAAsf   Affirmed   AAAsf
A-3 12595EAD7   LT  AAAsf   Affirmed   AAAsf
A-M 12595EAF2   LT  AAAsf   Affirmed   AAAsf
A-SB 12595EAB1  LT  AAAsf   Affirmed   AAAsf
B 12595EAG0     LT  AA-sf   Affirmed   AA-sf
C 12595EAH8     LT  A-sf    Affirmed   A-sf
D 12595EAN5     LT  BBBsf   Affirmed   BBBsf
E-RR 12595EAQ8  LT  BBB-sf  Affirmed   BBB-sf
F-RR 12595EAS4  LT  BBsf    Affirmed   BBsf
G-RR 12595EAU9  LT  B-sf    Affirmed   B-sf
X-A 12595EAE5   LT  AAAsf   Affirmed   AAAsf
X-B 12595EAJ4   LT  AA-sf   Affirmed   AA-sf
X-D 12595EAL9   LT  BBBsf   Affirmed   BBBsf

KEY RATING DRIVERS

Pool Performance in Line with Expectations: Loss expectations have
increased slightly due to a recent default and NOI deterioration in
the pool over the last year. These changes, however, have been
largely in line with Fitch's expectations at the last rating action
based on the social and market disruption related to the pandemic.
Eleven loans (35.9% of the pool) are flagged as Fitch Loans of
Concern (FLOCs), including two loans (7.3% of the pool) which have
recently transferred to special servicing.

Fitch's current ratings incorporate a base case loss of 6.3%. The
Negative Outlooks on classes E-RR, F-RR and G-RR reflect losses
that could reach 8.8% when factoring in additional pandemic-related
stresses. Expected losses continue to be driven by two hotels and
one regional mall in the Top 15.

The largest contributor to loss expectations is the Grand Hyatt
Seattle (5.6% of the pool). The loan is secured by a 457-room
full-service hotel in downtown Seattle, WA and is located across
the street from the Washington State Convention Center. Occupancy,
ADR and RevPAR for the TTM ended December 2020 were 17.2%, $195 and
$34, respectively. This compares to 85.8%, $239.09 and $205.24,
respectively at issuance.

Performance for 2021 is expected to be slow to recover due to the
ongoing effects of the pandemic and lack of convention demand. The
sponsor received a forbearance which allowed for the deferral of
reserve deposits and access to reserve funds to keep the loan
current. The 12-month replenishment period began in May 2021.
Fitch's modeled loss of 30% is based on a 26% stress to the YE 2019
NOI to account for the impact of the coronavirus on hotel
performance.

The Renaissance Seattle (5.6% of the pool) shares common
sponsorship with the Grand Hyatt Seattle loan and is also a FLOC.
The subject is a 557-room full-service hotel in downtown Seattle,
WA and is located approximately one-half mile from the Washington
State Convention Center. Occupancy, ADR and RevPAR for the TTM
ended September 2020 were 39%, $176.63 and $68.76, respectively.
This compares to 82%, $209 and $170, respectively at issuance.

Performance for 2021 is expected to be slow to recover due to the
ongoing effects of the pandemic and lack of convention demand. The
sponsor received a forbearance which allowed for the deferral of
reserve deposits and access to reserve funds to keep the loan
current. The 12-month replenishment period began in May 2021.
Fitch's modeled loss of 18% is based on a 26% stress to the YE 2019
NOI to account for the impact of the coronavirus on hotel
performance.

There is one regional mall in the pool, which is also a FLOC. The
Mall of Louisiana (5.5% of the pool) is a 1.5 million square-foot
(of which 776,789 sf is collateral) super-regional mall built in
1997, renovated in 2008, and located in Baton Rouge, LA. Brookfield
Properties is the loan sponsor. Collateral occupancy has fluctuated
since issuance and sales have declined.

The reported NOI for YE 2020 is stable compared to YE 2019 and 5.8%
below Fitch's NOI at issuance. YE 2020 DSCR is 2.00x compared to
2.39x at YE 2019. The loan began to amortize in September 2020,
which contributed to the decline in DSCR. Per the YE 2020 rent
roll, leases representing 12.6% of the NRA are scheduled to roll in
2021, and an additional 5.7% in 2022. Sears, a non-collateral
anchor, closed in May 2021.

Fitch's modeled loss of 22% is based on a 10% stress to the YE 2020
NOI due to the upcoming tenant rollover (18.3% NRA in 2021 and
2022, combined), the dark Sears box, declining sales, regional mall
asset class, and tertiary market location.

Minimal Changes to Credit Enhancement: As of the June 2021
distribution, the pool's aggregate balance has been reduced by 1.6%
to $901.7 million from $916.5 million at issuance. No loans have
paid off, though two loans have been defeased. 14 loans
representing 42.7% of the pool are interest-only for the full term.
An additional 15 loans representing 33.6% of the pool were
structured with partial interest-only periods. Of these loans, two
(7% of the pool) have not yet begun to amortize. The pool is
scheduled to pay down approximately 8.4% by maturity.

Exposure to Coronavirus: Six loans (20.3 % of the pool) are secured
by hotel properties, all of which are flagged as FLOCs. Six loans
(16.8% of the pool) are secured by multifamily properties and nine
loans (16.6% of the pool) are secured by retail properties,
including one regional mall. There is one mixed-use property (4.2%
of the pool) comprised of two retail units in addition to a hotel.
Fitch applied additional stresses to four hotel loans, six retail
loans and one multifamily loan totaling 22.6% of the pool to
account for potential cash flow disruptions due to the coronavirus
pandemic. These additional stresses contributed to maintaining the
Negative Outlooks.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

-- Stable to improved performance coupled with pay down and/or
    defeasance. An upgrade to classes B and C would occur with
    significant improvement in credit enhancement (CE) and/or
    defeasance; however, adverse selection, increased
    concentrations and further underperformance of the FLOCs could
    cause this trend to reverse.

-- An upgrade of classes D and E-RR would also take into account
    those factors, but be limited based on sensitivity to
    concentrations or the potential for future concentration.
    Classes would not be upgraded above 'Asf' if there is
    likelihood for interest shortfalls. Upgrades to classes 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 coronavirus return to pre
    pandemic levels, and there is sufficient CE to the classes.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

-- An increase in pool level losses from underperforming loans.
    Downgrades to the classes rated 'AAAsf' are not considered
    likely due to the position in the capital structure, but may
    occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur.

-- Downgrades to classes C and D are possible if additional loans
    default or the specially serviced loans languish. Downgrades
    to classes E-RR, F-RR and G-RR are possible should the
    performance of FLOCs decline further and/or the loans
    vulnerable to the coronavirus pandemic fail 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.


CROWN POINT 10: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Crown Point
CLO 10 Ltd.'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 21,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The diversification of the collateral pool.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Preliminary Ratings Assigned

  Crown Point CLO 10 Ltd./Crown Point CLO 10 LLC

  Class A notes, $150.00 mil.: AAA (sf)
  Class A loans, $96.00 mil.: AAA (sf)
  Class B, $58 mil.: AA (sf)
  Class C (deferrable), $24.00 mil.: A (sf)
  Class D (deferrable), $20.80 mil.: BBB- (sf)
  Class E (deferrable), $18.20 mil.: BB- (sf)
  Subordinated notes, $39.90 mil.: NR

  NR--Not rated.



CSWF 2021-SOP2: S&P Assigns Prelim B- (sf) Rating on Class F Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CSWF
2021-SOP2's commercial mortgage pass-through certificates.

The note issuance is a CMBS transaction backed a two-year,
floating-rate interest-only commercial mortgage loan totaling
$335.0 million that matures on June 9, 2023, with three 12-month
extension options.

The preliminary ratings are based on information as of June 21,
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 collateral's
historical and projected performance, the sponsor's and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

  Preliminary Ratings Assigned(i)

  CSWF 2021-SOP2

  Class A, $126,330,000: AAA (sf)
  Class X-CP, $101,064,000(ii): AAA (sf)
  Class X-NCP, $126,330,000(ii): AAA (sf)
  Class B, $28,080,000: AA- (sf)
  Class C, $21,060,000: A- (sf)
  Class D, $25,830,000: BBB- (sf)
  Class E, $35,090,000: BB- (sf)
  Class F, $33,970,000: B- (sf)
  Class G, $47,880,000: Not rated
  HRR(iii), $16,760,000: Not rated

(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.

(ii)Notional balance. The notional amount of the class X-CP
certificates will equal the outstanding principal balance of the
A-2 portion of the class A certificates and will be zero after the
distribution date in June 2022. The notional amount of the class
X-NCP certificates will equal the certificate balance of the class
A certificates.

(iii)Non-offered horizontal risk retention certificates.
HRR--Horizontal risk retention.



ELLINGTON CLO IV: Moody's Gives Ba3 Rating to Class E-2-R Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by Ellington CLO IV, Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$237,500,000 Class A-R Senior Secured Floating Rate Notes due
2029 (the "Class A-R Notes"), Assigned Aaa (sf)

US$45,125,000 Class B-R Senior Secured Floating Rate Notes due 2029
(the "Class B-R Notes"), Assigned Aa1 (sf)

US$29,212,500 Class C-R Secured Deferrable Floating Rate Notes due
2029 (the "Class C-R Notes"), Assigned Aa3 (sf)

US$5,700,000 Class D-2-R Secured Deferrable Fixed Rate Notes due
2029 (the "Class D-2-R Notes"), Assigned Baa1 (sf)

US$3,050,000 Class E-2-R Secured Deferrable Fixed Rate Notes due
2029 (the "Class E-2-R Notes"), Assigned Ba3 (sf)

The Class A-R Notes, the Class B-R Notes, the Class C-R Notes, the
Class D-2-R Notes, and the Class E-2-R Notes are referred to
herein, collectively, as the "Rated Notes."

Additionally, Moody's has taken rating actions on the following
outstanding notes originally issued by the Issuer on March 8, 2019
(the "Original Closing Date"):

US$32,775,000 Class D-1 Secured Deferrable Floating Rate Notes due
2029 (the "Class D-1 Notes"), Upgraded to Baa1 (sf); previously on
July 31, 2020 Confirmed at Baa3 (sf)

US$6,975,000 Class F-1 Secured Deferrable Floating Rate Notes due
2029 (the "Class F-1 Notes"), Upgraded to B3 (sf); previously on
July 31, 2020 Downgraded to Caa2 (sf)

US$150,000 Class F-2 Secured Deferrable Fixed Rate Notes due 2029
(the "Class F-2 Notes"), Upgraded to B3 (sf); previously on July
31, 2020 Downgraded to Caa2 (sf)

The Class D-1 Notes, the Class F-1 Notes, and the Class F-2 Notes
are referred to herein, collectively, as the "Upgraded 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.

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated loans.

The transaction's reinvestment period has ended in April 2021 and
no trading is permitted beyond transaction's reinvestment period.
Ellington CLO Management LLC (the "Manager") directed the
selection, acquisition and disposition of the assets during the
reinvestment period.

The Issuer previously issued four other classes of secured notes,
and subordinated notes, which will remain outstanding.

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the non-call period;
the inclusion of alternative benchmark replacement provisions; and
changes to the definition of "Adjusted Weighted Average Rating
Factor".

The upgrade actions on the Upgraded Notes are primarily a result of
an increase in the transaction's over-collateralization (OC) ratios
since July 2020. Based on the trustee's May 2021 report[1], the OC
ratios for the Class A/B, Class C, Class D and Class E notes are
reported at 162.04%, 146.86%, 130.73%, and 115.12%, respectively,
versus July 2020 levels of 157.93%, 143.13%, 127.41%, and 112.20%,
respectively.

The Upgraded Notes have also benefitted from the end of the deal's
reinvestment period in April 2021. In light of the reinvestment
restrictions during the amortization period, Moody's analyzed the
deal assuming a higher likelihood that the collateral pool
characteristics will continue to satisfy certain covenant
requirements.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Performing par and principal proceeds balance: $451,937,641

Defaulted par: $20,377,583

Diversity Score: 43

Weighted Average Rating Factor (WARF): 4375

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
5.15%

Weighted Average Coupon (WAC): 8.45%

Weighted Average Recovery Rate (WARR): 47.11%

Weighted Average Life (WAL): 3.89

In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from Moody's base case. Some of the
additional scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; sensitivity analysis on
deteriorating credit quality due to a large exposure to loans with
negative outlook, and a lower recovery rate assumption on defaulted
assets to reflect declining loan recovery rate expectations.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in the US economic activity.

Moody's regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

Factors That Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.


FLAGSTAR MORTGAGE 2021-4: DBRS Gives Prov. B Rating on B-5 Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage
Pass-Through Certificates, Series 2021-4 (the Certificates) to be
issued by Flagstar Mortgage Trust 2021-4 (FSMT 2021-4) as follows:

-- $637.9 million Class A-1 at AAA (sf)
-- $637.9 million Class A-2 at AAA (sf)
-- $382.8 million Class A-3 at AAA (sf)
-- $382.8 million Class A-4 at AAA (sf)
-- $487.5 million Class A-5 at AAA (sf)
-- $487.5 million Class A-6 at AAA (sf)
-- $510.4 million Class A-7 at AAA (sf)
-- $510.4 million Class A-8 at AAA (sf)
-- $95.7 million Class A-9 at AAA (sf)
-- $95.7 million Class A-10 at AAA (sf)
-- $31.9 million Class A-11 at AAA (sf)
-- $31.9 million Class A-12 at AAA (sf)
-- $127.6 million Class A-13 at AAA (sf)
-- $127.6 million Class A-14 at AAA (sf)
-- $127.6 million Class A-15 at AAA (sf)
-- $127.6 million Class A-16 at AAA (sf)
-- $159.5 million Class A-17 at AAA (sf)
-- $159.5 million Class A-18 at AAA (sf)
-- $255.2 million Class A-19 at AAA (sf)
-- $255.2 million Class A-20 at AAA (sf)
-- $78.1 million Class A-21 at AAA (sf)
-- $78.1 million Class A-22 at AAA (sf)
-- $716.0 million Class A-23 at AAA (sf)
-- $716.0 million Class A-24 at AAA (sf)
-- $716.0 million Class A-X-1 at AAA (sf)
-- $637.9 million Class A-X-2 at AAA (sf)
-- $382.8 million Class A-X-4 at AAA (sf)
-- $478.5 million Class A-X-6 at AAA (sf)
-- $510.4 million Class A-X-8 at AAA (sf)
-- $95.7 million Class A-X-10 at AAA (sf)
-- $31.9 million Class A-X-12 at AAA (sf)
-- $127.6 million Class A-X-14 at AAA (sf)
-- $127.6 million Class A-X-16 at AAA (sf)
-- $159.5 million Class A-X-18 at AAA (sf)
-- $255.2 million Class A-X-20 at AAA (sf)
-- $78.1 million Class A-X-22 at AAA (sf)
-- $12.8 million Class B-1 at AA (high) (sf)
-- $12.8 million Class B-1-A at AA (high) (sf)
-- $12.8 million Class B-1-X at AA (high) (sf)
-- $9.0 million Class B-2 at A (sf)
-- $9.0 million Class B-2-A at A (sf)
-- $9.0 million Class B-2-X at A (sf)
-- $5.6 million Class B-3 at BBB (sf)
-- $5.6 million Class B-3-A at BBB (sf)
-- $5.6 million Class B-3-X at BBB (sf)
-- $2.3 million Class B-4 at BB (sf)
-- $1.5 million Class B-5 at B (sf)
-- $27.4 million Class B at BBB (sf)
-- $27.4 million Class B-X at BBB (sf)

Classes A-X-1, A-X-2, A-X-4, A-X-6, A-X-8, A-X-10, A-X-12, A-X-14,
A-X-16, A-X-18, A-X-20, A-X-22, B-1-X, B-2-X, and B-3-X are
interest-only (IO) certificates. The class balances represent
notional amounts.

Classes A-1, A-2, A-3, A05, A-6, A-7, A-8, A-9, A-11, A-13, A-14,
A-15, A-17, A-18, A-19, A-20, A-21, A-23, A-24, A-X-2, A-X-6,
A-X-8, A-X-14, A-X-18, A-X-20, B-1, B-2, B-3, B, and B-X are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates as specified in the offering
documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, and A-20
certificates are super-senior certificates. These classes benefit
from additional protection from the senior support certificates
(Classes A-21 and A-22) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 4.60% of credit
enhancement provided by subordinated certificates. The AA (high)
(sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 2.90%,
1.70%, 0.95%, 0.65%, and 0.45% of credit enhancement,
respectively.

Other than the classes specified above, DBRS Morningstar does not
rate any other classes in this transaction.

This securitization is a portfolio of first-lien, fixed-rate, prime
conventional mortgages funded by the issuance of the Certificates.
The Certificates are backed by 827 loans with a total principal
balance of $750,541,231 as of the Cut-Off Date (June 1, 2021).

Flagstar Bank, FSB (Flagstar) is the originator and servicer of all
mortgage loans and the sponsor of the transaction. Wells Fargo
Bank, N.A. (Wells Fargo, rated AA with a Negative trend by DBRS
Morningstar) will act as the Master Servicer, Securities
Administrator, and Custodian. Wilmington Savings Fund Society, FSB
will serve as Trustee. PentAlpha Surveillance LLC (PentAlpha) will
act as the Reviewer.

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years. Approximately 6.0% of the
pool are agency eligible mortgage loans that were eligible for
purchase by Fannie Mae or Freddie Mac. Details on the underwriting
of conforming loans can be found in the Key Probability of Default
Drivers section of the related Presale Report.

The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.

For this transaction, the servicing fee payable to the Servicer
comprises three separate components: the base servicing fee, the
aggregate delinquent servicing fee, and the aggregate incentive
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities. The base servicing fee will reduce
the Net weighted-average coupon (WAC) payable to certificateholders
as part of the aggregate expense calculation. However, except for
the Class B-6-C Net WAC, the delinquent and incentive servicing
fees will not be included in the reduction of Net WAC and will thus
reduce available funds entitled to the certificateholders. To
capture the impact of such potential fees, DBRS Morningstar ran
additional cash flow stresses based on its 60+-day delinquency and
default curves, as detailed in the Cash Flow Analysis section of
this report.

As of the Cut-Off Date, none of the loans are currently subject to
a Coronavirus Disease (COVID-19)-related forbearance plan. In the
event a borrower requests or enters into a coronavirus-related
forbearance plan after the Cut-Off Date but prior to the Closing
Date, the Sponsor will remove such loan from the mortgage pool and
remit the related Closing Date substitution amount. Loans that
enter a coronavirus-related forbearance plan after the Closing Date
will remain in the pool.

CORONAVIRUS IMPACT

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 (LTVs), 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
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.

The ratings reflect transactional strengths that include
high-quality credit attributes, well-qualified borrowers, financial
strength of the counterparties, structural enhancements, and 100%
current loans.

The ratings reflect transactional weaknesses that include the
representations and warranties framework and limited third-party
due-diligence review.

The full description of the strengths, challenges, and mitigating
factors is detailed in the related Presale Report.

Notes: All figures are in U.S. dollars unless otherwise noted.



FREDDIE MAC 2021-2: DBRS Finalizes B(low) Rating on Class M Trusts
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Security, Series 2021-2 issued by Freddie Mac
Seasoned Credit Risk Transfer Trust, Series 2021-2:

-- $24.5 million Class M at B (low) (sf)

DBRS Morningstar did not rate the other classes in the Trust.

This transaction is a securitization of a portfolio of seasoned,
reperforming first-lien residential mortgages funded by the
issuance of the certificates, which are backed by 8,927 loans with
a total principal balance of $1,000,844,893 as of the Cut-Off
Date.

The mortgage loans were either purchased by Freddie Mac from
securitized Freddie Mac Participation Certificates or Uniform
Mortgage Backed Securities, or retained by Freddie Mac in
whole-loan form since their acquisition. The loans are currently
held in Freddie Mac's retained portfolio and will be deposited into
the Trust on the Closing Date.

The loans are approximately 167 months seasoned and approximately
59.5% of them have been modified. Each modified mortgage loan was
modified under the Government-Sponsored Enterprise (GSE) Home
Affordable Modification Program (HAMP), GSE non-HAMP modification
programs, or under or subject to a Freddie Mac payment deferral
program (PDP). The remaining loans (40.5%) were never modified.
Within the pool, 951 mortgages have forborne principal amounts as a
result of modification, which equates to 5.1% of the total unpaid
principal balance as of the Cut-Off Date. For 65.3% of the modified
loans, the modifications happened more than two years ago.

The loans are all current as of the Cut-Off Date. Furthermore,
75.8% and 57.4% of the mortgage loans have been zero times 30 days
delinquent (0 x 30) for at least the past 12 and 24 months,
respectively, under the Mortgage Bankers Association delinquency
methods. DBRS Morningstar assumed all loans within the pool are
exempt from the Qualified Mortgage rules because of their
eligibility to be purchased by Freddie Mac.

The mortgage loans will be serviced by Select Portfolio Servicing,
Inc. There will not be any advancing of delinquent principal or
interest on any mortgages by the servicer; however, the servicer is
obligated to advance to third parties any amounts necessary for the
preservation of mortgaged properties or real estate owned
properties acquired by the Trust through foreclosure or a loss
mitigation process.

Freddie Mac will serve as the Sponsor, Seller, and Trustee of the
transaction as well as the Guarantor of the senior certificates
(i.e., the Class HAU, Class HA, Class HA-IO, Class HBU, Class HB,
Class HB-IO, Class HTU, Class HT, Class HT-IO, Class HV, Class HZ,
Class MAU, Class MA, Class MAW, Class MA-IO, Class MBU, Class MB,
Class MB-IO, Class MBW, Class MTU, Class MT, Class MT-IO, Class
MTW, Class MV, Class MZ, Class TAU, Class TAW, Class TAY, Class TA,
Class TA-IO, Class TBU, Class TBW, Class TBY, Class TB, Class
TB-IO, Class TT, Class TT-IO, Class TTU, Class TTW, Class TTY,
Class M5AU, Class M5AW, Class M5AY, Class M55A, Class M5AI, Class
M5BU, Class M5BW, Class M5BY, Class M55B, Class M5BI, Class M55T,
Class M5TI, Class M5TU, Class M5TW, and Class M5TY Certificates).
Wilmington Trust, National Association (Wilmington Trust) will
serve as the Trust Agent. Wells Fargo Bank, N.A. will serve as the
Custodian for the Trust. U.S. Bank National Association will serve
as the Securities Administrator for the Trust and will also
initially act as the Paying Agent, Certificate Registrar, Transfer
Agent, and Authenticating Agent.

Freddie Mac, as the Seller, will make certain representations and
warranties (R&W) with respect to the mortgage loans. It will be the
only party from which the Trust may seek indemnification (or, in
certain cases, a repurchase) as a result of a breach of R&Ws. If a
breach review trigger occurs during the warranty period, the Trust
Agent, Wilmington Trust, will be responsible for the enforcement of
R&Ws. The warranty period will only be effective through June 14,
2024 (approximately three years from the Closing Date), for
substantially all R&Ws other than the real estate mortgage
investment conduit R&W and the mortgage loans, whose high-cost
regulatory compliance was unable to be tested, which will not
expire.

The mortgage loans will be divided into four loan groups: Group H,
Group M, Group M55, and Group T. The Group H loans (1.9% of the
pool) were subject to step-rate modifications and have not yet
reached their final step rate as of March 31, 2021. As of the
Cut-Off Date, the borrower, while still current, has not made any
payments accrued at such final step rate. The Group M loans (40.4%
of the pool) and Group M55 loans(4.3% of the pool) were subject to
either fixed-rate modifications or step-rate modifications that
have reached their final step rates and, as of the Cut-Off Date,
the borrowers have made at least one payment after such mortgage
loans reached their respective final step rates. Each Group M loan
has a mortgage interest rate less than or equal to 5.5% and has no
forbearance, or may have forbearance and any mortgage interest
rate. Each Group M55 loan has a mortgage interest rate higher than
5.5%. Group T loans (53.5% of the pool) were never modified or were
subject to a PDP.

P&I on the Guaranteed Certificates will be guaranteed by Freddie
Mac. The Guaranteed Certificates will be primarily backed by
collateral from each group, respectively. The remaining
Certificates, including the subordinate, nonguaranteed,
interest-only mortgage insurance, and residual Certificates, will
be cross-collateralized among the four groups.

The transaction employs a pro rata pay cash flow structure among
the senior group certificates with a sequential pay feature among
the subordinate certificates. Certain principal proceeds can be
used to cover interest shortfalls on the rated Class M
Certificates. Senior classes, other than Class A-IO, benefit from
P&I payments that are guaranteed by the Guarantor, Freddie Mac;
however, such guaranteed amounts, if paid, will be reimbursed to
Freddie Mac from the P&I collections prior to any allocation to the
subordinate certificates. The senior principal distribution amounts
vary, subject to the satisfaction of a step-down test. Realized
losses are allocated reverse sequentially.

CORONAVIRUS DISEASE (COVID-19) PANDEMIC 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.

For this transaction, DBRS Morningstar applied additional
assumptions to evaluate the impact of potential cash flow
disruptions on the rated tranches, stemming from (1) lower P&I
collections and (2) no servicing advances on delinquent P&I. These
assumptions include:

(1) Increased delinquencies for the first nine months.
(2) A 25-basis-point weighted-average coupon deterioration stress
for the cash flow run.

Notes: All figures are in U.S. dollars unless otherwise noted.



FREDDIE MAC 2021-HQA2: Moody's Assigns (P)3 Rating to Cl. B-1B Debt
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 28
classes of credit risk transfer notes issued by Freddie Mac STACR
REMIC TRUST 2021-HQA2. The ratings range from (P)Baa1 (sf) to (P)B3
(sf).

Freddie Mac STACR REMIC TRUST 2021-HQA2 (STACR 2021-HQA2) is the
second transaction of 2021 in the HQA series issued by the Federal
Home Loan Mortgage Corporation (Freddie Mac) to share the credit
risk on a reference pool of mortgages with the capital markets. The
transaction is structured as a real estate mortgage investment
conduit (REMIC). Class coupons of floating rate notes are based on
secured overnight financing rate (SOFR) and their respective fixed
margin.

The notes in STACR 2021-HQA2 receive principal payments as the
loans in the reference pool amortize or prepay. Principal payments
to the notes are paid from assets in the trust account established
from proceeds of the notes issuance. Interest payments to the notes
are paid from a combination of investment income from trust assets,
an asset of the trust known as the interest-only (IO) Q-REMIC
interest, and Freddie Mac. Freddie Mac is responsible to cover (1)
any interest owed on the notes not covered by the investment income
from the trust assets and the yield on the IO Q-REMIC interest and
(2) to reimburse the trust for any investment losses from sales of
the trust assets.

Investors have no recourse to the underlying reference pool. The
credit risk exposure of the notes depends on the actual realized
losses and modification losses incurred by the reference pool.
Freddie Mac is obligated to pay off the notes in December 2033 if
any balances remain outstanding. Of note, this is the second STACR
REMIC transaction in the HQA series with 12.5-year stated bullet
maturity on the offered notes, instead of 30-year maturity for
recent transactions.

In this transaction, the notes' coupon is indexed to SOFR. Based on
the transaction's synthetic structure, the particular choice of
benchmark has minimal credit impact. Interest payments to the notes
are backstopped by the sponsor, which prevents the notes from
incurring interest shortfalls as a result of increases in the
benchmark index. However, the coupon rate on the notes could impact
the amount of interest available to absorb modification losses, if
any, from the reference pool.

The complete rating actions are as follows:

Issuer: Freddie Mac STACR REMIC TRUST 2021-HQA2

Cl. M-1, Assigned (P)Baa1 (sf)

Cl. M-2, Assigned (P)Ba1 (sf)

Cl. M-2A, Assigned (P)Baa3 (sf)

Cl. M-2B, Assigned (P)Ba2 (sf)

Cl. M-2R, Assigned (P)Ba1 (sf)

Cl. M-2S, Assigned (P)Ba1 (sf)

Cl. M-2T, Assigned (P)Ba1 (sf)

Cl. M-2U, Assigned (P)Ba1 (sf)

Cl. M-2I*, Assigned (P)Ba1 (sf)

Cl. M-2AR, Assigned (P)Baa3 (sf)

Cl. M-2AS, Assigned (P)Baa3 (sf)

Cl. M-2AT, Assigned (P)Baa3 (sf)

Cl. M-2AU, Assigned (P)Baa3 (sf)

Cl. M-2AI*, Assigned (P)Baa3 (sf)

Cl. M-2BR, Assigned (P)Ba2 (sf)

Cl. M-2BS, Assigned (P)Ba2 (sf)

Cl. M-2BT, Assigned (P)Ba2 (sf)

Cl. M-2BU, Assigned (P)Ba2 (sf)

Cl. M-2BI*, Assigned (P)Ba2 (sf)

Cl. M-2RB, Assigned (P)Ba2 (sf)

Cl. M-2SB, Assigned (P)Ba2 (sf)

Cl. M-2TB, Assigned (P)Ba2 (sf)

Cl. M-2UB, Assigned (P)Ba2 (sf)

Cl. B-1, Assigned (P)B2 (sf)

Cl. B-1A, Assigned (P)B1 (sf)

Cl. B-1AR, Assigned (P)B1 (sf)

Cl. B-1AI*, Assigned (P)B1 (sf)

Cl. B-1B, Assigned (P)B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
0.72%, in a baseline scenario-median is 0.52%, and reaches 4.71% at
a stress level consistent with Moody's Aaa ratings.

Moody's calculated losses on the pool using US Moody's Individual
Loan Analysis (MILAN) GSE 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, qualitative
adjustments for origination quality and third-party review (TPR)
scope.

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%
(7.7% 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.

Servicing practices, including tracking coronavirus related loss
mitigation activities, may vary among servicers in the transaction.
These inconsistencies could impact reported collateral performance
and affect the timing of any breach of performance triggers and the
amount of modification losses. Moody's may infer and extrapolate
from the information provided based on this or other transactions
or industry information, or make stressed assumptions.

Collateral Description

The reference pool consists of 188,304 prime, fixed-rate, one- to
four-unit, first-lien conforming mortgage loans acquired by Freddie
Mac. The loans were originated on or after October 1, 2019 with a
weighted average seasoning of eight months. Each of the loans in
the reference pool had a loan-to-value (LTV) ratio at origination
that was greater than 80% and less than or equal to 97%. 7.7% of
the pool are loans underwritten through Home Possible and 98.5% of
loans in the pool are covered by mortgage insurance as of the
cut-off date.

About 17.8% of loans in this transaction were underwritten through
Freddie Mac's Automated Collateral Evaluation (ACE) program. Under
ACE program, Freddie Mac assesses whether the estimate of value or
sales price of a mortgaged property, as submitted by the seller, is
acceptable as the basis for the underwriting of the mortgage loan.
If a loan is assessed as eligible for appraisal waiver, the seller
will not be required to obtain an appraisal and will be relieved
from R&Ws related to value, condition and marketability of the
property. A loan originated without a full appraisal will lack
details about the property's condition. Moody's consider ACE loans
weaker than loans with full appraisal. Specifically, for refinance
loans, seller estimated value, which is the basis for calculating
LTV, may be biased where there is no arms-length transaction
information. Although such value is validated against Freddie Mac's
in-house HVE model, there's still possibility for over valuations
subject to Freddie Mac's tolerance levels. All ACE loans in this
transaction are either rate or term refinance loans where Moody's
made haircuts to property values to account for overvaluation
risk.

Aggregation/Origination Quality

Moody's consider Freddie Mac's overall seller management and
aggregation practices to be adequate and Moody's did not apply a
separate loss-level adjustment for aggregation quality.

Underwriting

Freddie Mac uses a delegated underwriting process to purchase
loans. Sellers are required to represent and warrant that loans are
made in accordance with negotiated terms or Freddie Mac's guide.
Numerous checks in the selling system ensures that loans with the
correct characteristics are delivered to Freddie Mac. Sellers are
required to cure, make an indemnification payment or repurchase the
loans if a material underwriting defect is discovered subject to
certain limits. In certain cases, Freddie Mac may elect to waive
the enforcements of the repurchase if an alternative such as an
indemnification payment is provided.

Quality Control

Freddie Mac monitors each seller's risk exposure both on an
aggregated basis as well as by product lines. A surveillance team
reviews sellers' financials at least on an annual basis, monitors
exposure limits, risk ratings, lenders QC reports and internal
audit results and may adjust credit limits, require additional
loan/operational reviews or put the seller on a watch list, as
needed.

Home Possible Program

Approximately 7.7% of the loans by cut-off date balance were
originated under the Home Possible program. The program is designed
to make responsible homeownership accessible to low- to
moderate-income homebuyers, by requiring low down payments, lower
risk-adjusted pricing, flexibility in sources of income, and, in
certain circumstances, lower than standard mortgage insurance
coverage.

Home Possible loans in STACR 2021-HQA2's reference pool,
collectively, have a WA FICO of 748 and WA LTV of 93.6%, versus a
WA FICO of 757 and a WA LTV of 90.3% for the rest of the loans in
the pool. While Moody's MILAN model takes into account
characteristics listed on the loan tape, such as lower FICOs and
higher LTVs, there may be risks not captured by Moody's model due
to less stringent underwriting, including allowing more flexible
sources of funds for down payment and lower risk-adjusted pricing.
Moody's applied an adjustment to the loss levels to address the
additional risks that Home Possible loans may add to the reference
pool.

Enhanced Relief Refinance (ERR)

The ERR program is designed to provide refinance opportunities to
borrowers with existing Freddie Mac's mortgage loans who are
current on their mortgage payments but whose LTV ratios exceed the
maximum permitted for standard refinance products. The program is
intended to offer refinance opportunities to borrowers so they can
reduce their monthly payment. STACR 2021-HQA2's reference pool does
not include ERR loans at closing, however, transaction documents
allow for the replacement of loans in the reference pool with ERR
loans in the future. The replacement will not constitute a
prepayment on the replaced loan, credit event or a modification
event.

At closing, Moody's did not make any adjustment to Moody's
collateral losses due to the existence of the ERR program. Moody's
believe the programs are beneficial for loans in the pool,
especially during an economic downturn when limited refinancing
opportunities would be available to borrowers with low or negative
equity in their properties. However, since such refinanced loans
are likely to have later maturities and slower prepayment rates
than the rest of the loans, the reference pool is at risk of having
a high concentration of high LTV loans at the tail of the
transaction's life. Moody's will monitor ERR loans in the reference
pool and may make an adjustment in the future if the percentage of
them becomes significant after closing.

Mortgage insurance

98.5% of the loans in the pool were originated with mortgage
insurance. 97.0% of the loans benefit from BPMI which is usually
terminated when LTV falls below 78% under scheduled amortization,
and 3% of the loans benefit from LPMI or IPMI which lasts through
the life of the loan.

Freddie Mac will cover the amount that is reported as payable under
any effective mortgage insurance policy, but not received due to a
mortgage insurer insolvency or due to a settlement between the
mortgage insurer and Freddie Mac. The servicer is required to
reimburse Freddie Mac for claim curtailments rejections due to the
servicer's violation of the mortgage insurance policy.

The MILAN model output accounts for the presence of mortgage
insurance backed by Freddie Mac. Moody's rejection rate assumption
is 0% under base case and 1% under Aaa scenario.

Servicing arrangement

As master servicer, Freddie Mac has strong servicer oversight and
monitoring processes. Generally, Freddie Mac does not itself
conduct servicing activities. When a mortgage loan is sold to
Freddie Mac, the seller enters into an agreement to service the
mortgage loan for Freddie Mac in accordance with a comprehensive
servicing guide for servicers to follow. Freddie Mac monitors
primary servicer performance and compliance through its Servicer
Success Program, scorecard and servicing quality assurance group.
Freddie Mac also reviews individual loan files to identify
servicing performance gaps and trends.

Moody's consider the servicing arrangement to be adequate and
Moody's did not make any adjustments to its loss levels based on
Freddie Mac's servicer management.

Third-party Review

Moody's consider the scope of the TPR based on Freddie Mac's
acquisition and QC framework to be adequate. Moody's assessed an
adjustment to loss at a Aaa stress level due to lack of compliance
review on TILA-RESPA Integrated Disclosure (TRID) violations.

The results and scope of the pre-securitization third-party,
loan-level review (due diligence) suggest a heavier reliance on
sellers' representations and warranties (R&Ws) compared with
private label securitizations. The scope of the TPR, for example,
is weaker because the sample size is small (only 0.23% of the loans
in reference pool are included in the sample). To the extent that
the TPR firm classifies certain credit or valuation discrepancies
as 'findings', Freddie Mac will review and may provide rebuttals to
those findings, which could result in the change of event grades by
the review firm.

The third-party due diligence scope focuses on the following:

Compliance: The diligence firm reviewed 404 loans for compliance
with federal, state and local high cost Home Ownership and Equity
Protection Act (HOEPA) regulations (374 loans were reviewed for
compliance plus 30 loans were reviewed for both credit/valuation
and compliance). None were determined to be noncompliant.

Appraisals: The third-party diligence provider also reviewed
property valuation on 1,535 loans in the sample pool (1,505 loans
were reviewed for credit/valuation plus 30 loans were reviewed for
both credit/valuation and compliance). 42 loans received final
valuation grades of "C". 37 of the 42 loans are ACE loans and had
Appraisal Desktop with Inspections (ADI) which did not support the
original appraised value within the 10% tolerance. The valuation
result is in line with the prior STACR transaction in terms of
percentage of TPR sample. Moody's didn't make additional adjustment
based on this result given Moody's have already made property value
haircuts to all ACE loans in the reference pool.

Credit: The third-party diligence provider reviewed credit on 1,535
loans in the sample pool. Within these 1,535 loans, the diligence
provider reviewed 1,505 loans for credit only, and 30 loans were
reviewed for both credit/valuation and compliance. Six loans had
final grades of "C" and 11 loans had final grades of "D" due to
underwriting defects. These loans were removed from the
transaction. The results were better than prior STACR transactions
Moody's rated.

Data integrity: The third-party review firm analyzed the sample
pool for data calculation and comparison to the imaged file
documents. The review revealed 102 data discrepancies on 94 loans.

Unlike private label RMBS transactions, a review of TRID violation
was not part of Freddie Mac's due diligence scope. A lack of
transparency regarding how many loans in the transaction contain
material violations of the TRID rule is a credit negative. However,
since Moody's expect overall losses on STACR transactions owing to
TRID violations to be fairly minimal, Moody's only made a slight
qualitative adjustment to losses under a Aaa scenario. Furthermore,
lender R&Ws and the GSEs' ability to remove defective loans from
the transactions will likely mitigate some of aforementioned
concerns.

Reps & Warranties Framework

Freddie Mac is not providing loan level R&Ws for this transaction
because the notes are a direct obligation of Freddie Mac. The
reference obligations are subject to R&Ws made by the sellers. As
such, Freddie Mac commands robust R&Ws from its seller/servicers
pertaining to all facets of the loan, including but not limited to
compliance with laws, compliance with all underwriting guidelines,
enforceability, good property condition and appraisal procedures.
Freddie Mac will be responsible for enforcing the R&Ws made by the
sellers/lenders in the reference pool. To the extent that Freddie
Mac discovers a confirmed underwriting defect or a major servicing
defect, the respective loan will be removed from the reference
pool. Since Freddie Mac retains a significant portion of the risk
in the transaction, it will likely take necessary steps to address
any breaches of R&Ws. For example, Freddie Mac undertakes quality
control reviews and servicing quality assurance reviews of small
samples of the mortgage loans that sellers deliver to Freddie Mac.
These processes are intended to determine, among other things, the
accuracy of the R&Ws made by the sellers in respect of the mortgage
loans that are sold to Freddie Mac. Moody's made no adjustments to
the transaction regarding the R&W framework.

The notes

Moody's refer to the M-1, M-2A, M-2B, B-1A, B-1B, B-2A and B-2B
notes as the original notes, and the M-2, M-2R, M-2S, M-2T, M-2U,
M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT,
M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, M-2UB, B-1, B-2, B-1AR, B-1AI,
B-2AR and B-2AI notes as the Modifiable and Combinable REMICs
(MACR) notes; together Moody's refer to them as the notes.

The M-2 notes can be exchanged for M-2A and M-2B notes, M-2R and
M-2I notes, M-2S and M-2I, M-2T and M-2I, and M-2U and M-2I notes.

The M-2A notes can be exchanged for M-2AR and M-2AI notes, M-2AS
and M-2AI notes, M-2AT and M-2AI, and M-2AU and M-2AI notes.

The M-2B notes can be exchanged for M-2BR and M-2BI notes, M-2BS
and M-2BI notes, M-2BT and M-2BI notes, and M-2BU and M-2BI notes.

Classes M-2I , M-2AI, M-2BI, B-1AI and B-2AI are interest only
notes referencing to the balances of Classes M-2, M-2A, M-2B, B-1A
and B-2A, respectively.

Classes M-2RB, M-2SB, M-2TB and M-2UB are each an exchangeable for
two classes that are initially offered at closing. Moody's ratings
of M-2RB, M-2SB, M-2TB and M-2UB reference the rating of Class M-2B
only, disregarding the rating of M-2AI. This is the case because
Class M-2AI's cash flow represents an insignificant portion of the
overall promise. In the event Class M-2B gets written down through
losses and Class M-2AI is still outstanding, Moody's would continue
to rate Classes M-2RB, M-2SB, M-2TB and M-2UB consistent with Class
M-2B's last outstanding rating so long as Classes M-2RB, M-2SB,
M-2TB and M-2UB are still outstanding.

Transaction Structure

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. Realized
losses are allocated in a reverse sequential order starting with
the Class B-3H reference tranche.

Interest due on the notes is determined by the outstanding
principal balance and the interest rate of the notes. The interest
payment amount is the interest accrual amount of a class of notes
minus any modification loss amount allocated to such class on each
payment date, or plus any modification gain amount. The
modification loss and gain amounts are calculated by taking the
respective positive and negative difference between the original
accrual rate of the loans, multiplied by the unpaid balance of the
loans, and the current accrual rate of the loans, multiplied by the
interest-bearing unpaid balance.

So long as the senior reference tranche 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.

The STACR 2021-HQA2 transaction allows for principal distribution
to subordinate notes by the supplemental subordinate reduction
amount even if performance triggers fail. The supplemental
subordinate reduction amount equals the excess of the offered
reference tranche percentage over 6.15%. The distribution of the
supplemental subordinated reduction amount would reduce principal
balances of the offered reference tranche and correspondingly limit
the credit enhancement of class A-H reference tranche to be always
below 6.15% plus the note balance of B-3H. This feature is
beneficial to the offered certificates.

Credit Events and Modification Events

Reference tranche write-downs occur as a result of loan level
credit events. A credit event with respect to any loan means any of
the following events: (i) a short sale with respect to the related
mortgaged property is settled, (ii) a related seriously delinquent
mortgage note is sold prior to foreclosure, (iii) the mortgaged
property that secured the related mortgage note is sold to a third
party at a foreclosure sale, (iv) an REO disposition occurs, or (v)
the related mortgage note is charged-off. As a result, the
frequency of credit events will be the same as actual loan default
frequency, and losses will impact the notes similar to that of a
typical RMBS deal.

Loans that experience credit events that are subsequently found to
have an underwriting defect, a major servicing defect or are deemed
ineligible will be subject to a reverse credit event. Reference
tranche balances will be written up for all reverse credit events
in sequential order, beginning with the most senior tranche that
has been subject to a previous write-down. In addition, the amount
of the tranche write-up will be treated as an additional principal
recovery, and will be paid to noteholders in accordance with the
cash flow waterfall.

If a loan experiences a forbearance or mortgage rate modification,
the difference between the original mortgage rate and the current
mortgage rate will be allocated to the reference tranches as a
modification loss. The Class B-3H reference tranche, which
represents 0.25% of the pool, will absorb modification losses
first. The final coupons on the notes will have an impact on the
amount of interest available to absorb modification losses from the
reference pool.

Tail Risk

Similar to prior STACR transactions, the initial subordination
level of 3.25% is lower than the deal's minimum credit enhancement
trigger level of 3.50%. The transaction begins by failing the
minimum credit enhancement test, leaving the subordinate tranches
locked out of unscheduled principal payments until the deal builds
an additional 0.25% subordination. STACR 2021-HQA2 does not have a
subordination floor. This is mitigated by the sequential principal
payment structure of the deal, which ensures that the credit
enhancement of the subordinate tranches is not eroded early in the
life of the transaction.

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 rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


GCAT 2021-NQM3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GCAT
2021-NQM3's mortgage pass-through certificates.

The certificate 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 residential properties, planned-unit developments,
condominiums, condotels, cooperatives, two- to four-family
residential properties, and manufactured housing properties to both
prime and nonprime borrowers. The pool has 516 loans, which are
primarily nonqualified or ATR-exempt mortgage loans.

The preliminary ratings are based on collateral and structural
information as of June 16, 2021. Subsequent information may result
in the assignment of final ratings that differ from the preliminary
ratings.

The preliminary ratings reflect S&P's view of:

-- The asset pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's geographic concentration;
-- The transaction's representation and warranty framework;
-- The mortgage aggregator, Blue River Mortgage II LLC; and
-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and the liquidity
available in the transaction.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

  Preliminary Ratings Assigned

  GCAT 2021-NQM3(i)

  Class A-1, $213,413,000: AAA (sf)
  Class A-1X, $213,413,000: AAA (sf)(ii)
  Class A-2, $21,356,000: AA (sf)
  Class A-3, $19,757,000: A+ (sf)
  Class M-1, $19,468,000: BBB (sf)
  Class B-1, $7,409,000; BB (sf)
  Class B-2, $5,230,000: B (sf)
  Class B-3, $3,922,843: Not rated
  Class A-IO-S, Notional(iii): Not rated
  Class X, Notional(iii): Not rated
  Class R, N/A: Not rated

(i)The preliminary ratings address the ultimate payment of interest
and principal.

(ii)Class A-1X will have a notional amount equal to the lesser of
(a) the balance of class A-1 immediately prior to such distribution
date and (b) the notional amount set forth on a schedule for the
related accrual period. After the 36th distribution date, the
notional amount of the A-1X certificates will be zero.

(iii)The notional amount will equal the aggregate principal balance
of the loans.


GFCM LLC 2003-1: Moody's Hikes Rating on Class G Certs to B3
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and upgraded the ratings on three classes in GFCM LLC, Mortgage
Pass-Through Certificates, Series 2003-1 as follows:

Cl. D, Affirmed Aaa (sf); previously on Jan 25, 2019 Affirmed Aaa
(sf)

Cl. E, Upgraded to Aaa (sf); previously on Jan 25, 2019 Upgraded to
Aa1 (sf)

Cl. F, Upgraded to Baa1 (sf); previously on Jan 25, 2019 Upgraded
to Baa2 (sf)

Cl. G, Upgraded to B3 (sf); previously on Jan 25, 2019 Affirmed
Caa1 (sf)

Cl. H, Affirmed C (sf); previously on Jan 25, 2019 Affirmed C (sf)

Cl. X*, Affirmed B3 (sf); previously on Jan 25, 2019 Affirmed B3
(sf)

* Reflects interest-only classes

RATINGS RATIONALE

The rating on one P&I class was affirmed because of its credit
support and the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.

The ratings on three P&I classes, Cl. E, Cl. F and Cl. G were
upgraded based primarily on an increase in credit support resulting
from loan paydowns and amortization. The deal has paid down 45%
since Moody's last review and 96% since securitization and
approximately 99% of the pool fully amortize over their loan term.

The rating on one P&I class was affirmed because the rating is
consistent with Moody's expected loss plus realized losses. Class H
has already experienced a 43% realized loss as result of previously
liquidated loans.

The rating on the IO class was affirmed based on the credit quality
of its referenced classes.

Moody's rating action reflects a base expected loss of 1.4% of the
current pooled balance, compared to 1.9%% at Moody's last review.
Moody's base expected loss plus realized losses is now 0.4% of the
original pooled balance, compared to 0.5% 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 interest-only
classes were "Approach to Rating US and Canadian Conduit/Fusion
CMBS" published in September 2020.

DEAL PERFORMANCE

As of the June 14, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $33.5 million
from $822.6 million at securitization. The certificates are
collateralized by 27 mortgage loans ranging in size from less than
1% to 19% of the pool, with the top ten loans (excluding
defeasance) constituting 77% of the pool.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 11, compared to 18 at Moody's last review.

As of the June 2021 remittance report, loans representing 100% were
current or within their grace period on their debt service
payments.

Four loans, constituting 8% 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.

Six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $2.9 million (for an average loss
severity of 9.5%). There are no loans currently in special
servicing.

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 full or partial year 2020 operating results for 3% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 34%, compared to 37% 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 24% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.6%.

Moody's actual and stressed conduit DSCRs are 1.73X and 5.51X,
respectively, compared to 1.81X and 4.62X 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 46% of the pool balance. The
largest loan is the Charlotte Apartments Loan ($6.4 million --
19.1% of the pool), which is secured by two cross-collateralized
and cross defaulted loans. The collateral represents an 11
building, 208-unit apartment complex and a 16,100 square foot (SF)
medical office building. As of December 2020, the properties were
collectively 95% leased. The loan is scheduled to fully amortize by
its maturity date in October 2027 and has amortized 58% since
securitization. Moody's LTV and stressed DSCR are 45% and 2.30X,
respectively.

The second largest loan is the Cortland Ridge Apartments Loan ($5.4
million -- 16.2% of the pool), which is secured by a 144-unit
multifamily property located in Orem, Utah. The property was 96%
leased as of February 2021 compared to 99% in December 2017. The
loan is scheduled to fully amortize by its maturity date in May
2033 and has amortized 41% since securitization. Moody's LTV and
stressed DSCR are 81% and 1.20X, respectively.

The third largest loan is the Windhaven Plaza Retail Loan ($3.6
million -- 10.9% of the pool), which is secured by a 182,000 square
foot (SF) retail plaza located in Plano, Texas. The property is
anchored by Kroger Signature (35% of net rentable area (NRA)) with
a lease expiration of November 2024. The loan is scheduled to fully
amortize by its maturity date in March 2025 and has amortized 68%
since securitization. Moody's LTV and stressed DSCR are 20% and
5.04X, respectively.


GREAT LAKES 2019-1: S&P Stays BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, A-L-R, B-R, C-R, and D-R replacement notes from Great Lakes
CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC, a CLO originally issued
in 2019 that is managed by BMO Asset Management Corp. The class A-L
loans and the class E notes are not being refinanced but the
applicable margin of the class A-L loans is expected to be amended
and reduced.

The preliminary ratings are based on information as of June 22,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the July 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 non-call period will be extended by approximately two years
to July 15, 2023, for the refinancing notes and the class A-L
loans.

-- The reinvestment period and the legal final maturity dates of
the transaction will remain unchanged.

-- The applicable margin of the class A-L loans is expected to be
amended and reduced to three-month LIBOR + 1.61% from three-month
LIBOR + 1.92%.

-- The transaction is adding/updating benchmark replacement
language.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R notes, $57,175,665.00: Three-month LIBOR + 1.56%
  Class A-L-R notes, $8,110,527.00: Three-month LIBOR + 1.61%
  Class B-R notes, $11,613,808.00: Three-month LIBOR + 1.85%
  Class C-R notes (deferable), $28,000,000.00: Three-month LIBOR +
2.85%
  Class D-R notes (deferable), $22,750,000.00: Three-month LIBOR +
4.00%

  Original notes

  Class A notes, $57,175,665.00: Three-month LIBOR + 1.74%
  Class A-L notes, $8,110,527.00: Three-month LIBOR + 1.92%
  Class B notes, $11,613,808.00: Three-month LIBOR + 2.60%
  Class C notes (deferable), $28,000,000.00: Three-month LIBOR +
3.60%
  Class D notes (deferable), $22,750,000.00: Three-month LIBOR +
4.75%

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."

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

  Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC

  Class A-R notes, $57,175,665.00: AAA (sf)
  Class A-L-R notes, $8,110,527.00: AA (sf)
  Class B-R notes, $11,613,808.00: AA (sf)
  Class C-R notes (deferable), $28,000,000.00: A (sf)
  Class D-R notes (deferable), $22,750,000.00: BBB- (sf)

  Other Outstanding Ratings(i)

  Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC

  Class A-L loans, $154,100,000.00: AA (sf)
  Class E notes, $24,750,000.00: BB- (sf)
  Subordinate notes, $45,600,000.00: Not rated

  (i)These tranches are not being refinanced.



GULF STREAM 5: S&P Assigns Prelim BB- (sf) Rating on Class D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Gulf Stream
Meridian 5 Ltd./Gulf Stream Meridian 5 LLC's floating-rate notes.

The note issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of June 22,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans that are governed by collateral
quality tests.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Preliminary Ratings Assigned

  Gulf Stream Meridian 5 Ltd./Gulf Stream Meridian 5 LLC

  Class A-1, $276.75 million: AAA (sf)
  Class A-2, $54.00 million: AA (sf)
  Class B (deferrable), $38.25 million: A (sf)
  Class C (deferrable), $27.00 million: BBB- (sf)
  Class D (deferrable), $16.50 million: BB- (sf)
  Subordinated notes, $38.50 million: not rated



HALSEYPOINT CLO 4: S&P Assigns Prelim BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HalseyPoint
CLO 4 Ltd./HalseyPoint CLO 4 LLC's floating-rate notes.

The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by HalseyPoint Asset Management LLC.

The preliminary ratings are based on information as of June 22,
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

  HalseyPoint CLO 4 Ltd./HalseyPoint CLO 4 LLC

  Class A, $238.00 million: AAA (sf)
  Class B, $66.00 million: AA (sf)
  Class C (deferrable), $23.00 million: A (sf)
  Class D-1 (deferrable), $15.00 million: BBB+ (sf)
  Class D-2 (deferrable), $8.00 million: BBB- (sf)
  Class E (deferrable), $15.00 million: BB- (sf)
  Subordinated notes, $40.35 million: Not rated



HERTZ VEHICLE 2021-1: Moody's Assigns (P)Ba2 Rating to Cl. D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
Series 2021-1 and Series 2021-2 Rental Car Asset-Backed Notes to be
issued by Hertz Vehicle Financing III LLC (the Issuer), Hertz's new
rental car ABS facility, upon emergence from bankruptcy. The
issuance proceeds will be used to (a) fund the purchase of certain
vehicles from Hertz's two existing rental car ABS platforms,
including Hertz Vehicle Financing LLC (HVF) and Hertz Vehicle
Interim Financing LLC (HVIF), and (b) pay off the outstanding
principal balance of notes issued by Hertz Vehicle Financing II LP
(HVF II) and HVIF. Any remaining proceeds will be used for the
acquisition or refinancing of eligible vehicles.

The Series 2021-1 Notes will have an expected maturity in 42 months
and legal final maturity in 54 months. The Series 2021-2 Notes will
have an expected maturity in 66 months and legal final maturity in
78 months. Hertz Vehicle Financing III LLC (HVFIII) is a Delaware
limited liability company, which is a newly formed
bankruptcy-remote special purpose entity (SPE) and direct
subsidiary of The Hertz Corporation (Hertz). The collateral backing
the notes is a fleet of vehicles and a single operating lease of
the fleet to Hertz for use in its rental car business, as well as
certain manufacturer and incentive rebate receivables owed to the
SPE by the original equipment manufacturers (OEMs).

The complete rating actions are as follows:

Issuer: Hertz Vehicle Financing III LLC

Series 2021-1 Rental Car Asset Backed Notes

Class A, Assigned (P)Aaa (sf)
Class B, Assigned (P)A2 (sf)
Class C, Assigned (P)Baa2 (sf)
Class D, Assigned (P)Ba2 (sf)

Series 2021-2 Rental Car Asset Backed Notes

Class A, Assigned (P)Aaa (sf)
Class B, Assigned (P)A2 (sf)
Class C, Assigned (P)Baa2 (sf)
Class D, Assigned (P)Ba2 (sf)

RATINGS RATIONALE

The provisional ratings are based on (1) the credit quality of the
collateral in the form of rental fleet vehicles, which Hertz uses
in its rental car business, (2) the credit quality of Hertz as the
primary lessee and as guarantor under the operating lease; on 7
June 2021 Moody's assigned a Corporate Family Rating of B3 to Hertz
in anticipation of its emergence from bankruptcy, (3) the
experience and expertise of Hertz as sponsor and administrator, (4)
the credit enhancement, which will consist of subordination and
over-collateralization, (5) a required liquidity amount in the form
of cash and/or a letter of credit, (6) the transaction's legal
structure, including standard bankruptcy remoteness and security
interest provisions, and (7) vastly improved rental car market
conditions, owing to the tight supply and increasing demand.

The Series 2021-1 and Series 2021-2 Class A, Class B, Class C Notes
will benefit from subordination of 29.00%, 20.00%, 13.00% of the
outstanding balance of the Series 2021-1 and Series 2021-2 Notes,
respectively. Additionally, the Series 2021-1 Notes and Series
2021-2 Notes will benefit from overcollateralization and a
liquidity reserve to cover at least six months of interest on the
notes, plus 50 basis points of expenses.

As in prior issuances, the transaction documents stipulate that the
required credit enhancement for the Series 2021-1 and Series 2021-2
Notes, sized as a percentage of the total assets, will be a blended
rate, which is a function of Moody's ratings on the vehicle
manufacturers and defined asset categories as described below:

5.00% for eligible program vehicle and receivable amount from
investment grade manufacturers (any manufacturer that has Moody's
long-term rating or senior unsecured rating or long-term corporate
family rating (together, relevant Moody's ratings) of at least
"Baa3" and any manufacturer that does not have a relevant Moody's
rating and has a senior unsecured debt rating from Moody's of at
least "Ba1")

8.00% for eligible program vehicle amount from non-investment
grade manufacturers

15.00% for eligible non-program vehicle amount from investment
grade manufacturers

15.00% for eligible non-program vehicle amount from non-investment
grade manufacturers

8.00% for eligible program receivable amount from non-investment
grade (high) manufacturers (any manufacturer that (i) is not an
investment grade manufacturer and (ii) has a relevant Moody's
rating of at least "Ba3")

100.00% for eligible program receivable amount from non-investment
grade (low) manufacturers (any manufacturer that has a relevant
Moody's rating of less than "Ba3")

35.0% for medium-duty truck amount

0.00% for cash amount

100% for remainder Aaa amount

Consequently, the actual required amount of credit enhancement will
fluctuate based on the mix of vehicles and receivables in the
securitized fleet. Furthermore, the transaction documents dictate
that the total enhancement should include a minimum portion which
is liquid (in cash and/or letter of credit), sized as a percentage
of the aggregate Class A / B / C / D principal amount, net of
cash.

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 B3 rating of the sponsor. This reflects
Moody's view that, in the event of a bankruptcy, Hertz 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 arrive at the 60% decrease assuming a 80%
probability Hertz would reorganize under a Chapter 11 bankruptcy
and a 75% probability Hertz 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 (Car): Mean: 19%

Non-Program Haircut upon Sponsor Default (Car): Standard Deviation:
6%

Non-Program Haircut upon Sponsor Default (Truck): Mean: 35%

Non-Program Haircut upon Sponsor Default (Truck): Standard
Deviation: 8%

Fixed Program Haircut upon Sponsor Default: 10%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Car): 20%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Truck): 10%

Fleet composition -- Moody's assumed the following fleet
composition (based on NBV of vehicle fleet):

Non-program Vehicles: 95%

Program Vehicles: 5%

Non-program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):

Aa/A Profile: 25.0%, 2, A3

Baa Profile: 50.8%, 2, Baa3

Ba/B Profile: 24.2%, 1, Ba3

Program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):

Aa/A Profile: 0.0%, 0, A3

Baa Profile: 50.0%, 1, Baa3

Ba/B Profile: 50.0%, 1, Ba3

Manufacturer Receivables: 10%; 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.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of rental car ABS as the US economy
continues on the path toward normalization. Economic activity will
continue to strengthen in 2021 because of several factors,
including the rollout of vaccines, growing household consumption
and an accommodative central bank policy. However, specific sectors
and individual businesses will remain weakened by extended pandemic
related restrictions.

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 2021-1 Notes if (1)
the credit quality of the lessee improves subsequent to its
emergence from bankruptcy, (2) assumptions of the credit quality of
the pool of vehicles collateralizing the transaction were to
improve, as reflected by a stronger mix of program and non-program
vehicles and stronger credit quality of vehicle manufacturers, (3)
the residual values of the non-program vehicles collateralizing the
transaction were to increase materially relative to Moody's
expectations.

Down

Moody's could downgrade the ratings of the Series 2021-1 Notes if
(1) a corporate liquidation of the lessee were to occur and
introduce operational complexity in the liquidation of the fleet,
(2) 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, (3) reduced demand for used
vehicles results in lower sales volumes and sharp declines in used
vehicle prices above Moody's assumed depreciation, or (3) the
residual values of the non-program vehicles collateralizing the
transaction were to decrease materially relative to Moody's
expectations.


HPS LOAN 10-2016: S&P Assigns Prelim B- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-RR, A-2-RR, B-RR, CR, and DR replacement notes and proposed new
class X and E notes from HPS Loan Management 10-2016 Ltd., a CLO
originally issued in December 2016 that is managed by HPS
Investment Partners LLC.

The preliminary ratings are based on information as of June 16,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the June 21, 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 notes are expected to be issued at lower
weighted average cost of debt than the original notes.

-- The stated maturity will be extended six years.

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.

"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."

  Preliminary Ratings Assigned

  HPS Loan Management 10-2016 Ltd.

  Class X, $4.50 million: AAA (sf)
  Class A-1-RR, $244.00 million: AAA (sf)
  Class A-1-J, $6.00 million: AAA (sf)
  Class A-2-RR, $54.00 million: AA (sf)
  Class B-RR, $24.00 million: A (sf)
  Class CR, $24.00 million: BBB- (sf)
  Class DR, $14.00 million: BB- (sf)
  Class E, $5.90 million: B- (sf)
  Subordinated notes, $42.15 million: Not rated
  Additional subordinated notes, $5.20 million: Not rated



ICG US 2017-1: S&P Assigns Prelim BB-(sf) Rating on Cl. E-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to ICG US CLO
2017-1 Ltd./ICG US CLO 2017-1 LLC's floating-rate notes.

The note issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of June 16,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans that are governed by collateral
quality tests.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Preliminary Ratings Assigned

  ICG US CLO 2017-1 Ltd./ICG US CLO 2017-1 LLC

  Class X-RR, $4.00 million: AAA (sf)
  Class A-RR, $246.00 million: AAA (sf)
  Class B-RR, $58.00 million: AA (sf)
  Class C-RR (deferrable), $24.00 million: A (sf)
  Class D-RR (deferrable), $24.00 million: BBB- (sf)
  Class E-RR (deferrable), $15.00 million: BB- (sf)
  Subordinated notes, $38.80 million: not rated



ICG US CLO 2017-1: S&P Assigns BB- (sf) Rating on Class E-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to ICG US CLO 2017-1
Ltd./ICG US CLO 2017-1 LLC's floating-rate notes.

The note issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The ratings reflect S&P's view of:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans that are governed by collateral
quality tests.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Ratings Assigned

  ICG US CLO 2017-1 Ltd./ICG US CLO 2017-1 LLC

  Class X-RR, $4.00 million: AAA (sf)
  Class A-RR, $246.00 million: AAA (sf)
  Class B-RR, $58.00 million: AA (sf)
  Class C-RR (deferrable), $24.00 million: A (sf)
  Class D-RR (deferrable), $24.00 million: BBB- (sf)
  Class E-RR (deferrable), $15.00 million: BB- (sf)
  Subordinated notes, $38.80 million: not rated



IMPERIAL FUND 2021-NQM1: DBRS Finalizes B(low) Rating on B-2 Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2021-NQM1 issued by
Imperial Fund Mortgage Trust 2021-NQM1 (the Trust):

-- $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.


INVESCO CLO 2021-2: Moody's Assigns Ba3 Rating to Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Invesco CLO 2021-2, Ltd. (the "Issuer" or "Invesco
2021-2").

Moody's rating action is as follows:

US$320,000,000 Class A Senior Secured Floating Rate Notes due 2034,
Definitive Rating Assigned Aaa (sf)

US$60,000,000 Class B Senior Secured Floating Rate Notes due 2034,
Definitive Rating Assigned Aa2 (sf)

US$27,500,000 Class C Deferrable Mezzanine Secured Floating Rate
Notes due 2034, Definitive Rating Assigned A2 (sf)

US$30,000,000 Class D Deferrable Mezzanine Secured Floating Rate
Notes due 2034, Definitive Rating Assigned Baa3 (sf)

US$22,500,000 Class E Deferrable Junior Secured Floating Rate Notes
due 2034, Definitive Rating 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.

Invesco 2021-2 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
senior secured loans and eligible investments, and up to 10% of the
portfolio may consist of senior unsecured loans, second lien loans,
first-lien-last-out loans and up to 5% of permitted debt
obligations (senior secured bonds, senior secured floating rate
notes and high-yield bonds). The portfolio is approximately 90%
ramped as of the closing date.

Invesco CLO Equity Fund 3 L.P. (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

In addition to the Rated Notes, the Issuer issued subordinated
notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount: $500,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2889

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.00%

Weighted Average Life (WAL): 9.08 years

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in U.S. economic activity.

Moody's regard the coronavirus outbreak as a social risk under 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.


JP MORGAN 2016-JP3: Fitch Affirms B- Rating on Class F Certs
------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of J.P. Morgan Chase (JPMCC)
Commercial Mortgage Securities Trust 2016-JP3 commercial mortgage
pass-through certificates.

    DEBT              RATING           PRIOR
    ----              ------           -----
JPMCC 2016-JP3

A-2 46590RAB5   LT  AAAsf   Affirmed   AAAsf
A-3 46590RAC3   LT  AAAsf   Affirmed   AAAsf
A-4 46590RAD1   LT  AAAsf   Affirmed   AAAsf
A-5 46590RAE9   LT  AAAsf   Affirmed   AAAsf
A-S 46590RAJ8   LT  AAAsf   Affirmed   AAAsf
A-SB 46590RAF6  LT  AAAsf   Affirmed   AAAsf
B 46590RAK5     LT  AA-sf   Affirmed   AA-sf
C 46590RAL3     LT  A-sf    Affirmed   A-sf
D 46590RAP4     LT  BBB-sf  Affirmed   BBB-sf
E 46590RAR0     LT  BBsf    Affirmed   BBsf
F 46590RAT6     LT  B-sf    Affirmed   B-sf
X-A 46590RAG4   LT  AAAsf   Affirmed   AAAsf
X-B 46590RAH2   LT  AA-sf   Affirmed   AA-sf
X-C 46590RAM1   LT  BBB-sf  Affirmed   BBB-sf

Classes X-A, X-B, and X-C are interest-only.

KEY RATING DRIVERS

Increased Loss Expectations: While the majority of the pool
continues to exhibit stable performance, overall loss expectations
on the pool have increased primarily due to the greater
concentration of Fitch Loans of Concern (FLOCs). There are 19 FLOCs
(40.7% of the pool), including five loans (5.2%) in special
servicing. Fitch's current ratings incorporate a base case loss of
5.3%. The Negative Outlooks on classes D through F and X-C reflect
losses that could reach 6.4% when factoring in additional stresses
related to the coronavirus pandemic.

Largest Contributors to Loss: The largest contributor to base case
loss is the specially serviced 100 East Wisconsin Avenue loan (2%),
which is secured by a 435,629-sf office building located in
downtown Milwaukee, WI. The loan transferred to special servicing
in May 2020 due to a COVID Relief request and imminent default. The
sponsor had informed the servicer that net cash flows were expected
to decline in the near term as a result of the largest tenant
vacating and other tenants requesting pandemic related rent relief.
A petition to appoint a receiver was filed and granted in April
2021; the receiver is now working to stabilize the property. Fitch
will continue to monitor the workout.

Leasing reserves totaling approximately $7 million are reportedly
held by the servicer, as of May 2021. Fitch's analysis reflects a
loss of 40% equating to a value of $68 psf.

The next largest contributor to loss is the specially serviced 415
West 13th Street loan (1.6%), which is secured by a 11,862-sf
single tenant ground floor and basement retail condo located in the
Meatpacking District neighborhood of Manhattan. The space is leased
to All Saints USA Limited through April 2026. The loan transferred
to special servicing in July 2020 due to the impact of COVID on the
property; the tenant, All Saints USA Limited, had begun insolvency
proceedings in the United Kingdom and was closed. The loan is 90+
days delinquent.

Per the special servicer, All Saints remains in place, and is now
open and paying amended rent. Per Chapter 15 terms; the tenant will
be paying 20% of gross sales to the landlord for three years
subject to a landlord termination clause exercisable by the end of
year two. Fitch's modeled loss of 39% reflects a value of $1,450
psf.

The next largest contributor to loss is the Fountains at the Bayou
loan (1.8%), which is secured by a 460-unit multifamily property
located in Houston, TX. In 2017, the loan suffered extensive damage
from flooding related to Hurricane Harvey and a subsequent fire
that affected several units; a cash trap has been in place since
2017. Restoration work was reportedly completed in 2019, but the
property has had trouble stabilizing. A new sponsor assumed the
loan in late 2019 and was in a transition period in 2020 when the
pandemic hit. The servicer reported NOI DSCR was 0.26x for YE 2020
compared to 0.72x at YE 2019 and 0.69x at YE 2018. Fitch continues
to monitor this loan going forward.

The next largest contributor to loss is the Laguna Design Center
loan (3.4%), which is secured by a 237,000-sf design center located
in Laguna Niguel, CA. While the loan returned to the master
servicer in March 2021, it transferred to special servicing in July
2020 due to payment default related to the coronavirus pandemic.
Further, the lockbox was activated after a cash flow sweep event
occurred in August 2020. The loan is now current. As of the April
2021 rent roll, the property was 79.5% leased compared to 84.5% in
March 2020. The rent roll is granular; the largest tenant comprises
only 9% of the tenancy. Approximately 30% of the NRA rolls over the
next year or is month-to-month.

Fitch applied a 25% haircut to YE 2020 NOI to account for the
recent decline in occupancy, upcoming scheduled roll and specialty
property type. Fitch will continue to monitor the loan going
forward.

Minimal Change to Credit Enhancement: As of the May 2021
distribution date, the pool's aggregate balance has been reduced by
7.5% to $1.13 billion, from $1.22 billion at issuance due to loan
payoffs and scheduled amortization. Four loans ($54.9 million at
issuance) have paid off since issuance. 12 loans (47.1% of the
pool) are full term interest-only while an additional five loans
(10.8%) are in partial interest-only periods.

Four loans (5.7%) are scheduled to mature this year; however, three
of the loans (3.9%) allow for two one-year extension options. The
majority of the loans mature in 2026 (92.5%) with one in 2023
(1.5%) and one in 2025 (0.2%). Two loans (3.7%) have defeased.

Additional Stresses Applied Due to Coronavirus Exposure: 14 hotel
loans (17.3%) are secured by hotel properties while 11 loans
(28.4%) are secured by retail or mixed use with retail properties.
Fitch applied additional coronavirus-related stresses to nine hotel
loans (14.6%) and two retail loans (5.2%).

RATING SENSITIVITIES

The Stable Outlooks on the classes A-2 through C reflect the stable
performance of the majority of the pool. The Negative Outlooks on
classes D through F reflect the concern over the FLOCs (40.7% of
the pool) including five loans in special servicing (5.2%).

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 the 'Asf' and 'AAsf' categories
    would likely occur with significant improvement in credit
    enhancement (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 coronavirus pandemic could cause
    this trend to reverse. Upgrades to the 'BBBsf' category would
    also consider these factors, but would be limited based on
    sensitivity to concentrations or the potential for future
    concentration.

-- Classes would not be upgraded above 'Asf' if there were
    likelihood for interest shortfalls. Upgrades to the 'Bsf' and
    'BBsf' categories are not likely until the later years in a
    transaction and only if the performance of the remaining pool
    is stable and/or properties vulnerable to the coronavirus
    return to pre-pandemic levels, and there is sufficient CE to
    the classes.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

-- An increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to the 'AAsf' and 'AAAsf'
    categories are not likely due to the position in the capital
    structure and level of credit enhancement, but may occur
    should interest shortfalls occur or should losses increase
    significantly.

-- Downgrades to the 'Asf' and/or 'BBBsf' category 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 the loans
    vulnerable to the coronavirus pandemic not 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.


JPMBB COMMERCIAL 2015-C29: DBRS Cuts Rating of 2 Classes to C
-------------------------------------------------------------
DBRS Limited downgraded its ratings on four classes of the
Commercial Mortgage Pass-Through Certificates, Series 2015-C29
issued by JPMBB Commercial Mortgage Securities Trust 2015-C29 as
follows:

-- Class X-D to B (low) (sf) from BBB (sf)
-- Class D to CCC (sf) from BBB (low) (sf)
-- Class E to C (sf) from BB (low) (sf)
-- Class F to C (sf) from B (sf)

In addition, DBRS Morningstar confirmed its ratings on the
following classes:

-- Class A-3A1 at AAA (sf)
-- Class A-3A2 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB 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 X-C at A (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)

DBRS Morningstar also discontinued its ratings on Classes X-E and
X-F as the reference obligations, Classes E and F, were downgraded
to C (sf).

All trends are Stable with the exception of Classes X-C, C, EC, and
X-D, which carry Negative trends, and Classes D, E, and F, which do
not carry trends. The Negative trends and rating downgrades reflect
the continued distressed performance of some of the underlying
collateral and the possibility for significant losses upon
resolution for One City Centre (Prospectus ID#2, 8.6% of the pool).
Three loans, representing 16.4% of the pool, have transferred to
special servicing since December 2020. In total, the transaction
contains six loans, representing 24.7% of the pool, that are
currently specially serviced and 12 loans, representing 26.3% of
the pool, that are being monitored on the servicer's watchlist. As
of the May 2021 remittance, 54 of the original 63 loans remain in
the pool, representing a collateral reduction of 29.5% since
issuance via loan payoffs and amortization; there have been no
losses to date.

The main driver for the rating actions is the One City Centre loan,
which has seen a significant drop in occupancy following the
departure of its largest tenant and is pari passu with a piece held
in the JPMBB Commercial Mortgage Securities Trust 2015-C30
transaction, which is also rated by DBRS Morningstar. The loan,
secured by a 602,122-square-foot Class A office building in the
Houston central business district (CBD), has been monitored on the
servicer's watchlist since August 2018 after its largest tenant,
Waste Management (40.5% of net rentable area), gave notice that it
would vacate at lease expiry in December 2020. The loan ultimately
transferred to special servicing in April 2021 for imminent
monetary default, and the borrower has stated that it will no
longer fund shortfalls on the loan. Occupancy has fallen to 28% and
there are no prospective tenants or leasing updates in regards to
the vacant space, although the loan reports $9.1 million across all
reserves. The subject had struggled with maintaining market
occupancy levels prior to 2020, as it has been only 68% occupied
since 2018. The Houston CBD submarket remains soft, as Reis reports
an average vacancy rate of 21.9% as of Q1 2021. DBRS Morningstar
has identified six office loans within the Houston metropolitan
statistical area that have reported value changes since 2020. Value
declines for these properties range from 38% to 83% (average of
68%), with values per square foot (psf) from $14 to $141 (average
of $67 psf). DBRS Morningstar analyzed this loan with a liquidation
scenario, which resulted in a loss severity in excess of 65%.

The Alta Woodlake Square loan (Prospectus ID#6, 4.4% of the pool),
secured by a multifamily property also in Houston, has been
monitored on the servicer's watchlist since September 2018 and
transferred to special servicing in December 2020 as a result of a
mezzanine loan default. The property was 88% occupied as of YE2020
and reported a debt service coverage ratio (DSCR) of 0.83 times
(x), down from 1.19x as of YE2019. The loan's workout strategy
entails an assumption of the senior loan via an equity enforcement
action taken by the mezzanine lender as well as a loan
modification, all of which is in the closing process. DBRS
Morningstar analyzed this loan with an elevated probability of
default.

Marriott – Pittsburgh (Prospectus ID#12, 3.3% of the pool),
secured by a 402-key, full-service hotel in downtown Pittsburgh,
transferred to special servicing in March 2021 because of payment
default. The borrower had previously requested Coronavirus Disease
(COVID-19)–related relief and the special servicer granted its
request, allowing the borrower to use reserves to pay debt service
through August 2020. Debt service payments were late again from
October 2020 through December 2020 and, as of May 2021, the loan
remains more than 120 days delinquent. A loan modification is
currently being negotiated and could include an interest-only (IO)
payment extension with upfront principal reduction. The YE2020
occupancy and DSCR were reported at 17% and -0.77x, respectively,
compared with the YE2019 figures of 67% and 1.61x. DBRS Morningstar
analyzed this loan with an elevated probability of default.

Notes: All figures are in U.S. dollars unless otherwise noted.


JPMBB COMMERCIAL 2015-C30: DBRS Cuts Class F Certs Rating to CCC
----------------------------------------------------------------
DBRS Limited downgraded the ratings on six classes of the
Commercial Mortgage Pass-Through Certificates, Series 2015-C30
issued by JPMBB Commercial Mortgage Securities Trust 2015-C30 as
follows:

-- Class X-D to BBB (low) (sf) from BBB (sf)
-- Class D to BB (high) (sf) from BBB (low) (sf)
-- Class X-E to BB (low) (sf) from BB (sf)
-- Class E to B (high) (sf) from BB (low) (sf)
-- Class X-F to B (low) (sf) from B (high) (sf)
-- Class F to CCC (sf) from B (sf)

DBRS Morningstar also confirmed the ratings on the remaining
classes as follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class X-C at A (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)

DBRS Morningstar changed the trends on Classes B, C, EC, D, X-B,
X-C, and X-D to Negative from Stable. The trends on Classes E, X-E,
and X-F are also Negative. All other trends are Stable with the
exception of Class F, which has a rating that does not carry a
trend.

The rating downgrades and Negative trends reflect the increased
losses to the trust and resulting deterioration of the credit
enhancement for the affected bonds expected by DBRS Morningstar.
The bulk of the deterioration is the result of projected losses for
one top 15 loan in special servicing that was liquidated in the
analysis for this review and two additional loans in the top 15
that were analyzed with an increased Probability of Default (PoD)
to increase the expected losses for each.

The liquidated loan, One City Centre (Prospectus ID#12, 3.5% of the
pool), is part of a pari passu loan split between the subject and
the JPMBB Commercial Mortgage Securities Trust 2015-C29
transaction, which is also rated by DBRS Morningstar. The
collateral has seen a significant drop in occupancy following the
departure of its largest tenant. The loan, secured by a
602,122-square-foot (sf) Class A office building in the Houston
central business district (CBD), has been monitored on the
servicer's watchlist since August 2018 after its largest tenant,
Waste Management (40.5% of net rentable area (NRA)), gave notice
that it would vacate at lease expiry in December 2020. The loan
ultimately transferred to special servicing in April 2021 for
imminent monetary default and the borrower has stated that it will
no longer fund shortfalls on the loan. Occupancy has fallen to
28.0% and there are no prospective tenants or leasing updates in
regards to the vacant space, although the loan reports $9.1 million
across all reserves. The subject had struggled with maintaining
market occupancy levels prior to 2020, as it has been only 68.0%
occupied since 2018. The Houston CBD submarket remains soft, as
Reis reports an average vacancy rate of 21.9% as of Q1 2021. DBRS
Morningstar has identified six office loans within the Houston
metropolitan statistical area that have reported value changes
since 2020. Value declines for these properties range from 38.0% to
83.0% (average of 68.0%) with values per sf (psf) from $14 to $141
(average of $67 psf). DBRS Morningstar analyzed this loan with a
liquidation scenario, which resulted in a loss severity in excess
of 65.0%.

Also driving the rating downgrades and Negative trends is the
Sunbelt Portfolio loan (Prospectus ID#3, 5.5% of the pool), which
is secured by three cross-collateralized and cross-defaulted office
properties totaling 1.3 million sf. The Shipt Tower (previously
known as Wells Fargo Tower) and Inverness Center are in Birmingham,
Alabama, while the Meridian Building is in Columbia, South
Carolina. This pari passu loan has a piece secured in the JPMBB
Commercial Mortgage Securities Trust 2015-C31 transaction (which is
rated by DBRS Morningstar) and according to the servicer, the loan
is on the servicer's watchlist because of a low cash flow. It is
unclear what watchlist criteria the servicer is following, however,
as the YE2020 debt service coverage ratio (DSCR) reported for the
trust loan was 2.65 times (x) and 1.11x when including the debt
service for subordinate and mezzanine debt not held in either
transaction. The senior note DSCR is in line with previous years,
with a YE2019 DSCR of 2.45x (1.03x on the whole loan) and the DBRS
Morningstar DSCR at issuance of 1.41x (1.13x on the whole loan).

Although cash flows have held relatively steady to date, occupancy
has been on the decline since issuance with the December 2020 rent
roll reporting an occupancy of 70.0%, compared with the YE2019
occupancy rate of 80.6% and issuance occupancy rate of 82.6%.
Several tenants in place at issuance are no longer in place after
having vacated at lease expirations, including Sungard Financial
Systems (8.1% of total NRA), Wells Fargo (6.8% of total NRA), and
Southern Company Services (4.0% of total NRA), all of which vacated
at lease expirations in December 2017, December 2019, and June
2018, respectively. A portion of the former Wells Fargo space was
backfilled by Shipt Inc., which initially represented 4.5% of total
NRA and was expected to expand its footprint to 5.8% of total NRA
by May 2021. The borrower appears to have signed a master lease for
some of the vacant space in 2019, as the servicer reported a tenant
in several spaces with the name "Sunbelt Master Lease" (11.0% of
total NRA) with a lease expiration of March 2021. The servicer
recently confirmed that the master lease was not renewed. At the
property level, the Shipt Tower, Inverness Center, and the Meridian
Building reported December 2020 occupancy rates of 67.2%, 55.1%,
and 95.4%, respectively. According to Reis, the submarkets reported
Q1 2021 vacancy rates ranging from 13.1% to 16.8%, compared with Q1
2020 vacancy rates that ranged from 12.3% to 15.7%. The loan does
report substantial reserves of $6.5 million as of May 2021, held
across eight accounts earmarked for capital expenditures, leasing
costs, free rent, and lockbox receipts.

Given the sustained occupancy declines for the subject portfolio
and the softening in the submarkets, DBRS Morningstar believes the
risks for this loan have materially increased since issuance and
analyzed the loan with an elevated PoD to increase the expected
loss for this review.

The Castleton Park loan (Prospectus ID#6, 4.2% of the pool) is
secured by a 1.1 million-sf office park in Indianapolis, 12 miles
northeast of the CBD. This loan is on the servicer's watchlist
because of a low DSCR, which was reported at 1.09x for YE2020,
compared with the YE2019 DSCR of 1.07x and DBRS Morningstar DSCR at
issuance of 1.31x. Occupancy has declined to 63.0% as of the March
2021 rent roll, compared with the YE2020 occupancy rate of 67.6%,
YE2019 occupancy rate of 74.4%, and issuance occupancy rate of
81.6%. The current largest and third-largest tenants, National
Government Services and Community Health Network, respectively,
have reduced their footprints in the years since issuance and now
represent 15.5% and 5.4% of the NRA, respectively. National
Government Services has a lease expiration of September 2021, and
the tenant is expected to vacate the majority of its space as noted
by the servicer. According to Reis, office properties in the
Northeast submarket reported a Q1 2021 vacancy rate of 22.4%,
compared with the Q1 2020 vacancy rate of 21.6%. This loan also
reports a significant total reserve amount of $6.5 million, $2.3
million of which is held across leasing and capital improvement
reserves.

Given the sustained occupancy declines for the subject property and
the softening in the submarket conditions, DBRS Morningstar
believes the risks for this loan have materially increased since
issuance and analyzed the loan with an elevated PoD to increase the
expected loss for this review.

According to the May 2021 remittance, the current balance of the
trust was $1.1 billion, representing a 13.7% collateral reduction
since issuance. There are four loans in special servicing and 20
loans on the servicer's watchlist, representing 9.1% and 25.9% of
the pool balance, respectively. The watchlisted loans are being
monitored for various reasons, including a low DSCR or occupancy
figure, tenant rollover risk, delinquent taxes, deferred
maintenance, and/or Coronavirus Disease (COVID-19) pandemic-related
forbearance requests. There are five loans, representing 3.2% of
the pool, that are fully defeased.

At issuance, DBRS Morningstar shadow-rated the Pearlridge Center
(Prospectus ID#2, 6.3% of pool) and Scottsdale Quarter (Prospectus
ID#11, 3.7% of pool) loans as investment grade. Both of these loans
are sponsored by a joint venture with O'Connor Capital Partners and
Washington Prime Group (WPG). On June 13, 2021, WPG filed for
Chapter 11 bankruptcy and cited challenges faced during the
pandemic as a contributor to the filing. DBRS Morningstar has
concerns surrounding WPG's declining financial position and the
general stress on brick and mortar retail, particularly for
regional malls in secondary markets, both of which were exacerbated
by the pandemic. In March 2021, DBRS Morningstar received notice
from the servicer regarding the Pearlridge Center borrower's
request for a temporary waiver of any and all bankruptcy events of
default and any penalties and costs as a result of such action. The
servicer agreed to forbear all defaults triggered by any filing
through July 1, 2021, for a period of 270 days after.

It does not appear that this same request was made by the borrower
for the Scottsdale Quarter loan, which transferred to special
servicing in May 2021. DBRS Morningstar believes that the impending
bankruptcy filing by WPG was a likely contributor to the loan's
transfer to special servicing, but that has not been confirmed to
date. Although WPG's bankruptcy filing is a noteworthy development
for these loans, neither of the sponsor entities affiliated with
WPG were included in the bankruptcy filing, and the property-level
debt is not expected to be directly affected by these events. In
the bankruptcy filings, WPG continues to list both properties as
Tier 1 (core) assets for the firm. The collateral for both loans
have generally performed above DBRS Morningstar's expectations and
have historically reported healthy DSCRs. As such, with this
review, DBRS Morningstar confirmed that the performance of these
loans remains consistent with investment-grade loan
characteristics.

DBRS Morningstar materially deviated from its North American CMBS
Insight Model when determining the rating assigned to Class B, as
the quantitative results suggested a lower rating. The material
deviation is warranted given the uncertain loan-level event risk
with the loans in special servicing and on the servicer's
watchlist.

Notes: All figures are in U.S. dollars unless otherwise noted.


KKR CLO 25: Moody's Assigns Ba3 Rating to Class E-R Notes
---------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes 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, Definitive Rating Assigned Aaa (sf)

US$14,000,000 Class A-2R Senior Secured Fixed Rate Notes Due 2034,
Definitive Rating Assigned Aaa (sf)

US$59,625,000 Class B-R Senior Secured Floating Rate Notes Due
2034, Definitive Rating Assigned Aa2 (sf)

US$23,625,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due 2034, Definitive Rating Assigned A2 (sf)

US$29,250,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due 2034, Definitive Rating Assigned Baa3 (sf)

US$21,375,000 Class E-R Senior Secured Deferrable Floating Rate
Notes Due 2034, Definitive Rating Assigned Ba3 (sf)

RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
90.0% of the portfolio must consist of 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 Moody's Rating Factor" and changes to
the base matrix and modifiers.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Performing par and principal proceeds balance: $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.


MADISON PARK XXIII: S&P Affirms B+ (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
and D-R replacement notes from Madison Park Funding XXIII
Ltd./Madison Park Funding XXIII LLC, a CLO originally issued in
2017 that is managed by Credit Suisse Asset Management LLC. At the
same time, S&P withdrew its ratings on the class A, B, C, and D
notes following payment in full on the June 15, 2021, refinancing
date. S&P also affirmed its ratings on the class E notes, which
were not refinanced.

  Replacement And Refinanced Note Issuances

  Replacement notes

  Class A-R, $488.00 million: Three-month LIBOR + 0.97%
  Class B-R, $108.00 million: Three-month LIBOR + 1.55%
  Class C-R, $60.00 million: Three-month LIBOR + 2.00%
  Class D-R, $48.00 million: Three-month LIBOR + 3.20%

  Refinanced notes

  Class A, $488.00 million: Three-month LIBOR + 1.21%
  Class B, $108.00 million: Three-month LIBOR + 1.70%
  Class C, $60.00 million: Three-month LIBOR + 2.35%
  Class D, $48.00 million: Three-month LIBOR + 3.45%

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

  Madison Park Funding XXIII Ltd./Madison Park Funding XXIII LLC

  Class A-R, $488.00 million: AAA (sf)
  Class B-R, $108.00 million: AA (sf)
  Class C-R, $60.00 million: A (sf)
  Class D-R, $48.00 million: BBB- (sf)

  Ratings Withdrawn

  Madison Park Funding XXIII Ltd./Madison Park Funding XXIII LLC

  Class A to not rated from 'AAA (sf)'
  Class B to not rated from 'AA (sf)'
  Class C to not rated from 'A (sf)'
  Class D to not rated from 'BBB- (sf)'

  Ratings Affirmed

  Madison Park Funding XXIII Ltd./Madison Park Funding XXIII LLC

  Class E: B+ (sf)

  Other Outstanding Notes

  Madison Park Funding XXIII Ltd./Madison Park Funding XXIII LLC

  Subordinated notes: Not rated



MADISON PARK XXXVIII: S&P Assigns BB- (sf) Rating on Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect:

-- The diversification of the collateral pool;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Ratings Assigned

  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



MAPS 2021-1 TRUST: Moody's Assigns Ba1 Rating to Class C Notes
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
class A, class B and class C notes issued by MAPS 2021-1 Trust
(MAPS), a Delaware statutory trust. The ultimate assets backing the
rated notes consist primarily of a portfolio of aircraft and their
related initial and future leases. Apollo Navigator Holdings US LLC
and Apollo Navigator Holdings (Ireland) DAC (together, Apollo
Navigator), affiliated with and managed by Apollo Global Management
(Apollo), are the sellers of the assets and the sponsors of the
transaction. Merx Aviation Servicing Limited (Merx), an affiliate
of Merx Aviation Finance, LLC (together with their affiliates, Merx
Group), is the servicer of the underlying assets and related
leases. MAPS is the third aircraft lease securitization serviced by
Merx since 2018.

The aircraft lease asset-backed securities (ABS) will be primarily
repaid by cash flows from payments on initial and subsequent leases
attached to the securitized aircraft portfolio and proceeds from
aircraft dispositions. As of May 15, 2021, the initial assets
primarily consisted of 20 aircraft subject to initial leases to 12
lessees domiciled in 10 countries.

The complete rating actions are as follows:

Issuer: MAPS 2021-1 Trust

Class A Notes, Definitive Rating Assigned A1 (sf)

Class B Notes, Definitive Rating Assigned Baa1 (sf)

Class C Notes, Definitive Rating Assigned Ba1 (sf)

MAPS will use the proceeds from the issuance of the notes to
acquire the series A, series B and series C AOE notes (the AOE
notes) issued by each of MAPS 2021-1 Aviation (Ireland) Designated
Activity Company (MAPS Ireland) and MAPS 2021-1 Aviation (US) LLC
(MAPS US), the underlying asset-owning entity (AOE) issuers,
incorporated under Irish law and Delaware law, respectively. Upon
satisfaction of certain conditions within 270 days after the
transaction closing date (the purchase period), each of the AOE
issuers expects to use the proceeds from the issuance of the AOE
notes to acquire from the sellers beneficial interests in asset
owning entities (AOEs) that directly or indirectly own in the
aggregate 20 aircraft and their related leases. In exchange for the
sale of their ownership interests in the AOEs, the sellers will
receive a portion of the AOE note issuance proceeds and the E notes
from the AOE issuers.

RATINGS RATIONALE

The definitive ratings of the notes are based on (1) the results of
Moody's quantitative modeling analyses, including sensitivity
analyses with respect to certain model assumptions, (2) the initial
and expected Moody's assumed cumulative loan-to-value (Moody's
CLTV) ratios for each class of notes, using Moody's assumed value
(MAV) of the securitized aircraft portfolio, (3) the credit quality
of the underlying aircraft portfolio, their related initial and
subsequent leases and their expected performance, (4) the
transaction structure and priority of payments, (5) the ability,
experience and expertise of Merx as the servicer of the securitized
assets, and (6) qualitative considerations for risks related to
asset diversity as well as legal, operational, jurisdiction, data
quality, bankruptcy remoteness, and ESG (environmental, social and
governance) risks, among others. The definitive ratings also
consider the heightened risk and continued global economic
disruption resulting from the COVID-19 pandemic.

The class A, class B, and class C notes have an initial Moody's
CLTV ratio of around 72.7%, 85.3% and 94.0%, respectively, using
the MAV of the securitized aircraft portfolio. The MAV reflects the
minimum of several third-party appraisers' initial half-life
current market values, adjusted by the appraised maintenance
adjustment from Alton Aviation Consultancy Ireland Limited (Alton).
Moody's CLTV ratio reflects the loan-to-value ratio of the combined
amounts of each class of notes and the classes that are senior to
it. Moody's CLTV ratios do not reflect Alton's projected end of
lease (EOL) payments due from most of the airlines when their
leases expire. Moody's initial CLTV ratios of each class of notes
would be five to seven percentage points lower after reflecting the
credit that it ascribed to the aggregate projected EOL payments,
assuming no EOL payments leak to the E notes.

Unless otherwise noted, all percentages represent a percentage of
the portfolio MAV.

Key credit strengths of the transaction include (1) mostly strong
leasing assets, (2) strong initial contractual cash flows from
lessees of relatively strong credit quality, (3) limited lease
maturities through 2023, and 65% after the anticipated repayment
date (ARD) in 2028, reducing exposure to near-term COVID-19-related
re-leasing risks, and (4) large EOL payments that will bolster
transaction cash flows.

Key credit challenges of the transaction include (1) improving,
albeit still-challenging, commercial aviation industry that
heightens asset risks, (2) volatility in aircraft values and lease
rates, (3) potential adverse changes in portfolio composition and
concentration, (4) potential large maintenance expenses upon lessee
default, (5) unrated servicer, (6) novation and acquisition risk,
and (7) leakage of cash flows to the E notes. In assessing the
impact of the credit challenges on the transaction, Moody's
considered the various mitigants to the risks and performed
sensitivity analyses in its quantitative modeling.

CREDIT QUALITY OF UNDERLYING AIRCRAFT

The securitized aircraft portfolio is stronger than most aircraft
lease ABS pools with limited risk layering. The pool includes a
relatively homogeneous mix of relatively young, highly liquid
narrowbody aircraft (83%). The aircraft are leased to 12 lessees of
relatively strong credit quality, mostly domiciled in the US and
developed Europe. The weighted average (WA) remaining term of the
leases is nine years, longer than the seven-year ARD and that of
pools backing most aircraft lease ABS issued since 2017. The mostly
long leases to relatively strong lessees should support strong
contractual cash flows through the pandemic and beyond the ARD and
decrease the deal's exposure to re-leasing risk.

Highly liquid, narrowbody aircraft less than nine years in age
comprise 83% of the portfolio, of which 48% are new technology
A220s, A320neos and a B737MAX less than three years in age and 35%
are current technology A320-200s and B737-800s six to nine years in
age. These narrowbody aircraft are strong leasing assets owing to
their large diversified installed or expected operator bases. The
portfolio contains no widebody passenger aircraft. The remaining
two aircraft are widebody freighters (17%), which will benefit from
continued strong demand for air cargo. The high proportion of
relatively young aircraft in the pool, with a WA age of 5.8 years
(4.2 years excluding the freighters), that Moody's expects will be
in service for at least 16 years on average will provide a strong
source of cash flows to repay the notes and allow the transaction
more time to recover from unexpected declines in cash flows owing
to temporary market disruptions.

The pool consists of 10% young-midlife aircraft. Risks typically
associated with mid-life aircraft include diminished re-leasing
prospects, higher volatility in values, technological obsolescence
and higher costs related to ongoing maintenance.

CREDIT QUALITY OF INITIAL LEASES AND LESSEES

Around 89% of the aircraft are subject to leases that will expire
after 2023, when Moody's expects a recovery in global air travel
demand to pre-pandemic (2019) levels, protecting the transaction
from COVID-19-related re-leasing risks unless lessees default.

The relatively long initial leases to initial lessees of relatively
strong credit quality will provide a strong and steady source of
cashflow to the transaction. Around 88% of the initial contractual
lease rent comes from airlines that are rated or have credit
estimates (CE), with a WA rating or CE of Ba3. Around 45% of the
initial contracted rent comes from four airlines that Moody's
rates: Delta Air Lines, Inc. (Baa3 negative), Wizz Air Holdings plc
(Baa3 negative), Spirit Airlines, Inc. (B1 positive) and Gol Linhas
Aereas Inteligentes S.A. (B3 stable). Around 64% of the aircraft
are leased to initial lessees domiciled in the US and developed
Europe. As of May 15, 2021, only one initial lessee had due but
unpaid scheduled lease payments under its second COVID-19-related
deferral agreement.

Noteholders will benefit from EOL payments received from certain
lessees at the end of their leases, provided the lessee is
performing, which will accelerate the pay down of the notes. Alton
projects aggregate EOL payments of $125 million from the initial
leases at lease expiry, or 23% of the aggregate note balance. In
its analysis, Moody's reduced the projected EOL payments to account
for (1) the potential volatility in Alton's projected EOL amounts
owing to uncertainty around utilization of the aircraft during the
lease terms, (2) the projected costs required to ensure that the
maintenance condition of the plane is sufficient to attract a
subsequent lessee at reasonable terms, (3) the possibility that
some aircraft may be sold prior to the end of their leases and
therefore the notes will not receive the related EOL payments, and
(4) the probability of lessee defaults prior to lease expiry.

STRENGTH OF TRANSACTION STRUCTURE

The MAPS 2021-1 transaction structure is similar to pre-COVID
aircraft lease ABS transaction structures, except that it has DSCR
triggers for cash trap and cash sweep that have a shorter look back
period of three-months, which will allow the transaction to respond
faster to performance deterioration.

Similar to other aircraft lease ABS transactions, the pro-rata
payments among the classes of notes and the E notes limits
de-leveraging of the notes prior to the ARD, assuming no rapid
amortization event is occurring. In contrast, deals in most ABS
asset classes generally have stronger structures that preclude the
erosion of credit enhancement through maintaining credit
enhancement levels without trigger breaches.

Prior to the ARD, assuming no rapid amortization event is
occurring, a disproportionate share of collections will be paid to
the class C notes owing to their faster scheduled amortization,
compared with that of the class A and class B notes, and
collections in excess of the scheduled note payments will be
diverted to the E notes. Owing to the pro-rata payment structure,
EOL payments and aircraft sales proceeds will accelerate debt
amortization, and except for (1) certain amounts earned on the
disposition of aircraft, including the greater of (a) 5% of the
debt associated with an aircraft that is sold or (b) 5% of the
leverage-adjusted net sales proceeds of an aircraft that is sold,
and (2) 5% multiplied by the pro-rata percentage of a series
multiplied by the EOL payments collected from an asset, will not
result in any de-leveraging of the notes. The immediate debt
acceleration will be partially offset by reduced future scheduled
principal payments on the notes through the ARD. Any aircraft sales
proceeds or EOL payments received after the ARD will be fully
utilized to delever the notes. Around 75% of the EOL payments are
tied to leases expiring after the ARD.

The risks posed by the pro-rata structure are mitigated by (1) the
lower initial CLTVs of the notes, compared with most ABS backed by
young aircraft portfolios, (2) the strong contractual cash flows,
and (3) the likely decreasing CLTVs over time owing to the slower
aircraft portfolio value depreciation, compared with scheduled note
amortization. In addition, a strong recovery in the commercial
aviation industry would enhance the CLTVs if aircraft values were
to recover meaningfully. Also, if aircraft are sold, the
noteholders can receive at least 105% of the outstanding debt
associated with that aircraft. Moreover, performance triggers that
result in a full cash sweep reduce the negative impact of the
pro-rata structure.

NOVATION AND ACQUISITION RISK

At transaction closing, the AOE issuers will not have an interest
in the AOEs that directly or indirectly own the aircraft collateral
securing the AOE notes, and therefore, the transaction will be
exposed to the risk that the AOE issuers do not acquire the
ownership interests in certain of the AOEs during the 270-day
purchase period. The relatively homogeneous, young, highly liquid
aircraft portfolio of relatively strong quality mitigates the risk
of aircraft not being delivered during the purchase period,
resulting in a weaker and more volatile asset mix with higher
concentrations. In addition, the conditions for the seller to
substitute a replacement aircraft for an undelivered aircraft
during the purchase period mitigate the risk of adverse changes in
the portfolio.

On the closing date, the sellers will indirectly own or have
interests in the AOEs that directly or indirectly own 18 of the 20
aircraft in the portfolio. The sellers will cause the AOEs to be
transferred to MAPS Ireland and MAPS US by beneficial interest
transfers or membership interest transfers, respectively, during
the purchase period in exchange for the AOE note issuance proceeds
and the E notes, which will be held by the sellers. Since the AOE
issuers will acquire the beneficial interest or membership
interests of the AOEs rather than title to the aircraft, the leases
will not need to be novated, and aircraft acquisition will be less
complex. Lessee involvement will likely be limited to executing a
standard acknowledgment of assignment and updating the insurance
certificate. Lessee involvement will likely be limited to executing
a standard acknowledgment of assignment and updating the insurance
certificate.

As of May 15, 2021, two A320neos (16%) subject to existing leases
to S7 Airlines were not yet owned by the applicable seller or its
affiliates acquired by the applicable AOE. The sellers recently
entered into a purchase agreement to acquire, from a third-party,
the beneficial interest in these two aircraft. The airline must
enter into novation agreements and ancillary documents. The Issuer
Group expects to acquire the beneficial interest in the aircraft
during the purchase period. In its cash flow analyses, Moody's
considered scenarios in which it assumed certain AOEs and/or
related planes, including the two A320neos, were not acquired
during the purchase period.

QUANTATIVE MODELING ASSUMPTIONS

Moody's initial assumed value: Moody's initial assumed
maintenance-adjusted current market value (MAV) of the aircraft
portfolio is $574.6 million. The MAV of each asset is equal to (A)
the minimum of (i) the average of three half-life current market
value (CMV) appraisals for each asset provided by sponsor-selected
third-party appraisal firms (AVITAS, Inc., IBA Group Limited and
Morten, Beyer & Agnew, Inc.) and (ii) the minimum of two half-life
CMV appraisals for each asset from two independent third-party
appraisal firms that Moody's traditionally uses, plus (B) Alton's
maintenance adjustment for the asset as of May 2021. All half-life
CMV appraisals are as of as of first-quarter 2021. Alton's
aggregate maintenance adjustment was only $7.7 million as of May
2021, or 1.3% of the portfolio MAV. The MAV is 9% lower than the
average of the three maintenance-adjusted half-life base values
provided by the sponsor.

Lessee defaults: Moody's inferred the probability of default of
each initial airline using either its (1) actual credit rating
where available (45% of the initial contracted lease rent with a WA
rating of around Ba1), (2) credit estimate where available (43% of
the initial contracted lease rent with a WA credit estimate of
around B2), after applying required notching downward in accordance
with Moody's Approach to Using Credit Estimates in Its Rating
Analysis, March 2020, or (3) Caa1 (12% of the initial contracted
rent), which reflects the weakened credit quality of the global
airline industry owing to COVID-19. Moody's assumed default risk
consistent with a B3 rating for subsequent lessees. When a lessee
renews an existing lease, Moody's assumes no change in the credit
quality of the lessee.

Out-of-production adjustment: 12 years for the new technology
A220s, A320neos and B737MAX; 24 months for the current technology
A320-200 and B737-800; 10 years for the B777F; and 0 years for the
B747-400F.

EOL payments: Moody's assumed a 40% haircut to Alton's projected
EOL payments at lease expiry, prior to further reductions related
to the probability of lessee default prior to lease expiry.

Payment deferrals: Moody's assumed that 25% of the lease rent under
leases to airlines in Southeast Asia and Latin America (21%) was
deferred until the end of 2022, reflecting current market
conditions in those regions, and 75% of the deferred rent was
recovered in 2023. Additionally, Moody's cash flow modeling
analyses reflects the current reduced rent that one lessee is
paying under a deferral agreement.

Recession timing: Moody's typically assumes a downturn occurs once
every 10 years and lasts for three years, roughly consistent with
historical experience. Consequently, in Moody's analysis, a typical
aircraft lease securitization will experience two or three
downturns prior to legal maturity.

Remarketing and repossession periods: For the return of an aircraft
at lease expiry, Moody's assumes aircraft downtime of five months
outside of a recession and eight months during a recession. For a
lease default and aircraft repossession, Moody's assumes aircraft
downtime of eight months outside of a recession and 11 months
during a recession.

ESG CONSIDERATIONS

Environmental risk

The environmental risk for this transaction is moderate, though
lower than most aircraft lease ABS transactions. Current and future
carbon and air emission regulations for aircraft could make older
and fuel inefficient aircraft more expensive to operate or require
retrofits that may make them even less attractive to airlines,
reducing demand for these aircraft. The lower demand could
negatively affect both the values and lease rates of aged aircraft
and relegate older aircraft to airlines with lower credit quality
or those operating in jurisdictions where regulations have not been
implemented. The transaction has a long legal final maturity and is
therefore likely to be exposed to regulatory changes. However, the
relatively young pool of mostly highly liquid narrowbody aircraft
(83%), of which 48% are new technology models that are the most
fuel-efficient, mitigates these environmental risks.

Social risk

The social risk for this transaction is moderate. Aircraft lease
ABS are exposed to social risks that could decrease demand for
aircraft, reducing the revenue available to repay the notes.
Demographic shifts can affect air travel demand, and in turn
aircraft values and lease rates. Health pandemics, such as the
current COVID-19 pandemic, could result in a sharp decline in air
travel demand growth, reducing the demand for aircraft or weakening
the credit profiles of the airlines that are lessees in the
securitization.

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.

Governance risk


This securitization's governance risk is moderate and typical of
other aircraft lease transactions in the market.

1) Financial strategy and risk management -- this transaction
limits the ability of MAPS, and the AOE issuers and their
respective subsidiary AOEs to engage in activities other than the
ones related to the underlying assets and this transaction,
including in respect of the issuance of additional notes and other
actions.

2) Management credibility and track record -- while Moody's does
not rate the sponsor and servicer, the legal structure and
documentation of the transaction mitigates the governance risk.

3) The organizational/transaction structure -- MAPS is structured
as a bankruptcy remote statutory trust and the AOE Issuer Group
Members are structured as bankruptcy remote special purpose
entities that could have misalignment of interests among the
transaction parties, and specifically between the holders of the E
notes and the note holders. The AOE issuers' Boards initially have
a majority of directors affiliated with the Merx Group. The
majority of each Board (including the independent director) could
approve certain actions, such as aircraft sales, that could be
disadvantageous to noteholders in order to unlock the equity.

4) The board structure -- includes a Board for each AOE issuer,
each with one independent director that makes decisions that will
maximize the value of the collateral, such as engaging a successor
servicer upon termination of the servicer and selling aircraft, as
well as an independent managing agent, trustee and paying agent.
However, the requirement for the independent director is somewhat
weaker than those of most transactions in other asset classes that
Moody's rate.

5) Compliance and reporting -- Moody's considered the sufficiency
and frequency of this securitization's reporting in the form of
servicing reports and other reports.

In addition, the servicer may have potential conflicts of interest
in servicing the securitized aircraft portfolio because it also
services the Merx Group's aircraft portfolio and the aircraft
portfolios backing MAPS 2018-1 and MAPS 2019-1. However, the
servicer covenants not to discriminate among the securitization
assets and the other assets it owns or manages, partially
mitigating this governance risk.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Securities Backed by Aircraft and Associated
Leases" published in July 2020.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Factors that could lead to an upgrade of the ratings on the notes
are (1) collateral cash flows that are significantly greater than
Moody's initial expectations and (2) a significant improvement in
the credit quality of the airlines leasing the aircraft. Moody's
updated expectations of collateral cash flows may be better than
its original expectations because of a lower frequency of lessee
defaults, a recovery in aircraft values and lease rates owing to
stronger global air travel demand, lower than expected depreciation
in the value of the aircraft that secure the lessees' promise of
payment under the leases, higher than expected aircraft disposition
proceeds, and higher than expected EOL payments at lease expiry
that are used to prepay the notes. As the primary drivers of
performance, positive changes in the condition of the global
commercial aviation industry could also affect the ratings.

Down

Factors that could lead to a downgrade of the ratings on the notes
are (1) collateral cash flows that are materially below Moody's
initial expectations and (2) a significant decline in the credit
quality of the airlines leasing the aircraft. Other reasons for
worse-than-expected transaction performance could include poor
servicing of the assets, for example aircraft sales disadvantageous
to noteholders, or error on the part of transaction parties.
Moody's updated expectations of collateral cash flows may be worse
than its original expectations because of a higher frequency of
lessee defaults, greater than expected depreciation in the value of
the aircraft that secure the lessees' promise of payment under the
leases, owing to weak global air travel demand, lower than expected
aircraft disposition proceeds, and lower than expected EOL payments
received at lease expiry. Transaction performance also depends
greatly on the strength of the global commercial aviation industry.



MAPS 2021-1: S&P Assigns BB (sf) Rating on $50.240MM Class C Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to MAPS 2021-1 Trust's
notes.

The note issuance is an ABS securitization backed by the two AOE
issuers' series A, B, and C notes, which are in turn backed by 20
aircraft and the related leases and shares and beneficial interests
in entities that directly and indirectly receive aircraft portfolio
lease rental and residual cash flows, among others.

The ratings reflect S&P's view of:

-- The likelihood of timely interest on the series A notes
(excluding step up interest) on each payment date, the timely
interest on the series B notes (excluding step up interest) when
series A notes are no longer outstanding on each payment date, the
ultimate interest on the series C notes (excluding step up
interest), and the ultimate principal payment on the series A, B,
and C notes on or prior to the legal final maturity date at their
respective rating stress.

-- The portfolio comprising a diversified mix of popular and new
generation narrow-body aircraft (29% A320s, 21% A220s, 13% A320
Neos, 13% B737 NGs, and 6% B737 Max 8) and freighters (14% B777F
and 4% B747F) by the lower of the mean and median (LMM) of the
half-life values.

-- The weighted average age (by LMM of the half-life values) of
the aircraft in the portfolio being 6.5 years. Currently, all the
20 aircraft are on lease, with weighted average remaining maturity
of approximately eight years. Weighted average age and remaining
term are calculated as of the economic closing date.

-- The majority of the lessees operating in developed markets,
where domestic air traffic levels have picked up recently, after a
global air travel shutdown was imposed in 2020 at the height of the
COVID-19 pandemic.

-- The existing and future lessees' estimated credit quality and
diversification. The 20 aircraft are currently leased to 12
airlines in 10 countries.

-- Each series' scheduled amortization profile, which is straight
line over 13 years for series A and B, and straight line over seven
years for series C.

-- The transaction's debt service coverage ratios (DSCRs) and
utilization trigger--a failure of which will result in the series A
and B notes' turbo amortization; turbo amortization for the series
A, B, and C notes will also occur if they are outstanding after
year seven.

-- The end-of-lease payment will be paid to the series A, B, and C
notes according to a percentage equaling each series' then-current
loan-to-value ratio.

-- The subordination of series C principal and interest to series
A and B principal and interest.

-- A revolving credit facility from Natixis, which is available to
cover senior expenses, including hedge payments and interest on the
series A and B notes. The amount available under the facility will
equal nine months of interest on the series A and B notes.

-- Alton Aviation Consultancy Ireland Ltd.'s (Alton) maintenance
analysis before closing. After closing, the servicer will perform a
forward-looking 18-month maintenance analysis at least
semi-annually, which Alton will review and confirm for
reasonableness and achievability.

-- The maintenance reserve account ($3 million balance at
closing), which is used to cover maintenance costs. The account
gets topped up to a senior and a junior required amount, which are
sized based on a forward-looking schedule of maintenance outflows.
The excess amounts in the account over the required maintenance
amount will be transferred to the waterfall on or after December
2022.

-- A heavy maintenance reserve account, which will be replenished
through the priority of payments starting on the sixth year
anniversary of the closing date and up to and including the payment
date in January 2031, if a rapid amortization event is occurring or
if there are four or less leases that pay utilization rent. The
target amount is set at $25 million. This account can be used to
pay maintenance expenses not covered through the maintenance
reserve account. This account covers spikes in projected
maintenance expenses observed under S&P's stress runs and preserves
lease collections for interest payable on the senior notes.

-- The security deposit and liquidity account ($4.5 million at
closing), which can be used to repay security deposit due amounts
along with other senior expenses, including interest on the class A
and B notes.

-- The expense reserve account, which will be funded at closing
from note proceeds with approximately $500,000 that is expected to
cover the next three months' expenses.

-- The series C interest reserve account, which will be funded at
closing from note proceeds of approximately $1 million, which may
be used to pay interest on the series C notes for the first seven
years. Thereafter, it will be released to the collections account.

-- The senior indemnification (excluding indemnification amounts
to lessees under leases entered into before the transaction closing
date) is capped at $10 million and is modelled to occur in the
first 12 months.

-- The junior indemnification (uncapped) is subordinated to the
rated series' principal payment.

-- Merx Aviation, an aircraft lessor founded by Apollo Investment
Corp. in 2012, being the servicer for this transaction.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Ratings Assigned

  MAPS 2021-1 Trust

  Class A, $417.650 million: A (sf)
  Class B, $72.230 million: BBB (sf)
  Class C, $50.240 million: BB (sf)



MCF CLO VII: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from MCF CLO VII LLC,
a CLO originally issued in September 2017 that is managed by
Madison Capital Funding LLC.

The preliminary ratings are based on information as of June 16,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the June 24, 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 B-R notes are expected to be issued at a
lower spread over three-month LIBOR than the original notes.

-- The replacement class A-R, C-R, and E-R notes are expected to
be issued at a higher spread over three-month LIBOR than the
original notes.

-- The replacement class D-R notes are expected to be issued at
the same spread over three-month LIBOR than the original notes.

-- The replacement class A-R, B-R, C-R, D-R, and E-R notes are
expected to be issued at a floating spread, replacing the current
floating spread.

-- The stated maturity and reinvestment period will be extended by
approximately 3.75 years.

-- A number of new features will be added, including but not
limited to LIBOR replacement language, amendments to the
definitions of collateral obligation and concentration limitations,
the ability to invest additional monies in workout related assets,
the ability to participate in distressed exchanges, the ability to
receive contributions and allocate any such monies to a number of
permitted uses, and the ability for the issuer to purchase notes
(sequentially).

-- Of the identified underlying collateral obligations, 95.62%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 5.60% 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."

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."

S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary.

  Preliminary Ratings Assigned

  MCF CLO VII LLC

  Class A-R, $172.50 million: AAA (sf)
  Class B-R, $31.50 million: AA (sf)
  Class C-R (deferrable), $24.00 million: A (sf)
  Class D-R (deferrable), $16.00 million: BBB- (sf)
  Class E-R (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $44.78 million: Not rated



MCF DIRECT: S&P Assigns BB- (sf) Rating on $53.375MM Class B Loans
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to MCF Direct Lending LLC's
floating-rate loans.

The loans are issued by a loan facility backed by primarily middle
market 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 based on the
maximum advance rates.

-- The experience of the collateral manager's team, which can
affect the performance of the rated loans through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Ratings Assigned

  MCF Direct Lending LLC

  Class A loans, $213.500 million: A- (sf)
  Class B loans, $53.375 million: BB- (sf)
  Subordinated loans, $38.125 million: Not rated



MCF DIRECT: S&P Assigns Prelim BB- (sf) Rating on Class B Loans
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MCF Direct
Lending LLC's floating-rate loans.

The loans are issued by a loan facility backed by primarily middle
market speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of June 21,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The diversification of the collateral pool.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization based on the
maximum advance rates.

-- The experience of the collateral manager's team, which can
affect the performance of the rated loans through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Preliminary Ratings Assigned

  MCF Direct Lending LLC

  Class A loans, $213.500 million: A- (sf)
  Class B loans, $53.375 million: BB- (sf)
  Subordinated loans, $38.125 million: Not rated



MELLO MORTGAGE 2021-INV1: DBRS Gives Prov. B Rating on B-5 Certs
----------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2021-INV1 to be issued
by Mello Mortgage Capital Acceptance 2021-INV1 (MELLO 2021-INV1):

-- $299.8 million Class A-1 at AAA (sf)
-- $275.5 million Class A-2 at AAA (sf)
-- $236.9 million Class A-3 at AAA (sf)
-- $236.9 million Class A-3-A at AAA (sf)
-- $236.9 million Class A-3-X at AAA (sf)
-- $177.7 million Class A-4 at AAA (sf)
-- $177.7 million Class A-4-A at AAA (sf)
-- $177.7 million Class A-4-X at AAA (sf)
-- $59.2 million Class A-5 at AAA (sf)
-- $59.2 million Class A-5-A at AAA (sf)
-- $59.2 million Class A-5-X at AAA (sf)
-- $142.6 million Class A-6 at AAA (sf)
-- $142.6 million Class A-6-A at AAA (sf)
-- $142.6 million Class A-6-X at AAA (sf)
-- $94.3 million Class A-7 at AAA (sf)
-- $94.3 million Class A-7-A at AAA (sf)
-- $94.3 million Class A-7-X at AAA (sf)
-- $35.1 million Class A-8 at AAA (sf)
-- $35.1 million Class A-8-A at AAA (sf)
-- $35.1 million Class A-8-X at AAA (sf)
-- $15.2 million Class A-9 at AAA (sf)
-- $15.2 million Class A-9-A at AAA (sf)
-- $15.2 million Class A-9-X at AAA (sf)
-- $44.0 million Class A-10 at AAA (sf)
-- $44.0 million Class A-10-A at AAA (sf)
-- $44.0 million Class A-10-X at AAA (sf)
-- $38.6 million Class A-11 at AAA (sf)
-- $38.6 million Class A-11-X at AAA (sf)
-- $38.6 million Class A-11-A at AAA (sf)
-- $38.6 million Class A-11-AI at AAA (sf)
-- $38.6 million Class A-11-B at AAA (sf)
-- $38.6 million Class A-11-BI at AAA (sf)
-- $38.6 million Class A-12 at AAA (sf)
-- $38.6 million Class A-13 at AAA (sf)
-- $24.3 million Class A-14 at AAA (sf)
-- $24.3 million Class A-15 at AAA (sf)
-- $257.9 million Class A-16 at AAA (sf)
-- $42.0 million Class A-17 at AAA (sf)
-- $299.8 million Class A-X-1 at AAA (sf)
-- $299.8 million Class A-X-2 at AAA (sf)
-- $38.6 million Class A-X-3 at AAA (sf)
-- $24.3 million Class A-X-4 at AAA (sf)
-- $10.4 million Class B-1 at AA (low) (sf)
-- $5.2 million Class B-2 at A (low) (sf)
-- $3.7 million Class B-3 at BBB (low) (sf)
-- $2.6 million Class B-4 at BB (low) (sf)
-- $649.0 thousand Class B-5 at B (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-AI, A-11-BI, A-11-X, A-X-1 A-X-2, A-X-3, and A-X-4 are
interest-only (IO) certificates. The class balances represent
notional amounts.

Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI,
A-11-B, A-11-BI, A-12, A-13, A-14, A-16, A-17, A-X-2, and A-X-3 are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates.

Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7,
A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-11-A, A-11-B,
A-12, and A-13 are super-senior certificates. These classes benefit
from additional protection from the senior support certificates
(Classes A-14 and A-15) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 7.50% of credit
enhancement provided by subordinated certificates. The AA (low)
(sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf)
ratings reflect 4.30%, 2.70%, 1.55%, 0.75%, and 0.55% of credit
enhancement, respectively.

Other than the classes specified above, DBRS Morningstar does not
rate any other classes in this transaction.

This securitization is a portfolio of first-lien, fixed-rate prime
conventional investment-property residential mortgages funded by
the issuance of the Certificates. The Certificates are backed by
769 loans with a total principal balance of $324,160,034 as of the
Cut-Off Date (June 1, 2021).

In contrast to loanDepot.com, LLC's (loanDepot) prime MELLO MTG
series, MELLO 2021-INV1 is its first prime securitization composed
of fully amortizing fixed-rate mortgages on non-owner-occupied
residential investment properties. The portfolio consists of
conforming mortgages with original terms to maturity of primarily
30 years, which were underwritten by loanDepot using an automated
underwriting system (AUS) designated by Fannie Mae or Freddie Mac
and were eligible for purchase by such agencies. In addition, the
pool contains a moderate concentration of loans (22.8%) that were
granted appraisal waivers by the agencies. In its analysis, DBRS
Morningstar applied property value haircuts to such loans, which
increased the expected losses on the collateral. Details on the
underwriting of conforming loans can be found in the Key
Probability of Default Drivers section in the related Presale
Report.

LoanDepot is the Originator, Seller, and Servicing Administrator of
the mortgage loans. Mello Credit Strategies LLC is the Sponsor of
the transaction. LD Holdings Group LLC will serve as Guarantor with
respect to the remedy obligations of the Seller. Mello
Securitization Depositor LLC, a subsidiary of the Sponsor and an
affiliate of the Seller, will act as Depositor of the transaction.

Cenlar FSB (Cenlar) will act as the Servicer. Wells Fargo Bank,
N.A. (Wells Fargo; rated AA with a Negative trend by DBRS
Morningstar) will act as the Master Servicer and Securities
Administrator. Wilmington Savings Fund Society, FSB will serve as
Trustee, and Deutsche Bank National Trust Company will serve as
Custodian.

The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.

As of the Cut-Off Date, no borrower within the pool is currently
subject to a Coronavirus Disease (COVID-19)-related forbearance
plan with the Servicer. In the event a borrower requests or enters
into a coronavirus-related forbearance plan after the Cut-Off Date
but prior to the Closing Date, the Seller will remove such loan
from the mortgage pool and remit the related Closing Date
substitution amount. Loans that enter a coronavirus-related
forbearance plan on or after the Closing Date will remain in the
pool.

CORONAVIRUS PANDEMIC IMPACT

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 (LTVs), 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
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.


MELLO MORTGAGE 2021-INV1: Moody's Gives B3 Rating to Cl. B-5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
forty-seven classes of residential mortgage-backed securities
issued by Mello Mortgage Capital Acceptance 2021-INV1 (MMCA
2021-INV1). The ratings range from Aaa (sf) to B3 (sf).

MMCA 2021-INV1 is a securitization of GSE eligible first-lien
investment property loans. 100.0% of the pool by loan balance is
originated by loanDepot.com, LLC ("loanDepot"). 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 are run through one of the
government-sponsored enterprises' (GSE) automated underwriting
systems (AUS) and have received an "Approve" or "Accept"
recommendation.

In this transaction, the Class A-11, Class A-11-A, and Class A-11-B
notes' coupon is indexed to SOFR. In addition, the coupon on Class
A-11-X, Class A-11-AI, and Class A-11-BI 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.

Servicing compensation is subject to a step-up incentive fee
structure. Servicing fee includes base fee plus delinquency and
incentive fees. Delinquency and incentive fees will be deducted
reverse sequentially starting from the Class B-6 interest payment
amount first and could result in interest shortfall to the
certificates depending on the magnitude of the delinquency and
incentive fees.

The complete rating actions are as follows:

Issuer: Mello Mortgage Capital Acceptance 2021-INV1

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aaa (sf)

Cl. A-3-A, Assigned Aaa (sf)

Cl. A-3-X*, Assigned Aaa (sf)

Cl. A-4, Assigned Aaa (sf)

Cl. A-4-A, Assigned Aaa (sf)

Cl. A-4-X*, Assigned Aaa (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-5-A, Assigned Aaa (sf)

Cl. A-5-X*, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-6-A, Assigned Aaa (sf)

Cl. A-6-X*, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

Cl. A-7-A, Assigned Aaa (sf)

Cl. A-7-X*, Assigned Aaa (sf)

Cl. A-8, Assigned Aaa (sf)

Cl. A-8-A, Assigned Aaa (sf)

Cl. A-8-X*, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-9-A, Assigned Aaa (sf)

Cl. A-9-X*, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. A-10-A, Assigned Aaa (sf)

Cl. A-10-X*, Assigned Aaa (sf)

Cl. A-11, Assigned Aaa (sf)

Cl. A-11-X*, Assigned Aaa (sf)

Cl. A-11-A, Assigned Aaa (sf)

Cl. A-11-AI*, Assigned Aaa (sf)

Cl. A-11-B, Assigned Aaa (sf)

Cl. A-11-BI*, Assigned Aaa (sf)

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aa1 (sf)

Cl. A-15, Assigned Aa1 (sf)

Cl. A-16, Assigned Aaa (sf)

Cl. A-17, Assigned Aaa (sf)

Cl. A-X-1*, Assigned Aa1 (sf)

Cl. A-X-2*, Assigned Aa1 (sf)

Cl. A-X-3*, Assigned Aaa (sf)

Cl. A-X-4*, Assigned Aa1 (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-2, Assigned A3 (sf)

Cl. B-3, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba3 (sf)

Cl. B-5, Assigned 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 0.46%
at the mean, 0.25% at the median, and reaches 5.25% at a stress
level consistent with Moody's Aaa ratings.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of US RMBS as the US economy continues on
the path toward normalization. Economic activity will continue to
strengthen in 2021 because of several factors, including the
rollout of vaccines, growing household consumption and an
accommodative central bank policy. However, specific sectors and
individual businesses will remain weakened by extended pandemic
related restrictions.

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 10.0%
(6.71% 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

As of the cut-off date of June 1, 2021, the $324,160,034 pool
consisted of 769 mortgage loans secured by first liens on
residential investment properties. The average stated principal
balance is $421,535 and the weighted average (WA) current mortgage
rate is 3.14%. The majority of the loans have a 30 year term, with
5 loans with terms ranging from 25 to 27 years. All of the loans
have a fixed rate. The WA original credit score is 772 for the
primary borrower only and the WA combined original LTV (CLTV) is
59.2%. The WA original debt-to-income (DTI) ratio is 37.3%.
Approximately, 12.8% by loan balance of the borrowers have more
than one mortgage loan in the mortgage pool.

Over half of the mortgage loans by loan balance (58.4%) are backed
by properties located in California. The next largest geographic
concentration of properties are Washington, which represents 10.6%
by loan balance, New Jersey, which represents 3.7% by loan balance,
Massachusetts, which represents about 3.2% by loan balance, New
York, which represents 3.2% by loan balance and Arizona, which
represents 3.2% by loan balance. All other states each represents
less than 3% by loan balance. Loans backed by single family
residential properties represent 39.5% (by loan balance) of the
pool.

Approximately 22.8% of the mortgage loans by count are "Appraisal
Waiver" (AW) loans, whereby the sponsor obtained an AW for each
such mortgage loan from Fannie Mae or Freddie Mac through their
respective programs. In each case, neither Fannie Mae nor Freddie
Mac required an appraisal of the related mortgaged property as a
condition of approving the related mortgage loan for purchase by
Fannie Mae or Freddie Mac, as applicable.

Origination quality

loanDepot originated 100% of the loans in the pool. These loans
were underwritten in conformity with GSE guidelines with
predominantly non-material overlays. Moody's consider loanDepot's
origination quality to be in line with its peers due to: (1)
adequate underwriting policies and procedures, (2) acceptable
performance with low delinquency and repurchase and (3) adequate
quality control. Therefore, Moody's have not applied an additional
adjustment for origination quality.

Servicing arrangements

Moody's consider the overall servicing arrangement for this pool to
be adequate. Cenlar FSB (Cenlar) will service all the mortgage
loans in the transaction. Wells Fargo Bank, N.A. (Long term debt
Aa2) will serve as the master servicer. The servicing
administrator, loanDepot, will be primarily responsible for funding
certain servicing advances of delinquent scheduled interest and
principal payments for the mortgage loans, unless the servicer
determines that such amounts would not be recoverable. The master
servicer will be obligated to fund any required monthly advance if
the servicing administrator fails in its obligation to do so.
Moody's did not make any adjustments to Moody's base case and Aaa
stress loss assumptions based on this servicing arrangement.

Servicing compensation in this transaction is based on a
fee-for-service incentive structure. The servicer receives higher
fees for labor-intensive activities that are associated with
servicing delinquent loans, including loss mitigation, than they
receive for servicing a performing loan, which is less labor
intensive. The fee-for-service compensation is reasonable and
adequate for this transaction because it better aligns the
servicer's costs with the deal's performance. Furthermore, higher
fees for the more labor-intensive tasks make the transfer of these
loans to another servicer easier, should that become necessary.

Third-party review

Two independent third-party review firms, Recovco Mortgage
Management, LLC. (Recovco) and Consolidated Analytics, Inc.
(collectively TPR firms) were engaged to conduct due diligence for
credit, regulatory compliance, property valuation, and data
accuracy on a total of 33.6% (by loan count) of the loan pool. Of
the pool of 769 loans, the TPR firms conducted due-diligence on a
sample of 258 loans (originally 260 loans) loans. Moody's
calculated the credit-neutral sample size using a confidence
interval, error rate and a precision level of 95%/5%/2%. The number
of loans that went through a full due diligence review (258) is
below Moody's calculated threshold. Moody's therefore, applied an
adjustment to Moody's losses.

Representations and Warranties Framework

The R&W provider and the guarantor are both loanDepot entities,
which may not have the financial wherewithal to purchase defective
loans. The Guarantor (LD Holdings Group LLC) will guarantee certain
performance obligations of the R&W provider (loanDepot.com, LLC).
Moreover, unlike other transactions that Moody's have rated, the
R&W framework for this transaction does not include a mechanism
whereby loans that experience an early payment default (EPD) are
repurchased. Moody's have adjusted Moody's Aaa CE and expected
losses to account for these weaknesses in the R&W framework.

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 to the senior bonds, and then
interest and principal payments to each subordinate bond. As in all
transactions with shifting interest structures, the senior bonds
benefit from a cash flow waterfall that allocates all prepayments
to the senior bond for a specified period of time, and increasing
amounts of prepayments to the subordinate bonds thereafter, but
only if loan performance satisfies delinquency and loss tests.

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 super senior bonds until their principal balance
is written off.

Tail risk & subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to eroding credit enhancement
over time and increased performance volatility, known as tail risk.
To mitigate this risk, the transaction provides for a senior
subordination floor of 1.05% 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 0.95% 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 and the subordinate floor of 1.05% and 0.95%,
respectively, are consistent with the credit neutral floors for the
assigned ratings.

Factors that would lead to an upgrade or downgrade of the ratings:

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


MF1 2021-FL6: DBRS Gives Prov. B(low) Rating on Class G Notes
-------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by MF1 2021-FL6 Ltd.:

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)

All trends are Stable.

Coronavirus Overview

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remains highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, feeling
more immediate effects. Accordingly, DBRS Morningstar may apply
additional short-term stresses to its rating analysis. For example,
DBRS Morningstar may front-load default expectations and/or assess
the liquidity position of a structured finance transaction with
more stressful operational risk and/or cash flow timing
considerations.

The initial collateral consists of 37 floating-rate mortgage loans
secured by 51 transitional multifamily and one senior housing
property totaling $993.2 million (57.9% of the total fully funded
balance), excluding $101.0 million of remaining future funding
commitments and $620.5 million of pari passu debt. Two loans (LA
Multifamily Portfolio III and SF Multifamily Portfolio III),
representing 1.3% of the trust balance, are associated with the
same sponsorship group and these loans allow the borrower to
acquire and bring properties into the trust post-closing through
future funding up to a maximum whole-loan balance of $100.0 million
for each individual loan, which is accounted for in figures and
metrics throughout the report. Of the 37 loans, there are five
unclosed, delayed-close loans as of June 8, 2021: Park Portfolio
(#3), Venn on Market (#4), Crystal Tower Apartments (#10),
Convivium (#12) and The Windale (#36), representing a total initial
pool balance of 18.5%. The Issuer has 45 days post-closing to
acquire the delayed-close assets.

In addition, the transaction is structured with a 90-day ramp-up
acquisition period whereby the Issuer plans to acquire up to $306.8
million of additional collateral, as well as a 24-month
reinvestment period. After the 90-day ramp-up acquisition period
and the 24-month reinvestment period, the Issuer projects a target
pool balance of $1.3 billion. DBRS Morningstar assessed the ramp
loans using a conservative pool construct and, as a result, the
ramp loans have expected losses above the pool WA loan expected
losses. Reinvestment of principal proceeds during the reinvestment
period is subject to Eligibility Criteria which, among other
criteria, includes a no-downgrade rating agency confirmation (RAC)
by DBRS Morningstar for all new mortgage assets and funded
companion participations exceeding $1.0 million. If a delayed-close
loan is not expected to close or fund prior to the purchase
termination date, the expected purchase price will be credited to
the unused proceeds amount to be used by the Issuer to acquire
ramp-up mortgage assets during the ramp-up acquisition period. Any
funds in excess of $5.0 million after the ramp-up completion date
will be transferred to the payment account and applied as principal
proceeds in accordance with the priority of payments. The
Eligibility Criteria indicates that all loans acquired within the
ramp-up period must be secured by either multifamily, student
housing, or senior housing properties. Furthermore, certain events
within the transaction require the Issuer to obtain RAC. DBRS
Morningstar will confirm that a proposed action or failure to act
or other specified event will not, in and of itself, result in the
downgrade or withdrawal of the current rating. The Issuer is not
required to obtain RAC for acquisitions of companion participations
less than $1.0 million.

The loans are mostly secured by cash flowing assets, many of which
are in a period of transition with plans to stabilize and improve
the asset value. In total, 22 loans, representing 53.1% of the
pool, have remaining future funding participations totaling $101.0
million, which the Issuer may acquire in the future.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the debt service
payments were measured against the DBRS Morningstar As-Is Net Cash
Flow (NCF), 28 loans, comprising 74.9% of the pool, had a DBRS
Morningstar As-Is Debt Service Coverage Ratio (DSCR) below 1.00x, a
threshold indicative of elevated default risk. However, the DBRS
Morningstar Stabilized DSCRs for only three loans, representing
5.0% of the initial pool balance, are below 1.00x. The properties
are often transitioning with potential upside in cash flow,
however, DBRS Morningstar does not give full credit to the
stabilization if there are no holdbacks or if other structural
features in place are insufficient to support such treatment.
Furthermore, even with the structure provided, DBRS Morningstar
generally does not assume the assets to stabilize above market
levels.

Seven loans, representing 23.0% of the pool, are in areas
identified as DBRS Morningstar Market Ranks of 7 or 8, which are
generally characterized as highly dense urbanized areas that
benefit from increased liquidity driven by consistently strong
investor demand, even during times of economic stress. DBRS
Morningstar Market Ranks of 7 and 8 benefit from lower default
frequencies than less dense suburban, tertiary, and rural markets.
Urban markets represented in the deal include Los Angeles, Seattle,
New York, and San Francisco.

Fifteen loans, representing 47.3% of the pool balance, have
collateral in Metropolitan Statistical Area (MSA) Group 3, which is
the best-performing group in terms of historical commercial
mortgage-backed securities (CMBS) default rates among the top 25
MSAs. MSA Group 3 has a historical default rate of 17.2%, which is
nearly 10.8 percentage points lower than the overall CMBS
historical default rate of 28.0%.

The pool exhibits a Herfindahl score of 27.4, which is favorable
for a commercial real estate collateralized loan obligation and
notably higher than previous transactions rated by DBRS Morningstar
including MF1 2021-FL5, with a Herfindahl score of 26.9; MF1
2020-FL4, with a Herfindahl score of 13.9; and MF1 2020-FL3, with a
Herfindahl score of 23.1. Per the transaction's Eligibility
Criteria, the Herfindahl score is permitted to be as low as 14.0 at
the conclusion of the ramp-up acquisition period.

Based on the initial pool balances, the overall WA DBRS Morningstar
As-Is DSCR of 0.69x and WA DBRS Morningstar As-Is Loan-to-Value
Ratio (LTV) of 77.1% generally reflect high-leverage financing.
Most of the assets are generally well positioned to stabilize, and
any realized cash flow growth would help to offset a rise in
interest rates and improve the overall debt yield of the loans.
DBRS Morningstar associates its loss severity given default based
on the assets' as-is LTV, which does not assume that the
stabilization plan and cash flow growth will ever materialize. The
DBRS Morningstar As-Is DSCR at issuance does not consider the
sponsor's business plan, as the DBRS Morningstar As-Is 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 WA DBRS Morningstar
Stabilized NCF, the WA DBRS Morningstar DSCR is estimated to
improve to 1.23x, suggesting that the properties are likely to have
improved NCFs once the sponsors business plans have been
implemented.

All loans have floating interest rates and are interest only during
the initial term, which ranges from 24 months to 36 months,
creating interest rate risk. The borrowers of all 37 loans have
purchased Libor rate caps, ranging between 0.25% and 3.00%, to
protect against rising interest rates over the term of the loan.
All loans are short term and, even with extension options, have a
fully extended loan term of five years maximum. Additionally, all
loans have extension options and, in order to qualify for these
options, the loans must meet minimum DSCR and LTV requirements.
Sixteen loans, representing 44.5% of the initial trust balance,
amortize on 30-year schedules during all or a portion of their
extension options.

Notes: All figures are in U.S. dollars unless otherwise noted.



MFA 2021-RPL1: DBRS Gives Prov. B Rating on Class B-2 Notes
-----------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Notes, Series 2021-RPL1 (the Notes) to be issued by
MFA 2021-RPL1 Trust (the Trust):

-- $376.0 million Class A-1 at AAA (sf)
-- $24.6 million Class A-2 at AA (sf)
-- $16.8 million Class M-1 at A (sf)
-- $17.3 million Class M-2 at BBB (sf)
-- $16.1 million Class B-1 at BB (sf)
-- $17.3 million Class B-2 at B (sf)

The AAA (sf) rating on the Notes reflects 20.55% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 15.35%, 11.80%,
8.15%, 4.75%, and 1.10% of credit enhancement, respectively.

Other than the specified classes 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 the Notes. The Notes are backed by 2,151 loans with a
total principal balance of $473,197,059 as of the Cut-Off Date
(April 30, 2021).

The loans are approximately 181 months seasoned. As of the Cut-Off
Date, 97.7% of the pool is current and 2.3% is 30 days delinquent
under the Mortgage Bankers Association (MBA) method. Approximately
57.5% of the mortgage loans have been 0 x 30 for at least the past
24 months, 80.9% have been 0 x 30 for the past 12 months, and 97.7%
have been 0 x 30 for the past six months.

The portfolio contains 86.4% modified loans. Within the pool, 890
mortgages (44.4%) have non-interest-bearing deferred amounts as of
the Cut-Off Date, which equates to 7.8% of the total principal
balance. The modifications happened more than two years ago for
91.6% of the modified loans.

As the Sponsor, MFA Financial, Inc., or a majority-owned affiliate,
will acquire and retain at least a 5% eligible horizontal interest
in the securities to be issued to satisfy the credit risk retention
requirements. These loans were originated and previously serviced
by various entities through purchases in the secondary market.

The loans will be serviced by Fay Servicing, LLC (60.4%), Select
Portfolio Servicing, Inc. (23.5%), and Planet Home Lending, LLC
(16.1%).

There will be no advancing of delinquent principal or interest on
the mortgages by the Servicers or any other party to the
transaction; however, the Servicers are obligated to make advances
in respect of homeowner's association fees, taxes and insurance,
reasonable costs, and expenses incurred in the course of servicing
and disposing of properties.

The Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 60 or more days
delinquent under the MBA at a price equal to the principal balance
of such loan.

On or after the earlier of (1) the three-year anniversary of the
Closing Date or (2) the date when the aggregate principal balance
of the mortgage loans is reduced to 10% of the Cut-Off Date
balance, the Sponsor has the option to purchase all of the Notes at
the Redemption Price. The Redemption Price is equal to (1) the
remaining aggregate note amount of the Notes; (2) accrued and
unpaid interest, including any interest shortfall and net
weighted-average coupon shortfall amounts; (3) unreimbursed post
Cut-Off Date deferred amounts allocated as realized losses; and (4)
any fees and expenses of the transaction parties.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Class A-1 and A-2 Notes, but such shortfalls on Class M-1 and more
subordinate bonds will not be paid until the more senior classes
are retired.

Coronavirus Pandemic 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
loan-to-value (LTV) 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 (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.

In addition, for this transaction, as permitted by the Coronavirus
Aid, Relief, and Economic Security Act, signed into law on March
27, 2020, 14.3% of the borrowers have completed coronavirus-related
relief plans because the borrowers reported financial hardship
related to the coronavirus pandemic. These forbearance plans
allowed temporary payment holidays, generally followed by repayment
once the forbearance period ends.

Notes: All figures are in U.S. dollars unless otherwise noted.


MOFT TRUST 2020-ABC: DBRS Confirms B(low) Rating on Class D Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed all ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2020-ABC (the Trust) issued by
MOFT Trust 2020-ABC as follows:

-- Class X-A at A (sf)
-- Class A at A (low) (sf)
-- Class B at BBB (low) (sf)
-- Class C at BB (low) (sf)
-- Class D at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction. The transaction closed in February 2020 and
consists of a $328.0 million participation in a $770.0 million
whole mortgage loan. The components of the whole mortgage loan
securitized in this transaction include $1.0 million of the Senior
Trust Notes and all of the $327.0 million in Junior Trust Notes.
The remaining $442.0 million of Senior Trust Notes were later
securitized across seven commercial mortgage-backed securities
(CMBS) transaction, including two DBRS Morningstar-rated
transactions (BMARK 2020-IG2 and BMARK 2020-IG3). Loan proceeds
paid off existing debt totaling $364.0 million, returned $314.1
million of cash equity to the sponsor, covered unfunded sponsor
obligations totaling $89.2 million, and paid closing costs of $2.7
million.

The 10-year interest-only (IO) whole mortgage loan is secured by
the fee-simple interest in three Class A office buildings totaling
more than 950,000 square feet (sf) in Sunnyvale, California. The A,
B, and C buildings were built in 2008 by Jay Paul Company and are a
component of the larger Moffett Towers technology office campus.
The three buildings are 100% leased to five tenants, including two
high-investment-grade tenants Google, LLC (Google) and Comcast
Cable Communications (Comcast) accounting for 97.4% of net rentable
area (NRA).

The loan reported a YE2020 net cash flow (NCF) of $34.3 million
(resulting in a 1.26 times (x) debt service coverage ratio (DSCR)),
lower than the Issuer's underwritten NCF of $56.9 million (2.09x
DSCR) and the DBRS Morningstar NCF of $47.9 million. However, DBRS
Morningstar and the Issuer anticipated this lower NCF because the
rent commencement dates for Google's space in buildings B and C did
not occur until May 2021 and June 2020, respectively, and the loan
included $34.0 million of free rent/gap rent reserves. Per the May
2021 loan-level reserve report, there was $6.3 million remaining in
the reserve account.

The February 2021 rent roll showed the collateral remains 100%
occupied with a high concentration of investment-grade tenants.
Google occupies 85.7% of NRA, and the tenant's parent company,
Alphabet, carries a high corporate credit rating. The three Google
leases feature staggered lease expiration terms of June 2026,
September 2027, and May 2031, respectively, which reduce the
rollover risk. The second-largest tenant, Comcast (11.7% of NRA;
lease expiration of October 2027), is also an investment-grade
entity.

Notes: All figures are in U.S. dollars unless otherwise noted.


MORGAN STANLEY 2019-H7: Fitch Affirms B- Rating on G-RR Certs
-------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Morgan Stanley Capital I
Trust, commercial mortgage pass-through certificates, series
2019-H7 (MSC 2019-H7). Fitch has also affirmed the 2019 H7 III
Trust horizontal risk retention pass through certificate (MOA
2020-H7 E).

    DEBT              RATING           PRIOR
    ----              ------           -----
MSC 2019-H7

A-1 61771MAS9   LT  AAAsf   Affirmed   AAAsf
A-2 61771MAT7   LT  AAAsf   Affirmed   AAAsf
A-3 61771MAV2   LT  AAAsf   Affirmed   AAAsf
A-4 61771MAW0   LT  AAAsf   Affirmed   AAAsf
A-S 61771MAZ3   LT  AAAsf   Affirmed   AAAsf
A-SB 61771MAU4  LT  AAAsf   Affirmed   AAAsf
B 61771MBA7     LT  AA-sf   Affirmed   AA-sf
C 61771MBB5     LT  A-sf    Affirmed   A-sf
D 61771MAC4     LT  BBBsf   Affirmed   BBBsf
E-RR 61771MAE0  LT  BBB-sf  Affirmed   BBB-sf
F-RR 61771MAG5  LT  BB-sf   Affirmed   BB-sf
G-RR 61771MAJ9  LT  B-sf    Affirmed   B-sf
X-A 61771MAX8   LT  AAAsf   Affirmed   AAAsf
X-B 61771MAY6   LT  A-sf    Affirmed   A-sf
X-D 61771MAA8   LT  BBBsf   Affirmed   BBBsf

MOA 2020-H7 E

E-RR 90215MAA1 LT BBB-sf  Affirmed BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations; Coronavirus Concerns: While pool
performance continues to remain relatively stable, the Negative
Outlooks reflect additional stresses applied to loans affected by
the coronavirus pandemic. Fifteen loans (23.6% of pool), including
one (0.9%) in special servicing were designated Fitch Loans of
Concern (FLOCs).

Fitch's current ratings incorporate a base case loss of 4.40%. The
Negative Outlooks reflect losses that could reach 5.80% when
factoring in additional pandemic-related stresses.

Fitch Loans of Concern: The largest contributor to loss
expectations, Embassy Suites at Centennial Olympic Park (5.9%), is
secured by a 321-key, full service hotel in Atlanta, GA. The loan,
which is sponsored by Legacy Ventures, was designated a FLOC due
concerns with performance from the impact of the coronavirus
pandemic. Coronavirus relief was granted by the special servicer as
a non-transfer matter.

Occupancy and servicer-reported NOI DSCR for this amortizing loan
were 39% and 0.42x at YE 2020 compared with 83% and 1.71x at YE
2019 and 84% and 1.90x at issuance. Per STR and as of the TTM ended
February 2021, the hotel was outperforming its competitive set with
a RevPAR penetration rate of 144.6%. Fitch's loss expectation of
approximately 22% reflects a 11.25% cap rate and 26% total haircut
to YE 2019 NOI to account for pandemic-related stresses.

The second largest contributor to loss expectations, Marriott
Metairie at Lakeway (2.2%), is secured by a 220-key, full service
hotel in Metairie, LA. The loan, which is sponsored by Navika
Capital Group, transferred to special servicing in June 2020. The
borrower and special servicer agreed to modification terms and a
reinstatement agreement closed in April 2021. The loan returned to
the master servicer in June 2021. Occupancy and servicer-reported
NOI DSCR were 67% and 1.93x at YE 2019 for this three-year partial
term interest-only loan, down from 78% and 2.55x at issuance.
Fitch's loss expectation is based on a discount to the recent
servicer provided valuation.

Exposure to Coronavirus Pandemic: Nine loans (19.8%) are secured by
hotel properties. The weighted average NOI DSCR for all the hotel
loans is 2.00x. These hotel loans could sustain a weighted average
decline in NOI of 51% before DSCR falls below 1.00x. Seventeen
loans (31.9%) are secured by retail properties. The weighted
average NOI DSCR for all retail loans is 2.36x. These retail loans
could sustain a weighted average decline in NOI of 58% before DSCR
fall below 1.00x. Additional coronavirus specific stresses were
applied to all nine hotel loans (19.8%) and four retail loans
(2.9%). These additional stresses contributed to the Negative
Outlooks on classes F-RR and G-RR.

Minimal Change to Credit Enhancement: As of the June 2021
distribution date, the pool's aggregate balance has been paid down
by 0.7% to $741.6 million from $747 million at issuance. Twenty-six
loans (59.0%) are full-term, interest-only, and 16 (17.7%) have a
partial-term, interest-only component. No loans are defeased.
Interest Shortfalls of $45,292 are currently affecting the
non-rated class H-RR.

Pool Concentration: The top 10 loans comprise 48.5% of the pool.
Loan maturities are concentrated in 2029 (95.9%). Based on property
type, the largest concentrations are retail at 31.9%, hotel at
19.8% and multifamily at 13.6%.

RATING SENSITIVITIES

The Negative Outlooks on classes F-RR and G-RR reflect the
potential for downgrades given concerns with the FLOCs, primarily
the loans affected by the coronavirus pandemic. The Stable Outlooks
on classes A-1 through E-RR, X-A, X-B, X-D and pass through MOA
2020-H7 E reflect sufficient credit enhancement (CE) and the
expectation of paydown from continued amortization.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

-- Stable to improved asset performance coupled with paydown
    and/or defeasance. Upgrades of classes B through E-RR, X-B, X
    D and pass through MOA 2020-H7 E may occur with significant
    improvement in CE and/or defeasance but would be limited based
    on sensitivity to concentrations or the potential for future
    concentration. The Negative Outlooks on classes F-RR and G-RR
    will be revised to Stable if loans affected by the pandemic
    stabilize and return to their pre-pandemic performance.

-- Classes would not be upgraded above 'Asf' if there is a
    likelihood for interest shortfalls. Upgrades of classes F-RR
    and G-RR could occur if performance of the FLOCs improves
    significantly and/or if there is sufficient CE, which would
    likely occur if 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 expected losses from underperforming
    or specially serviced loans. Downgrades of classes rated
    'AAAsf' are not likely due to sufficient CE and expected
    continued amortization but would occur at the 'AAAsf' and
    'AAsf' levels if interest shortfalls occur.

-- Downgrades of classes in the 'Asf' and 'BBBsf' categories
    would occur if additional loans become FLOCs or if performance
    of the FLOCs deteriorates further. Classes F-RR and G-RR would
    be downgraded if additional loans become FLOCs, performance of
    the FLOCs declines and/or losses on the loans affected by the
    coronavirus pandemic materialize.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

MOA 2020-H7 E is the horizontal risk retention pass through
certificate from MSC 2019-H7. The rating and Outlook reflect a pass
through of the current rating and Outlook on the underlying
certificate.

ESG CONSIDERATIONS

Unless otherwise d isclosed 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 2020-HR8: DBRS Confirms BB Rating on Cl. J-RR Certs
------------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-HR8,
issued by Morgan Stanley Capital I Trust 2020-HR8 (MSC 2020-HR8):

-- Class A-1 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-3-1 at AAA (sf)
-- Class A-3-2 at AAA (sf)
-- Class A-3-X1 at AAA (sf)
-- Class A-3-X2 at AAA (sf)
-- Class A-4-1 at AAA (sf)
-- Class A-4-2 at AAA (sf)
-- Class A-4-X1 at AAA (sf)
-- Class A-4-X2 at AAA (sf)
-- Class A-S-1 at AAA (sf)
-- Class A-S-2 at AAA (sf)
-- Class A-S-X1 at AAA (sf)
-- Class A-S-X2 at AAA (sf)
-- Class B at AAA (sf)
-- Class X-B at AA (low) (sf)
-- Class X-D at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class D at A (high) (sf)
-- Class E-RR at A (low) (sf)
-- Class F-RR at A (low) (sf)
-- Class G-RR at BBB (sf)
-- Class H-RR at BB (high) (sf)
-- Class J-RR at BB (sf)
-- Class K-RR at B (high) (sf)
-- Class L-RR at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the underlying loans in the transaction, which generally remain in
line with DBRS Morningstar's expectations. The trust consists of 43
fixed-rate loans secured by 76 commercial and multifamily
properties with an original balance of $691.0 million. As of the
May 2021 remittance report, all of the original loans remain in the
pool and there has been nominal collateral reduction of 0.1% since
issuance. Amortization has been limited, as 31 of the loans,
representing 73.7% of the current pool balance, are structured as
interest only (IO) and an additional seven loans, representing
15.9% of the current pool balance, are structured as partial IO and
remain in their respective IO periods.

Based on DBRS Morningstar property type assumptions for the
collateral pool, property type concentration is relatively diverse,
with the highest property type concentration by loan balance
consisting of office assets (10 loans accounting for 28.5% of the
current pool balance). Loans secured by multifamily properties and
mixed-use properties account for the second- and third-highest
property type concentration, with 12 loans representing 27.8% of
the current pool balance and seven loans representing 26.5% of the
current pool balance, respectively. Only one loan, Bellagio Hotel
and Casino (Prospectus ID#6; 5.7% of the current pool balance), is
secured by a lodging property. As of May 2021 reporting, there are
no delinquent or specially serviced loans, nor are there any loans
on the servicer's watchlist.

At issuance, DBRS Morningstar assigned an investment-grade shadow
rating to two loans: 525 Market Street (Prospectus ID#5; 5.8% of
the current pool) and Bellagio Hotel and Casino. With this review,
DBRS Morningstar confirmed that the respective performance of each
of these loans remains consistent with the characteristics of an
investment-grade loan.

Classes X-A, X-B, X-D, A-3-X1, A-3-X2, A-4-X1, A-4-X2, A-S-X1, and
A-S-X2 are interest-only (IO) certificates that reference a single
rated tranche or multiple rated tranches. The IO rating mirrors the
lowest-rated applicable reference obligation tranche adjusted
upward by one notch if senior in the waterfall.

Notes: All figures are in U.S. dollars unless otherwise noted.


MORGAN STANLEY 2021-3: Fitch Affirms B(EXP) Rating on B-5 Debt
--------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Morgan Stanley
Residential Mortgage Loan Trust 2021-3.

DEBT                 RATING
----                 ------
MSRM 2021-3

A-1      LT  AAA(EXP)sf   Expected Rating
A-1-IO   LT  AAA(EXP)sf   Expected Rating
A-10     LT  AAA(EXP)sf   Expected Rating
A-1A-IO  LT  AAA(EXP)sf   Expected Rating
A-2      LT  AAA(EXP)sf   Expected Rating
A-3      LT  AAA(EXP)sf   Expected Rating
A-3-A    LT  AAA(EXP)sf   Expected Rating
A-3A-IO  LT  AAA(EXP)sf   Expected Rating
A-4      LT  AAA(EXP)sf   Expected Rating
A-4-A    LT  AAA(EXP)sf   Expected Rating
A-4A-IO  LT  AAA(EXP)sf   Expected Rating
A-5      LT  AAA(EXP)sf   Expected Rating
A-5-A    LT  AAA(EXP)sf   Expected Rating
A-5A-IO  LT  AAA(EXP)sf   Expected Rating
A-6      LT  AAA(EXP)sf   Expected Rating
A-6-IO   LT  AAA(EXP)sf   Expected Rating
A-7      LT  AAA(EXP)sf   Expected Rating
A-8      LT  AAA(EXP)sf   Expected Rating
A-8-IO   LT  AAA(EXP)sf   Expected Rating
A-9      LT  AAA(EXP)sf   Expected Rating
A-9-IO   LT  AAA(EXP)sf   Expected Rating
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

Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by Morgan Stanley Residential Mortgage Loan
Trust 2021-3 (MSRM 2021-3) as indicated above.

This is the sixth post-crisis transaction off the MSRM Trust shelf;
the first transaction was issued in 2014. This is the fourth MSRM
transaction that comprises loans from various sellers and acquired
by Morgan Stanley in its prime jumbo aggregation process.

The certificates are supported by 344 prime-quality loans with a
total balance of approximately $317.57 million as of the cutoff
date. The servicer in this transaction is Specialized Loan
Servicing LLC (SLS). Nationstar Mortgage LLC will be the master
servicer.

Of the loans, 100.0% qualify as safe harbor qualified mortgage
(SHQM) or agency-eligible temporary QM loans.

There is no exposure to Libor in this transaction. The collateral
comprise of 100% fixed-rate loans from various mortgage
originators, and the certificates are fixed rate and capped at the
net weighted average coupon (WAC), are floating- or inverse
floating-rate bonds based off of the SOFR index and capped at the
net WAC or are based on the net WAC.

Like other prime transactions, the transaction utilizes a
senior-subordinate, shifting-interest structure with subordination
floors to protect against tail risk.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists of
30-year fixed-rate fully amortizing loans, seasoned approximately
five months in aggregate as determined by Fitch (three months per
the transaction documents). Most of the loans were originated
through the sellers' retail channels. The borrowers in this pool
have strong credit profiles (776 FICO as determined by Fitch) and
relatively low leverage (74.2% sustainable loan to value [sLTV]
ratio as determined by Fitch). 93 loans are over $1 million, and
the largest totals $2.77 million. Fitch considered 100% of the
loans in the pool to be fully documented loans.

Shifting-Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.

CE Floor (Positive): A CE or senior subordination floor of 1.60%
has been considered to mitigate potential tail-end risk and loss
exposure for senior tranches as pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration. A junior subordination floor of 1.00% has been
considered to mitigate potential tail-end risk and loss exposure
for subordinate tranches as pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration.

Macro or Sector Risk (Positive): Consistent with the "Additional
Scenario Analysis" section of Fitch's "U.S. RMBS
Coronavirus-Related Analytical Assumptions" criteria, Fitch will
consider applying additional scenario analysis based on stressed
assumptions as described in the section to remain consistent with
significant revisions to Fitch's macroeconomic baseline scenario or
if actual performance data 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 a
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."

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analyses were conducted at
the state and national levels to assess the effect of higher MVDs
for the subject pool as well as lower MVDs, illustrated by a gain
in home prices.

Factor that could, individually or collectively, lead to a negative
rating action/downgrade:

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 40.5% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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 SitusAMC, Digital Risk, and Infinity. The third-party
due diligence described in Form 15E focused on four areas:
compliance review, credit review, valuation review and data
integrity. Fitch considered this information in its analysis and,
as a result, Fitch did not make any adjustment(s) to its analysis
based on the findings. Due to the fact that there was 100% due
diligence provided and there were no material findings, Fitch
reduced the 'AAAsf' expected loss by 0.22%.

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, Digital Risk, and Infinity were engaged to perform the
review. Loans reviewed under this engagement were given compliance,
credit and valuation grades, and assigned initial grades for each
subcategory. Minimal exceptions and waivers were noted in the due
diligence reports. Refer to the Third-Party Due Diligence section
of the presale report for more detail.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


NEUBERGER BERMAN 37: S&P Assigns Prelim 'BB-' Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from Neuberger Berman
Loan Advisers CLO 37 Ltd./Neuberger Berman Loan Advisers CLO 37
LLC, a CLO originally issued in 2020 that is managed by Neuberger
Berman Loan Advisers II LLC.

The preliminary ratings are based on information as of June 17,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the June 25, 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 notes are expected to be issued at a
lower weighted average cost of debt than the existing notes.

-- The stated maturity and the reinvestment period will both be
unchanged.

-- The transaction is adding the ability to purchase loss
mitigation obligation and is updating benchmark replacement
language.

-- Certain concentration limitations are being updated.

-- The required minimum overcollateralization and interest
diversion test will be amended.

-- 99.56% of the identified underlying collateral obligations have
credit ratings assigned by S&P Global Ratings.

-- 96.43% of the identified underlying collateral obligations have
recovery ratings assigned by S&P Global Ratings.

  Replacement And Existing Note Issuances

  Replacement notes

  Class A-R, $256.00 million: Three-month LIBOR + 0.97%
  Class B-R, $48.00 million: Three-month LIBOR + 1.45%
  Class C-R (deferrable), $24.00 million: Three-month LIBOR +
1.80%
  Class D-R (deferrable), $24.00 million: Three-month LIBOR +
2.85%
  Class E-R (deferrable), $16.00 million: Three-month LIBOR +
5.75%

Existing notes

  Class A-1, $240.00 million: Three-month LIBOR + 1.75%
  Class A-2, $8.00 million: Three-month LIBOR + 1.90%
  Class B, $52.00 million: Three-month LIBOR + 2.20%
  Class C (deferrable), $24.00 million: Three-month LIBOR + 2.50%
  Class D (deferrable), $22.00 million: Three-month LIBOR + 4.00%
  Class E (deferrable), $14.00 million: Three-month LIBOR + 7.05%

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."

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

  Neuberger Berman Loan Advisers CLO 37 Ltd./Neuberger Berman Loan
Advisers CLO 37 LLC

  Class A-R, $256.00 million: 'AAA (sf)'
  Class B-R, $48.00 million: 'AA (sf)'
  Class C-R (deferrable), $24.00 million: 'A (sf)'
  Class D-R (deferrable), $24.00 million: 'BBB- (sf)'
  Class E-R (deferrable), $16.00 million: 'BB- (sf)'
  Subordinated notes, $38.40 million: not rated



NEUBERGER BERMAN 42: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Neuberger
Berman Loan Advisers CLO 42 Ltd./Neuberger Berman Loan Advisers CLO
42 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
and governed by collateral quality tests. The notes are managed by
Neuberger Berman Loan Advisers II LLC.

The preliminary ratings are based on information as of June 21,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The experience of the collateral manager's team, which can
affect the 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

  Neuberger Berman Loan Advisers CLO 42 Ltd./Neuberger Berman Loan
Advisers CLO 42 LLC

  Class A, $179.00 million: AAA (sf)
  Class A-L, $190.00 million: AAA (sf)
  Class B, $87.00 million: AA (sf)
  Class C (deferrable), $36.00 million: A (sf)
  Class D (deferrable), $36.00 million: BBB- (sf)
  Class E (deferrable), $22.50 million: BB- (sf)
  Subordinated notes, $58.00 million: Not rated



NORTHWOODS CAPITAL XV: Moody's Rates $24.3MM Class E-R Notes 'Ba3'
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by Northwoods Capital XV, Limited (the
"Issuer").

Moody's rating action is as follows:

US$270,000,000 Class A-1-R Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$11,700,000 Class A-2-R Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$52,650,000 Class B-R Senior Secured Floating Rate Notes Due
2034, Assigned Aa2 (sf)

US$12,050,000 Class C-1-R Mezzanine Secured Deferrable Floating
Rate Notes Due 2034, Assigned A2 (sf)

US$10,000,000 Class C-2-R Mezzanine Secured Deferrable Fixed Rate
Notes Due 2034, Assigned A2 (sf)

US$28,800,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Assigned Baa3 (sf)

US$24,300,000 Class E-R Junior 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 senior secured loans, and up to
10% of the portfolio may consist of non-senior secured loans.

Angelo, Gordon & Co., L.P. (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 "Adjusted Weighted Average Rating Factor" and
changes to the base matrix and modifiers.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Portfolio par: $446,347,683

Diversity Score: 70

Weighted Average Rating Factor (WARF): 3001

Weighted Average Spread (WAS): 3.55%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 46%

Weighted Average Life (WAL): 9 years

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.


OAKTREE CLO 2020-1: S&P Assigns BB (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class AR, BR, CR,
DR, and ER replacement notes from Oaktree CLO 2020-1 Ltd./Oaktree
CLO 2020-1 LLC, a CLO originally issued in June 2020 that is
managed by Oaktree Capital Management L.P.

On the June 21, 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 class AR, BR, CR, and DR notes were issued at a
lower spread over three-month LIBOR than the original notes.

-- The replacement class ER notes were issued at a higher spread
over three-month LIBOR than the original notes.

-- The non-call period was extended approximately two years, while
the reinvestment period and stated maturity were extended by five
years.

-- A 5.00% maximum bond bucket was added.

-- Of the identified underlying collateral obligations, 100.00%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 95.97%
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 Withdrawn

  Oaktree CLO 2020-1 Ltd./Oaktree CLO 2020-1 LLC

  Class A: to NR from AAA (sf)
  Class B: to NR from AA (sf)
  Class C: to NR from A (sf)
  Class D: to NR from BBB (sf)
  Class E: to NR from BB (sf)
  Other Outstanding Notes

  Oaktree CLO 2020-1 Ltd./Oaktree CLO 2020-1 LLC

  Subordinated notes(i), $40.500 million: NR

(i)There were originally $30.40 million in subordinated notes, but,
in connection with the refinancing, an additional $10.10 million in
subordinated notes were added.
NR--Not rated.



OBX 2021-NQM2: S&P Assigns Prelim B+(sf) Rating on Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OBX
2021-NQM2'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, condominiums, and two- to
four-family homes to both prime and nonprime borrowers. The pool
has 619 loans, which are primarily nonqualified mortgage/
ability-to-repay (ATR) compliant and ATR-exempt loans.

The preliminary ratings are based on information as of June 18,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The pool's collateral composition;

-- The transaction's credit enhancement, associated structural
mechanics, geographic concentration, and representation and
warranty framework;

-- The mortgage aggregator, Onslow Bay Financial 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 uses these assumptions about vaccine timing
in assessing the economic and credit implications associated with
the pandemic. As the situation evolves, we will update our
assumptions and estimates accordingly."

  Preliminary Ratings Assigned(i)

  OBX 2021-NQM2 Trust

  Class A-1, $301,367,000: AAA (sf)
  Class A-2, $21,620,000: AA (sf)
  Class A-3, $30,832,000: A (sf)
  Class M-1, $11,092,000: BBB (sf)
  Class B-1, $6,392,000: BB (sf)
  Class B-2, $3,384,000: B+ (sf)
  Class B-3, $1,316,964: NR
  Class A-IO-S, notional(ii): NR
  Class XS, notional(iii): NR
  Class R: NR

(i)The collateral and structural information in this report
reflects the term sheet dated June 11, 2021; the preliminary
ratings address the ultimate payment of interest and principal.

(ii)For the class A-IO-S notes, notional amount equals the loans'
stated principal balance for loans serviced by Select Portfolio
Servicing Inc., Specialized Loan Servicing LLC., and Shellpoint
Mortgage Servicing.

(iii)The notional amount equals the loans' aggregate stated
principal balance.
NR--Not rated.



PALMER SQUARE 2015-1: Moody's Gives B3 Rating to Class E-R4 Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by Palmer Square CLO 2015-1, Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$435,000,000 Class A-1a-4 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$29,000,000 Class A-1b-4 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$85,000,000 Class A-2-R4 Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

US$36,500,000 Class B-R4 Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

US$46,500,000 Class C-R4 Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

US$35,000,000 Class D-R4 Secured Deferrable Floating Rate Notes due
2034, Assigned Ba3 (sf)

US$13,750,000 Class E-R4 Secured Deferrable Floating Rate Notes due
2034, 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
90.0% 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 and unsecured loans.

Palmer Square Capital Management LLC (the "Manager") will continue
to direct the selection, acquisition and disposition of the assets
on behalf of the Issuer and may engage in trading activity,
including discretionary trading, during the transaction's extended
five year reinvestment period. Thereafter, subject to certain
restrictions, the Manager may reinvest unscheduled principal
payments and proceeds from sales of credit risk assets.

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; 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.

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: $725,000,000

Defaulted par: $0

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2949

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 47.25%

Weighted Average Life (WAL): 9 years

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in U.S. economic activity.

Moody's regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

Factors That Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.


PARALLEL 2021-1: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its 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 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

  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)
  Subordinated notes, $41.65 million: Not rated



PSMC 2021-2: S&P Assigns B (sf) Rating on Class B-5 Certificates
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to PSMC 2021-2 Trust's
mortgage pass-through certificates.

The certificate issuance is an RMBS securitization backed by
first-lien, fixed-rate, fully amortizing mortgage loans secured by
single-family residential properties, condominiums, and
planned-unit developments to prime borrowers.

S&P said, "After we assigned preliminary ratings on June 3, 2021,
the collateral pool was updated to reflect five loans removed from
the pool, three of which were paid off and two had become
delinquent. Bond sizes were reduced to the reflect the lower pool
balance with the credit enhancement and coupon unchanged for each
class. The final ratings assigned are unchanged from the
preliminary ratings we assigned for all classes."

The ratings reflect S&P's view of:

-- The high-quality collateral in the pool;

-- The available credit enhancement;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework (R&W) for this
transaction;

-- The geographic concentration;

-- The experienced aggregator;

-- The 100% due diligence results consistent with represented loan
characteristics; and

-- The impact that the economic stress brought on by the COVID-19
pandemic is likely to have on the performance of the mortgage
borrowers in the pool and liquidity available in the transaction.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

  Ratings Assigned

  PSMC 2021-2 Trust

  Class A-1, $299,700,000: AAA (sf)
  Class A-2, $299,700,000: AAA (sf)
  Class A-3, $224,775,000: AAA (sf)
  Class A-4, $224,775,000: AAA (sf)
  Class A-5, $14,985,000: AAA (sf)
  Class A-6, $14,985,000: AAA (sf)
  Class A-7, $59,940,000: AAA (sf)
  Class A-8, $59,940,000: AAA (sf)
  Class A-9, $36,853,000: AAA (sf)
  Class A-10, $36,853,000: AAA (sf)
  Class A-11, $239,760,000: AAA (sf)
  Class A-12, $74,925,000: AAA (sf)
  Class A-13, $239,760,000: AAA (sf)
  Class A-14, $74,925,000: AAA (sf)
  Class A-15, $336,553,000: AAA (sf)
  Class A-16, $336,553,000: AAA (sf)
  Class A-17, $44,955,000: AAA (sf)
  Class A-18, $14,985,000: AAA (sf)
  Class A-19, $44,955,000: AAA (sf)
  Class A-20, $14,985,000: AA (sf)
  Class A-21, $194,805,000: AAA (sf)
  Class A-22, $29,970,000: AAA (sf)
  Class A-23, $194,805,000: AAA (sf)
  Class A-24, $29,970,000: AAA (sf)
  Class A-25, $104,895,000: AAA (sf)
  Class A-26, $104,895,000: AAA (sf)
  Class A-X1, $336,553,000(i)(ii)(iii): AAA (sf)
  Class A-X2, $299,700,000(i)(ii)(iv): AAA (sf)
  Class A-X3, $224,775,000(i)(ii)(v): AAA (sf)
  Class A-X4, $14,985,000(i)(ii)(vi): AAA (sf)
  Class A-X5, $59,940,000(i)(ii)(vii): AAA (sf)
  Class A-X6, $36,853,000(i)(ii)(viii): AAA (sf)
  Class A-X7, $336,553,000(i)(ii)(iii): AAA (sf)
  Class A-X8, $44,955,000(i)(ii)(ix): AAA (sf)
  Class A-X9, $14,985,000(i)(ii)(x): AAA (sf)
  Class A-X10, $194,805,000(i)(ii)(xi): AAA (sf)
  Class A-X11, $29,970,000(i)(ii)(xii): AAA (sf)
  Class B-1, $5,994,000: AA (sf)
  Class B-2, $2,821,000: A (sf)
  Class B-3, $3,702,000: BBB- (sf)
  Class B-4, $1,234,000: BB- (sf)
  Class B-5, $1,058,000: B (sf)
  Class B-6, $1,234,541: Not rated
  Class R, not applicable: Not rated

(i)Notional balance.

(ii)The class A-X1, A-X2, A-X3, A-X4, A-X5, A-X6, A-X7, A-X8, A-X9,
A-X10, and A-X11 certificates are interest-only certificates.

(iii)The class A-X1 and A-X7 certificates will each accrue interest
on a notional amount equal to the aggregate class principal amount
of the class A-5, A-9, A-19, A-20, A-21 and A-22 certificates.

(iv)The class A-X2 certificates will accrue interest on a notional
amount equal to the aggregate class principal amount of the class
A-5, A-19, A-20, A-21 and A-22 certificates.

(v)The class A-X3 certificates will accrue interest on a notional
amount equal to the aggregate class principal amount of the class
A-21 and A-22 certificates.

(vi)The class A-X4 certificates will accrue interest on a notional
amount equal to the aggregate class principal amount of the class
A-5 certificates.

(vii)The class A-X5 certificates will accrue interest on a notional
amount equal to the aggregate class principal amount of the classes
A-19 and A-20 certificates.

(viii)The class A-X6 certificates will accrue interest on a
notional amount equal to the aggregate class principal amount of
the class A-9 certificates.

(ix)The class A-X8 certificates will accrue interest on a notional
amount equal to the aggregate class principal amount of the class
A-19 certificates.

(x)The class A-X9 certificates will accrue interest on a notional
amount equal to the aggregate class principal amount of the class
A-20 certificates.

(xi)The class A-X10 certificates will accrue interest on a notional
amount equal to the aggregate class principal amount of the class
A-21 certificates.

(xii)The class A-X11 certificates will accrue interest on a
notional amount equal to the aggregate class principal amount of
the class A-22 certificates.



REGATTA FUNDING VII: Moody's Rates $23MM Class E-R2 Notes 'Ba3'
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by Regatta VII Funding Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$4,500,000 Class X Senior Secured Floating Rate Notes Due 2034,
Assigned Aaa (sf)

US$244,000,000 Class A1-R2 Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$8,000,000 Class A2-R2 Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$41,300,000 Class B-R2 Senior Secured Floating Rate Notes Due
2034, Assigned Aa2 (sf)

US$21,000,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Assigned A2 (sf)

US$26,000,000 Class D-R2 Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Assigned Baa3 (sf)

US$23,500,000 Class E-R2 Junior 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
90.0% of the portfolio must consist of senior secured loans and
eligible investments, and up to 10.0% of the portfolio may consist
of first-lien last-out loans, second lien loans, unsecured loans
and permitted non-loan assets (senior secured bonds and senior
secured notes), provided that no more than 5.0% of the portfolio
may consist of permitted non-loan assets.

Regatta Loan Management LLC (the "Manager") will continue to direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's extended five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; changes to the
overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Moody's Adjusted Weighted Average Rating Factor" and changes to
the base matrix and modifiers.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Performing par and principal proceeds: $399,315,257

Defaulted obligations: $804,891

Diversity Score: 85

Weighted Average Rating Factor (WARF): 3050

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 7.50%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.0 years

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.


RR 1 LTD: Moody's Assigns Ba3 Rating to $28MM Class D-1-B Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to four classes of
CLO refinancing notes issued by RR 1 LTD (the "Issuer").

Moody's rating action is as follows:

US$430,500,000 Class A-1a-B Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$17,500,000 Class A-1b-B Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$70,000,000 Class A-2-B Senior Secured Floating Rate Notes due
2035, Assigned Aa2 (sf)

US$28,000,000 Class D-1-B Secured Deferrable Floating Rate Notes
due 2035, 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
92.5% of the portfolio must consist of senior secured loans and
eligible investments, and up to 7.5% of the portfolio may consist
of second lien loans, unsecured loans and permitted non-loan assets
(senior secured bonds, high yield bonds, and/or senior secured
notes), provided that no more than 5.0% of the portfolio may
consist of second lien loans and unsecured loans, no more than 5.0%
of the portfolio may consist of permitted non-loan assets, and no
more than 2.5% of the portfolio may consist of high yield bonds.

Redding Ridge Asset Management LLC (the "Manager") will continue to
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's 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.

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: $700,000,000

Diversity Score: 60

Weighted Average Rating Factor (WARF): 3016

Weighted Average Spread (WAS): 3.25%

Weighted Average Recovery Rate (WARR): 47.75%

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.


SARANAC CLO V: Moody's Hikes Rating on Class E-R Notes to Caa1
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by SARANAC CLO V LIMITED:

US$27,000,000 Class C-R Secured Deferrable Floating Rate Notes due
2029 (the "Class C-R Notes"), Upgraded to A2 (sf); previously on
August 17, 2020 Downgraded to A3 (sf)

US$18,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2029 (the "Class E-R Notes"), Upgraded to Caa1 (sf); previously on
August 17, 2020 Downgraded to Caa2 (sf)

RATINGS RATIONALE

These rating actions are primarily a result of an increase in the
transaction's over-collateralization (OC) ratios since July 2020.
Based on the May 2021 trustee report[1], the OC ratios for the
Class C notes and Class E notes are reported at 120.6% and 105.9%,
respectively, versus July 2020 trustee reported levels[2] of
113.63% and 99.60%, respectively.

Moody's also notes that the transaction benefitted from a decrease
in the concentration of assets rated Caa1 or below. Based on the
May 2021 trustee report[3], the assets rated Caa1 or below are
reported at 5.7%, compared to the July 2020 trustee reported
level[4] of 11.3%.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, weighted average spread, diversity
score and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:

Performing par and principal proceeds balance: $328,997,884

Defaulted par: $2,323,529

Diversity Score: 67

Weighted Average Rating Factor (WARF): 3136

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.71%

Weighted Average Recovery Rate (WARR): 48.9%

Weighted Average Life (WAL): 4.4 years

In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge from Moody's
base case. Some of the additional scenarios that Moody's considered
in its analysis of the transaction include, among others:
additional near-term defaults of companies facing liquidity
pressure; sensitivity analysis on deteriorating credit quality due
to a large exposure to loans with negative outlook, and a lower
recovery rate assumption on defaulted assets to reflect declining
loan recovery rate expectations.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in 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 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.


SIXTH STREET XIX: S&P Assigns Prelim BB- (sf) Rating on E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Sixth Street
CLO XIX Ltd.'s floating-rate debt.

The note issuance is a CLO securitization backed by primarily
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of June 17,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The diversification of the collateral pool.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Preliminary Ratings Assigned

  Sixth Street CLO XIX Ltd.

  Class A, $136.70 million: AAA (sf)
  Class A-L, $142.30 million: AAA (sf)
  Class B, $63.00 million: AA (sf)
  Class C, $27.00 million: A (sf)
  Class D, $27.00 million: BBB- (sf)
  Class E, $15.75 million: BB- (sf)
  Subordinated notes, $46.85 million: Not rated



SLC STUDENT 2008-2: Fitch Lowers Rating on Class A-4 Notes to 'D'
-----------------------------------------------------------------
Fitch Ratings has downgraded the outstanding class A-4 notes of SLC
Student Loan Trust (SLC) 2008-2 to 'Dsf' from 'Csf'. The 'Dsf'
rating reflects the default on the senior class A-4 notes in the
payment of their outstanding principal on their legal final
maturity date on June 15, 2021.

Fitch affirmed the outstanding class B notes at 'Csf', which
reflects the exceptionally high level of credit risk for the notes,
resulting from the occurrence of an event of default in the
transaction.

Fitch will continue monitoring remedies to the occurrence of the
event of default implemented by the noteholders or transaction
parties, as provided under the trust indenture, and take any
additional rating action based on the impact of those remedies, as
deemed appropriate.

    DEBT            RATING         PRIOR
    ----            ------         -----
SLC Student Loan Trust 2008-2

A-4 78444NAD1   LT  Dsf  Downgrade  Csf
B 78444NAE9     LT  Csf  Affirmed   Csf

KEY RATING DRIVERS

Effects of Event of Default for class A-4: Fitch downgraded the
outstanding senior A-4 class of SLC 2008-2 to 'Dsf' due to an event
of default on the legal final maturity date of this class of notes.
The notes will remain at 'Dsf' so long as the event of default is
continuing. According to the trust indenture, the event of default
may result in acceleration of the notes as declared by the
indenture trustee or by a majority of noteholders. Under Fitch's
base case cashflow analysis, Fitch's modelling indicates that the
outstanding notes on the class A-4 would eventually be paid in full
with no principal shortfall in this scenario.

Effects of Event of Default for class B: Pursuant to the trust
indenture, the trust could switch to a post-event of default
waterfall, directing all payments to the class A-4 notes until the
balance is paid in full, which would result in interest payments
being diverted away from the class B notes. If this course of
action were followed, the class B notes would not pass Fitch's base
case cashflow scenarios, as reflected by the current rating on the
notes. The event of default may also result in a liquidation of the
trust depending upon the remedies decided upon by the noteholders
or the indenture trustee, in accordance with the terms of the trust
indenture.

RATING SENSITIVITIES

Factor that could, individually or collectively, lead to positive
rating action/upgrade:

-- Upon the occurrence of the event of default, the class A-4
    notes will remain at 'Dsf' so long as the event of default is
    continuing. For class B notes, the event of default can result
    in positive or negative rating actions depending upon the
    remedies decided upon by the noteholders or the indenture
    trustee, in accordance with the terms of the trust indenture.

Factor that could, individually or collectively, lead to negative
rating action/downgrade:

-- Upon the occurrence of the event of default, the class A-4
    notes will remain at 'Dsf' so long as the event of default is
    continuing. For class B notes, the event of default can result
    in positive or negative rating actions depending upon the
    remedies decided upon by the noteholders or the indenture
    trustee, in accordance with the terms of the trust indenture.
    Assuming a post-event of default waterfall, model-implied
    ratings for the class B are shown below:

Credit Stress Rating Sensitivity

-- Default increase 25%: class B 'Csf';

-- Default increase 50%: class B 'Csf';

-- Basis Spread increase 0.25%: class B 'Csf';

-- Basis Spread increase 0.50%: class B 'Csf'.

Maturity Stress Rating Sensitivity

-- CPR decrease 25%: class B 'Csf';

-- CPR decrease 50%: class B 'Csf';

-- IBR Usage increase 25%: class B 'Csf';

-- IBR Usage increase 50%: class B 'Csf'.

-- Remaining Term increase 25%: class B 'Csf';

-- Remaining Term increase 50%: class B 'Csf'.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


SLC STUDENT 2008-2: S&P Cuts Rating of Class A-4 Notes to 'D (sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its rating on SLC Student Loan Trust
2008-2's class A-4 notes to 'D (sf)' from 'CC (sf)'.

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."

Rationale

The downgrade follows the failure of the class A-4 to be repaid on
its legal final maturity date.

This transaction is backed by student loans originated through the
U.S. Department of Education's (ED) Federal Family Education Loan
Program (FFELP). The ED reinsures at least 97% of the principal and
interest on defaulted loans serviced, according to the FFELP
guidelines. Due to the high level of recoveries from the ED on
defaulted loans, defaults effectively function similarly to
prepayments. S&P said, "Thus, we expect net losses to be minimal.
As of March 15, 2021, the trust held approximately $290.30 million
in loans, compared to the class A-4 balance of approximately
$226.76 million. Although our expectation of net losses is minimal,
the pace of the collateral amortization is such that we expect the
notes to be repaid subsequent to their legal final maturity date."



SLG OFFICE 2021-OVA: DBRS Gives Prov. B Rating on Class G Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-OVA to
be issued by SLG Office Trust 2021-OVA (SLG 2021-OVA):

-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X at AA (high) (sf)
-- Class C at AA (sf)
-- Class D at A (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (sf)
-- Class HRR at B (low) (sf)

All trends are Stable.

The SLG Office Trust 2021-OVA single-asset/single-borrower
transaction is collateralized by the borrower's fee-simple interest
in One Vanderbilt, a 1,648,713-square foot (sf) Class A office high
rise located directly adjacent to Grand Central Terminal in Midtown
Manhattan, New York. The collateral was developed by the
transaction sponsor, SL Green Realty Corp. (SL Green). In addition
to being exceptionally well located, the collateral exhibits asset
quality that is relatively unmatched, even among New York's
existing supply of trophy office properties. The subject's general
composition includes more than 1.5 million sf of luxury office
space, a roughly 67,000-sf observation deck called the Summit,
nearly 32,000 sf of high-end retail and restaurant space (inclusive
of the Summit's reception area), and nearly 30,000 sf of tenant
amenity space.

Despite having not yet finalized construction, One Vanderbilt was
89.1% leased as of loan closing with a weighted-average (WA)
remaining lease term of 17.0 years, which DBRS Morningstar believes
should largely shield the property from any short- or medium-term
dislocations in the Midtown Manhattan office market resulting from
the ongoing Coronavirus Disease (COVID-19) pandemic. The property
benefits from a large proportion of long-term, institutional-grade
tenancy and nearly zero lease rollover through the scheduled loan
maturity. The collateral's clearly superior asset quality and
market location are projected to fuel a new ceiling for Midtown
Manhattan office rents, a trend clearly supported by the
collateral's active lease-up during the height of the ongoing
coronavirus pandemic. Overall, DBRS Morningstar believes that the
collateral is well positioned to remain an attractive option for
the market's top office tenants, or at least those in a position to
execute leases before the collateral reaches 100.0% occupancy.

As of loan closing, approximately 34.8% of the collateral's total
net rentable area (NRA) was leased to tenants with investment-grade
ratings and 35.9% of the collateral's in-place base rent was
derived from investment-grade tenants that qualified for long-term
credit tenant (LTCT) treatment as part of the DBRS Morningstar Net
Cash Flow analysis. An additional 26.3% of the collateral's
in-place base rent reported at closing was derived from global law
firms with reported 2020 gross revenues placing them in the top 40
highest grossing law firms in the world. In addition to the
institutional-grade tenancy, the collateral benefits from nearly
zero lease rollover during the 10-year lease term with only 5.2% of
total NRA (representing 5.0% of the DBRS Morningstar gross rent)
scheduled to roll prior to loan maturity. As of loan closing the
collateral was 89.1% leased with a WA remaining lease term of 17.0
years, which results in a stable, long-term cash flow stream with
contractual rent increases built into many of the leases.

The transaction benefits from strong, experienced, and investment
grade-rated sponsorship in SL Green, which is one of Manhattan's
largest office landlords. As of March 31, 2021, SL Green reported
interests in 84 buildings totaling 37.8 million sf, including
ownership interests 28.3 million sf of Manhattan buildings and 8.7
million sf securing debt and preferred equity investments. The
borrower (One Vanderbilt Owner LLC) is approximately 71.0%
indirectly owned and controlled by the SL Green Realty Corp., with
the remainder being held by National Pension Service of Korea
(27.6%) and by Hines Interests Limited Partnership (1.4%). The
National Pension Service of Korea is one of the largest pension
funds in the world with approximately $771.0 billion in assets as
of February 2021. Hines Interests Limited Partnerships (Hines) is
one of the largest privately held real estate investors, managers,
and developers in the world. With reported management interests in
576 properties totaling 246.0 million sf.

The DBRS Morningstar LTV ratio for the $3.0 billion of total debt
is relatively substantial at 100.8%. To account for the high
leverage, DBRS Morningstar programmatically reduced its LTV
benchmark targets for the transaction by 1.5% across the capital
structure. The high leverage point, combined with the lack of
scheduled amortization, pose potentially elevated refinance risk at
loan maturity. The loan documents do not permit additional debt or
future additional debt as part of this transaction with customary
exceptions for trade payables and other property expenses. The
Borrower Sponsor for this transaction is partially using loan
proceeds to repatriate more than $1.0 billion of cash equity for
distribution. DBRS Morningstar views cash-out refinancing
transactions as less favorable than acquisition financings because
sponsors typically have less incentive to support a property
through times of economic stress if less of their own cash equity
is at risk.

As part of Carlyle Investment Management's lease agreement at One
Vanderbilt, SL Green agreed to take over Carlyle's lease obligation
at 520 Madison Avene. Carlyle's lease at 520 Madison Avenue extends
through May 2031 with approximately $213.3 million of outstanding
rent obligations outstanding as of loan closing. Carlyle's space at
520 Madison is subleased to three tenants, though not all of the
subleases extend through the remainder of Carlyle's lease term, nor
do the subleased rents cover the entirety of Carlyle's monthly rent
obligations. To mitigate shortfalls in rent owed at 520 Madison
Avenue, the loan included reserves at closing sufficient to cover
the remainder of Carlyle's outstanding rent obligations, net of
projected sublease income. DBRS Morningstar also applied an
additional $8.0 million value penalty to account for what DBRS
Morningstar perceived to be shortfalls in the reserved rent
amounts. Similar to the execution of Carlyle Investment
Management's lease agreement, the sponsor has taken over existing
leases of incoming tenants at several alternative properties
including 340 Madison Avenue, 330 Madison Avenue, the Grace
Building, 1140 Avenue of the Americas, 375 Park Avenue, and 510
Madison Avenue. The total obligations across these properties
(approximately $32.1 million) have been reserved for upfront as
part of this transaction.

While One Vanderbilt currently stands as the pinnacle for premier
office space in Midtown Manhattan (and the greater New York City),
competitive developers RXR Realty and TF Cornerstone have announced
plans to redevelop the Grand Hyatt located on the adjacent side of
Grand Central Terminal at 175 Park Avenue. The proposed
redevelopment would stand 83 stories (approximately 1,600 feet)
tall, making it the tallest building in Midtown and potentially
overshadowing One Vanderbilt. Early plans of Project Commodore
indicate the redevelopment could add 2.1 million sf of luxury
office space to the Midtown Market (within roughly a block of the
collateral), in addition to approximately 10,000 sf of ground-floor
and cellar retail space. Project Commodore is not anticipated to be
completed until 2030 at the earliest, and its delivery will likely
further solidify the collateral's location as Manhattan's premier
office market. Additionally, Project Commodore's overall
investments in the surrounding infrastructure should provide a
long-term benefit to One Vanderbilt.

Notes: All figures are in U.S. dollars unless otherwise noted.


STARWOOD MORTGAGE 2021-3: Fitch Gives 'B(EXP)' Rating to B-2 Debt
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Starwood Mortgage
Residential Trust 2021-3.

DEBT                 RATING
----                 ------
STAR 2021-3

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
XS       LT  NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
to be issued by Starwood Mortgage Residential Trust 2021-3,
Mortgage-Backed Certificates, Series 2021-3 (STAR 2021-3) as
indicated above. The certificates are supported by 338 loans with a
balance of approximately $317.2 million as of the cutoff date. This
will be the third Fitch-rated STAR transaction.

The certificates are secured primarily by mortgage loans that were
originated by third-party originators, with Luxury Mortgage
Corporation and HomeBridge Financial Services, Inc. sourcing 90.4%
of the pool. Of the loans in the pool, 72.8% are designated as
nonqualified mortgage (non-QM), 27.2% are investment properties not
subject to Ability to Repay Rule (ATR, the Rule), and one loan in
the pool is a rebuttal presumption QM.

There is LIBOR exposure in this transaction. The collateral
consists of 37.4% adjustable-rate loans, 11.2% of which reference
one-year LIBOR. The rated certificates are fixed rate and capped at
the net weighted average coupon (WAC) rate, while the non-rated B-3
has a coupon based off of the net WAC rate.

KEY RATING DRIVERS

Non-QM Credit Quality (Mixed): The collateral consists of 338
loans, totaling approximately $317 million, and seasoned
approximately six months in aggregate, as determined by Fitch. The
borrowers have a relatively strong credit profile (742 FICO and 39%
DTI) and moderate leverage with an original combined loan to value
ratio (CLTV) of 67.5% that translates to a Fitch calculated
sustainable LTV (sLTV) of 72.9%.

The pool consists of 67.1% of loans where the borrower maintains a
primary residence, while 32.9% represent an investor property or a
second home. Additionally, 24.2% of the loans were originated
through a retail channel. 72.8% are designated as non-QM, while the
remaining 27.2% are exempt from QM since they are investor loans,
and one loan is a rebuttal presumption QM.

The pool contains 122 loans over $1 million, with the largest at $4
million. Self-employed non-debt service coverage ratio (DSCR)
borrowers make up 67% of the pool, while9.8% are asset depletion
loans, and 16.9% are investor cash flow DSCR loans.

Approximately 27.2% of the pool comprise loans on investor
properties (10.3% underwritten to the borrowers' credit profile and
16.9% comprising investor cash flow loans). None of the borrowers
have subordinate financing, and there are no second lien loans.

Four loans in the pool had a deferred balance, which was treated by
Fitch as a second lien and the CLTV for that loan was increased to
account for the amount still owed on the loan.

Although the credit quality of the borrowers is higher than that of
prior non-QM transactions, the pool characteristics resemble
non-prime collateral, and therefore, the pool was analyzed using
Fitch's non-prime model.

Geographic Concentration (Negative): Approximately 60% of the pool
is concentrated in California. The largest MSA concentration is in
the Los Angeles-Long Beach-Santa Ana, CA MSA (46%), followed by the
New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (14.0%) and
the San Diego, CA MSA (7.1%). The top three MSAs account for 67.8%
of the pool. As a result, there was a 1.3x probability of default
(PD) penalty for geographic concentration which increased the 'AAA'
loss by 2.27%.

Loan Documentation (Negative): Approximately 87.7% of the pool were
underwritten to less than full documentation. 55.9% were
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 Rule, which reduces the risk of borrower
default arising from lack of affordability, misrepresentation or
other operational quality risks due to rigor of the Rule's mandates
with respect to the underwriting and documentation of the
borrower's ATR. Additionally, 9.8% represent an asset depletion
product, and 16.8% comprise DSCR product.

Limited Advancing (Mixed): The deal is structured to six months of
servicer advances for delinquent principal and interest (P&I). 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.

Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A
certificates while shutting out the mezzanine and subordinate bonds
from principal until all three classes have been 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 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 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 "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 the 3.5%
GDP decline in 2020.

Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022
are 5.6% and 4.5%, 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 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 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 10.0%. Excluding the senior classes that are
    already 'AAAsf', the analysis indicates there is potential
    positive rating migration for all of the rated classes.

Factor that could, individually or collectively, lead to negative
rating action/downgrade:

-- This defined 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 40.3% at 'AAA'. As shown in the table,
    the analysis indicates that there is some potential rating
    migration with higher MVDs, compared with the model
    projection.

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 Clayton Services (Clayton). 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 0.38%.

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." The sponsor,
Starwood Non-Agency Lending, LLC, engaged Clayton to perform the
review. Loans reviewed under these engagements were given
compliance, credit and valuation grades and assigned initial grades
for each subcategory.

An exception and waiver report was provided to Fitch, indicating
the pool of reviewed loans has a number of exceptions and waivers.
Fitch determined that the exceptions and waivers do not materially
affect the overall credit risk of the loans due to the presence of
compensating factors such as having liquid reserves or FICO above
guideline requirements or LTV or DTI lower than guideline
requirement. Therefore, no adjustments were needed to compensate
for these occurrences.

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

STAR 2021-3 has an ESG Relevance Score of '4+' for Transaction
Parties & Operational Risk. Operational Risk is well controlled in
STAR 2021-3, including strong transaction due diligence and a
'RPS1-' Fitch-rated servicer, which resulted in a reduction to
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.


TROPIC CDO II: Moody's Lowers Rating on Class A-3L Notes to Ba3
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Tropic CDO II, LTD:

US$35,000,000 Class A-3L Floating Rate Notes Due April 2034 (the
"Class A-3L Notes"), Downgraded to Ba3 (sf); previously on October
6, 2017 Upgraded to Baa1 (sf)

Tropic CDO II, LTD, issued in October 2003, is a collateralized
debt obligation (CDO) backed mainly by a portfolio of bank trust
preferred securities (TruPS).

RATINGS RATIONALE

The downgrade of the Class A-3L notes reflects corrections to
Moody's cash flow allocations for amortization of principal
proceeds. In this transaction, prior to the final maturity date and
up until the last pay period, principal proceeds may be used to pay
interest, including cumulative unpaid interest on all notes, before
paying principal to more senior notes. Principal proceeds have
already been used to pay periodic interest on some notes, and
during the past year when there have been no principal proceeds,
Classes A-4, A-4L, and B-1L have begun accumulating unpaid
interest, which in turn will accrue additional interest.

Previously, Moody's had incorrectly assumed that only a portion of
the principal proceeds would be subject to the priority of payments
feature whereby principal proceeds may be used to pay cumulative
unpaid interest on all notes before paying principal to more senior
notes. However, this is not the case because the maturity dates of
all the underlying assets are prior to the last pay period that is
associated with the final maturity date. Moody's has now properly
accounted for the fact that all principal proceeds may be subject
to this priority of payments feature.

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 $126.6 million,
defaulted par of $53.5 million, a weighted average default
probability of 15.73% (implying a WARF of 1669), and a weighted
average recovery rate upon default of 10%.

Methodology Used for the Rating Action

The principal methodology used in this rating was "Moody's Approach
to Rating TruPS CDOs" published in June 2020.

Factors that Would Lead to an Upgrade or Downgrade of the Rating:

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.


TRYSAIL CLO 2021-1: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Trysail CLO
2021-1 Ltd.'s floating-rate notes.

The note issuance is a CLO securitization backed by primarily
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of June 22,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The diversification of the collateral pool.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Preliminary Ratings Assigned

  Trysail CLO 2021-1 Ltd.

  Class X, $3.00 million: AAA (sf)
  Class A-1, $166.05 million: AAA (sf)
  Class A-F, $18.45 million: AAA (sf)
  Class B, $43.50 million: AA (sf)
  Class C, $18.00 million: A (sf)
  Class D, $18.00 million: BBB- (sf)
  Class E, $10.50 million: BB- (sf)
  Subordinated notes, $30.30 million: Not rated



VERUS SECURITIZATION 2021-3: S&P Assigns (P) B-(sf) on B-2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2021-3's mortgage-backed notes.

The note issuance is an RMBS securitization backed by primarily
first-lien, fixed-, and adjustable-rate residential mortgage loans,
including mortgage loans with initial interest-only periods and/or
balloon terms. The loans are secured primarily by single-family
residences, planned unit developments, two- to four-family
residential properties, condominiums, mixed-use properties, and
five- to 10-unit multi-family residential properties to both prime
and non-prime borrowers. The pool has 926 loans backed by 979
properties, which are primarily non-qualified mortgage/ATR
compliant and ATR-exempt loans.

The preliminary ratings are based on information as of June 16,
2021. The collateral and structural information reflect the term
sheet dated June 15, 2021. Subsequent information may result in the
assignment of final ratings that differ from the preliminary
ratings.

The preliminary ratings reflect S&P's view of:

-- The pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The transaction's geographic concentration;
-- The mortgage aggregator, Invictus Capital Partners; and
-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and liquidity
available in the transaction.

  Preliminary Ratings Assigned(i)

  Verus Securitization Trust 2021-3

  Class A-1, $373,950,000: AAA (sf)
  Class A-2, $32,609,000: AA (sf)
  Class A-3, $51,806,000: A (sf)
  Class M-1, $28,927,000: BBB (sf)
  Class B-1, $17,620,000: BB (sf)
  Class B-2, $13,148,000: B- (sf)
  Class B-3, $7,890,159: Not rated
  Class A-IO-S, notional(i): Not rated
  Class XS, notional(i): Not rated
  Class DA: Not rated
  Class R: Not rated

(i)The collateral and structural information reflect the term sheet
dated June 15, 2021; the preliminary ratings address the ultimate
payment of interest and principal.
(ii)The notional amount equals the aggregate stated principal
balance of loans in the pool.


WAMU COMMERCIAL 2007-SL2: Moody's Hikes Cl. X Certs Rating to Caa3
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two class and
upgraded the ratings on three classes in Wamu Commercial Mortgage
Securities Trust 2007-SL2, Commercial Mortgage Pass-Through
Certificates, Series 2007-SL2 as follows:

Cl. D, Upgraded to Baa3 (sf); previously on Jun 26, 2019 Upgraded
to Ba1 (sf)

Cl. E, Upgraded to B1 (sf); previously on Jun 26, 2019 Upgraded to
B3 (sf)

Cl. F, Affirmed Caa3 (sf); previously on Jun 26, 2019 Affirmed Caa3
(sf)

Cl. G, Affirmed C (sf); previously on Jun 26, 2019 Affirmed C (sf)

Cl. X*, Upgraded to Caa3 (sf); previously on Jun 26, 2019 Affirmed
Ca (sf)

* Reflects interest-only classes

RATINGS RATIONALE

The ratings on two P&I classes were affirmed 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 of the P&I classes, Cl. D and Cl. E, were
upgraded primarily due to an increase in credit support resulting
from loan paydowns and amortization. The deal has paid down 27%
since Moody's last review and 95% since securitization.

The rating on the IO class, Cl. X, was upgraded based on the credit
quality of the referenced classes.

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of commercial real estate from a gradual and unbalanced
recovery in US economic activity. Stress on commercial real estate
properties will be most directly stemming from declines in hotel
occupancies (particularly related to conference or other group
attendance) and declines in foot traffic and sales for
non-essential items at retail properties.

Moody's 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 5.4% of the
current pooled balance, compared to 8.6% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.0% of the
original pooled balance, compared to 4.3% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Approach to Rating US and Canadian
Conduit/Fusion CMBS" published in September 2020.

DEAL PERFORMANCE

As of the May 27, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $40.4 million
from $842.1 million at securitization. The certificates are
collateralized by 73 mortgage loans ranging in size from less than
1% to 8% of the pool, with the top ten loans (excluding defeasance)
constituting 13% of the pool.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 39, compared to a Herf of 52 at Moody's last
review.

As of the May 2021 remittance report, loans representing 97% were
current or within their grace period on their debt service
payments, 1% were beyond their grace period but less than 30 days
delinquent and 1% were between 30 -- 59 days delinquent.

Twenty-one loans, constituting 28% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.

Seventy loans have been liquidated from the pool, resulting in an
aggregate realized loss of $31.8 million (for an average loss
severity of 44%). One loan, constituting 1% of the pool, is
currently in special servicing.

The specially serviced loan is the 5561 Gardendale Street loan
($0.5 million -- 1.3% of the pool), which is secured by a 10-unit
multifamily property located in South Gate, CA and built in 1960.
The loan transferred to special servicing in April 2017 and is
currently in foreclosure. The borrower has not reported financials
for the property since year-end 2011 however the loan is last paid
through its March 2021 payment date. The loan is fully amortizing
and has amortized 31% since securitization. The special servicer
has reached out to the borrower for past due debt service
payments.

Moody's has also assumed a high default probability for four poorly
performing loans, constituting 7% of the pool, and has estimated an
aggregate loss of $1.4 million (a 41% expected loss based on
average) from these specially serviced and troubled loans.

As of the May 2021 remittance statement cumulative interest
shortfalls were $2.3 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.

The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile. The MLTV reported in this publication
reflects the MLTV before the adjustments described in the
methodology.

Moody's received full year 2019 operating results for 87% of the
pool, and full or partial year 2020 operating results for 60% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 76%, compared to 77% 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 19% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.2%.

Moody's actual and stressed conduit DSCRs are 1.89X and 1.54X,
respectively, compared to 1.69X and 1.49X 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 18% of the pool balance. The
largest loan is the Granada Terrace Apartments Loan ($3.1 million
-- 7.8% of the pool), which is secured by an 84-unit multifamily
property located in National City, California that was built in
1970 and subsequently renovated in 2013. As of December 2020, the
property was 90% occupied, compared to 92% in 2019 and 87% in 2018.
As of December 2020, the NOI DSCR was 1.91X and the property's NOI
had increased by 21% since securitization. The loan is fully
amortizing and the Moody's LTV and stressed DSCR are 69% and 1.41X,
respectively, compared to 75% and 1.30X at the last review.

The second largest loan is the 8130-40 195th St/19625-27 82nd St
Loan ($2.8 million -- 7.0% of the pool), which is secured by a
68-unit multifamily property located in Bristol, Wisconsin that was
built in 1996. As of December 2020, the property was 90% occupied,
compared to 91% in 2019 and 93% in 2018. While the property's NOI
has never fully reached the UW NOI at securitization, property
performance had improved since 2017 driven by higher revenues. As
of December 2020, the NOI DSCR was 1.12X. The loan is fully
amortizing and the Moody's LTV and stressed DSCR are 118% and
0.83X, respectively.

The third largest loan is the 9212 - 9214 45th Avenue SW Loan ($1.4
million -- 3.5% of the pool), which is secured by a 15-unit
multifamily property with a street level retail component located
in Seattle, Washington that was built in 1990. Property performance
has been stable since securitization, and the year-end 2020 NOI
DSCR was 1.83X. The property's ground floor retail component is
currently occupied by a Wildwood Market and Eatery, a locally owned
community-focused market and eatery. The loan has amortized 28%
since securitization. Moody's LTV and stressed DSCR are 120% and
0.90X, respectively, compared to 125% and 0.87X at the last review.



WELLMAN PARK: S&P Assigns BB- (sf) Rating on $22.5MM Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Wellman Park CLO
Ltd./Wellman Park CLO LLC's floating-rate notes.

The note issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Blackstone Liquid Credit Strategies
LLC. The ratings reflect:

-- The diversification of the collateral pool;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Ratings Assigned

  Wellman Park CLO Ltd./Wellman Park CLO LLC

  Class A, $358.800 million: AAA (sf)
  Class B, $97.200 million: AA (sf)
  Class C (deferrable), $36.000 million: A (sf)
  Class D (deferrable), $36.000 million: BBB- (sf)
  Class E (deferrable), $22.500 million: BB- (sf)
  Subordinated notes, $59.275 million: Not rated



WELLS FARGO 2017-RC1: DBRS Cuts Class X-D Certs Rating to BB (high)
-------------------------------------------------------------------
DBRS Limited downgraded its ratings on four classes of the
Commercial Mortgage Pass-Through Certificates, Series 2017-RC1
issued by Wells Fargo Commercial Mortgage Trust 2017-RC1 as
follows:

-- Class D to BB (sf) from BBB (low) (sf)
-- Class E to CCC (sf) from BB (low) (sf)
-- Class F to C (sf) from B (low) (sf)
-- Class X-D to BB (high) (sf) from BBB (sf)

Classes D, E, F, and X-D were removed from Under Review with
Negative Implications, where they were placed on January 19, 2021.

DBRS Morningstar also confirmed the ratings on the following
classes as follows:

-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)

DBRS Morningstar also changed the trends on Classes B, C, and X-B
to Negative from Stable. The trends on Classes D and X-D are
Negative. All other trends are Stable. Classes E and F have ratings
that do not carry trends. DBRS Morningstar discontinued its ratings
for Classes X-E and X-F as the referenced obligations, Classes E
and F, were downgraded to CCC (sf) and C (sf), respectively.

The rating downgrades and trend changes reflect DBRS Morningstar's
loss expectations for the one loan in special servicing, which is
also the largest loan in the pool, Hyatt Place Portfolio
(Prospectus ID#1, 8.9% of the pool). In addition, two top-15 loans:
Whitehall Corporate Center (Prospectus ID#12, 2.3% of the pool) and
Peachtree Mall (Prospectus ID#14, 1.7% of the pool), secured by an
office and a regional mall property, respectively, were analyzed
with elevated probability of default figures to reflect the current
risk profile for each asset.

As of the May 2021 remittance, the trust balance was reported at
$599.9 million, representing a 4.0% collateral reduction since
issuance due to scheduled loan amortization. There are 17 loans on
the servicer's watchlist, representing 15.0% of the current pool
balance. These loans were flagged for minor deferred maintenance
items, declining debt service coverage ratios (DSCRs), tenant
rollover risk, and casualty event-related items.

The largest loan in the pool, Hyatt Place Portfolio, is secured by
a portfolio of six limited service hotels located across six
states, totaling 754 keys, that operate under the Hyatt Place flag.
The loan transferred to special servicing in June 2020 for payment
default and as of the most recent remittance, the loan is over 121
days delinquent. The discussion surrounding a loan modification has
been ongoing since the loan's transfer; however, negotiations
remain ongoing and potential terms have not been finalized. Terms
being contemplated generally include the deferral of the principal
portion of debt service payments until January 2023, the full
deferral of the interest portion of debt service payments until
December 2021, and a 50.0% deferral of the interest portion of debt
service from January 2022 to June 2022. The borrower is expected to
resume its full principal and interest payments by January 2023. In
terms of the furniture, fixtures, and equipment reserve, deposits
will also be deferred until June 2021. The loan will be cash
managed and excess cash would go towards repaying deferred amounts,
with all amounts owing to be due at the February 2027 loan
maturity. Despite the ongoing discussions surrounding the loan
modification, the special servicer is also dual-tracking
foreclosure.

According to the July 2020 appraisal, the property was valued at
$54.9 million, a 35.5% decline from the issuance value of $85.1
million. Based on the trailing three months ended March 2020
financials, the loan reported a DSCR of -0.31 times (x), compared
with the year-end (YE) 2019 DSCR of 0.97x, YE2018 DSCR of 1.99x and
the DBRS Morningstar DSCR at issuance of 1.64x. Prior to the
Coronavirus Disease (COVID-19) pandemic, the portfolio's
performance was already declining from issuance expectations.
According to the trailing 12 months ended December 2019 STR report,
the portfolio reported an occupancy rate, average daily rate (ADR),
and RevPAR of 71.9%, $73.00, and $52.48, respectively. At issuance,
the occupancy, ADR, and RevPAR were reported at 73.6%, $110.18, and
$81.20, respectively. The sponsor contributed $30.5 million at
issuance in order to purchase the portfolio but, considering the
sharp value decline, which has likely further deteriorated given
the current economic landscape for hotel properties and general
uncertainty on whether performance could rebound to issuance
figures, in addition to the prolonged discussions to finalize a
workout at this time, it is likely that a resolution will result in
a loss to the trust. As such, DBRS Morningstar analyzed this loan
with a liquidation scenario, which results in a loss severity of
35.0%.

Whitehall Corporate Center is secured by a Class A office building
in Charlotte, North Carolina. The subject was built in 2008 and is
situated within the larger Whitehall Corporate Center office park,
which consists of approximately 860,000 square feet (sf) of office
space spread across six buildings. According to the YE2020
financials, the loan reported an occupancy of 75.9%, a decline from
the YE2019 occupancy rate of 97.3%. This was a result of the
departure of the largest tenant, Advantage Sales Marketing, which
previously occupied 21.4% of net rentable area (NRA). According to
the servicer, Advantage Sales Marketing exercised its termination
option in 2019, paying a termination fee of $442,493, which is held
in reserve by the lender. As of the YE2020 operating statement
analysis report, the implied DSCR was 1.17x, excluding the $456,135
that was reported as other income, which included the
aforementioned termination fee. In comparison with the previous
year's reporting, the YE2019 DSCR of 1.27x and the DBRS Morningstar
DSCR of 0.95x. While the occupancy rate has rebounded to 88.2% per
the March 2021 rent roll, the second-largest tenant, Homepointe
Mortgage Inc., representing 20.1% of the NRA, has an upcoming lease
expiry in December 2021.The property is located within the I-77
submarket as identified by Reis, which reported an elevated average
vacancy rate of 24.3% across all office product as of Q1 2021,
suggesting a softening market. Given these factors, DBRS
Morningstar applied an elevated probability of default in the
analysis for this loan to increase the expected loss for this
review.

Peachtree Mall is secured by a regional shopping mall located in
Columbus, Georgia, near the Georgia/Alabama state line. Built in
1975, the subject property is the only regional shopping center
within a 60.0-mile radius and is owned and operated by Brookfield.
The loan is anchored by a noncollateral Dillard's with the largest
collateral tenants including Macy's (26.0% of NRA, expiring
September 2027) and JCPenney (15.4% of NRA, expiring November
2024). As of the March 2021 rent roll, the property reported an
occupancy of 95.1% and while there were no recent announcements of
store closures for the two department anchor tenants, Macy's has
announced plans to close an additional 45 stores in 2021 as it has
stated a corporate-wide focus on desirable Class A and B malls.
According to the trailing 12 months ended March 2020 sales report,
in-line stores occupying less than 10,000 sf had sales of $356 per
square foot (psf), a decline of 4.0% year over year (YOY) and
in-line stores occupying greater than 10,000 sf had sales of $124
psf, a decline of 2.4% YOY. Additionally, Macy's reported sales of
$96 psf, a decline of 6.8% YOY, while JC Penney reported sales of
$140 psf, similar with the previous year's sales figures. AMC
reported sales of $146,406 per screen, an increase of 12.2% YOY. As
of the trailing nine months ended September 2020 financials, the
subject reported a DSCR of 1.50x, compared with the YE2019 DSCR of
1.54x and DBRS Morningstar DSCR of 1.66x. Given the elevated risks
surrounding the two department store anchor tenants, which occupy a
combined 41.4% of the property NRA, along with the uncertainty of
the property to be a core part of Brookfield's portfolio, DBRS
Morningstar applied an elevated probability of default in the
analysis for this loan to increase the expected loss for this
review.

Notes: All figures are in U.S. dollars unless otherwise noted.


WELLS FARGO 2018-C46: Fitch Affirms B- Rating on G-RR Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial
Mortgage (WFCM) Trust 2018-C46 commercial mortgage pass-through
certificates. Class F-RR was revised to Outlook Negative from
Stable.

    DEBT              RATING           PRIOR
    ----              ------           -----
WFCM 2018-C46

A-1 95001QAQ4   LT  AAAsf   Affirmed   AAAsf
A-2 95001QAR2   LT  AAAsf   Affirmed   AAAsf
A-3 95001QAT8   LT  AAAsf   Affirmed   AAAsf
A-4 95001QAU5   LT  AAAsf   Affirmed   AAAsf
A-S 95001QAX9   LT  AAAsf   Affirmed   AAAsf
A-SB 95001QAS0  LT  AAAsf   Affirmed   AAAsf
B 95001QAY7     LT  AA-sf   Affirmed   AA-sf
C 95001QAZ4     LT  A-sf    Affirmed   A-sf
D 95001QAC5     LT  BBBsf   Affirmed   BBBsf
E-RR 95001QAE1  LT  BBB-sf  Affirmed   BBB-sf
F-RR 95001QAG6  LT  BBsf    Affirmed   BBsf
G-RR 95001QAJ0  LT  B-sf    Affirmed   B-sf
X-A 95001QAV3   LT  AAAsf   Affirmed   AAAsf
X-B 95001QAW1   LT  AA-sf   Affirmed   AA-sf
X-D 95001QAA9   LT  BBBsf   Affirmed   BBBsf

KEY RATING DRIVERS

Increased Loss Expectations: Loss expectations increased since the
last rating action primarily due to increased loss expectations
associated with the newly specially serviced asset Somerset
Financial Center. Fitch flagged eight loans as Fitch Loans of
Concern (FLOCs) including two loans (4.9%) in special and three
additional loans within the top 15 (13.4%), primarily due to
deteriorating performance or concerns related to the coronavirus
pandemic.

Fitch's current ratings incorporate a base case loss of 6.3%. The
Negative Rating Outlooks reflect losses that could reach 7.1% when
factoring additional pandemic-related stresses.

Fitch Loans of Concern: The largest contributor to loss and largest
specially serviced loan FLOC, Somerset Financial Center (3.5%), is
secured by a 230,000-sf office property located in Bedminster, NJ.
The loan transferred to special servicing in January 2021. As of YE
2020, the property was 100% occupied by two tenants: Mallinckrodt
(83% NRA, lease expires January 2030) and RREF ll Somerset Ml LLC
(17% NRA, lease expires December 2021). The largest tenant filed
for bankruptcy in October 2020 and has since vacated the property.
Fitch's loss expectations of 61% were based on a recent valuation.

The second largest contributor to loss and fifth largest loan,
Showcase II (4.8%), is secured by a 41,407-sf retail property,
located on the Las Vegas Strip in Las Vegas, NV. Major tenants
include: American Eagle (26.5% NRA, lease expires January 2028),
Adidas (25% NRA, lease expires September 2027) and T-Mobile (24.8%
NRA, lease expires January 2028). The loan was designated a FLOC
due to coronavirus vulnerability given the collateral property's
location on the Las Vegas Strip. Fitch's analysis includes a 20%
haircut to YE 2019 NOI to account for the impact from the
coronavirus pandemic, which resulted in a 15% loss severity (LS).

The third largest contributor to loss and third largest loan, Town
Center Aventura (5.8%) is secured by a 186,138-sf shopping center
anchored by Publix (25.7% NRA, lease expires November 2023).
Occupancy has declined significantly to over the past to 86.5% at
YE 2019 from 100% at YE 2018 due to several small tenants vacating
at their respective lease expiration dates. As of YE 2020, servicer
reported occupancy were a reported 88.3% and 1.40x, respectively.
Upcoming lease rollover includes 3.2% of the NRA in 2021, 3% in
2022 and 53.5% in 2023. The 2023 rollover is mostly concentrated in
the expirations of the three largest tenants, Publix, Saks and
Party City. Fitch's analysis did not apply an additional haircut to
YE 2020 NOI, which resulted in a 7.4% LS.

The remaining five FLOCS (7%) include the 10th largest loan Owasso
Market (2.7%), a 351,370-sf anchored shopping center located in
Owasso, OK. Collateral anchors include Lowe's (54.6% NRA and 9.3%
base rent, lease expires September 2021) and Kohl's (24.7% NRA and
28.7% base rent, lease expires January 2026). Office Depot is the
third largest tenant (5.7% NRA and 10.7% base rent, lease expires
December 2021). As of YE 2020, servicer reported occupancy were a
reported 98.7% and 1.66x, respectively. Fitch's analysis includes a
20% haircut to YE 2020 NOI to account for the upcoming rollover
concerns, which resulted in a 15% LS.

Minimal Change in Credit Enhancement (CE): As of the May 2021
distribution date, the pool's aggregate principal balance has paid
down by 1% to $685.2 million from $692.1 million at issuance. No
loans are defeased. Twenty loans, representing 46% of the pool, are
full-term interest-only. Fifteen loans, representing 29.3% of the
pool, were structured with a partial interest-only component; two
loans (1.6%) have begun to amortize. Based on the scheduled balance
at maturity, the pool will pay down by only 6%. The total
collateral balance has been reduced by $113K to $685.1 million due
to a $133,396 Workout Delayed Reimbursement of Advances (WODRA).

Coronavirus Exposure: Loans secured by retail, multifamily and
hotel properties represent 37%, 14.2% and 13.9% of the pool,
respectively. Fitch's analysis applied additional
coronavirus-related stresses on three retail loans (10.1%) and five
hotel loans (5.9%) to account for potential cash flow disruptions;
these additional stresses contribute to the Negative Outlooks.

Pool Concentrations: Retail properties represent the largest asset
concentration at 37%. Office (24.8%) and multifamily (14.2%)
represent the second and third largest asset types, respectively.

Pari Passu: Nine loans (32.3% of pool) are pari passu, including
seven loans (28.5%) 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 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.


WESTLAKE AUTOMOBILE 2021-2: S&P Assigns 'B' Rating on Cl. F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Westlake Automobile
Receivables Trust 2021-2's automobile receivables-backed notes
series 2021-2.

The note issuance is an ABS securitization backed by subprime auto
loan receivables.

The ratings reflect S&P's view of:

-- The availability of approximately 47.10%, 40.51%, 31.82%,
25.22%, 22.09%, and 18.06% credit support for the class A-1 and
A-2-A/A-2-B (collectively, class A), B, C, D, E, and F notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These provide approximately 3.35x, 2.85x, 2.20x,
1.70x, 1.47x, and 1.10x, respectively, of S&P's 13.50%-14.00%
expected cumulative net loss (CNL) range.

-- The transaction's ability to make timely interest and principal
payments under stressed cash flow modeling scenarios appropriate
for the assigned ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(1.70x S&P's expected loss level), all else being equal, its
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in "S&P Global Ratings
Definitions," published Jan. 5, 2021. The collateral
characteristics of the securitized pool of subprime automobile
loans.

-- The originator/servicer's long history in the
subprime/specialty auto finance business.

-- S&P's analysis of approximately 16 years (2006-2021) of static
pool data on the company's lending programs.

-- The transaction's payment, credit enhancement, and legal
structures.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

  Ratings Assigned

  Westlake Automobile Receivables Trust 2021-2

  Class A-1, $236.40 million: A-1+ (sf)
  Class A-2-A, $667.10 million: AAA (sf)
  Class A-2-B, $75.00 million: AAA (sf)
  Class B, $144.72 million: AA (sf)
  Class C, $186.53 million: A (sf)
  Class D, $139.90 million: BBB (sf)
  Class E, $58.69 million: BB (sf)
  Class F, $91.66 million: B (sf)



WIND RIVER 2019-1: S&P Assigns Prelim B- (sf) Rating on F-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R notes and new class X and F-R notes
from Wind River 2019-1 CLO Ltd., a CLO originally issued in April
2019 that is managed by First Eagle Alternative Credit EU LLC.

The preliminary ratings are based on information as of June 17,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the June 23, 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 replacement class E-R notes are expected to be issued at a
higher spread over three-month LIBOR than the original notes.

-- The new class F-R notes are expected to be issued at a floating
spread.

-- New class X notes are being issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during the first 20 payment dates beginning with
the payment date in October 2021.

-- The stated maturity will be extended 3.25 years, and the
reinvestment period will be extended 2.25 years.

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."

  Preliminary Ratings Assigned

  Wind River 2019-1 CLO Ltd. /Wind River 2019-1 CLO LLC
(Refinancing And Extension)

  Class X, $5.00 million: AAA (sf)
  Class A-R, $300.00 million: AAA (sf)
  Class B-R, $75.00 million: AA (sf)
  Class C-R, $35.00 million: A (sf)
  Class D-R, $30.00 million: BBB- (sf)
  Class E-R, $18.75 million: BB- (sf)
  Class F-R, $3.00 million: B- (sf)
  Subordinated notes, $47.40 million: Not rated



WP GLIMCHER 2015-WPG: DBRS Keeps Class PR2 BB Rating Under Review
-----------------------------------------------------------------
DBRS Limited maintained the Under Review with Negative Implications
status on the following classes of Commercial Mortgage Pass-Through
Certificates, Series 2015-WPG issued by WP Glimcher Mall Trust
2015-WPG:

-- Class PR-1 at BBB (low) (sf), Under Review with Negative
Implications

-- Class SQ-1 at BBB (low) (sf), Under Review with Negative
Implications

-- Class PR-2 at BB (sf), Under Review with Negative Implications

-- Class SQ-2 at BB (low) (sf), Under Review with Negative
Implications

-- Class SQ-3 at B (low) (sf), Under Review with Negative
Implications

These classes are collateralized by subordinate debt on the two
retail assets in this transaction, Scottsdale Quarter and
Pearlridge Center. As these classes are Under Review with Negative
Implications, they do not carry trends.

In addition, DBRS Morningstar confirmed the ratings on the
following pooled classes:

-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X at A (sf)
-- Class C at A (low) (sf)

DBRS Morningstar also changed the trend on Class A to Stable from
Negative. The trends on Classes, B, X, and C remain Negative; these
classes maintain Negative trends because of the performance
challenges for the underlying collateral associated with the
challenges for retail that have been exacerbated by the Coronavirus
Disease (COVID-19) pandemic. Although these challenges are likely
to continue to result in lower foot traffic and spending at the
collateral properties and others across the country, putting
pressure on the sponsor's ability to backfill existing and future
vacancies, DBRS Morningstar notes that the servicer reported
better-than-expected cash flow figures for both collateral assets
in 2020, supporting the Stable trend on Class A.

The Negative trends and Under Review with Negative Implications
statuses are reflective of DBRS Morningstar's concerns not only
with the challenges facing regional malls and other retail property
types, but also with one of the underlying loans' sponsors,
Washington Prime Group (WPG), which has been reporting revenue
declines for several years and owns a portfolio of retail
properties primarily located in secondary markets. On June 13,
2021, WPG announced its Chapter 11 bankruptcy filing and cited
challenges faced during the coronavirus pandemic as contributing to
the filing. In addition, WPG secured $100 million in
debtor-in-possession financing from Consenting Creditors to support
daily operations during the bankruptcy proceedings. The filing was
expected, as WPG missed an interest payment on its corporate debt
in February 2021 and was widely reported to be in discussion with
creditors regarding a potential bankruptcy filing over the months
since the payment was missed. The bankruptcy filings do not include
the subject loans' sponsor entities and as such, DBRS Morningstar
does not expect the property-level debt to be directly affected by
this latest development for WPG.

This transaction is backed by portions of the senior debt and all
of the subordinate debt secured by the fee-simple interest in
Scottsdale Quarter, a 541,386-square-foot (sf) mixed-use retail
centre in Scottsdale, Arizona, and a $105.0 million loan on a
portion of the fee and leasehold interest in Pearlridge Center, a
1.14 million-sf super-regional mall in Aiea, Hawaii, the state's
largest enclosed shopping centre. The sponsor for both loans is
WPG, which is the successor sponsor to Glimcher Realty Trust and
O'Connor Capital Partners. Both properties are managed by WPG.

The individual whole loans on each asset are not
cross-collateralized or cross-defaulted. Of the $165.0 million
whole loan secured by Scottsdale Quarter, $95.0 million is senior A
note debt, with a total of $13.0 million in subordinate B note debt
and $57.0 million in subordinate C note debt. Of the senior A note
debt for Scottsdale Quarter, $25.0 million in pari passu proceeds
were contributed to this trust, with the remaining A note debt
split pari passu across two conduit transactions in JPMBB
Commercial Mortgage Securities Trust 2015-C30 and COMM 2015-CCRE25
Mortgage Trust, the latter of which is not rated by DBRS
Morningstar. The $25.0 million in pari passu A note debt and the
$13.0 million B note back the pooled classes, and the $57.0 million
in C note debt backs the rake SQ classes in the subject
transaction. Of the senior A note debt for Pearlridge Center, $10.4
million in pari passu proceeds were contributed to this trust, with
the remaining A note debt split pari passu across the same two
conduit transactions mentioned above. The $10.4 million in pari
passu A note debt and the $48.6 million B note back the pooled
classes, and the $46.0 million in C note debt backs the rake PR
classes in the subject transaction.

The Pearlridge Center loan served to refinance existing debt,
return $47.0 million of equity to the sponsor, and create a new
joint venture, with Glimcher Realty Trust (now WPG) having a 51%
share and O'Connor Capital Partners acquiring a 49% share. The
subject is on the island of Oahu, approximately nine miles
northwest of Honolulu. The December 2020 rent roll showed that the
collateral was 91.5% occupied. The property is anchored by Macy's
(18.4% of net rentable area (NRA); lease expiration of February
2027) and a former Sears, which closed its doors in April 2021.
Other large tenants include Bed Bath & Beyond (7.3% of NRA; lease
expiration of January 2021, which appears to have renewed) and
Pearlridge Mall Theatres (4.5% of NRA; lease expiration of December
2022), which reopened in August 2020 after being forced to close
amid the pandemic. The property benefits from its customer base,
comprising mainly the local populace rather than tourists that
drive traffic for other malls in Hawaii. The property has
maintained stable performance to date; as of the most recent
financial reporting, the loan reported a YE2020 whole-loan debt
service coverage ratio (DSCR) of 2.44 times (x), down slightly from
YE2019 and YE2018 whole-loan DSCRs of 2.82x and 2.72x,
respectively. The loan was previously monitored on the servicer's
watchlist in May 2020 after the borrower requested
coronavirus-related relief but was quickly removed after the
special servicer denied the request based on the property's strong
cash position for the past several years.

In March 2021, DBRS Morningstar received notice from the servicer
regarding the Pearlridge Center borrower's request for a temporary
waiver of any and all bankruptcy events of default and any
penalties and costs as a result of such action. The servicer agreed
to forbear all defaults triggered by any filing through July 1,
2021, for a period of 270 days after. In addition, the borrower
will be required to establish cash management through the entire
forbearance period and, assuming the filing is cured during the
270-day period and no other defaults exist, the retained funds will
be released back to the borrower. Lastly, the borrower will fund a
$50,000 legal retainer for counsel and pay all fees and costs
associated during the aforementioned forbearance.

The Scottsdale Quarter loan served to refinance existing debt and
recapitalized a joint venture with WP Glimcher and O'Connor Capital
Partners. Additionally, the sponsor invested $16.6 million of cash
equity with the recapitalization. The property is a Class A,
mixed-use, open-air lifestyle centre with office space, 17 miles
northeast of Phoenix in the affluent Kierland neighborhood of north
Scottsdale. The subject is in a secondary market but has a
lifestyle centre format and a better mix of retailers compared with
others in WPG's portfolio. The loan transferred to special
servicing in May 2021 for imminent nonmonetary default, likely in
relation to the recent WPG Chapter 11 bankruptcy filing. The
largest tenants at the property include Restoration Hardware,
Pottery Barn, West Elm, Forever 21, and Apple. The collateral
portion of the property comprises approximately 67.5% retail space
and 32.5% office space. The largest tenant within the office
portion of the property is Starwood Hotels and Resorts, which
represents 12.5% of the NRA and is on a lease through 2027. Based
on the September 2020 rent roll provided, the subject reported an
average rental rate of $35.44 per sf (psf), while the retail and
office portion reported average rental rates of $37.49 psf and
$30.40 psf, respectively.

In addition to sponsorship concerns, occupancy has been trending
downward since issuance and showed its largest decline between 2019
and 2020 when IPIC Theaters (8.2% of NRA) and Nike (3.4% of NRA)
vacated, causing occupancy to decrease to 70.8% as of Q3 2020 from
83.3% as of YE2019. Although occupancy improved to 78.7% at YE2020,
a known exit since that time in H&M (4.4% of NRA) at lease expiry
in January 2021 suggests that the occupancy rate has since fallen
to 74.2%. The occupancy decline may be temporary, however, as
several news articles have reported new tenants that have opened or
will be opening at the subject this year, including an 8,000-sf
restaurant tenant. According to the YE2020 financials, the loan
reported a DSCR of 3.55x based on the senior debt portion of the
loan (2.04x on the whole loan), compared with the YE2019 DSCR of
4.58x (2.64x), YE2018 DSCR of 4.63x (2.67x), and DBRS Morningstar
DSCR at issuance of 3.26x (2.13x).

Notes: All figures are in U.S. dollars unless otherwise noted.


[*] DBRS Reviews 704 Classes from 23 U.S. RMBS Transactions
-----------------------------------------------------------
DBRS, Inc. reviewed 704 classes from 23 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 704 classes
reviewed, DBRS Morningstar confirmed 657 ratings, upgraded 19
ratings, and discontinued 28 ratings.

The affected rating is available at https://bit.ly/3zGRc88

The rating confirmations reflect asset performance and
credit-support levels that are consistent with the current ratings.
The rating upgrades reflect positive performance trends and an
increase in credit support sufficient to withstand stresses at
their new rating levels. The discontinuations reflect a full
repayment of principal to bondholders.

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
seasoned performing, reperforming, and prime 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.

PRIME

In the prime asset class, DBRS Morningstar generally believes this
sector should have low intrinsic credit risk. Within the prime
asset class, loans originated to (1) self-employed borrowers or (2)
higher loan-to-value (LTV) ratio borrowers may be more sensitive to
economic hardships resulting from higher unemployment rates and
lower incomes. 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.

The ratings assigned to the securities listed below differ from the
ratings implied by the quantitative model. DBRS Morningstar
considers this difference to be a material deviation; however, in
this case, the ratings on the subject securities may either reflect
additional seasoning being warranted to substantiate a further
upgrade or actual deal/tranche performance that is not fully
reflected in the projected cash flows/model output. Generally for
RMBS transactions, the reporting of recent forbearance-related
delinquencies (as opposed to nonforbearance-related delinquencies)
in remittance reports has not been consistent and standardized.
DBRS Morningstar believes that recent increases in delinquencies
mostly reflect forbearances being requested and granted as a result
of the coronavirus pandemic. Additionally, DBRS Morningstar
believes that forbearance-related delinquencies, especially during
the coronavirus pandemic, should have a lower probability of
default than nonforbearance-related delinquencies. Because of the
lack of standardized reporting, DBRS Morningstar may not be able to
appropriately identify delinquencies as a result of forbearance in
its loss analysis; therefore, for certain transactions, DBRS
Morningstar may have projected significantly higher expected losses
using its quantitative model. After reviewing transaction-level
performance trends and other analytical considerations outlined in
this press release, however, DBRS Morningstar may assign ratings
that differ from those implied by the quantitative model, thus
resulting in a material deviation.

-- CIM Trust 2019-J1, Mortgage Pass-Through Certificates, Series
2019-J1, Class B-2

-- CIM Trust 2019-J1, Mortgage Pass-Through Certificates, Series
2019-J1, Class B-3

-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series
2019-J2, Class B-2

-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series
2019-J2, Class B-2A

-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series
2019-J2, Class B-IO2

-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series
2019-J2, Class B-3

-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series
2019-J2, Class B-4

-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series
2019-J2, Class B-5

-- CSMLT 2015-2 Trust, Mortgage Pass-Through Certificates, Series
2015-2, Class A-IO-S

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-2

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-2-A

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-2-X
-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-5

-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through
Certificates, Series 2020-4, Class B-5-Y

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-5

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through
Certificates, Series 2020-5, Class B-5-Y

-- Mello Mortgage Capital Acceptance 2018-MTG2, Mortgage
Pass-Through Certificates, Series 2018-MTG2, Class B2

-- Mello Mortgage Capital Acceptance 2018-MTG2, Mortgage
Pass-Through Certificates, Series 2018-MTG2, Class B3

-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through
Certificates, Series 2016-1, Class B3

-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through
Certificates, Series 2016-1, Class B4

-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through
Certificates, Series 2016-1, Class B5

-- Wells Fargo Mortgage Backed Securities 2018-1 Trust, Mortgage
Pass-Through Certificates, Series 2018-1, Class B-2

-- Wells Fargo Mortgage Backed Securities 2018-1 Trust, Mortgage
Pass-Through Certificates, Series 2018-1, Class B-3

-- Wells Fargo Mortgage Backed Securities 2018-1 Trust, Mortgage
Pass-Through Certificates, Series 2018-1, Class B-4

-- Wells Fargo Mortgage Backed Securities 2019-3 Trust, Mortgage
Pass-Through Certificates, Series 2019-3, Class B-3

-- Wells Fargo Mortgage Backed Securities 2019-3 Trust, Mortgage
Pass-Through Certificates, Series 2019-3, Class B-4

-- Wells Fargo Mortgage Backed Securities 2020-2 Trust, Mortgage
Pass-Through Certificates, Series 2020-2, Class B-5

-- WinWater Mortgage Loan Trust 2014-3, Mortgage Pass-Through
Certificates, Series 2014-3, Class B-4

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-2

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-2-A

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-2-X

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-3
-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-3-A

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-3-X

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-4

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-5

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-5-Y

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through
Certificates, Series 2019-1, Class B-X

-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2,
Class B-5

-- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes,
Series 2019-1, Class A-3

-- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes,
Series 2019-1, Class B-2

-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes,
Series 2019-2, Class B2

-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes,
Series 2019-2, Class B3

-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes,
Series 2019-2, Class B4

-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes,
Series 2019-2, Class B5

-- CIM Trust 2018-R3, Mortgage-Backed Notes, Series 2018-R3, Class
A2

-- CIM Trust 2018-R3, Mortgage-Backed Notes, Series 2018-R3, Class
B1

The rating actions are the result of DBRS Morningstar's application
of its "U.S. RMBS Surveillance Methodology," published on February
21, 2020.

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.



[*] DBRS Takes Rating Actions on 2 United Auto Credit Transactions
------------------------------------------------------------------
DBRS, Inc. confirmed one rating, upgraded eight ratings, and
discontinued two ratings from two United Auto Credit Securitization
Trust transactions: United Auto Credit Securitization Trust 2019-1
and United Auto Credit Securitization Trust 2020-1.

The affected rating is available at https://bit.ly/3xwWhOC

The rating actions are based on the following analytical
considerations:

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: March 2021 Update," published on March 17,
2021. DBRS Morningstar initially published macroeconomic scenarios
on April 16, 2020, that have been regularly updated. The scenarios
were last updated on March 17, 2021, and are reflected in DBRS
Morningstar's rating analysis.

-- The assumptions consider the moderate macroeconomic scenario
outlined in the commentary, with the moderate scenario serving as
the primary anchor for current ratings. The moderate scenario
factors in increasing success in containment during the first half
of 2021, enabling the continued relaxation of restrictions.

-- The collateral performance to date and DBRS Morningstar's
assessment of future performance, including upward revisions to the
expected CNL assumptions consistent with the expected unemployment
levels in the moderate scenario.

-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.

-- The transactions' capital structure and form and sufficiency of
available credit enhancement. The current level of hard credit
enhancement and estimated excess spread are sufficient to support
the DBRS Morningstar-projected remaining cumulative net loss (CNL)
(including an adjustment for the moderate scenario) assumption at a
multiple of coverage commensurate with the ratings below.

Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (May 26, 2021), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



[*] DBRS Takes Rating Actions on 4 Westlake Auto Transactions
-------------------------------------------------------------
DBRS, Inc. confirmed four ratings, upgraded 15 ratings, and
discontinued five ratings from four Westlake Automobile Receivables
Trust transactions.

The affected rating is available at https://bit.ly/3xA3UnC

The rating actions are based on the following analytical
considerations:

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: March 2021 Update," published on March 17,
2021. DBRS Morningstar initially published macroeconomic scenarios
on April 16, 2020, that have been regularly updated. The scenarios
were last updated on March 17, 2021, and are reflected in DBRS
Morningstar's rating analysis.

-- The assumptions consider the moderate macroeconomic scenario
outlined in the commentary, with the moderate scenario serving as
the primary anchor for current ratings. The moderate scenario
factors in increasing success in containment during the first half
of 2021, enabling the continued relaxation of restrictions.

-- The collateral performance to date and DBRS Morningstar's
assessment of future performance, including upward revisions to the
expected CNL assumptions consistent with the expected unemployment
levels in the moderate scenario.

-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.

-- The transactions' capital structure and form and sufficiency of
available credit enhancement. The current level of hard credit
enhancement and estimated excess spread are sufficient to support
the DBRS Morningstar-projected remaining cumulative net loss (CNL)
(including an adjustment for the moderate scenario) assumption at a
multiple of coverage commensurate with the ratings.

Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (May 26, 2021), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



[*] S&P Takes Various Actions on 88 Classes from 27 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 88 ratings from 27 U.S.
RMBS transactions issued between 1999 and 2007. The review yielded
22 upgrades, nine downgrades, 56 affirmations, and one withdrawal.

A list of Affected Ratings can be viewed at:

            https://bit.ly/35M9HdU

Analytical Considerations

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."

S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes." Some of these considerations may include:

-- Factors related to COVID-19;
-- Collateral performance/delinquency trends;
-- Erosion of/increases in credit support;
-- Historical missed interest payments;
-- Expected duration; and
-- Reduced interest payments due to loan modifications.

Rating Actions

The rating changes reflect S&P's opinion regarding the associated
transaction-specific collateral performance or structural
characteristics and/or reflect the application of specific criteria
applicable to these classes.

The ratings affirmations reflect S&P's opinion that our projected
credit support and collateral performance on these classes has
remained relatively consistent with our prior projections.



                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
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Each Tuesday edition of the TCR contains a list of companies with
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The Sunday TCR delivers securitization rating news from the week
then-ending.

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                            *********

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,
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Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
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Editors.

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