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         T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, July 11, 2021, Vol. 25, No. 191

                            Headlines

AMERICREDIT AUTOMOBILE 2020-3: Moody's Hikes Cl. E Notes From Ba1
AMMC CLO XII: S&P Assigns CCC+ (sf) Rating on Class F-R Notes
ANTARES CLO 2021-1: S&P Assigns Prelim BB- (sf) Rating on E Notes
ARES LV: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
ARROYO MORTGAGE 2021-1R: S&P Assigns B(sf) Rating on Cl. B-2 Notes

BCP TRUST 2021-330N: Moody's Assigns B3 Rating to Cl. F Certs
BCRED BSL 2021-1: Moody's Assigns Ba3 Rating to Class E Notes
CANTOR COMMERCIAL 2011-C2: Fitch Lowers 2 Tranches to 'CCsf'
CIM TRUST 2020-INV1: Moody's Hikes Cl. B-5 Certs Rating to B1
CITIGROUP 2017-C4: Fitch Affirms B- Rating on H-RR Debt

CITIGROUP 2021-J2: Fitch Affirms B Rating on Class B-5 Debt
CITIGROUP COMMERCIAL 2016-C2: Fitch Affirms B- Rating on 2 Tranches
CITIGROUP MORTGAGE 2021-INV1: S&P Assigns 'B' Rating on B-5 Certs
CITIGROUP MORTGAGE 2021-J2: Moody's Assigns B2 Rating to B-5 Certs
COMM 2012-CCRE4: Fitch Lowers Rating on 2 Tranches to Csf

COMM 2013-GAM MORTGAGE: Fitch Lowers Class F Debt Rating to 'B-sf'
COMM 2015-LC23 MORTGAGE: Fitch Lowers Cl. G Certs Rating to 'CCC'
CSMC TRUST 2021-NQM4: Fitch Assigns Final B Rating on B-2 Debt
DRYDEN 87: S&P Assigns BB- (sf) Rating on $24MM Class E Notes
ELEVATION CLO 2021-13: S&P Assigns BB-(sf) Rating on Class E Notes

FLATIRON CLO 21: Moody's Assigns Ba3 Rating to $24.2MM Cl. E Notes
GS MORTGAGE 2015-GC34: Fitch Lowers Rating on Class E Debt to CCC
GS MORTGAGE 2021-GR1: Moody's Assigns B2 Rating to Cl. B-5 Certs
GS MORTGAGE 2021-PJ6: Moody's Assigns Ba2 Rating to Cl. B-4 Certs
GS MORTGAGE-BACKED 2021-PJ6: Fitch Assigns B+ Rating on B5 Certs

HAWAIIAN HOLDINGS 2013-1: S&P Affirms B- Rating on Class A Certs
HERTZ VEHICLE 2021-2: Moody's Assigns Ba2 Rating to 2 Tranches
IRWIN HOME 2006-1: Moody's Hikes Cl. IA-1 Bond Rating From Ba2
IVY HILL XII: S&P Assigns BB- (sf) Rating on Class D-R Notes
JP MORGAN 2021-8: Fitch Assigns Final B Rating on Class B-5 Debt

JP MORGAN 2021-8: Moody's Assigns B3 Rating to Cl. B-5 Certs
MADISON PARK XXXVII: S&P Assigns BB-(sf) Rating on Class E-R Notes
MELLO MORTGAGE 2021-MTG3: Moody's Assigns B2 Rating to B5 Certs
MOUNTAIN VIEW 2013-1: S&P Affirms CCC+(sf) Rating on Cl. E-R Notes
MP CLO VII: Fitch Affirms B- Rating on Class F-RR Notes

OAKTREE CLO 2021-1: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes
OCP CLO 2019-17: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
OHA CREDIT 3: S&P Assigns BB- (sf) Rating on Class E-R Notes
POINT AU ROCHE: S&P Assigns BB- (sf) Rating on Class E Notes
RATE MORTGAGE 2021-J1: Fitch Affirms B Rating on B-5 Certs

RATE MORTGAGE 2021-J1: Moody's Assigns B3 Rating to Cl. B-5 Certs
SG RESIDENTIAL 2021-1: Fitch Assigns Final B Rating on B-2 Debt
SIXTH STREET XIX: S&P Assigns BB- (sf) Rating on Class E Notes
SLM STUDENT 2007-3: Fitch Lowers 2 Tranches to 'CCC'
SLM STUDENT 2012-7: Fitch Affirms B Rating on 2 Note Classes

STARWOOD MORTGAGE 2021-3: Fitch Gives B Rating to Class B-2 Debt
TABERNA PREFERRED III: Fitch Affirms D Rating on 2 Tranches
WELLS FARGO 2020-4: Moody's Hikes Class B-5 Certs Rating to Ba1
WFRBS COMMERCIAL 2013-C17: Fitch Affirms B Rating on Class F Certs
[*] S&P Takes Various Actions on 90 Classes from 30 U.S. RMBS Deals


                            *********

AMERICREDIT AUTOMOBILE 2020-3: Moody's Hikes Cl. E Notes From Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 15 tranches
from six transactions sponsored and serviced by AmeriCredit
Financial Services, Inc. (AFS; Unrated).

The complete rating actions are as follows:

Issuer: AmeriCredit Automobile Receivables Trust 2017-4

Class D Notes, Upgraded to Aaa (sf); previously on Feb 12, 2020
Upgraded to Aa1 (sf)

Class E Notes, Upgraded to Aa3 (sf); previously on Dec 17, 2020
Upgraded to A2 (sf)

Issuer: AmeriCredit Automobile Receivables Trust 2018-2

Class D Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020
Upgraded to Aa2 (sf)

Class E Notes, Upgraded to A3 (sf); previously on Dec 17, 2020
Upgraded to Baa2 (sf)

Issuer: AmeriCredit Automobile Receivables Trust 2018-3

Class D Notes, Upgraded to Aaa (sf); previously on Mar 5, 2021
Upgraded to Aa1 (sf)

Class E Notes, Upgraded to A3 (sf); previously on Dec 17, 2020
Upgraded to Baa2 (sf)

Issuer: AmeriCredit Automobile Receivables Trust 2019-2

Class D Notes, Upgraded to Aa2 (sf); previously on Dec 17, 2020
Upgraded to A1 (sf)

Class E Notes, Upgraded to Baa2 (sf); previously on Jun 12, 2019
Definitive Rating Assigned Ba1 (sf)

Issuer: AmeriCredit Automobile Receivables Trust 2020-1

Class C Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020
Upgraded to Aa1 (sf)

Class D Notes, Upgraded to Aa3 (sf); previously on Mar 5, 2021
Upgraded to A2 (sf)

Class E Notes, Upgraded to Baa2 (sf); previously on Mar 11, 2020
Definitive Rating Assigned Baa3 (sf)

Issuer: AmeriCredit Automobile Receivables Trust 2020-3

Class B Notes, Upgraded to Aaa (sf); previously on Nov 24, 2020
Definitive Rating Assigned Aa1 (sf)

Class C Notes, Upgraded to Aa1 (sf); previously on Dec 17, 2020
Upgraded to Aa3 (sf)

Class D Notes, Upgraded to A2 (sf); previously on Nov 24, 2020
Definitive Rating Assigned Baa2 (sf)

Class E Notes, Upgraded to Baa2 (sf); previously on Dec 17, 2020
Upgraded to Ba1 (sf)

RATINGS RATIONALE

The upgrades are primarily driven by the buildup of credit
enhancement due to structural features including a sequential pay
structure reserve account and overcollateralization as well as a
reduction in Moody's cumulative net loss expectations for the
underlying pools.

Moody's lifetime cumulative net loss expectations range between
8.5% and 9.5% for the transactions. The loss expectations reflect
updated performance trends on the underlying pools. More recently
US consumers have shown a high degree of resilience owing to the
government stimulus and the relief options offered by servicers.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
December 2020.

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

Up

Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the ratings. Losses could decline from Moody's
original expectations as a result of a lower number of obligor
defaults or greater recoveries from the value of the vehicles
securing the obligors' promise of payment. The US job market and
the market for used vehicles are also primary drivers of the
transaction's performance. Other reasons for better-than-expected
performance include changes in servicing practices to maximize
collections on the loans or refinancing opportunities that result
in a prepayment of the loan.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Losses could increase from Moody's
original expectations as a result of a higher number of obligor
defaults or a deterioration in the value of the vehicles securing
the obligors' promise of payment. The US job market and the market
for used vehicles are also primary drivers of the transaction's
performance. Other reasons for worse-than-expected performance
include poor servicing, error on the part of transaction parties,
lack of transactional governance and fraud.


AMMC CLO XII: S&P Assigns CCC+ (sf) Rating on Class F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its rating to the class A-R2
replacement notes from AMMC CLO XII Ltd./AMMC CLO XII Corp., a CLO
originally issued in 2013 that is managed by American Money
Management Corp. At the same time, S&P withdrew its rating on the
original class A-R notes following payment in full on the July 2,
2021, refinancing date. S&P also affirmed its ratings on the class
B-R, C-R, D-R, E-R, and F-R notes, which were not refinanced.

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-R2 notes were
issued at a lower spread than the original class A-2 notes, which
reduced the transaction's overall cost of funding.

On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class F-R notes (which are not
refinancing) than the rating action reflects. However, S&P affirmed
its 'CCC+ (sf)' rating on these notes for multiple reasons:

-- The cash flow results also pointed to a lower rating when S&P
last took a rating action on these notes in August 2020, but the
results have since improved.

-- Overcollateralization ratios have also improved since S&P's
last rating action.

-- The transaction's portfolio has reduced exposure to defaulted
assets and assets rated in the 'CCC' category.

S&P said, "As a result we continue to believe this class has
neither a clear path to nor virtual certainty of default on payment
of principal or interest when due, and does not fit our definition
of an obligation rated below the rating we affirmed, in accordance
with our guidance criteria."

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R2, $252.00 million: Three-month LIBOR + 0.95%

  Original notes

  Class A-R, $252.00 million: Three-month LIBOR + 1.20%

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and 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 Affirmed

  AMMC CLO XII Ltd./AMMC CLO XII Corp.

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

  Rating Withdrawn

  AMMC CLO XII Ltd./AMMC CLO XII Corp.

  Class A-R: to NR from 'AAA (sf)'

  NR--Not rated.



ANTARES CLO 2021-1: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Antares CLO
2021-1 Ltd.'s floating-rate notes.

The note issuance is a CLO securitization 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 July 1,
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

  Antares CLO 2021-1 Ltd.

  Class A-1, $472.00 million: AAA (sf)
  Class A-2, $16.00 million: AAA (sf)
  Class B, $68.00 million: AA (sf)
  Class C, $60.00 million: A (sf)
  Class D, $40.00 million: BBB- (sf)
  Class E, $48.00 million: BB- (sf)
  Subordinated notes, $102.00 million: Not rated



ARES LV: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, B-R, C-R, D-R, and E-R replacement notes from Ares LV CLO
Ltd., a CLO originally issued in May 2020 that is managed by Ares
CLO Management LLC.

The preliminary ratings are based on information as of July 2,
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. At
that time, S&P expects to withdraw our ratings on the original
notes and assign ratings to the replacement notes. However, if the
refinancing doesn't occur, S&P may affirm the ratings on the
original notes and withdraw the 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-1-R, A-2-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 stated maturity and reinvestment period will be extended by
approximately 3.25 years while the non-call period will be extended
by approximately 2.15 years.

-- The transaction documents updated the terms of workout-related
concepts.

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

  Ares LV CLO Ltd.

  Class A-1-R, $305.00 million: AAA (sf)
  Class A-2-R, $15.00 million: Not rated
  Class B-R, $60.00 million: AA (sf)
  Class C-R (deferrable), $27.50 million: A (sf)
  Class D-R (deferrable), $32.50 million: BBB- (sf)
  Class E-R (deferrable), $17.50 million: BB- (sf)
  Subordinated notes, $41.50 million: Not rated



ARROYO MORTGAGE 2021-1R: S&P Assigns B(sf) Rating on Cl. B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Arroyo Mortgage Trust
2021-1R's mortgage-backed notes.

The note issuance is an RMBS securitization backed by seasoned,
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans to both prime and nonprime borrowers
(some with interest-only periods) secured by single-family
residential properties, planned-unit developments, condominiums,
and two- to four-family residential properties. The majority of the
loans are non-qualified mortgage loans.

S&P said, "After we assigned preliminary ratings on June 24, 2021,
the collateral pool was updated to reflect one loan that was paid
off and removed from the pool. The bond sizes were subsequently
reduced to reflect the lower pool balance, with the credit
enhancement unchanged for each class. The annual cap for
extraordinary expenses was also increased to $600,000 from
$575,000. The loss coverage estimates and final ratings assigned
are unchanged from the preliminary ratings we assigned for all
classes."

The ratings reflect S&P's view of:

-- The pool's collateral composition;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty framework;

-- The geographic concentration;

-- The mortgage aggregator, Western Asset Management Co. LLC as
investment manager for Western Asset Opportunity Fund L.P.; and

-- The impact that the economic stress brought on by the COVID-19
virus is likely to have on the performance of the mortgage
borrowers in the pool and liquidity available in the transaction.

  Ratings Assigned

  Arroyo Mortgage Trust 2021-1R(i)

  Class A-1, $342,577,000: AAA (sf)
  Class A-2, $27,601,000: AA+ (sf)
  Class A-3, $20,903,000: AA (sf)
  Class M-1, $11,366,000: BBB (sf)
  Class B-1, $1,826,000: BB (sf)
  Class B-2, $812,000: B (sf)
  Class B-3, 812,128: not rated
  Class A-IO-S, Notional(ii): Not rated
  Class XS, Notional(ii): Not rated
  Class R, N/A: Not rated

(i)The ratings assigned to the classes address the ultimate payment
of interest and principal.

(ii)Notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.

N/A--Not applicable.



BCP TRUST 2021-330N: Moody's Assigns B3 Rating to Cl. F Certs
-------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by BCP Trust 2021-330N,
Commercial Mortgage Pass-Through Certificates, Series 2021-330N

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa3 (sf)

Cl. E, Definitive Rating Assigned Ba3 (sf)

Cl. F, Definitive Rating Assigned B3 (sf)

* Note: Moody's previously assigned a provisional rating to Class
X-CP of (P) Aaa (sf), described in the prior press release, dated
June 14, 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 single floating-rate loan
backed by the fee simple interest in floors 14-52 of a 52-story
Class A office property located at 330 North Wabash Avenue, and the
leasehold interest in a 904 space parking garage, located adjacent
at 401 North State Street, in Chicago, IL. Moody's ratings are
based on the credit quality of the loan and the strength of the
securitization structure.

Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
CMBS methodology. The rating approach for securities backed by a
single loan compares the credit risk inherent in the underlying
collateral with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's 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 Moody's
adjust the MLTV for each loan using a value that reflects
capitalization (cap) rates that are between Moody's sustainable cap
rates and market cap rates. Moody's also use an adjusted loan
balance that reflects each loan's amortization profile. The MLTV
reported in this publication reflects the MLTV before the
adjustments described in the methodology.

The Moody's first-mortgage DSCR is 2.68x and Moody's first-mortgage
stressed DSCR at a 9.25% constant is 0.73x. Moody's DSCR is based
on Moody's stabilized net cash flow.

The Moody's LTV ratio for the first-mortgage balance is 126%. The
Moody's LTV ratio is based on Moody's Moody's value.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The properties
weighted average property quality grade is 1.0.

Notable strengths of the transaction include: Mission critical
location for four of the top eight tenants, stable occupancy and
significant capital investment

Notable concerns of the transaction include: High Moody's LTV,
full-term interest only loan, floating rate and certain credit
negative legal features

The principal methodology used 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 United States economic activity.

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


BCRED BSL 2021-1: Moody's Assigns Ba3 Rating to Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by BCRED BSL CLO 2021-1, Ltd. (the "Issuer" or "BCRED
2021-1").

Moody's rating action is as follows:

US$499,800,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$38,760,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned Aa2 (sf)

US$59,160,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

US$65,280,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

Up to US$57,120,000 Class E Junior Secured Deferrable Floating Rate
Notes due 2034, Assigned Ba3 (sf)

The notes listed are referred to herein, collectively, as the
"Rated Notes."

RATINGS RATIONALE

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

BCRED 2021-1 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans,
unsecured loans and bonds. The portfolio is approximately 95%
ramped as of the closing date.

Blackstone Private Credit Fund (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: $816,000,000

Diversity Score: 50

Weighted Average Rating Factor (WARF): 3457

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.50%

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 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.


CANTOR COMMERCIAL 2011-C2: Fitch Lowers 2 Tranches to 'CCsf'
------------------------------------------------------------
Fitch Ratings has upgraded one class and downgraded three classes
of Cantor Commercial Real Estate (CFCRE) Commercial Mortgage Trust
2011-C2 commercial mortgage pass-through certificates. Class B was
upgraded to 'AAA' from 'AA', Stable Outlook maintained. Class E was
downgraded to 'B-' from 'BBB-', Negative Outlook maintained. Class
F has been downgraded to 'CC' from 'BB'. Class G has also been
downgraded to 'CC' from 'B'. The remaining classes were affirmed.

    DEBT              RATING           PRIOR
    ----              ------           -----
CFCRE 2011-C2

A-4 12527DAR1   LT  AAAsf   Affirmed   AAAsf
A-J 12527DAC4   LT  AAAsf   Affirmed   AAAsf
B 12527DAD2     LT  AAAsf   Upgrade    AAsf
C 12527DAE0     LT  Asf     Affirmed   Asf
D 12527DAF7     LT  BBB+sf  Affirmed   BBB+sf
E 12527DAG5     LT  B-sf    Downgrade  BBB-sf
F 12527DAH3     LT  CCsf    Downgrade  BBsf
G 12527DAJ9     LT  CCsf    Downgrade  Bsf
X-A 12527DAA8   LT  AAAsf   Affirmed   AAAsf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades are the result of
increased loss expectations since the last rating action due to
higher losses on the largest asset in the pool, RiverTown Crossings
Mall (35.6%), which transferred to special servicing in October
2020 for imminent monetary default. The loan was previously flagged
as a Fitch Loan of Concern, and it is secured by a 1.3 million-sf
(635,769-sf collateral space) regional mall located in Grandville,
MI. The largest collateral tenant, Dick's Sporting Goods (14.4%
NRA) lease expires Jan. 31, 2025.

Additionally, the three remaining non-collateral anchors (Macy's,
JC Penney and Kohl's) leases expire on December 31, 2049.
Non-collateral anchors Sears and Younkers closed in Jan. 2021 and
2018, respectively. Total mall occupancy is approximately 70% as of
March 2021, while collateral occupancy is approximately 90%. The
increased base case losses also reflect refinancing concerns as the
loan did not repay at its June 6, 2021 maturity date. The special
servicer and borrower are continuing discussions; the loan is
categorized as non-performing matured but the borrower continues to
pay debt service.

Increased Credit Enhancement; High Defeasance: As of the June 2021
distribution date, the pool's aggregate balance has been reduced by
69.8% to $234.2 million from $774.1 million at issuance. 10 (52.8%
or $123.5 million) of the remaining 16 loans are defeased.
Repayment of Classes A-4 through B is fully supported by defeased
collateral.

Alternative Loss Considerations: Fitch's analysis included a
scenario where all performing loans, including defeased loans, paid
in full and RiverTown Crossings Mall remains as the only loan in
the transaction. The downgrades reflect the expected losses of this
asset, as well as recovery prospects for each class expected to
remain. The rating of class D considered this scenario; and that a
recovery of approximately $21 psf is needed to pay the class in
full.

Maturity Schedule: All loans mature in 2021.

ESG Relevance Score of '4' for Exposure to Social Impacts due to a
regional mall that is underperforming as a result of changing
consumer preferences to shopping, which has a negative impact on
the credit profile, resulting in the downgrade of classes E, F and
G and contributing to maintaining the Negative Rating Outlooks.

RATING SENSITIVITIES

The Negative Outlook on classes D and E reflect the potential for
further downgrades due to concerns surrounding the ultimate workout
and recovery timing associated with RiverTown Crossings Mall.

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

-- Upgrades to any of the classes are unlikely given the
    significant pool concentration and adverse selection, but may
    occur with significantly better than expected recoveries on
    RiverTown Crossings Mall.

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

-- Classes C and D would be downgraded should loss expectations
    for the remaining loans increase significantly, especially if
    the mall experiences outsized losses. Further downgrades to
    the distressed classes will occur with greater certainty of
    losses and/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

CFCRE 2011-C2 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to exposure to an underperforming regional mall
due to changes in consumer preferences, which has a negative impact
on the credit profile, and is relevant to the rating[s] in
conjunction with other factors.

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


CIM TRUST 2020-INV1: Moody's Hikes Cl. B-5 Certs Rating to B1
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of nine tranches
from CIM Trust 2020-INV1.

CIM Trust 2020-INV1 (CIM 2020-INV1) is a prime jumbo transaction
issued by Chimera Investment Corporation. The transaction is backed
by fixed-rate agency-eligible mortgages secured by first liens on
non-owner occupied residential investor properties. The loans are
serviced by Shellpoint Mortgage Servicing (Shellpoint), a division
of NewRez LLC, f/k/a New Penn Financial, LLC and Wells Fargo Bank,
N.A. (Wells Fargo) is the master servicer. The transaction has a
shifting interest structure with subordination floors that protect
noteholders against tail risk.

A List of Affected Credit Ratings is available at
https://bit.ly/2TtfCBN

The complete rating actions are as follows

Issuer: CIM Trust 2020-INV1

Cl. A-IO8*, Upgraded to Aaa (sf); previously on Sep 17, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-13, Upgraded to Aaa (sf); previously on Sep 17, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-14, Upgraded to Aaa (sf); previously on Sep 17, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Sep 17, 2020 Definitive
Rating Assigned A3 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Sep 17, 2020 Definitive
Rating Assigned Baa2 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Sep 17, 2020
Definitive Rating Assigned Ba2 (sf)

Cl. B-5, Upgraded to B1 (sf); previously on Sep 17, 2020 Definitive
Rating Assigned B3 (sf)

Cl. B-2A, Upgraded to A1 (sf); previously on Sep 17, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-IO2*, Upgraded to A1 (sf); previously on Sep 17, 2020
Definitive Rating Assigned A3 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools. In this
transaction, high prepayment rates averaging around 55% over the
past six months, driven by the low interest rate environment, have
benefited the bonds by increasing the paydown and building credit
enhancement.

In Moody's analysis Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's increased
its MILAN model-derived median expected losses by 15% and Moody's
Aaa losses by 5% to reflect the performance deterioration resulting
from a slowdown in US economic activity due to the COVID-19
outbreak.

Moody's identified loans granted payment relief based on a review
of loan level cashflows over the last few months. In Moody's
analysis, Moody's considered loans that: (1) were not liquidated
but took a loss in the reporting period (to capture loans with
monthly deferrals that were reported as current) or (2) have actual
balances that increased or were unchanged in the reporting period,
excluding interest-only loans and pay ahead loans, to be loans
under a payment relief program. Based on Moody's analysis, the
proportion of borrowers that are enrolled in payment relief plans
in the underlying pool ranged around 0.8%-2.4% over the last six
months.

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
servicer.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans 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 Methodologies

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.

Please note that a Request for Comment was published in which
Moody's requested market feedback on potential revisions to one or
more of the methodologies used in determining these Credit Ratings.
If the revised methodologies are implemented as proposed, it is not
currently expected that the Credit Ratings referenced in this press
release will be affected.

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of this transaction. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


CITIGROUP 2017-C4: Fitch Affirms B- Rating on H-RR Debt
-------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Citigroup Commercial
Mortgage Trust. Fitch has also maintained the Negative Outlook on
class H-RR.

    DEBT               RATING           PRIOR
    ----               ------           -----
CGCMT 2017-C4

A-2 17326FAB3    LT  AAAsf   Affirmed   AAAsf
A-3 17326FAC1    LT  AAAsf   Affirmed   AAAsf
A-4 17326FAD9    LT  AAAsf   Affirmed   AAAsf
A-AB 17326FAE7   LT  AAAsf   Affirmed   AAAsf
A-S 17326FAH0    LT  AAAsf   Affirmed   AAAsf
B 17326FAJ6      LT  AA-sf   Affirmed   AA-sf
C 17326FAK3      LT  A-sf    Affirmed   A-sf
D 17326FAL1      LT  BBBsf   Affirmed   BBBsf
E-RR 17326FAN7   LT  BBB-sf  Affirmed   BBB-sf
F-RR 17326FAQ0   LT  BB+sf   Affirmed   BB+sf
G-RR 17326FAS6   LT  BB-sf   Affirmed   BB-sf
H-RR 17326FAU1   LT  B-sf    Affirmed   B-sf
X-A 17326FAF4    LT  AAAsf   Affirmed   AAAsf
X-B 17326FAG2    LT  A-sf    Affirmed   A-sf
X-D 17326FAY3    LT  BBBsf   Affirmed   BBBsf

KEY RATING DRIVERS

Stable Loss Expectations: Fitch's base case loss is inline with
issuance expectations due to the overall stable performance of the
underlying collateral. Fitch's ratings assume a base case loss is
5.4%. The Negative Outlook on Class H-RR reflect additional
sensitives, which reflect losses that could reach 6.5%; these
additional sensitivities include additional stresses applied to
loans expected to be impacted by the coronavirus pandemic. There
are 12 loans (30.2% of pool), including three loans (9.6%) in
special servicing, that have been designated as Fitch Loans of
Concern (FLOCs).

As of the June 2021 distribution period there were 16 loans (32.8%)
on the servicer's watchlist for low debt service coverage (DSCR),
increased vacancy, executed Covid-19 relief, upcoming lease
expirations, outstanding property insurance advances and
coronavirus pandemic related underperformance.

Fitch is monitoring the pool's largest loan, South Station (8%) for
increased vacancy and a large, upcoming lease expiration. South
Station is a mixed-use office/retail and transportation hub located
in downtown Boston, MA. According to the servicer, Aegis Media (NRA
17.2%) vacated at lease expiration in January 2021. Additionally,
Commonwealth of Massachusetts (NRA 20%) lease is scheduled to
expire in January 2022. As of YE 2020, the subject was 96%
occupied, compared to underwritten occupancy and the subject's 1Q20
submarket occupancy of 99% and 91%, respectively. At the time of
this rating action, the loan is not considered a FLOC given asset
quality and infill location.

Specially Serviced Loans:

The Godfrey Hotel (4.8%) is a boutique hotel is located in the
River North district of Chicago, approximately one mile north of
the CBD. The loan transferred to special servicing in September
2020 for payment default at the end of the loan's forbearance
period in August 2020. In July 2020, a forbearance agreement was
executed whereby the borrower was able to use FF&E reserve funds to
fund debt service and defer FF&E deposits for 90 days. The special
servicer is dual-tracking modification/foreclosure resolution
strategy. The borrower has proposed an additional forbearance of
interest payments and FF&E reserves.

According to the special servicer, a new forbearance agreement has
been closed and Fitch expects the loan will transfer back to the
master servicer. Due to decreased consumer spending and tourism
amid the coronavirus pandemic, subject NOI DSCR has fallen to
-0.69x as of the TTM period ending June 2020 from 1.83x at YE 2019.
Per the subject's STR report for the TTM period ending December
2020, RevPar was reported to be $49 compared to December 2019 TTM
RevPar of $145. This loan matures in October 2022.

The Marriott LAX (4.0%) is a full-service hotel, located 0.4 miles
from the Los Angeles International Airport. This loan transferred
to special servicing in December 2020 for payment default. In early
2021, the lender was seeking to appoint a receiver; however, the
request was denied in Los Angeles County Superior Court. While the
special servicer is dual tracking the loan, the borrower has
accepted a forbearance agreement for debt service and reserve
deposit payments.

The agreement is pending lender approval. The loan has been in cash
management since 1Q20 for falling below the DSCR requirement. The
loan is reporting negative cash flow for the YE 2020 statement. The
YE 2020 and YE 2019 NOI DSCR was -0.69x and 1.83x, respectively.
According to servicer commentary, the workout strategy will
dual-track modification of the loan with foreclosure proceedings.

Fitch Loans of Concern:

Hyatt Regency Louisville (4.1%) is a full-service hotel located
across the street from the Kentucky International Convention Center
(KICC) in the heart of the Louisville, KY CBD. Subject YE 2020 NOI
DSCR has fallen to -0.78x from 4.44x at YE 2019 and underwritten
NOI DSCR of 2.63x. This decline in performance is primarily due to
the decline in room revenue as November 2020 TTM RevPar fell to $26
from as November 2019 TTM RevPar of $122.

Mall of Louisiana (3.0%) is a superregional mall located in Baton
Rouge, LA. Collateral tenants include an AMC Theater (9.4% of NRA),
Dick's Sporting Goods (9.3%), Main Event Entertainment (6.2%) and
Nordstrom Rack (3.8%) and non-collateral anchor tenants are Sears,
Macy's, JCPenney and Dillard's. Per the YE2020 sales report, comp
inline sales for tenants less than 10,000 sf was $335 psf
(excluding Apple) compared to $454 psf at YE 2019, $461 psf at YE
2018 and $461 psf at issuance (March 2018).

YE 2020 DSCR is 2.00x compared to 2.39x at YE 2019, 2.47x at YE
2018 and 2.45x at YE 2017. The loan began to amortize in September
2020, which contributed to the decline in DSCR. Per the YE 2020
rent roll, collateral occupancy is 89% and total mall occupancy is
95%. 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.

Westin Crystal City (2.6%) is a full-service hotel located in
Arlington, VA. Due to economic hardship as a result of the
coronavirus pandemic, subject YE 2020 NOI DSCR has fallen to 0.07x
from 2.40x at YE 2019 and underwritten NOI DSCR of 2.92x. In May
2020, a forbearance agreement was executed where FF&E deposits may
be deferred between June 2020 through September 2020 payments and
to be repaid by the Sept. 5, 2021 payment date. Per the subject's
STR report, the YE 2020 TTM RevPAR has fallen to $54.50 from
$141.56 at YE 2019.

Exposure to Coronavirus: Nine loans (20.9% of pool), which have a
weighted average NOI DSCR of 0.49x, are secured by hotel
properties. 17 loans (23.7%), which have a weighted average NOI
DSCR of 1.88x, are secured by retail properties. Four loans (7.4%),
which have a weighted average NOI DSCR of 1.58x, are secured by
multifamily properties. Fitch's analysis applied additional
stresses to five hotel loans and two retail loans given the
significant declines in property-level cash flow expected in the
short term as a result of the decrease in consumer spending and
property closures from the coronavirus pandemic. Fitch also applied
additional stresses to the St. Louis Cardinals Lot loan (0.6%),
which is secured by a 111,514-sf parking lot located outside of
Busch Stadium in St. Louis, MO as it was deemed vulnerable to the
coronavirus pandemic.

Minimal Change to Credit Enhancement: As of the June 2021
distribution date, the pool's aggregate principal balance has paid
down by 4.3% to $934.7 million from $977.1 million at issuance. At
issuance, based on the scheduled balance at maturity, the pool was
expected to pay down by 7.5%, which is above the 2018 average of
7.2% and below the 2017 average of 7.9%.

There are seven loans (11.2%), including the specially serviced
Godfrey Hotel, that are scheduled to mature between August and
October 2022, and the remaining pool is scheduled to mature in
2027. One loan (0.9%) has been defeased and one loan ($22.8
million) prepaid with yield maintenance since Fitch's prior rating
action. Of the remaining pool balance, 18 loans comprising 41.3% of
the pool are full interest-only through the term of the loan.

ADDITIONAL CONSIDERATIONS

High Hotel and Mall Concentration: There are nine loans comprising
20.9% of outstanding pool balance are secured by hotel properties,
of which, eight have been flagged as FLOCs primarily due to
underperformance as a result of the coronavirus pandemic. This
includes two hotel loans in special servicing, Godfrey Hotel and
Marriott LAX. Both loans were classified as 90+ Days Delinquent at
time of review.

There are two loans comprising 7.34% of outstanding pool balance
are secured by mall/retail outlet properties. Mall of Louisiana
(3.0%) is a superregional mall located in Baton Rouge, LA and has
been flagged as a FLOC. Pleasant Prairie Premium Outlets (4.4%) is
a retail outlet center located along I-94 in Pleasant Prairie, WI,
a secondary market between Milwaukee and Chicago along the
Wisconsin/Illinois border. Large tenants include Nike Factory Store
(5.0% of NRA), Old Navy (4.0%) and Under Armour (2.8%). Sales were
$504 psf for TTM June 2019, compared with $501 psf for TTM June
2018 and $506 psf for YE 2016.

RATING SENSITIVITIES

The Stable Outlooks on classes A-1 through G-RR reflect the overall
stable performance of the majority of the pool and expected
continued amortization. The Negative Outlook on class H-RR reflect
the potential for downgrade due to concerns surrounding the
ultimate impact of the coronavirus pandemic and the performance
concerns associated with the FLOCs.

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

-- Stable to improved asset performance, coupled with additional
    paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf'
    rated classes are not expected but would likely occur with
    significant improvement in credit enhancement and/or
    defeasance and/or the stabilization to the properties impacted
    from the coronavirus pandemic.

-- Upgrades of the 'BBBsf' and 'BBB-sf' 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',
    '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:

-- An increase in pool-level losses from underperforming or
    specially serviced loans/assets. Downgrades to classes A-1
    through A-S and the interest-only class X-A are not likely due
    to the position in the capital structure, but may occur should
    interest shortfalls occur.

-- Downgrades to classes B, C, D, E-RR, F-RR, G-RR, X-B and X-D
    are possible should performance of the FLOCs continue to
    decline; should loans susceptible to the coronavirus pandemic
    not stabilize; and/or should further loans transfer to special
    servicing. Class H-RR could be downgraded should the specially
    serviced loan not return to the master servicer or there is
    more certainty of loss expectations from other FLOCs. The
    Outlook on this class may be revised back to Stable if
    performance of the FLOCs improves and/or properties vulnerable
    to the coronavirus 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.


CITIGROUP 2021-J2: Fitch Affirms B Rating on Class B-5 Debt
-----------------------------------------------------------
Fitch Ratings has assigned ratings to Citigroup Mortgage Loan Trust
2021-J2 (CMLTI 2021-J2).

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

A-1       LT  AAAsf   New Rating   AAA(EXP)sf
A-1-IO1   LT  AAAsf   New Rating   AAA(EXP)sf
A-1-IO2   LT  AAAsf   New Rating   AAA(EXP)sf
A-1-IOX   LT  AAAsf   New Rating   AAA(EXP)sf
A-1A      LT  AAAsf   New Rating   AAA(EXP)sf
A-1-IO3   LT  AAAsf   New Rating   AAA(EXP)sf
A-1-IO1W  LT  AAAsf   New Rating   AAA(EXP)sf
A-1-IO2W  LT  AAAsf   New Rating   AAA(EXP)sf
A-1W      LT  AAAsf   New Rating   AAA(EXP)sf
A-2       LT  AAAsf   New Rating   AAA(EXP)sf
A-2-IO1   LT  AAAsf   New Rating   AAA(EXP)sf
A-2-IO2   LT  AAAsf   New Rating   AAA(EXP)sf
A-2-IOX   LT  AAAsf   New Rating   AAA(EXP)sf
A-2A      LT  AAAsf   New Rating   AAA(EXP)sf
A-2-IO3   LT  AAAsf   New Rating   AAA(EXP)sf
A-2-IO1W  LT  AAAsf   New Rating   AAA(EXP)sf
A-2-IO2W  LT  AAAsf   New Rating   AAA(EXP)sf
A-2W      LT  AAAsf   New Rating   AAA(EXP)sf
A-3       LT  AAAsf   New Rating   AAA(EXP)sf
A-3-IO1   LT  AAAsf   New Rating   AAA(EXP)sf
A-3-IO2   LT  AAAsf   New Rating   AAA(EXP)sf
A-3-IOX   LT  AAAsf   New Rating   AAA(EXP)sf
A-3A      LT  AAAsf   New Rating   AAA(EXP)sf
A-3-IO3   LT  AAAsf   New Rating   AAA(EXP)sf
A-3-IO1W  LT  AAAsf   New Rating   AAA(EXP)sf
A-3-IO2W  LT  AAAsf   New Rating   AAA(EXP)sf
A-3W      LT  AAAsf   New Rating   AAA(EXP)sf
A-4       LT  AAAsf   New Rating   AAA(EXP)sf
A-4-IO1   LT  AAAsf   New Rating   AAA(EXP)sf
A-4-IO2   LT  AAAsf   New Rating   AAA(EXP)sf
A-4-IOX   LT  AAAsf   New Rating   AAA(EXP)sf
A-4A      LT  AAAsf   New Rating   AAA(EXP)sf
A-4-IO3   LT  AAAsf   New Rating   AAA(EXP)sf
A-4-IO1W  LT  AAAsf   New Rating   AAA(EXP)sf
A-4-IO2W  LT  AAAsf   New Rating   AAA(EXP)sf
A-4W      LT  AAAsf   New Rating   AAA(EXP)sf
A-5       LT  AAAsf   New Rating   AAA(EXP)sf
A-5-IO1   LT  AAAsf   New Rating   AAA(EXP)sf
A-5-IO2   LT  AAAsf   New Rating   AAA(EXP)sf
A-5-IOX   LT  AAAsf   New Rating   AAA(EXP)sf
A-5A      LT  AAAsf   New Rating   AAA(EXP)sf
A-5-IO3   LT  AAAsf   New Rating   AAA(EXP)sf
A-5-IO1W  LT  AAAsf   New Rating   AAA(EXP)sf
A-5-IO2W  LT  AAAsf   New Rating   AAA(EXP)sf
A-5W      LT  AAAsf   New Rating   AAA(EXP)sf
A-6       LT  AAAsf   New Rating   AAA(EXP)sf
A-6-IO1   LT  AAAsf   New Rating   AAA(EXP)sf
A-6-IO2   LT  AAAsf   New Rating   AAA(EXP)sf
A-6-IOX   LT  AAAsf   New Rating   AAA(EXP)sf
A-6A      LT  AAAsf   New Rating   AAA(EXP)sf
A-6-IO3   LT  AAAsf   New Rating   AAA(EXP)sf
A-6-IO1W  LT  AAAsf   New Rating   AAA(EXP)sf
A-6-IO2W  LT  AAAsf   New Rating   AAA(EXP)sf
A-6W      LT  AAAsf   New Rating   AAA(EXP)sf
A-7       LT  AAAsf   New Rating   AAA(EXP)sf
A-7-IO1   LT  AAAsf   New Rating   AAA(EXP)sf
A-7-IO2   LT  AAAsf   New Rating   AAA(EXP)sf
A-7-IOX   LT  AAAsf   New Rating   AAA(EXP)sf
A-7A      LT  AAAsf   New Rating   AAA(EXP)sf
A-7-IO3   LT  AAAsf   New Rating   AAA(EXP)sf
A-7-IO1W  LT  AAAsf   New Rating   AAA(EXP)sf
A-7-IO2W  LT  AAAsf   New Rating   AAA(EXP)sf
A-7W      LT  AAAsf   New Rating   AAA(EXP)sf
A-8       LT  AAAsf   New Rating   AAA(EXP)sf
A-8-IO1   LT  AAAsf   New Rating   AAA(EXP)sf
A-8-IO2   LT  AAAsf   New Rating   AAA(EXP)sf
A-8-IOX   LT  AAAsf   New Rating   AAA(EXP)sf
A-8A      LT  AAAsf   New Rating   AAA(EXP)sf
A-8-IO3   LT  AAAsf   New Rating   AAA(EXP)sf
A-8-IO1W  LT  AAAsf   New Rating   AAA(EXP)sf
A-8-IO2W  LT  AAAsf   New Rating   AAA(EXP)sf
A-8W      LT  AAAsf   New Rating   AAA(EXP)sf
A-11      LT  AAAsf   New Rating   AAA(EXP)sf
A-11-IO   LT  AAAsf   New Rating   AAA(EXP)sf
A-12      LT  AAAsf   New Rating   AAA(EXP)sf
B-1       LT  AAsf    New Rating   AA(EXP)sf
B-1-IO    LT  AAsf    New Rating   AA(EXP)sf
B-1-IOX   LT  AAsf    New Rating   AA(EXP)sf
B-1-IOW   LT  AAsf    New Rating   AA(EXP)sf
B-1W      LT  AAsf    New Rating   AA(EXP)sf
B-2       LT  Asf     New Rating   A(EXP)sf
B-2-IO    LT  Asf     New Rating   A(EXP)sf
B-2-IOX   LT  Asf     New Rating   A(EXP)sf
B-2-IOW   LT  Asf     New Rating   A(EXP)sf
B-2W      LT  Asf     New Rating   A(EXP)sf
B-3       LT  BBBsf   New Rating   BBB(EXP)sf
B-3-IO    LT  BBBsf   New Rating   BBB(EXP)sf
B-3-IOX   LT  BBBsf   New Rating   BBB(EXP)sf
B-3-IOW   LT  BBBsf   New Rating   BBB(EXP)sf
B-3W      LT  BBBsf   New Rating   BBB(EXP)sf
B-4       LT  BBsf    New Rating   BB(EXP)sf
B-5       LT  Bsf     New Rating   B(EXP)sf
B-6       LT  NRsf    New Rating   NR(EXP)sf
A-IO-S    LT  NRsf    New Rating   NR(EXP)sf

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 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 Economic Risk Factor (ERF)
floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and
'Bsf' rating stresses, respectively.

Fitch's March 2021 Global Economic Outlook and related base-line
economic scenario forecasts have been revised to a 6.2% U.S. GDP
growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in
2020. Additionally, Fitch's U.S. unemployment forecasts for 2021
and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1%
in 2020. These revised forecasts support Fitch reverting back to
the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan
Loss Model Criteria."

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.

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 includes strong R&W and transaction due
diligence as well as a strong aggregator which resulted in a
reduction in expected losses.

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 positive
rating action/upgrade:

-- 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 negative
rating action/downgrade:

-- 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 includes 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.


CITIGROUP COMMERCIAL 2016-C2: Fitch Affirms B- Rating on 2 Tranches
-------------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Citigroup Commercial
Mortgage Trust Commercial Mortgage Pass-Through Certificates,
series 2016-C2.

    DEBT                RATING          PRIOR
    ----                ------          -----
CGCMT 2016-C2

A-1 17291CBN4    LT  AAAsf   Affirmed   AAAsf
A-2 17291CBP9    LT  AAAsf   Affirmed   AAAsf
A-3 17291CBQ7    LT  AAAsf   Affirmed   AAAsf
A-4 17291CBR5    LT  AAAsf   Affirmed   AAAsf
A-AB 17291CBS3   LT  AAAsf   Affirmed   AAAsf
A-S 17291CBT1    LT  AAAsf   Affirmed   AAAsf
B 17291CBU8      LT  AA-sf   Affirmed   AA-sf
C 17291CBV6      LT  A-sf    Affirmed   A-sf
D 17291CAA3      LT  BBB-sf  Affirmed   BBB-sf
E 17291CAG0      LT  BB-sf   Affirmed   BB-sf
E-1 17291CAC9    LT  BB+sf   Affirmed   BB+sf
E-2 17291CAE5    LT  BB-sf   Affirmed   BB-sf
EF 17291CBC8     LT  B-sf    Affirmed   B-sf
F 17291CAN5      LT  B-sf    Affirmed   B-sf
X-A 17291CBW4    LT  AAAsf   Affirmed   AAAsf
X-B 17291CBX2    LT  A-sf    Affirmed   A-sf
X-D 17291CBG9    LT  BBB-sf  Affirmed   BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Loss expectations have remained
relatively stable since the last rating action, with several loans
experiencing less severe coronavirus pandemic-related declines than
expected as of the prior rating action. Approximately 61% of loans
in the pool have reported YE 2020 financials. Fitch has identified
12 loans (37.8%) as Fitch loans of concern (FLOCs), including seven
(31.2%) loans among the top 15 loans and two loans (6.5%) in
special servicing.

Fitch's current ratings incorporate a base case loss of 5.5%. The
Negative Rating Outlooks reflect losses that could reach 7.7% when
factoring additional stresses related to the coronavirus pandemic.

Fitch Loans of Concern/Specially Serviced Loans: The largest FLOC
and the largest contributor to loss expectations in the pool is
Crocker Park Phase One and Two (10.2%) which transferred to the
special servicer in April 2020 due to the coronavirus pandemic and
transferred back to the master servicer in Sept. 2020 after the
loan was modified. The modification terms included a 12-month loan
debt service deferral which will total $6.9 million so that the
borrower can fund this amount into the leasing reserve and apply to
leasing the vacant space.

In addition, the servicer is capturing all excess cash flow during
the 12-month period into the leasing reserve and to fund any
operating shortfalls. The borrower has until loan maturity in 2026
to refund the $6.9 million; Fitch will monitor the status of the
borrower's re-leasing and property performance. If property
performance deteriorates, higher expected losses may be applied to
the loan and will consider whether the $6.9 million can be
recovered at maturity.

The loan is secured by a 615,062 sf mixed use retail/office
property built in 2004 and located in Westlake, OH. Major tenants
include Dick's Sporting Goods, Esporta Fitness, Trader Joe's,
Cheesecake Factory, Barnes & Noble, and Regal Cinemas. As of March
2021, the property was 91.9% occupied, in line with March 2020 at
90.4% but down from 95.7% at YE 2018. Per the March 2021 rent roll
2.2% of the collateral has lease expirations in 2021, 7.5% in 2022,
and 5.9% in 2023. The servicer reported YE 2020 NOI debt service
coverage ratio (DSCR) was 1.46x compared to 1.56x at YE 2019 and
1.71x at YE 2018. Fitch's analysis applied an 8.75% cap rate and a
10% stress to YE 2020 NOI to account for near-term lease rollover
and the loan still being in the deferral period which resulted in
an approximate 20% loss.

The second largest contributor to loss expectations is Staybridge
Suites Times Square (4.9%). The hotel's franchise agreement expired
in April 2020 and is no longer a Staybridge Suites and the hotel is
currently an independent hotel named TBA NYC Times Square. The loan
is secured by a 32-story, 310-room extended stay hotel located in
the Times Square neighborhood of New York City. Performance metrics
declined significantly in 2020 given the travel slowdowns and
market disruption during the pandemic.

For the TTM period ending March 2021, RevPAR declined to $27.80
from $219.81 at YE 2019 and occupancy declined to 33% from 98% at
YE 2019. The YE 2020 NOI DSCR was -1.27x down from 2.59x as of YE
2019. The loan remains current and a modification was approved
effective March 2021 which defers FF&E contributions and monthly
payments other than taxes and insurance for 90 days. Fitch's
analysis includes a 26% haircut to the YE 2019 NOI resulting in an
approximate 20% loss.

The largest specially serviced loan in the pool, Welcome
Hospitality Portfolio (4.0%), was transferred to the special
servicer in May 2020 due to the coronavirus pandemic when a
majority of tenants sent letters stating they would not be able to
pay rent and requested various forms of relief for future months. A
six-month forbearance agreement for debt service was closed in
early September and extended until January 2021. The borrower
continues to repay the debt service payments and the loan is in
process of being transferred back to the master servicer.

The loan is secured by the 175-key Hilton Scranton Downtown located
in Scranton, PA and the 125-key Hampton Inn West Springfield
located in West Springfield, MA. The combined TTM YE 2019 occupancy
was 71%, down slightly from 73% at YE 2018 and the YE 2019 NOI DSCR
was 2.0x. Fitch's loss is based upon a discount to a recent
appraisal valuation and reflects a stressed value per key of
approximately $76,000.

Minimal Changes in Credit Enhancement: Credit Enhancement (CE) has
had minimal changes since issuance. As of the June 2021
distribution date, the pool's aggregate principal balance has been
reduced by 3% to $589.6 million, down from $609.2 million at
issuance, resulting in minimal increases in CE to the senior
classes. 11 loans (33.4%) are full-term interest-only loans.
Additionally, there is one loan representing 4.9% of the pool that
remains in their partial interest-only period.

One loan, Marriott - Livonia at Laurel Park (2.5%) is scheduled to
mature this year; however, the loan remains with the special
servicer. The majority of the loans mature in 2026 (96.1%) with one
in 2025 (1.5%). Three loans (6.2%) have defeased.

Additional Stresses Applied Due to Coronavirus Exposure: Seven
loans (19.4%) are secured by hotel properties while 18 loans
(49.2%) are secured by retail or mixed use with retail tenants.
Fitch applied additional coronavirus related stresses to three
hotel loans (11.8%) and three retail and mixed-use loans (15%).

RATING SENSITIVITIES

The Stable Outlooks on the classes A-1 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 (37.8% of
the pool) including two loans in special servicing (6.2%).

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 'A-sf' and 'AA-sf'
    categories would likely occur with significant improvement in
    CE and/or defeasance; however, adverse selection, increased
    concentrations and/or further underperformance of the FLOCs or
    loans expected to be negatively affected by the coronavirus
    pandemic could cause this trend to reverse. Upgrades to the
    'BBB-sf' 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 'B-sf',
    'BB+-sf', and 'BB+sf' 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 'AA-sf' and
    'AAAsf' categories are not likely due to the position in the
    capital structure and level of CE, but may occur should
    interest shortfalls occur or should losses increase
    significantly.

-- Downgrades to the 'A-sf' and/or 'BBB-sf' category would occur
    if a high proportion of the pool defaults and expected losses
    increase significantly. Downgrades to the 'B-sf' 'BB-sf', and
    'BB+sf' categories would occur should loss expectations
    increase due to an increase in specially serviced loans and/or
    the loans vulnerable to the coronavirus pandemic do 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.


CITIGROUP MORTGAGE 2021-INV1: S&P Assigns 'B' Rating on B-5 Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Citigroup Mortgage Loan
Trust 2021-INV1's $247.7 million mortgage pass-through
certificates.

The issuance is an RMBS transaction backed by first-lien,
fixed-rate, fully amortizing residential mortgage loans secured by
one- to four-family residential properties, planned-unit
developments, and condominiums to prime borrowers. The pool
consists of 758 investor ability-to-repay exempt mortgage loans.

The ratings reflect S&P's view of:

-- The high-quality collateral in the pool;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty;

-- PennyMac Loan Services LLC, which provides fulfillment services
to PennyMac Corp.;

-- The geographic concentration;

-- The 100% due diligence results consistent with the represented
loan characteristics; and

-- The impact that the economic stress brought on by COVID-19
pandemic will likely have on the performance of the mortgage
borrowers in the pool and liquidity available in the transaction.

  Ratings Assigned

  Citigroup Mortgage Loan Trust 2021-INV1

  Class A-1, $126,325,000: AAA (sf)
  Class A-1-IO1, $126,325,000(i): AAA (sf)
  Class A-1-IO2, $126,325,000(i): AAA (sf)
  Class A-1-IOX, $126,325,000(i): AAA (sf)
  Class A-1A, $126,325,000: AAA (sf)
  Class A-1-IO3, $126,325,000(i): AAA (sf)
  Class A-1-IO1W, $126,325,000(i): AAA (sf)
  Class A-1-IO2W, $126,325,000(i): AAA (sf)
  Class A-1W, $126,325,000: AAA (sf)
  Class A-2, $52,635,000: AAA (sf)
  Class A-2-IO1, $52,635,000(i): AAA (sf)
  Class A-2-IO2, $52,635,000(i): AAA (sf)
  Class A-2-IOX, $52,635,000(i): AAA (sf)
  Class A-2A, $52,635,000: AAA (sf)
  Class A-2-IO3, $52,635,000(i): AAA (sf)
  Class A-2-IO1W, $52,635,000(i): AAA (sf)
  Class A-2-IO2W, $52,635,000(i): AAA (sf)
  Class A-2W, $52,635,000: AAA (sf)
  Class A-3, $210,535,000: AAA (sf)
  Class A-3-IO1, $210,535,000(i): AAA (sf)
  Class A-3-IO2, $210,535,000(i): AAA (sf)
  Class A-3-IOX, $210,535,000(i): AAA (sf)
  Class A-3A, $210,535,000: AAA (sf)
  Class A-3-IO3, $210,535,000(i): AAA (sf)
  Class A-3-IO1W, $210,535,000(i): AAA (sf)
  Class A-3-IO2W, $210,535,000(i): AAA (sf)
  Class A-3W, $210,535,000: AAA (sf)
  Class A-4, $19,318,000: AAA (sf)
  Class A-4-IO1, $19,318,000(i): AAA (sf)
  Class A-4-IO2, $19,318,000(i): AAA (sf)
  Class A-4-IOX, $19,318,000(i): AAA (sf)
  Class A-4A, $19,318,000: AAA (sf)
  Class A-4-IO3, $19,318,000(i): AAA (sf)
  Class A-4-IO1W, $19,318,000(i): AAA (sf)
  Class A-4-IO2W, $19,318,000(i): AAA (sf)
  Class A-4W, $19,318,000: AAA (sf)
  Class A-5, $229,853,000: AAA (sf)
  Class A-5-IO1, $229,853,000(i): AAA (sf)
  Class A-5-IO2, $229,853,000(i): AAA (sf)
  Class A-5-IOX, $229,853,000(i): AAA (sf)
  Class A-5A, $229,853,000: AAA (sf)
  Class A-5-IO3, $229,853,000(i): AAA (sf)
  Class A-5-IO1W, $229,853,000(i): AAA (sf)
  Class A-5-IO2W, $229,853,000(i): AAA (sf)
  Class A-5W, $229,853,000: AAA (sf)
  Class A-6, $31,575,000: AAA (sf)
  Class A-6-IO1, $31,575,000(i): AAA (sf)
  Class A-6-IO2, $31,575,000(i): AAA (sf)
  Class A-6-IOX, $31,575,000(i): AAA (sf)
  Class A-6A, $31,575,000: AAA (sf)
  Class A-6-IO3, $31,575,000(i): AAA (sf)
  Class A-6-IO1W, $31,575,000(i): AAA (sf)
  Class A-6-IO2W, $31,575,000(i): AAA (sf)
  Class A-6W, $31,575,000: AAA (sf)
  Class A-7, $157,900,000: AAA (sf)
  Class A-7-IO1, $157,900,000(i): AAA (sf)
  Class A-7-IO2, $157,900,000(i): AAA (sf)
  Class A-7-IOX, $157,900,000(i): AAA (sf)
  Class A-7A, $157,900,000: AAA (sf)
  Class A-7-IO3, $157,900,000(i): AAA (sf)
  Class A-7-IO1W, $157,900,000(i): AAA (sf)
  Class A-7-IO2W, $157,900,000(i): AAA (sf)
  Class A-7W, $157,900,000: AAA (sf)
  Class A-8, $84,210,000: AAA (sf)
  Class A-8-IO1, $84,210,000(i): AAA (sf)
  Class A-8-IO2, $84,210,000(i): AAA (sf)
  Class A-8-IOX, $84,210,000(i): AAA (sf)
  Class A-8A, $84,210,000: AAA (sf)
  Class A-8-IO3, $84,210,000(i): AAA (sf)
  Class A-8-IO1W, $84,210,000(i): AAA (sf)
  Class A-8-IO2W, $84,210,000(i): AAA (sf)
  Class A-8W, $84,210,000: AAA (sf)
  Class A-11, $8,421,400: AAA (sf)
  Class A-11-IO, $8,421,400(i): AAA (sf)
  Class A-11-A, $42,107,000: AAA (sf)
  Class A-11-AIO, $42,107,000(i): AAA (sf)
  Class A-12, $8,421,400: AAA (sf)
  Class B-1, $7,182,000: AA (sf)
  Class B-1-IO, $7,182,000(i): AA (sf)
  Class B-1-IOX, $7,182,000(i): AA (sf)
  Class B-1-IOW, $7,182,000(i): AA (sf)
  Class B-1W, $7,182,000: AA (sf)
  Class B-2, $4,830,000: A (sf)
  Class B-2-IO, $4,830,000(i): A (sf)
  Class B-2-IOX, $4,830,000(i): A (sf)
  Class B-2-IOW, $4,830,000(i): A (sf)
  Class B-2W, $4,830,000: A (sf)
  Class B-3, $2,353,000: BBB (sf)
  Class B-3-IO, $2,353,000(i): BBB (sf)
  Class B-3-IOX, $2,353,000(i): BBB (sf)
  Class B-3-IOW, $2,353,000(i): BBB (sf)
  Class B-3W, $2,353,000: BBB (sf)
  Class B-4, $1,486,000: BB (sf)
  Class B-5, $867,000: B (sf)
  Class B-6, $1,115,470: Not rated
  Class PT, $247,686,470(i): Not rated
  Class R, not applicable: Not rated

  Note: (i)Notional balance.
  IO--Interest only.



CITIGROUP MORTGAGE 2021-J2: Moody's Assigns B2 Rating to B-5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 92
classes of residential mortgage-backed securities issued by
Citigroup Mortgage Loan Trust (CMLTI) 2021-J2. The ratings range
from Aaa (sf) to B2 (sf).

CMLTI 2021-J2 securitization is backed by a pool of prime,
non-conforming, residential mortgage loans acquired by Citigroup
Global Markets Realty Corp. (CGMRC), the sponsor of this
transaction. This deal represents the second CMLTI transaction in
2021 and the fifth rated issue from the shelf since its inception
in 2019. CGMRC issued three prime jumbo securitizations from
2013-2014. CGRMC began acquiring newly originated loans again in
2019, and has since issued 4 securitizations to date with newly
originated collateral (CMLTI 2019-IMC1, CMLTI 2020-EXP1, CMLTI
2020-EXP2, CMLTI 2021-J1). The pool has strong credit quality and
consists of borrowers with high FICO scores, low loan-to-value
(LTV) ratios, high income, and liquid cash reserves.

CGMRC acquired the loans in the pool from six sellers.
Approximately 34.9% and 28.6% of the mortgage loans (by unpaid
principal balance (UPB) as of the cut-off date) were originated by
Quicken Loans, LLC (Quicken) and Better Mortgage Corporation
(Better Mortgage), respectively. No other originator or group of
affiliated originators originated more than 10% of the mortgage
loans in the aggregate.

The CFPB recently issued a final rule amending Regulation Z ability
to repay rule/qualified mortgage (QM) requirements to replace the
strict 43% debt-to-income (DTI) ratio basis for the general QM with
an annual percentage rate (APR) limit, while still requiring the
consideration of the DTI ratio or residual income (the new general
QM rule). All of the Quicken loans were originated pursuant to the
new general QM rule.

Fay Servicing LLC (Fay) will be primary servicer on the deal,
servicing 100% of the loans. There is no master servicer in this
transaction. While Fay is the servicer, CGMRC will be responsible
for making principal and interest (P&I) advances. U.S. Bank
National Association (U.S. Bank, long term senior unsecured A1,
possible downgrade) will be the trust administrator and the
trustee, and will act as the backup advancing party.

A third-party review (TPR) firm verified the accuracy of the loan
level information. The firm conducted detailed credit, property
valuation, data accuracy and compliance reviews on 100% of the
mortgage loans in the collateral pool.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model.

In this transaction, the Class A-11 coupon is indexed to 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.

The complete rating action are as follows.

Issuer: Citigroup Mortgage Loan Trust 2021-J2

Cl. A-1, Assigned Aaa (sf)

Cl. A-1-IO1*, Assigned Aaa (sf)

Cl. A-1-IO2*, Assigned Aaa (sf)

Cl. A-1-IOX*, Assigned Aaa (sf)

Cl. A-1A, Assigned Aaa (sf)

Cl. A-1-IO3*, Assigned Aaa (sf)

Cl. A-1-IO1W*, Assigned Aaa (sf)

Cl. A-1-IO2W*, Assigned Aaa (sf)

Cl. A-1W, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-2-IO1*, Assigned Aaa (sf)

Cl. A-2-IO2*, Assigned Aaa (sf)

Cl. A-2-IOX*, Assigned Aaa (sf)

Cl. A-2A, Assigned Aaa (sf)

Cl. A-2-IO3*, Assigned Aaa (sf)

Cl. A-2-IO1W*, Assigned Aaa (sf)

Cl. A-2-IO2W*, Assigned Aaa (sf)

Cl. A-2W, Assigned Aaa (sf)

Cl. A-3, Assigned Aaa (sf)

Cl. A-3-IO1*, Assigned Aaa (sf)

Cl. A-3-IO2*, Assigned Aaa (sf)

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

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

Cl. A-3-IO3*, Assigned Aaa (sf)

Cl. A-3-IO1W*, Assigned Aaa (sf)

Cl. A-3-IO2W*, Assigned Aaa (sf)

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

Cl. A-4, Assigned Aaa (sf)

Cl. A-4-IO1*, Assigned Aaa (sf)

Cl. A-4-IO2*, Assigned Aaa (sf)

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

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

Cl. A-4-IO3*, Assigned Aaa (sf)

Cl. A-4-IO1W*, Assigned Aaa (sf)

Cl. A-4-IO2W*, Assigned Aaa (sf)

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

Cl. A-5, Assigned Aaa (sf)

Cl. A-5-IO1*, Assigned Aaa (sf)

Cl. A-5-IO2*, Assigned Aaa (sf)

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

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

Cl. A-5-IO3*, Assigned Aaa (sf)

Cl. A-5-IO1W*, Assigned Aaa (sf)

Cl. A-5-IO2W*, Assigned Aaa (sf)

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

Cl. A-6, Assigned Aaa (sf)

Cl. A-6-IO1*, Assigned Aaa (sf)

Cl. A-6-IO2*, Assigned Aaa (sf)

Cl. A-6-IOX*, Assigned Aaa (sf)

Cl. A-6A , Assigned Aaa (sf)

Cl. A-6-IO3*, Assigned Aaa (sf)

Cl. A-6-IO1W*, Assigned Aaa (sf)

Cl. A-6-IO2W*, Assigned Aaa (sf)

Cl. A-6W, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

Cl. A-7-IO1*, Assigned Aaa (sf)

Cl. A-7-IO2*, Assigned Aaa (sf)

Cl. A-7-IOX*, Assigned Aaa (sf)

Cl. A-7A, Assigned Aaa (sf)

Cl. A-7-IO3*, Assigned Aaa (sf)

Cl. A-7-IO1W*, Assigned Aaa (sf)

Cl. A-7-IO2W*, Assigned Aaa (sf)

Cl. A-7W, Assigned Aaa (sf)

Cl. A-8, Assigned Aaa (sf)

Cl. A-8-IO1*, Assigned Aaa (sf)

Cl. A-8-IO2*, Assigned Aaa (sf)

Cl. A-8-IOX*, Assigned Aaa (sf)

Cl. A-8A, Assigned Aaa (sf)

Cl. A-8-IO3*, Assigned Aaa (sf)

Cl. A-8-IO1W*, Assigned Aaa (sf)

Cl. A-8-IO2W*, Assigned Aaa (sf)

Cl. A-8W, Assigned Aaa (sf)

Cl. A-11, Assigned Aaa (sf)

Cl. A-11-IO*, Assigned Aaa (sf)

Cl. A-12, Assigned Aaa (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-1-IO*, Assigned Aa3 (sf)

Cl. B-1-IOX*, Assigned Aa3 (sf)

Cl. B-1-IOW*, Assigned Aa3 (sf)

Cl. B-1W, Assigned Aa3 (sf)

Cl. B-2, Assigned A3 (sf)

Cl. B-2-IO*, Assigned A3 (sf)

Cl. B-2-IOX*, Assigned A3 (sf)

Cl. B-2-IOW*, Assigned A3 (sf)

Cl. B-2W, Assigned A3 (sf)

Cl. B-3, Assigned Baa2 (sf)

Cl. B-3-IO*, Assigned Baa2 (sf)

Cl. B-3-IOX*, Assigned Baa2 (sf)

Cl. B-3-IOW*, Assigned Baa2 (sf)

Cl. B-3W, Assigned Baa2 (sf)

Cl. B-4, Assigned Ba2 (sf)

Cl. B-5, Assigned B2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
0.25%, in a baseline scenario-median is 0.12%, and reaches 2.50% at
a stress level consistent with Moody's Aaa ratings.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans 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 increased its model-derived median expected losses by 10%
(6.28% for the mean) and Moody's Aaa loss by 2.5% to reflect the
likely performance deterioration resulting from the slowdown in US
economic activity due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated mortgage loans, post-COVID
underwriting takes into account the impact of the pandemic on a
borrower's ability to repay the mortgage. For seasoned mortgage
loans, as time passes, the likelihood that borrowers who have
continued to make payments throughout the pandemic will now become
non-cash flowing due to COVID-19 continues to decline.

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

Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the TPR and the R&W framework of the
transaction.

Collateral Description

As of the cut-off date, the mortgage loans will consist of 466
non-conforming mortgage loans with an aggregate stated principal
balance of approximately $415,620,350. The mortgage loans will
consist of conventional, fixed-rate, fully amortizing mortgage
loans, which will have original terms to maturity of 30 years. All
of the mortgage loans will be secured by first liens on
single-family residential properties, planned unit developments or
condominiums. All loans are current as of the cut-off date.
Overall, the credit quality of the mortgage loans backing this
transaction is in-line with recently issued prime jumbo
transactions Moody's have rated, with average length of employment
of 8.0 years, average monthly primary and all borrower wage income
of $19,756 and $24,462, respectively. The average monthly residual
income is approximately $18,355.

The pool has clean pay history and weighted average (WA) seasoning
of approximately 2 months. No borrower under any mortgage loan is
currently in an active COVID-19 related forbearance plan with the
servicer. All mortgage loans are current as of the cut-off date.
The weighted average (WA) FICO for the aggregate pool is 785 with a
WA LTV and WA CLTV of 67.4% and 67.6%, respectively.

With the exception of the Quicken loans which were underwritten
pursuant to the new general QM rule, all of the mortgage loans in
the aggregate pool are QM, with the prime jumbo mortgage loans
meeting the requirements of the QM-Safe Harbor rule.

The loans originated by Quicken in the pool were all originated
pursuant to the new general QM rule. The third party review
verified that the loans' APRs met the QM rule's thresholds.
Furthermore, these loans were underwritten and documented pursuant
to the QM rule's verification safe harbor via a mix of the Fannie
Mae Single Family Selling Guide, the Freddie Mac Single-Family
Seller/Servicer Guide, and Quicken's Jumbo Smart program overlays.
As part of the origination quality review and in consideration of
the detailed loan-level third-party diligence reports, which
included supplemental information with the specific documentation
received for each loan, Moody's concluded that these loans were
fully documented loans, and that the underwriting of the loans is
acceptable. Therefore, Moody's ran these loans as "full
documentation" loans in Moody's MILAN model, and did not make any
additional qualitative origination adjustments for these loans.

Aggregation and Origination Quality

Based on the available information related to CGMRC's valuation and
risk management practices, the 100% TPR, and the transparent R&W
framework in this transaction, Moody's did not make any adjustments
to Moody's losses based on Moody's review of CGMRC, the
aggregator.

The mortgage loans in the pool were purchased by CGMRC from six
sellers. Approximately 34.9% and 28.6% of the mortgage loans (by
UPB as of the cut-off date) were originated by Quicken and Better
Mortgage, respectively. No other originator or group of affiliated
originators originated more than 10% of the mortgage loans in the
aggregate. Approximately 34.18% (by UPB) of the mortgage loans were
acquired by CGMRC from MaxEx Clearning, LLC (MaxEx), which
purchased such mortgage loans from various originators. With an
exception of Better Mortgage, Synergy One Lending, Inc., and
Guardian Mortgage (a division of Sunflower Bank, N.A.), whose
mortgage loans were underwritten to CGMRC's jumbo guidelines, all
of the other mortgage loans were underwritten to Quicken, MaxEx,
and Newrez LLC (1.2% UPB), respectively.

Moody's generally look at originators or aggregators, as
applicable, whose loans constitute more than 10% of an RMBS
portfolio, identifying any business strategies, policies,
procedures, and underwriting guidelines that could affect future
loan performance, in addition to a review of the originator's past
loan performance (if available).

While Moody's did not increase its base case and Aaa loss
expectations for loans underwritten to CGMRC's underwriting
guidelines because Moody's consider such mortgage loans to have
been acquired to prime jumbo underwriting standards which are
in-line with other prime jumbo aggregators, Moody's did make an
adjustment to its losses for loans originated by Better Mortgage
primarily due to limited insight into the company's prime jumbo
performance and risk management practices.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool as
adequate, and as a result Moody's did not make any adjustments to
its base case and Aaa stress loss assumptions. Moody's did not
apply any adjustment to its expected losses for the lack of master
servicer due to the following: (a) Fay was established in 2008 and
is an experienced servicer of residential mortgage loans, (b) Fay
is an approved servicer for both Fannie Mae and Freddie Mac, (c)
Fay had no instances of material non-compliance for its recent
Regulation AB or Uniformed Single Audit Program (USAP) independent
servicer reviews, (d) although not directly related to this
transaction, there is still third party oversight of Fay from the
GSEs, the CFPB, the accounting firms and state regulators, (e) the
complexity of the loan product is relatively low, reducing the
complexity of servicing and reporting; and (f) U.S. Bank, as the
trust administrator, will not only be responsible for aggregating
the reports from the servicers and reporting to investors, but also
for appointing a replacement servicer at the direction of the
controlling holder.

Third-Party Review

The transaction benefits from a TPR on 100% of the loans for
regulatory compliance, credit and property valuation. The due
diligence results confirm compliance with the originator's
underwriting guidelines for the vast majority of loans, no material
regulatory compliance issues, and no material property valuation
issues. The loans that had exceptions to the originator's
underwriting guidelines had significant compensating factors that
were documented.

Representations & Warranties

An effective R&W framework protects a transaction against the risk
of loss from fraudulent or defective loans. Moody's assessed CMLTI
2021-J2's R&W framework for this transaction as adequate,
consistent with that of other prime jumbo transactions for which
the breach review process is thorough, transparent and objective,
and the costs and manner of review are clearly outlined at
issuance.

The transaction requires mandatory independent reviews of loans
that become 120 days delinquent (other than certain loans in FEMA
disaster areas and those in forbearance as a result of a pandemic
or national disaster) and those that liquidate at a loss to
determine if any of the R&Ws are breached. The R&Ws are
comprehensive and the R&W provider is CGMRC, an affiliate of
Citigroup Inc. (rated A3 stable). The R&W provider will be
obligated to cure or repurchase loans found to have material
breaches of R&Ws, or pay for any loss if that loan was liquidated.

Transaction Structure

CMLTI 2021-J2 has one pool with a shifting interest structure that
benefits from a subordination 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.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.00% of the cut-off date pool
balance, and as subordination lock-out amount of 1.00% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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.


COMM 2012-CCRE4: Fitch Lowers Rating on 2 Tranches to Csf
---------------------------------------------------------
Fitch Ratings has downgraded five classes of Deutsche Bank
Securities, Inc.'s COMM 2012-CCRE4 commercial mortgage pass-through
certificates, series 2012-CCRE4 and affirmed five classes. Seven
classes were removed from Rating Watch Negative.

    DEBT              RATING           PRIOR
    ----              ------           -----
COMM 2012-CCRE4

A-3 12624QAR4   LT  AAAsf  Affirmed    AAAsf
A-M 12624QAT0   LT  A-sf   Downgrade   AAsf
A-SB 12624QAQ6  LT  AAAsf  Affirmed    AAAsf
B 12624QBA0     LT  B-sf   Downgrade   BBBsf
C 12624QAC7     LT  Csf    Downgrade   BBsf
D 12624QAE3     LT  Csf    Affirmed    Csf
E 12624QAG8     LT  Dsf    Affirmed    Dsf
F 12624QAJ2     LT  Dsf    Affirmed    Dsf
X-A 12624QAS2   LT  A-sf   Downgrade   AAsf
X-B 12624QAA1   LT  Csf    Downgrade   BBsf

KEY RATING DRIVERS

Rating Watch Resolution: All classes with the exception of those
already distressed were placed on Rating Watch Negative (RWN) in
May 2021 following the liquidation of Fashion Outlets of Las Vegas,
which was previously the third largest loan in the pool. While
Fitch expected a full loss on the loan, the reimbursement of
servicer advances remained a concern. The disposition resulted in a
recovery of only $400,000 in sale proceeds and approximately $12.5
million in outstanding servicer advances unpaid.

Fitch has recently confirmed with the servicer that it intends to
continue to recoup outstanding advances via monthly principal draws
in the amount of $1 million. As of the June 2021 distribution,
there is approximately $10.6 million remaining in outstanding
advances to be reimbursed. Based on the expected reimbursement
timeline and the schedule of loan maturities in 2022, Fitch
believes this will not result in missed interest to the most senior
bonds, rated 'AAAsf' , therefore the RWN was removed and Class A-S
and A-SB were affirmed with stable rating outlooks. There is
concern for interest shortfall to the junior bonds with increased
likelihood for adverse selection in the near term as loans come up
for maturity. This contributed to the downgrade of class A-M.

Increased Loss Expectations: Fitch's loss expectations have
increased since the last rating action due to the continued
deterioration of the largest FLOCs, one of which transferred to
special servicing in the last year. Eight loans representing 30.2%
of the pool have been flagged as Fitch Loans of Concern (FLOC).
This includes two regional malls in the Top 15. Fitch's current
ratings incorporate a base case loss of 12.9%. The Negative
Outlooks on classes reflect losses that could reach 19.6% when
factoring in additional pandemic-related stresses and potential
outsized losses on the Emerald Square Mall and Mall of Georgia
Crossing loans.

The largest FLOC is Eastview Mall and Commons (15.3% of the pool).
It is secured by 802,636 sf of a 1.7 million-sf regional mall and
power center in Victor, NY. The loan, which is sponsored by
Wilmorite Properties, transferred to special servicing in May 2020
for imminent monetary default at the borrower's request as a result
of the coronavirus pandemic. The loan was brought current and
transferred back to the master servicer in July 2020. Fitch's base
case loss expectation of 54% reflects a 15% cap rate on the year
end (YE) 2020 NOI and represents performance and refinance
concerns, including the secular shift away from regional malls.

The YE 2020 servicer-reported net operating income (NOI) was 17%
below YE 2019 and 33% below issuance. Collateral occupancy and
servicer-reported NOI debt service coverage ratio (DSCR) for this
interest-only loan were 84% and 1.46x at YE 2020, down from 89% and
1.77x at YE 2019 and 94% and 2.19x at issuance.

Non-collateral Sears closed in the fourth quarter of 2018 and
non-collateral Lord & Taylor closed in the first quarter of 2021.
The former Sears box has been backfilled by Dick's Sporting Goods.
The mall portion is anchored by non-collateral JCPenney,
non-collateral Macy's and non-collateral Von Maur, and the power
center portion is anchored by non-collateral Home Depot and
non-collateral Target. The largest collateral tenant is Regal
Cinemas, which leases approximately 9.5% net rentable area (NRA)
through February 2026. Per the December 2020 rent roll, near-term
rollover includes approximately 7% NRA in 2021 and 4% in 2022.

Emerald Square Mall (4.3% of the pool) is a FLOC and is in special
servicing. The asset is an enclosed regional mall located in North
Attleboro, MA and anchored by JCPenney, Macy's, Macy's Men's and
Home Store and Sears. The collateral for this loan consists of the
JCPenney anchor (188,950 sf, 33.5% NRA through Aug. 2024) and the
in-line retail space (375,551 sf).

This is a FLOC due to declining sales and occupancy. Occupancy was
75% as of September 2020, down from 90% at YE2019. JCPenney
recently exercised a five-year extension option. Macy's is not on
any of the retailer's store closure lists, but Sears closed in
April 2021. Leases representing 19.6% of the NRA are scheduled to
roll by YE2021, according to the Sept. 2020 rent roll and 4.5% in
2022. Inline sales were $325 psf as of YE2019, down from $331 psf
the year prior.

The loan, which is sponsored by Simon Property Group, transferred
to the special servicer in June 2020 for payment default and the
workout strategy is foreclosure. JLL is the appointed receiver. The
Fitch projected base case loss of 68% is based on a stressed value
which implies a cap rate of 20%.

The base case treatment for these loans was a primary driver for
the downgrades to classes B and C.

Sensitivities to Regional Malls: There continues to be concern with
the retail market overall, and liquidity available for regional
malls in particular. Fitch ran additional sensitivity stresses on
Emerald Square Mall and Mall of Georgia Commons.

For Emerald Square Mall, Fitch's sensitivity assumed a 100% loss to
reflect the property's low sales, the recent loss of Sears as an
anchor and concentrated near term lease rollover. Mall of Georgia
Commons, while not a regional mall, is sponsored by Washington
Prime Group, which recently filed for Chapter 11 bankruptcy
protection. Fitch's sensitivity for this loan assumed a 25% loss to
reflect the potential for maturity default given the sponsor's
weakened financial standing. These sensitivities drive the Negative
Rating Outlooks.

RATING SENSITIVITIES

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

-- Upgrades are not likely given the pool's increasing
    concentration and recent deterioration in credit support.
    Class A-M could be upgraded with stabilization of the Fitch
    loans of concern (FLOCs), paydown from maturing loans or
    increased defeasance. Classes B could only be upgraded with
    significant improvement in credit enhancement and pool
    performance.

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

-- Downgrades are possible at 'AAAsf' should interest shortfalls
    occur. Class B could be downgraded should a larger than
    expected number of loans fail to refinance or loss
    expectations increase. Downgrades to the distressed classes
    are expected 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

COMM 2012-CCRE4 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to malls that are underperforming as a result of
changing consumer preference to shopping, which has a negative
impact on the credit profile and is highly relevant to the
ratings.

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 2013-GAM MORTGAGE: Fitch Lowers Class F Debt Rating to 'B-sf'
------------------------------------------------------------------
Fitch Ratings has downgraded two classes and placed the remaining
classes of COMM 2013-GAM Mortgage Trust on Ratings Watch Negative
(RWN).

    DEBT              RATING                 PRIOR
    ----             ------                 -----
COMM 2013-GAM Mortgage Trust

A-2 12624UAC8   LT  AAAsf  Rating Watch On   AAAsf
B 12624UAJ3     LT  AA-sf  Rating Watch On   AA-sf
C 12624UAL8     LT  Asf    Rating Watch On   Asf
D 12624UAN4     LT  BBBsf  Rating Watch On   BBBsf
E 12624UAQ7     LT  BB-sf  Downgrade         BBB-sf
F 12624UAS3     LT  B-sf   Downgrade         BB-sf
X-A 12624UAE4   LT  AAAsf  Rating Watch On   AAAsf

TRANSACTION SUMMARY

The downgrades are the result of the decline in performance
including anchor vacancy since the last rating action as well as
the borrower's failure to refinance the loan at maturity.

The RWN placements reflect the uncertainty of performance recovery
prior to the extended maturity date and the borrower's ability to
refinance the loan at that time.

KEY RATING DRIVERS

Decline in Physical Occupancy and Net Cash Flow: Physical occupancy
has declined to 77.1% from 86% at the prior review, 97.8% at March
2019, 99.1% at March 2018, and 97.9% at March 2017. The decline is
mainly due to the departure of Kohl's in April 2019 and JCPenney
that vacated in April 2020. The servicer reported YE 2020 and YE
2019 net cash flow (NCF) debt service coverage ratios (DSCR) were
1.37x, compared to 1.82x in 2019, 1.85x at YE2018, 1.81x at YE
2017, 1.80x at YE 2016 and 1.71x at issuance.

Fitch's analysis includes an additional vacancy assumption to
address the lease rollover through 2022. The Fitch NCF was $23.8
million as of YE 2020 compared with $26.5 million as of YE 2019 and
$27.9 million at issuance. The decline is primarily the result of
lower rental income.

Maturity Date Extension: The loan transferred to special servicing
in December 2020 due to the imminent loan maturity and the
borrower's initial request for relief due to the pandemic. The
borrower rescinded the request but negotiated a maturity extension.
In February 2021, the loan was modified and the maturity was
extended for 12 months through February 2022. The loan has returned
to the master servicer, is now cash managed and the borrower
continues to pay debt service.

Declining Sales: Comparable in-line sales were $534 psf (as of TTM
April 2021, compared with $604 psf as of TTM March 2020, $650 psf
as of TTM March 2019, $635 psf as of TTM March 2018, $611 psf at
March 2017, $650 psf at YE 2015, $580 psf at YE 2014 and $501 psf
at issuance. The servicer-provided sales report had several tenants
(48.7% of NRA) with active leases that did not report sales and
have been omitted from the in-line sales figures.

Macy's sales decreased to $121psf as of April 2021 from $186 psf in
2019 and $177 psf as of TTM September 2018 and also down from $204
psf at YE 2015 and $225 psf at issuance, while Macy's Men's &
Furniture also decreased to $87 psf as of April 2021 from $143 psf
in 2019 and $140 psf as of TTM September 2018 and also declined
from $173 psf at issuance. BJ's Wholesale Club did not report April
2021 sales and the latest available sales are $899 psf from Sept.
2018, which compares with $896 psf at YE 2015 and $928 psf at
issuance.

Sears also did not report April 2021 sales, but were $241 psf at
September 2018 compared with $242 psf at issuance.

Single Asset Concentration: The Green Acres Mall loan was
originally an eight-year amortizing, fixed-rate loan (3.4325%)
secured by a 1,811,441-sf enclosed two-level regional mall located
in a densely populated area on Sunrise Highway in Valley Stream,
NY. The mall was built in 1956 and has been expanded several times
with the latest in 2007 and 2015. The transaction is secured by the
single property and, therefore, is more susceptible to single-event
risk related to the market, sponsor, or the largest tenants
occupying the property. The loan sponsor is an entity controlled by
Macerich Company, an experienced owner of regional shopping centers
and malls. The sponsor acquired the property in January 2013 at a
cost of $507 million.

Fitch Leverage: The Fitch DSCR and LTV for the asset is 0.97x and
93.5%, respectively. The Fitch debt yield is 9.3%.

RATING SENSITIVITIES

The RWN on classes A-2 through D reflect refinancing concerns with
the upcoming extended loan maturity in Feb. 2022 as well as
uncertainty of whether property performance recovers. These classes
may be downgraded by one category or more should the performance
fail to improve or if the borrower is unable to make progress on a
potential refinance. However, if performance, including sales and
occupancy, improves the classes may be affirmed.

The Rating Outlooks on classes E and F remained Negative, as
further downgrades are possible if performance fails to improve and
the loan is extended beyond Feb. 2022.

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

-- Upgrades are not expected; however, factors that lead to
    upgrades would include significant improved asset performance
    coupled with additional paydown. Upgrades to classes B through
    D may occur with significant improved performance of the
    underlying asset and cash flow. Upgrades of classes E and F
    are not likely, and only if the performance of the asset
    improves significantly.

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

-- A sustained decline in occupancy, cash flow and sales or loan
    default and additional maturity extension. Downgrades to the
    senior classes A-2 through D are possible with lack of
    performance recovery; classes A-2, X-A and B, currently rated
    'AAAsf' or 'AAsf', would be downgraded should interest
    shortfalls were incurred.

-- Further downgrades to classes E and F, would occur should the
    property performance remain at the current levels and the loan
    maturity is extended. The Negative Rating Outlooks on classes
    E and F may be revised back to Stable if performance
    stabilizes and returns to pre-pandemic levels.

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.


COMM 2015-LC23 MORTGAGE: Fitch Lowers Cl. G Certs Rating to 'CCC'
-----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 15 classes of
COMM 2015-LC23 Mortgage Trust commercial mortgage pass-through
certificates, series 2015-LC23.

    DEBT              RATING          PRIOR
    ----              ------          -----
COMM 2015-LC23

A-2 12636FBF9   LT AAAsf   Affirmed   AAAsf
A-3 12636FBH5   LT AAAsf   Affirmed   AAAsf
A-4 12636FBJ1   LT AAAsf   Affirmed   AAAsf
A-M 12636FBM4   LT AAAsf   Affirmed   AAAsf
A-SB 12636FBG7  LT AAAsf   Affirmed   AAAsf
B 12636FBN2     LT AA-sf   Affirmed   AA-sf
C 12636FBP7     LT A-sf    Affirmed   A-sf
D 12636FAL7     LT BBBsf   Affirmed   BBBsf
E 12636FAN3     LT BBB-sf  Affirmed   BBB-sf
F 12636FAQ6     LT BB-sf   Affirmed   BB-sf
G 12636FAS2     LT CCCsf   Downgrade  B-sf
X-B 12636FAA1   LT AA-sf   Affirmed   AA-sf
X-C 12636FAC7   LT BBB-sf  Affirmed   BBB-sf
X-D 12636FAE3   LT BB-sf   Affirmed   BB-sf
XP-A 12636FBK8  LT AAAsf   Affirmed   AAAsf
XS-A 12636FBL6  LT AAAsf   Affirmed AAAsf

KEY RATING DRIVERS

Generally Stable Loss Expectations: The downgrade of class G
reflects further certainty of losses from the loans in special
servicing, three of which are now REO. Overall performance and loss
expectations for the majority of the pool, however, remain stable.
There are 14 Fitch Loans of Concern (FLOCs; 34.4% of pool),
including six specially serviced loans (19.4%). The largest loan in
special servicing is The Equity Inns Portfolio (9.4%), which closed
a loan modification in May 2021 and is expected to return to the
master servicer.

Fitch's current ratings incorporate a base case loss of 6.7%.
Losses could reach 7.9% when factoring in additional stresses
related to the coronavirus pandemic.

Largest Contributors to Loss: The largest contributor to loss is
the Whitehall Hotel loan (3.5%), which is secured by a 222-key full
service hotel located in Chicago, IL. The property is located less
than two miles north of the Chicago Loop. The loan has been
designated as a FLOC due to a low DSCR. The servicer reported NOI
DSCR was -1.11x at YE 2020 compared with 1.04x at YE 2019.
Performance at the property was declining prior to the pandemic
which only further stressed cash flow at the property. Fitch has an
outstanding request for an updated STR report but has not received
one to date.

Fitch modeled a loss of approximately 32% which reflects a 20%
haircut to the YE 2019 NOI to reflect the performance declines from
the pandemic.

The second largest contributor to loss is the Springfield Mall loan
(3.5%), which is secured by a 223,180sf portion of a 611,079sf
regional mall located in Springfield Township, PA. The mall is
anchored by non-collateral tenants Macy's and Target. The largest
collateral tenants are Shoe Dept. Encore (4.8% NRA; through Jan.
31, 2027) and Ulta (4.8% NRA; through Oct. 31, 2022). Upcoming
rollover at the property includes 13.4% of the NRA in 2021,
followed by 23.7% in 2022, 16.7% in 2023 and 6.4% in 2024.

The loan was designated a FLOC due to declining cash flow as a
result of the pandemic. The servicer reported NOI DSCR was 1.02x as
of YE 2020, compared with 1.75x at YE 2019 and 1.97x at YE 2018.
Per the December 2020 rent roll, occupancy was 83% compared with
92% at YE 2019. Fitch has an outstanding request for an updated
sales report but has not received one to date.

Fitch modeled a loss of approximately 24% which reflects a cap rate
of 18% with a 20% total NOI haircut to the YE 2019 NOI to reflect
performance declines from the pandemic. This equates to an implied
cap rate of nearly 23% on the YE 2019 NOI.

The third largest contributor to loss is the Colerain Center loan
(1.2%), which is secured by a 78,169 sf retail property located in
Colerain Township, OH. LA Fitness went dark in January 2017 and the
space remains dark at this time. The loan became REO in June 2019.
According to servicer updates, the vacant space is being marketed.
However, the property is not listed for sale at this time and
remains in value add.

Fitch modeled a loss of approximately 52% which applied a discount
to the September 2020 appraisal value.

Minimal Change to Credit Enhancement: As of the June 2021
distribution date, the pool's certificate balance had been reduced
by 11.6% to $849.2 million from $960.9 million at issuance. There
have been no realized losses to date and interest shortfalls are
currently affecting the non-rated class J. Thirteen loans (22%) are
full-term IO, and all loans in partial IO periods expired.

Undercollateralization: The transaction is undercollateralized by
approximately $480,000 due to a WODRA on the Beach House Hilton
Head, which was reflected in the February 2021 remittance report.

Since issuance, four loans with a combined outstanding balance of
$65.9 million have paid off. 58 loans in the pool remain.

Coronavirus Impact: Significant continued economic impact to
certain hotels, and retail and multifamily properties has occurred
due to the pandemic. There remains uncertainty about the timeline
for full recovery of these assets. Twenty-eight loans are
collateralized by retail properties (33.5% of pool), seven by
hotels (21.5%), and seven by multifamily properties (6.2%). Fitch's
coronavirus stress scenario applied additional stresses to 2019
cashflows for five retail loans (8.1%) and four hotel loans (11%)
due to the projected impact from the coronavirus pandemic.

Geographic Concentrations: Loans secured by properties located in
California have the highest concentration at 28.3% followed by New
York at 23.3%.

RATING SENSITIVITIES

The Negative Outlooks reflect concerns over the FLOCs as well as
the ultimate impact of the pandemic on the overall pool. The Stable
Outlooks on classes reflect the overall stable performance of the
majority of the pool and expected continued amortization.

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

-- Stable to improved asset performance, coupled with additional
    pay-down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf'
    rated classes would likely occur with significant improvement
    in credit enhancement and/or defeasance; however, adverse
    selection and increased concentrations, or the
    underperformance of the FLOCs, could cause this trend to
    reverse.

-- Upgrades to the 'BBBsf' 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. An upgrade to the 'BB-sf'
    and rated class is not likely until later years of the
    transaction and only if the performance of the remaining pool
    is stable and/or if there is sufficient credit enhancement,
    which would likely occur when the non-rated class is not
    eroded and the senior classes pay off.

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

-- An increase in pool level losses due to underperforming or
    specially serviced loans. Downgrades to the senior classes,
    rated 'A-sf' through 'AAAsf', are not likely due to their
    position in the capital structure and the high credit
    enhancement; however, downgrades to these classes may occur
    should interest shortfalls occur. Downgrades to the classes
    rated 'BBBsf' would occur if the performance of the FLOC
    continues to decline or fails to stabilize.

-- Downgrades to the classes with Negative Outlooks are possible
    should performance of the FLOCs continue to decline and
    additional loans transfer to special servicing and/or losses
    be realized. Further Downgrades to the 'CCCsf' are possible
    with a greater certainty of loss to the special serviced loans
    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

No third-party due diligence was provided or reviewed 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.


CSMC TRUST 2021-NQM4: Fitch Assigns Final B Rating on B-2 Debt
--------------------------------------------------------------
Fitch Ratings has assigned final ratings to CSMC 2021-NQM4.

DEBT           RATING             PRIOR
----           ------             -----
CSMC 2021-NQM4

A-1     LT  AAAsf  New Rating   AAA(EXP)sf
A-2     LT  AAsf   New Rating   AA(EXP)sf
A-3     LT  Asf    New Rating   A(EXP)sf
M-1     LT  BBBsf  New Rating   BBB(EXP)sf
B-1     LT  BBsf   New Rating   BB(EXP)sf
B-2     LT  Bsf    New Rating   B(EXP)sf
B-3     LT  NRsf   New Rating   NR(EXP)sf
A-IO-S  LT  NRsf   New Rating   NR(EXP)sf
XS      LT  NRsf   New Rating   NR(EXP)sf
PT      LT  NRsf   New Rating   NR(EXP)sf

TRANSACTION SUMMARY

The following information is based on the loan population as of
Fitch's presale publication date. The attributes of the closing
population vary slightly from what is described below, but there
was no impact to Fitch's credit analysis due to those changes.

The notes are supported by 392 loans with a balance of $251.38
million as of the cutoff date. The notes are secured mainly by
nonqualified mortgages (Non-QM) as defined by the Ability to Repay
(ATR) Rule. Of the pool, 78% comprises loans designated as
Non-Qualified Mortgages (Non-QM) and 20% are investment properties
not subject to the ATR Rule. The remaining are a mix of Safe Harbor
Qualified Mortgages (SHQMs) and Higher-Priced Qualified Mortgages
(HPQMs).

Credit Suisse (CS) aggregated the loans in the pool from various
originators. Approximately 31% of the pool was originated or
acquired by AmWest Funding Corp. (AmWest), 30% was originated or
acquired by Sprout Mortgage, LLC (Sprout) and 14% was originated or
acquired by Athas Capital Group, Inc. (Athas). The remaining loans
were originated or acquired by various entities that each
contributed less than 10% to the pool. Select Portfolio Servicing,
Inc. (SPS) will be the servicer for 69% of the loans and AmWest is
the servicer for 31% of the loans. Nationstar Mortgage, LLC will be
the master servicer.

Distributions of principal and interest (P&I) and loss allocations
are based on a modified sequential payment structure. The
transaction has a stop advance feature where the P&I advancing
party will advance delinquent P&I for up to 180 days.

KEY RATING DRIVERS

Non-Prime Credit Quality (Mixed): The collateral consists of 15-,
30- and 40-year fixed-rate and adjustable-rate loans (31.4% are
adjustable rate); 12.0% of the loans are interest-only (IO) loans
and the remaining 88.0% are fully amortizing loans. The pool is
seasoned approximately eight months in aggregate. The borrowers in
this pool have moderate credit profiles with a 738 weighted average
(WA) Fitch-calculated model FICO and relatively low leverage (75.2%
sustainable loan to value ratio [sLTV]).

As of the cut-off date, no loans are currently delinquent.
Approximately 7.9% of the pool have experienced a delinquency in
the past 24 months (Fitch did not penalize delinquencies related to
servicing transfers or borrowers who experienced a delinquency
while on a coronavirus relief plan that began cash flowing
afterwards). 3.6% of the loans in the pool were underwritten to
foreign national or nonpermanent resident borrowers. The pool
characteristics resemble recent non-prime collateral, and,
therefore, the pool was analyzed using Fitch's non-prime model.

Alternative Documentation Loans (Negative): For approximately 89%
of the loans, alternative documentation was used to underwrite the
loans. Of this, 38.8% were underwritten to a 12-month or 24-month
bank statement program to verify income, which is not consistent
with Appendix Q standards or Fitch's view of a full documentation
program. To reflect the additional risk, Fitch increases the
probability of default (PD) by1.5x on the bank statement loans. The
pool also contains loans a meaningful concentration of loans
underwritten to a WVOE product (22.4%), a debt service coverage
ratio (DSCR) product (12.5%) and a P&L product (9.5%).

Geographic and Loan Count Concentration (Negative): Approximately
59% of the pool is concentrated in California with moderate MSA
concentration. The largest MSA concentration is in Los Angeles MSA
(35%) followed by the San Francisco MSA (15%) and the Miami MSA
(11%). The top three MSAs account for 61% of the pool. As a result,
there was a 1.17x adjustment for geographic concentration resulting
in a 1.61% penalty at 'AAAsf'.

The pool contains 392 loans with a WA count of 250. As a result, a
1.04x (0.68%) penalty was added to the 'AAAsf' loss to account for
loan concentration.

Modified Sequential Payment Structure with Limited Advancing
(Mixed): The structure distributes principal pro rata among the
senior notes while shutting out the subordinate bonds from
principal until all senior classes are reduced to zero. If a
cumulative loss trigger event, delinquency trigger event or credit
enhancement (CE) trigger event occurs in a given period, principal
will be distributed sequentially to class A-1, A-2 and A-3 notes
until they are reduced to zero.

Advances of delinquent P&I will be made on the mortgage loans for
the first 180 days of delinquency, to the extent such advances are
deemed recoverable. If the servicers fail to make required
advances, the master servicer, Nationstar Mortgage LLC
(Nationstar), will be obligated to make such advance. If the master
servicer fails to make advances, the paying agent (Citibank, N.A.)
will fund advances.

Excess Cash Flow (Positive): The transaction benefits from a
material amount of excess cash flow that provides benefit to the
rated notes before being paid out to class XS notes. The excess is
available to pay timely interest and protect against realized
losses. To the extent the collateral WA coupon (WAC) and
corresponding excess are reduced through a rate modification, Fitch
would view the impact as credit-neutral, as the modification would
reduce the borrower's PD, resulting in a lower loss expectation. As
of the closing date, the deal benefits from approximately 311bps of
excess spread.

As a sensitivity to Fitch's rating stresses, Fitch took into
account a WAC deterioration that varied by rating stress. The WAC
cut was derived by assuming a 2.5% cut (based on the most common
historical modification rate) on 40% (historical Alt A modification
%) of the performing loans. Although the WAC reduction stress is
based on historical modification rates, Fitch did not include the
WAC reduction stress in its testing of the delinquency trigger.

Fitch viewed the WAC deterioration as more of a pre-emptive cut
given the ongoing macro and regulatory environment. A portion of
borrowers will likely be impaired but not ultimately default.
Further, this approach had the largest impact on the backloaded
benchmark scenario, which is also the most probable outcome, as
defaults and liquidations are not likely to be extensive over the
next 12-18 months, given the ongoing borrower relief and eviction
moratoriums.

Updated Economic Risk Factor (Positive): Consistent with the
Additional Scenario Analysis section of Fitch's "U.S. RMBS
Coronavirus-Related Analytical Assumptions" criteria, Fitch will
consider applying additional scenario analysis based on stressed
assumptions as described in the section to remain consistent with
significant revisions to Fitch's macroeconomic baseline scenario or
if actual performance data indicate the current assumptions require
reconsideration.

In response to revisions made to Fitch's macroeconomic baseline
scenario, observed actual performance data, and the unexpected
development in the health crisis arising from the advancement and
availability of coronavirus vaccines, Fitch reconsidered the
application of the coronavirus-related ERF floors of 2.0 and used
ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses,
respectively. Fitch's "Global Economic Outlook - March 2021" and
related baseline economic scenario forecasts have been revised to
6.2% U.S. GDP growth for 2021 and 3.3% for 2022, following negative
3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment
forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, 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's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction. Two
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.

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

-- This defined negative stress sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
    addition to the model-projected 39.9% at 'AAAsf'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs, compared with the model projection.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to negative MVDs at the national
    level, or positive home price growth with no assumed
    overvaluation.

-- The analysis assumes positive home price growth of 10.0%.
    Excluding the senior classes that are already 'AAAsf', the
    analysis indicates there is potential positive rating
    migration for all of the rated classes. This section provides
    insight into the model-implied sensitivities the transaction
    faces when one assumption is modified, while holding others
    equal. The modeling process uses the modification of these
    variables to reflect asset performance in up and down
    environments.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton, SitusAMC, Covius, Evolve, Consolidated
Analytics, Recovco, Digital Risk, Opus and NDA. The third-party due
diligence described in Form 15E focused on credit, compliance,
valuation and data integrity. The review scope was consistent with
Fitch's criteria and the overall diligence grades are in-line with
prior Non-QM transactions that Fitch has rated. The results
indicate sound origination quality with no incidence of material
defects. Fitch considered this information in its analysis.

99% of the loans received a final grade of 'A' or 'B', which
indicates strong origination processes with no presence of material
defects. Approximately 30% of loans received a final grade of 'B'
for immaterial exceptions that were mitigated with strong
compensating factors or were largely accounted for in Fitch's loan
loss model. Fitch applied a credit for the high percentage of loan
level due diligence, which reduced the 'AAAsf' loss expectation by
44bps.

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.


DRYDEN 87: S&P Assigns BB- (sf) Rating on $24MM Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Dryden 87 CLO
Ltd./Dryden 87 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 PGIM Inc.

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

  Dryden 87 CLO Ltd./Dryden 87 CLO LLC

  Class A-1, $366.00 million: AAA (sf)
  Class A-2, $12.00 million: AAA (sf)
  Class B, $78.00 million: AA (sf)
  Class C (deferrable), $36.00 million: A (sf)
  Class D (deferrable), $36.00 million: BBB- (sf)
  Class E (deferrable), $24.00 million: BB- (sf)
  Subordinated notes, $53.53 million: Not rated


ELEVATION CLO 2021-13: S&P Assigns BB-(sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Elevation CLO 2021-13
Ltd./Elevation CLO 2021-13 LLC's fixed- and 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

  Elevation CLO 2021-13 Ltd./Elevation CLO 2021-13 LLC

  Class X, $3.00 million: AAA (sf)
  Class A-1, $250.10 million: AAA (sf)
  Class A-2, $12.30 million: AAA (sf)
  Class B, $49.20 million: AA (sf)
  Class C-1 (deferrable), $19.60 million: A (sf)
  Class C-2 (deferrable), $5.00 million: A (sf)
  Class D-1 (deferrable), $18.45 million: BBB+ (sf)
  Class D-2 (deferrable), $6.15 million: BBB- (sf)
  Class E (deferrable), $14.35 million: BB- (sf)
  Subordinated notes, $41.50 million: Not rated



FLATIRON CLO 21: Moody's Assigns Ba3 Rating to $24.2MM Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Flatiron CLO 21 Ltd. (the "Issuer" or "Flatiron
21").

Moody's rating action is as follows:

US$1,500,000 Class X Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$307,500,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$12,500,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$59,800,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned Aa2 (sf)

US$24,800,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned A2 (sf)

US$31,200,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned Baa3 (sf)

US$24,200,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned Ba3 (sf)

The notes listed are referred to herein, collectively, as the
"Rated Notes."

RATINGS RATIONALE

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

Flatiron 21 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, cash, and eligible investments, and up to
10.0% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 80% ramped as of
the closing date.

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

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

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

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

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

Par amount: $500,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2836

Weighted Average Spread (WAS): 3.10%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

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


GS MORTGAGE 2015-GC34: Fitch Lowers Rating on Class E Debt to CCC
-----------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed 10 classes of GS
Mortgage Securities Trust (GSMS), commercial mortgage pass-through
certificates, series 2015-GC34.

    DEBT              RATING            PRIOR
    ----              ------            -----
GSMS 2015-GC34

A-3 36250VAC6    LT  AAAsf  Affirmed    AAAsf
A-4 36250VAD4    LT  AAAsf  Affirmed    AAAsf
A-AB 36250VAE2   LT  AAAsf  Affirmed    AAAsf
A-S 36250VAH5    LT  AAAsf  Affirmed    AAAsf
B 36250VAJ1      LT  AA-sf  Affirmed    AA-sf
C 36250VAL6      LT  A-sf   Affirmed    A-sf
D 36250VAM4      LT  BBsf   Downgrade   BBB-sf
E 36250VAP7      LT  CCCsf  Downgrade   Bsf
F 36250VAR3      LT  CCCsf  Affirmed    CCCsf
PEZ 36250VAK8    LT  A-sf   Affirmed    A-sf
X-A 36250VAF9    LT  AAAsf  Affirmed    AAAsf
X-B 36250VAG7    LT  AA-sf  Affirmed    AA-sf
X-D 36250VAN2    LT  BBsf   Downgrade   BBB-sf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades reflect increased loss
expectations since Fitch's last rating action on the specially
serviced loans, as well as continued performance deterioration on a
greater number of Fitch Loans of Concern (FLOC) that have been
affected by the coronavirus pandemic. There are 15 FLOCs (47%),
including five specially serviced loans (15.8%), two (9.7%) of
which transferred since the last rating action. Fitch's current
ratings and Negative Outlooks incorporate a base case loss of
10.1%.

The largest increase in loss since the last rating action is the
Hammons Hotel Portfolio loan (8.5%), which is secured by fee and
leasehold interests in seven full service, limited service, and
extended stay hotels located in seven distinct markets in seven
states. The properties, which total 1,869 rooms, were developed
between 2006 and 2010 and all carry either a Hilton or Marriott
flag. Four out of the seven hotels have a convention center
included in the collateral. The loan transferred to special
servicing for a second time in June 2020 due to the borrower's
request for coronavirus relief and was over 90 days delinquent as
of the June 2021 remittance reporting.

The servicer and borrower have agreed upon relief terms, which
included cash infusion from a new equity partner to cover operating
shortfalls. The loan was modified in May 2021, with terms including
the addition of two one-year maturity extension options,
contribution of $30 million of equity by the borrower to cover
outstanding costs and replenish reserves, conversion of payments to
interest-only and repayment of previously deferred amounts from
2020 beginning in October 2021. The loan was previously in special
servicing due to a borrower related bankruptcy that was resolved in
2019.

Aggregate portfolio NOI for YE 2020 was down 86.4% from YE 2019.
The servicer-reported YE 2020 NOI debt service coverage ratio
(DSCR) was 0.72x, down from 2.09x at YE 2019. Per the TTM March
2021 STR report, the weighted average portfolio RevPAR was down
59.2% from TTM December 2019. Fitch's expected loss of
approximately 17% reflects a discount to a recent appraisal
valuation, which equates to a stressed value of $111,717 per key.

The next largest increase in loss is the Woodlands Corporate Center
and 7049 Williams Road Portfolio loan (2.9%), which is secured by a
portfolio of eight office/flex properties located in suburban
Buffalo, NY. The loan, which was over 90 days delinquent as of the
June 2021 remittance reporting, was transferred to special
servicing in December 2019 for imminent default. The borrower
expressed they are no longer able to come out of pocket to cover
both debt service and operating expense payment shortfalls.

Portfolio cash flow has continued to decline since issuance,
partially attributed to the rent reduction of the largest tenant,
Silipos (16.6% of portfolio NRA leased through April 2028), by
nearly 47% as part of its 10-year lease renewal. Portfolio
occupancy has also fallen to 74.8% in May 2021 from 86.3% in April
2020 due to five tenants totaling 9.8% of NRA vacating at
expiration between January 2020 and February 2021. Fitch's loss
expectation of approximately 58% reflects a discount to a recent
appraisal valuation, which equates to a stressed value of $49 psf.

The servicer has engaged counsel to proceed with enforcement of
remedies, while also continuing discussions with the borrower on a
potential resolution. The foreclosure moratorium in New York
remains in effect.

Fitch remains concerned with the performance of the largest FLOC,
750 Lexington Avenue (10.8%), which is secured by a 382,256 sf
class A office and retail property located in Manhattan's Plaza
District that has experienced significant cash flow declines since
issuance and has exposure to WeWork as the largest tenant (23% of
NRA; 20% of total base rents; March 2035). The loan began
amortizing in November 2020, and per the servicer, the current debt
service amount is a burden too heavy for the property support both
today and in the foreseeable future as the effects of the
coronavirus pandemic continue to hamper the market for new office
leasing as well as the operation of the property's retail tenants.

The borrower stated that they are collecting nearly 100% of office
rents, but the property faces near-term lease rollover and vacancy
which includes two full floors of space in dispute with WeWork
(30,775 sf; 8.6% of NRA) representing approximately $2 million per
year in rent. In addition, retail tenant AmorePacific (1.3% of NRA;
4% of total base rents) has not paid rent since November 2020 and
now maintains arrears of over $365,000. WeWork is obligated to pay
its monthly base rent and additional rent until the expiration date
in 2035 for the second tranche of space. This will be remedied with
the security deposit, which is held in a $6 million letter of
credit. Fitch will continue to monitor the loan for performance and
tenancy updates. Per the servicer, the loan was transferred to
special servicing in June 2021.

Fitch's loss expectations remain high for the fourth largest loan,
Parkside at So7 (6.9%), which is secured by a class A apartment
complex with office and retail space located in Fort Worth, TX.
Cash flow has declined significantly from lower occupancy and
rental income, as well as higher operating expenses. The servicer
indicated that overall property occupancy fell to 48.3% in December
2020 from 89.6% in December 2019 and 94.6% in December 2018,
stating that occupancy has yet to recover since multiple tenants
vacated during 1Q 2020. However, per the most recent rent roll
provided to Fitch by the servicer, total property occupancy was
93.1% in December 2020. Fitch has an outstanding inquiry to the
servicer for clarification on the reported occupancy.

YE 2020 NOI declined 12.5% from YE 2019 and was approximately 41%
below the issuer's underwritten NOI. The servicer-reported YE 2020
NOI DSCR was 0.99x, down from 1.19x at YE 2019. The partial
interest-only loan began amortizing in November 2020.

Slight Improvement in Credit Enhancement: As of the June 2021
distribution date, the pool's aggregate principal balance has paid
down by 8.6% to $775 million from $848 million at issuance. The
transaction is expected to pay down by 11.9% based on scheduled
loan maturity balances. Four loans (2.5% of pool) have been
defeased. The pool has experienced $2.1 million (0.3% of original
pool balance) in realized losses since issuance from the
disposition of the Hyatt Place Texas Portfolio loan ($12.5 million)
by a discounted payoff in October 2020.

Four loans (17.8%) are full-term interest-only and the remainder of
the pool (50 loans; 82.2%) is now amortizing. One loan (LA Fitness
Powell; 1.4%) is scheduled to mature in July 2021, however is not
expected to repay due to its status with the special servicer. The
remainder of the pool (52 loans; 98.6%) is scheduled to mature in
2025.

Coronavirus Exposure: Loans secured by retail, hotel and
multifamily properties represent 23.9%, 11.9% and 11.8% of the
pool, respectively. The multifamily exposure includes one loan (The
Heights at State College Phase III; 3%) secured by a student
housing property and one loan (Villas at Waters Edge; 1.3%) secured
by a senior housing property. Fitch's analysis applied additional
coronavirus-related stresses on one retail loan (0.3%) and one
hotel loan (2.2%) to account for potential cash flow disruptions.

While these additional stresses did not directly contribute to the
Negative Outlooks, property performance has yet to stabilize for
some of the larger retail, hotel and multifamily FLOCs that have
been negatively affected by the coronavirus pandemic.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes A-S, B, C, D, PEZ, X-A, X-B
and X-D reflect downgrade potential due to performance concerns on
a growing number of FLOCs and the ultimate impact of the pandemic
on performance stabilization. The Stable Rating Outlooks on classes
A-3, A-4 and A-AB reflect the increasing CE and expected continued
amortization.

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

-- Stable to improved asset performance, particularly on the
    specially serviced Hammons Hotel Portfolio and Woodlands
    Corporate Center and 7049 Williams Road Portfolio loans, and
    on the larger non-specially serviced FLOCs, 750 Lexington
    Avenue and Parkside at So7, coupled with additional paydown
    and/or defeasance.

-- Upgrades to classes B, X-B, C and PEZ may occur with
    significant improvement in CE and/or defeasance, and with the
    stabilization of performance on the FLOCs but 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.

-- Classes D, X-D, E and F are unlikely to be upgraded absent
    significant performance improvement on the FLOCs and higher
    recoveries than expected on the specially serviced loans.

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans/assets.

-- Downgrades to classes A-3 through A-AB are not likely due to
    the position in the capital structure but may occur should
    interest shortfalls affect these classes.

-- A downgrade of one category to classes A-S and X-A is possible
    should all of the FLOCs suffer losses, particularly the
    Hammons Hotel Portfolio, Woodlands Corporate Center and 7049
    Williams Road Portfolio, Parkside at So7 and 750 Lexington
    Avenue loans, or if interest shortfalls occur.

-- Downgrades to classes B, X-B, C and PEZ also may occur should
    all of the FLOCs suffer losses.

-- Downgrades to classes D and X-D would occur should loss
    expectations increase from continued performance decline of
    the FLOCs, loans susceptible to the pandemic not stabilize,
    additional loans default and/or transfer to special servicing,
    higher losses than expected are incurred on the specially
    serviced loans and/or the larger FLOCs experience outsized
    losses.

-- Downgrades to classes E and F would occur as losses are
    realized and/or become more certain.

BEST/WORST CASE RATING SCENARIO

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

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

ESG CONSIDERATIONS

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.


GS MORTGAGE 2021-GR1: Moody's Assigns B2 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 38
classes of residential mortgage-backed securities issued by GS
Mortgage-Backed Securities Trust (GSMBS) 2021-GR1. The ratings
range from Aaa (sf) to B2 (sf).

GS Mortgage-Backed Securities Trust 2021-GR1 (GSMBS 2021-GR1) is
the first investment property transaction in 2021 issued by Goldman
Sachs Mortgage Company (GSMC), the sponsor and the mortgage loan
seller. GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA
and Goldman Sachs. The certificates are backed by 1,447 first lien,
primarily 30-year, fully-amortizing fixed-rate mortgage loans on
residential investment properties with an aggregate unpaid
principal balance (UPB) $406,887,151 as of the June 1, 2021 cut-off
date. All the loans in the pool are originated by Guaranteed Rate
parties. Overall, pool strengths include the high credit quality of
the underlying borrowers, indicated by high FICO scores, strong
reserves, loans with fixed interest rates and no interest-only
loans. As of the cut-off date, all of the mortgage loans are
current, and no borrower has entered into a COVID-19 related
forbearance plan with the servicer.

Approximately 21.0% of the mortgage loans by stated principal
balance as of the cut-off date were subject to debt consolidation
in which the related funds were used by the related mortgagor for
consumer, family or household purposes (personal-use loans). Vast
majority of the personal-use loans are "qualified mortgages" under
Regulation Z as result of the temporary provision allowing
qualified mortgage status for loans eligible for purchase,
guaranty, or insurance by Fannie Mae and Freddie Mac (and certain
other federal agencies). With the exception of personal-use loans,
all other mortgage loans in the pool are not subject to the federal
Truthin-Lending Act (TILA) because each such mortgage loan is an
extension of credit primarily for a business purpose and is not a
"covered transaction" as defined in Section 1026.43(b)(1) of
Regulation Z. As of the closing date, the sponsor or a majority-
owned affiliate of the sponsor will retain at least 5% of the
initial certificate principal balance or notional amount of each
class of certificates (other than Class A-R certificates) issued by
the trust to satisfy U.S. risk retention rules.

NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
service all of the mortgage loans on behalf of the issuing entity,
starting July 1, 2021. Wells Fargo Bank, N.A. (long term deposit
Aa1; long term debt Aa2), a national banking association (Wells
Fargo), will act as master servicer. Pentalpha Surveillance LLC
will be the representations and warranties (R&W) breach reviewer.

One third-party review (TPR) firms verified the accuracy of the
loan level information. These firms conducted detailed credit,
property valuation, data accuracy and compliance reviews on 33.7%
(by loan count) of the mortgage loans in the collateral pool. The
TPR results indicate no material compliance, credit, or data issues
and no appraisal defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, Moody's
adjusted its losses based on qualitative attributes, including
origination quality, the strength of the R&W framework and
third-party review (TPR) results.

Distributions of principal and interest and loss allocations are
based on a typical shifting interest structure with a five-year
lockout period that benefits from a senior and subordination floor.
Moody's coded the cash flow to each of the certificate classes
using Moody's proprietary cash flow tool.

Issuer: GS Mortgage-Backed Securities Trust 2021-GR1

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aa1 (sf)

Cl. A-4, Assigned Aa1 (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

Cl. A-8, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. A-11, Assigned Aaa (sf)

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aaa (sf)

Cl. A-15, Assigned Aa1 (sf)

Cl. A-X-1*, Assigned Aa1 (sf)

Cl. A-X-2*, Assigned Aaa (sf)

Cl. A-X-3*, Assigned Aa1 (sf)

Cl. A-X-4*, Assigned Aa1 (sf)

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

Cl. A-X-6*, Assigned Aa1 (sf)

Cl. A-X-7*, Assigned Aaa (sf)

Cl. A-9-X*, Assigned Aaa (sf)

Cl. A-11-X*, Assigned Aaa (sf)

Cl. A-12-X*, Assigned Aaa (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-1-A, Assigned Aa3 (sf)

Cl. B-1-X*, Assigned Aa3 (sf)

Cl. B-2, Assigned A2 (sf)

Cl. B-2-A, Assigned A2 (sf)

Cl. B-2-X*, Assigned A2 (sf)

Cl. B-3, Assigned Baa3 (sf)

Cl. B-3-A, Assigned Baa3 (sf)

Cl. B-3-X*, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba2 (sf)

Cl. B-5, Assigned B2 (sf)

Cl. B, Assigned Baa1 (sf)

Cl. B-X*, Assigned Baa1 (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
0.70%, in a baseline scenario-median is 0.47%, and reaches 5.28% at
stress level consistent with Moody's Aaa rating.

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%
(7.97% for the mean) and Moody's Aaa loss by 2.5% to reflect the
likely performance deterioration resulting from the slowdown in US
economic activity due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any mortgage loans to borrowers who are not currently
making payments. For newly originated mortgage loans, post-COVID
underwriting takes into account the impact of the pandemic on a
borrower's ability to repay the mortgage. For seasoned mortgage
loans, as time passes, the likelihood that borrowers who have
continued to make payments throughout the pandemic will now become
non-cash flowing due to COVID-19 continues to decline.

Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, strength of the TPR and the R&W framework of the
transaction.

Collateral Description

Moody's assessed the collateral pool as of June 1, 2021, the
cut-off date. The aggregate collateral pool as of the cut-off date
consists of 1,447 first lien, primarily 30-year, fully-amortizing
fixed-rate mortgage loans on residential investment properties with
an aggregate unpaid principal balance (UPB) of $406,887,151 and a
weighted average mortgage rate of 3.4%.

All the mortgage loans are secured by first liens on one- to
four-family residential properties, planned unit developments and
condominiums. 1,403 mortgage loans have original terms to maturity
of 30 years, three loans which have original terms to maturity of
27 years, one loan which has a term to maturity of 26 years, four
loans which have original term to maturity of 25 years and 36 loans
have original term to maturity of 20 years.

The WA current FICO score of the borrowers in the pool is 774. The
WA Original LTV ratio of the mortgage pool is 62.3%, which is in
line with that of comparable transactions.

Approximately 9.5% (by UPB) of the loans in the pool are appraisal
waiver (AW) loans underwritten to Freddie Mac's automated
collateral evaluation (ACE) (through Loan Product Advisor) and
Fannie Mae's Collateral Underwriter (CU) programs (through DU).
Under these programs, the GSEs assess 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 mortgage loan is assessed as eligible for AW, the seller
will not be required to obtain an appraisal of the subject
property. A mortgage loan originated without a full appraisal will
lack details about the property's condition. Moody's consider AW
loans weaker than loans with full appraisals. 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 (in contrast to purchase transactions).
Although such value is validated against the GSEs' respective
models, there's still possibility for over valuation subject to the
GSEs' tolerance levels. All the appraisal waiver loans in the pool
are either rate/term refinance (78.6% by UPB of AW loans), cash-out
refinance (18.6% by UPB of AW loans) or debt consolidation loans
(2.8% by UPB of AW loans). Moody's made haircuts to property values
for refinance loans to account for overvaluation risk. However,
Moody's did temper its loss adjustment to account for the presence
of a field review (2055) as secondary valuation on all the
appraisal waiver loans.

The mortgage loans in the pool were originated mostly in California
(33.0% by loan balance) and in high cost metropolitan statistical
areas (MSAs) of Boston (11.4%), Los Angeles (10.9%), Chicago
(8.8%), San Francisco (7.6%), and others (16.2%). The New York MSA
accounts for about 3.2% of the pool. The high geographic
concentration in high cost MSAs is reflected in the high average
balance of the pool ($281,194). Moody's made adjustments to its
losses to account for this geographic concentration risk.

Borrowers with two or more mortgages represent 92.1% (by loan
balance) of the pool. Borrowers with more than one mortgaged
property could be more likely to default than borrowers with one
property especially in a distressed housing market. However, high
income borrowers with stable employment may support debt payments
on vacation properties. Borrowers with three or more mortgages
represented 63.1% of the pool. Moody's made adjustments in its
analysis to account for this risk.

Aggregator/Origination Quality

GSMC is the loan aggregator and the mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.
The mortgage loans for this transaction were acquired by GSMC, the
sponsor and the mortgage loan seller from Guaranteed Rate, Inc and
Guaranteed Rate Affinity, LLC. The mortgage loan seller does not
originate any mortgage loans, including the mortgage loans included
in the mortgage pool. Instead, the mortgage loan seller acquired
the mortgage loans pursuant to contracts with the originators.

Overall, Moody's consider GSMC's aggregation platform to be
comparable to that of peer aggregators and therefore did not apply
a separate loss-level adjustment for aggregation quality.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate, and as a result Moody's did not make any adjustments
to Moody's base case and Aaa stress loss assumptions based on the
servicing arrangement.

Shellpoint will be the named primary servicer for this transaction
and will service 100% of the pool. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is in Greenville,
South Carolina. Shellpoint services residential mortgage assets for
investors that include banks, financial services companies, GSEs
and government agencies. Wells Fargo will act as master. Wells
Fargo is a national banking association and a wholly-owned
subsidiary of Wells Fargo & Company. Moody's consider the presence
of an experienced master servicer such as Wells Fargo to be a
mitigant for any servicing disruptions. Wells Fargo is committed to
act as successor servicer if no other successor servicer can be
engaged.

Third-party Review

The transaction benefits from TPR on 33.7% of the mortgage loans
for regulatory compliance, credit, property valuation and data
accuracy. The due diligence results confirm compliance with the
originators' underwriting guidelines for the vast majority of
mortgage loans, no material compliance issues, and no material
valuation defects. The mortgage loans that had exceptions to the
originators' underwriting guidelines had significant compensating
factors that were documented. All non-appraisal waiver loans had an
origination appraisal and a CU score


GS MORTGAGE 2021-PJ6: Moody's Assigns Ba2 Rating to Cl. B-4 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 38
classes of residential mortgage-backed securities issued by GS
Mortgage-Backed Securities Trust (GSMBS) 2021-PJ6. The ratings
range from Aaa (sf) to B2 (sf).

GS Mortgage-Backed Securities Trust 2021-PJ6 (GSMBS 2021-PJ6) is
the sixth prime jumbo transaction in 2021 issued by Goldman Sachs
Mortgage Company (GSMC), the sponsor and the primary mortgage loan
seller. The certificates are backed by 944 (91.47% by UPB) prime
jumbo (non-conforming) and 133 (8.53% by UPB) conforming, primarily
30-year, fully-amortizing fixed-rate mortgage loans with an
aggregate stated principal balance (UPB) $1,037,856,430 as of the
June 1, 2021 cut-off date. Overall, pool strengths include the high
credit quality of the underlying borrowers, indicated by high FICO
scores, strong reserves for prime jumbo borrowers, mortgage loans
with fixed interest rates and no interest-only loans. As of the
cut-off date, none of the mortgage loans are subject to a COVID-19
related forbearance plan. However, there are two loans in the pool
that have gone through a COVID-19 related post-forbearance interest
rate modification. Both the loans have been current on their
mortgage obligations since past 5 payment periods. GSMC is a wholly
owned subsidiary of Goldman Sachs Bank USA and Goldman Sachs. The
mortgage loans for this transaction were acquired by GSMC, the
sponsor and the primary mortgage loan seller (97.8% by UPB), and
MTGLQ Investors, L.P. (MTGLQ) (2.2% by UPB), a mortgage loan
seller, from certain of the originators or the aggregator, MAXEX
Clearing LLC (which aggregated 8.9% of the mortgage loans by UPB).

NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a
Shellpoint Mortgage Servicing (Shellpoint) will service 100% of the
pool. Wells Fargo Bank, N.A. (Wells Fargo, long term deposit, Aa1;
long term debt Aa2) will be the master servicer and securities
administrator. U.S. Bank Trust National Association will be the
trustee. Pentalpha Surveillance LLC will be the representations and
warranties (R&W) breach reviewer.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, Moody's
adjusted its losses based on qualitative attributes, including
origination quality, the strength of the R&W framework and
third-party review (TPR) results.

Distributions of principal and interest and loss allocations are
based on a typical shifting interest structure with a five-year
lockout period that benefits from a senior and subordination floor.
Moody's coded the cash flow to each of the certificate classes
using Moody's proprietary cash flow tool.

Issuer: GS Mortgage-Backed Securities Trust 2021-PJ6

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aa1 (sf)

Cl. A-4, Assigned Aa1 (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

Cl. A-7-X*, Assigned Aaa (sf)

Cl. A-8, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. A-11, Assigned Aaa (sf)

Cl. A-11-X*, Assigned Aaa (sf)

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aaa (sf)

Cl. A-15, Assigned Aaa (sf)

Cl. A-15-X*, Assigned Aaa (sf)

Cl. A-16, Assigned Aaa (sf)

Cl. A-17, Assigned Aaa (sf)

Cl. A-17-X*, Assigned Aaa (sf)

Cl. A-18, Assigned Aaa (sf)

Cl. A-18-X*, Assigned Aaa (sf)

Cl. A-19, Assigned Aaa (sf)

Cl. A-20, Assigned Aaa (sf)

Cl. A-21, Assigned Aa1 (sf)

Cl. A-X-1*, Assigned Aa1 (sf)

Cl. A-X-2*, Assigned Aaa (sf)

Cl. A-X-3*, Assigned Aa1 (sf)

Cl. A-X-4*, Assigned Aa1 (sf)

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

Cl. A-X-9*, Assigned Aaa (sf)

Cl. A-X-13*, Assigned Aaa (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-2, Assigned A2 (sf)

Cl. B-3, Assigned Baa2 (sf)

Cl. B-4, Assigned Ba2 (sf)

Cl. B-5, Assigned B2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
0.33%, in a baseline scenario-median is 0.18%, and reaches 3.38% at
stress level consistent with Moody's Aaa rating.

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

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

Moody's increased its model-derived median expected losses by 10%
(5.88% for the mean) and Moody's Aaa loss by 2.5% to reflect the
likely performance deterioration resulting from the slowdown in US
economic activity due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any mortgage loans to borrowers who are not currently
making payments. For newly originated mortgage loans, post-COVID
underwriting takes into account the impact of the pandemic on a
borrower's ability to repay the mortgage. For seasoned mortgage
loans, as time passes, the likelihood that borrowers who have
continued to make payments throughout the pandemic will now become
non-cash flowing due to COVID-19 continues to decline.

Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, strength of the TPR and the R&W framework of the
transaction.

Collateral Description

The mortgage loans consist of 944 (91.47% by UPB) prime jumbo
(non-conforming) and 133 (8.53% by UPB) conforming, fully
amortizing, first lien residential mortgage loans, none of which
have the benefit of primary mortgage guaranty insurance. The
aggregate collateral pool comprises 944 (91.47% by UPB) prime jumbo
(non-conforming) and 133 (8.53% by UPB) conforming, primarily
30-year, fully-amortizing fixed-rate mortgage loans with an
aggregate stated principal balance (UPB) $1,037,856,430 and a
weighted average (WA) mortgage rate of 2.9%. The WA current FICO
score of the borrowers in the pool is 772. The WA Original LTV
ratio of the mortgage pool is 68.4%, which is in line with GSMBS
2021-PJ5 and also with other prime jumbo transactions. All the
loans are subject to the Qualified Mortgage (QM) rule. The other
characteristics of the mortgage loans in the pool are generally
comparable to that of GSMBS 2021-PJ5 and recent prime jumbo
transactions.

The mortgage loans in the pool were originated mostly in California
(43.8%) and in high cost metropolitan statistical areas (MSAs) of
Los Angeles (12.6%), San Francisco (14.4%), Chicago (8.6%), San
Jose (5.4%) and others (26.1%), by UPB, respectively. The high
geographic concentration in high cost MSAs is reflected in the high
average balance of the pool ($963,655).  made adjustments to
Moody's losses to account for this geographic concentration risk.
Top 10 MSAs comprise 67.0% of the pool, by UPB.

Aggregator/Origination Quality

GSMC is the loan aggregator and the primary mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.
The mortgage loans for this transaction were acquired by GSMC, the
sponsor and a mortgage loan seller (98.8% by UPB), and MTGLQ
Investors, L.P. (MTGLQ) (2.2% by UPB), a mortgage loan seller, from
certain of the originators or the aggregator, MAXEX Clearing LLC
(8.9% by UPB, in total). The mortgage loan sellers do not originate
any mortgage loans, including the mortgage loans included in the
mortgage pool. Instead, the mortgage loan sellers acquired the
mortgage loans pursuant to contracts with the originators or the
aggregator.

Overall, Moody's consider GSMC's aggregation platform to be
comparable to that of peer aggregators and therefore did not apply
a separate loss-level adjustment for aggregation quality. In
addition to reviewing GSMC's aggregation quality, Moody's have also
reviewed the origination quality of each of the originators which
contributed at least approximately 10% of the mortgage loans (by
UPB) to the transaction. For these originators, Moody's reviewed
their underwriting guidelines, performance history, and quality
control and audit processes and procedures (to the extent
available, respectively). Approximately 43.2%, 5.2% and 1.5% of the
mortgage loans, by a UPB as of the cut-off date (approximately
50.0% by UPB), were originated by Guaranteed Rate, Inc. (GRI),
Guaranteed Rate Affinity, LLC (GRA) and Proper Rate, LLC
(collectively, the Guaranteed Rate Parties), respectively. The
Guaranteed Rate Parties are affiliates. In addition, approximately
9.8% of the mortgage loans, by UPB as of the cut-off date, were
originated by CrossCountry Mortgage, LLC (CrossCountry). No other
originator or group of affiliated originators originated more than
approximately 10% of the mortgage loans in the aggregate. Moody's
consider CrossCountry and Guaranteed Rate Parties to have adequate
residential prime jumbo loan origination practices that are in line
with peers due to: (1) adequate underwriting policies and
procedures, (2) consistent performance with low delinquency and
repurchase and (3) adequate quality control, Moody's did not make
any adjustments to Moody's loss levels for mortgage loans
originated by these parties.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate, and as a result Moody's did not make any adjustments
to its base case and Aaa stress loss assumptions based on the
servicing arrangement.

Shellpoint will be the named primary servicer for this transaction
and will service 100% of the pool. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is in Greenville,
South Carolina. Shellpoint services residential mortgage assets for
investors that include banks, financial services companies, GSEs
and government agencies. Wells Fargo will act as master. Wells
Fargo is a national banking association and a wholly-owned
subsidiary of Wells Fargo & Company. Moody's consider the presence
of an experienced master servicer such as Wells Fargo to be a
mitigant for any servicing disruptions. Wells Fargo is committed to
act as successor servicer if no other successor servicer can be
engaged.

Third-party Review

The transaction benefits from TPR on 100% of the mortgage loans for
regulatory compliance, credit and property valuation. The due
diligence results confirm compliance with the originators'
underwriting guidelines for the vast majority of mortgage loans, no
material compliance issues, and no material valuation defects. The
mortgage loans that had exceptions to the originators' underwriting
guidelines had significant compensating factors that were
documented.

Representations & Warranties

GSMBS 2021-PJ6's R&W framework is in line with that of prior GSMBS
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Moody's review of the R&W framework takes
into account the financial strength of the R&W providers, scope of
R&Ws (including qualifiers and sunsets) and the R&W enforcement
mechanism. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. R&W
breaches are evaluated by an independent third-party using a set of
objective criteria. The transaction requires mandatory independent
reviews of mortgage loans that become 120 days delinquent and those
that liquidate at a loss to determine if any of the R&Ws are
breached. There is a provision for binding arbitration in the event
of a dispute between the trust and the R&W provider concerning R&W
breaches.

The creditworthiness of the R&W provider determines the probability
that the R&W provider will be available and have the financial
strength to repurchase defective loans upon identifying a breach.
An investment-grade rated R&W provider lends substantial strength
to its R&Ws. Moody's analyze the impact of less creditworthy R&W
providers case by case, in conjunction with other aspects of the
transaction. Here, because most of the R&W providers are unrated
and/or exhibit limited financial flexibility, Moody's applied an
adjustment to the mortgage loans for which these entities provided
R&Ws.

Tail Risk and Locked Out Percentage

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.60% of the cut-off date pool
balance, and as subordination lock-out amount of 0.60% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

COVID-19 Impacted Borrowers

As of the cut-off date, none of the mortgage loans are subject to a
COVID-19 related forbearance plan. However, there are two loans in
the pool that have gone through a COVID-19 related post forbearance
interest-rate modification and are performing since past five
payment periods.

In the event the servicer enters into a forbearance plan with a
COVID-19 impacted borrower, the servicer will report such mortgage
loan as delinquent (to the extent payments are not actually
received from the borrower) and the servicer will be required to
make advances in respect of delinquent interest and principal (as
well as servicing advances) on such loan during the forbearance
period (unless the servicer determines any such advances would be a
nonrecoverable advance). At the end of the forbearance period, if
the borrower is able to make the current payment on such mortgage
loan but is unable to make the previously forborne payments as a
lump sum payment or as part of a repayment plan, then such
principal forbearance amount will be recognized as a realized loss.
At the end of the forbearance period, if the borrower repays the
forborne payments via a lump sum or repayment plan, advances will
be recovered via the borrower payment(s). In an event of
modification, Shellpoint will recover advances made during the
period of COVID-19 related forbearance from pool level
collections.

Any principal forbearance amount created in connection with any
modification (whether as a result of a COVID-19 forbearance or
otherwise) will result in the allocation of a realized loss and to
the extent any such amount is later recovered, will result in the
allocation of a subsequent recovery.

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

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.

Methodology

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


GS MORTGAGE-BACKED 2021-PJ6: Fitch Assigns B+ Rating on B5 Certs
----------------------------------------------------------------
Fitch Ratings rates the residential mortgage-backed certificates
issued by GS Mortgage-Backed Securities Trust 2021-PJ6 (GSMBS
2021-PJ6).

DEBT           RATING              PRIOR
----           ------              -----
GSMBS 2021-PJ6

A1     LT  AAAsf   New Rating   AAA(EXP)sf
A10    LT  AAAsf   New Rating   AAA(EXP)sf
A11    LT  AAAsf   New Rating   AAA(EXP)sf
A11X   LT  AAAsf   New Rating   AAA(EXP)sf
A12    LT  AAAsf   New Rating   AAA(EXP)sf
A13    LT  AAAsf   New Rating   AAA(EXP)sf
A14    LT  AAAsf   New Rating   AAA(EXP)sf
A15    LT  AAAsf   New Rating   AAA(EXP)sf
A15X   LT  AAAsf   New Rating   AAA(EXP)sf
A16    LT  AAAsf   New Rating   AAA(EXP)sf
A17    LT  AAAsf   New Rating   AAA(EXP)sf
A17X   LT  AAAsf   New Rating   AAA(EXP)sf
A18    LT  AAAsf   New Rating   AAA(EXP)sf
A18X   LT  AAAsf   New Rating   AAA(EXP)sf
A19    LT  AAAsf   New Rating   AAA(EXP)sf
A2     LT  AAAsf   New Rating   AAA(EXP)sf
A20    LT  AAAsf   New Rating   AAA(EXP)sf
A21    LT  AA+sf   New Rating   AA+(EXP)sf
A3     LT  AA+sf   New Rating   AA+(EXP)sf
A4     LT  AA+sf   New Rating   AA+(EXP)sf
A5     LT  AAAsf   New Rating   AAA(EXP)sf
A6     LT  AAAsf   New Rating   AAA(EXP)sf
A7     LT  AAAsf   New Rating   AAA(EXP)sf
A7X    LT  AAAsf   New Rating   AAA(EXP)sf
A8     LT  AAAsf   New Rating   AAA(EXP)sf
A9     LT  AAAsf   New Rating   AAA(EXP)sf
AIOS   LT  NRsf    New Rating   NR(EXP)sf
AR     LT  NRsf    New Rating   NR(EXP)sf
AX1    LT  AA+sf   New Rating   AA+(EXP)sf
AX13   LT  AAAsf   New Rating   AAA(EXP)sf
AX2    LT  AAAsf   New Rating   AAA(EXP)sf
AX3    LT  AA+sf   New Rating   AA+(EXP)sf
AX4    LT  AA+sf   New Rating   AA+(EXP)sf
AX5    LT  AAAsf   New Rating   AAA(EXP)sf
AX9    LT  AAAsf   New Rating   AAA(EXP)sf
B1     LT  AAsf    New Rating   AA(EXP)sf
B2     LT  Asf     New Rating   A(EXP)sf
B3     LT  BBBsf   New Rating   BBB(EXP)sf
B4     LT  BBsf    New Rating   BB(EXP)sf
B5     LT  B+sf    New Rating   B+(EXP)sf
B6     LT  NRsf    New Rating   NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 1,077 prime-jumbo mortgage loans
with a total balance of approximately $1.037 billion as of the
cutoff date.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists
mostly of 30-year fixed-rate mortgage fully amortizing loans
seasoned approximately five months in aggregate. The collateral is
a mix of prime-jumbo (91.5%) and agency conforming loans (8.5%).
The borrowers in this pool have strong credit profiles (766 model
FICO) and relatively low leverage (a 74% sustainable loan to value
ratio). The 100% full documentation collateral comprises 100%
prime-jumbo loans, while 100% of the loans are safe-harbor
qualified mortgages. Of the pool, 98.7% are loans for which the
borrower maintains a primary residence, while 1.3% are for second
homes. Additionally, 83.7% of the loans were originated through a
retail channel.

Shifting-Interest Deal Structure (Mixed): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. While there is
only minimal leakage to the subordinate bonds early in the life of
the transaction, the structure is more vulnerable to defaults
occurring at a later stage compared to a sequential or
modified-sequential structure.

To help mitigate tail risk, which arises as the pool seasons and
fewer loans are outstanding, a subordination floor of 0.60% of the
original balance will be maintained for the senior certificates,
and a subordination floor of 0.60% of the original balance will be
maintained for the subordinate certificates.

Shellpoint Mortgage Servicing (SMS) will provide full advancing for
the life of the transaction. While this helps the liquidity of the
structure, it also increases the expected loss due to unpaid
servicer advances.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. Goldman Sachs is assessed as an 'Above
Average' aggregator by Fitch due to its robust sourcing strategy
and seller oversight, experienced senior management and staff, and
strong risk management and corporate governance controls.
Additionally, Fitch has conducted reviews on almost 80% of the
originators in this transaction, all of which are considered at
least an 'Average' originator by industry standards. Primary
servicing responsibilities are performed by SMS, rated 'RPS2' by
Fitch. Fitch did not adjust its expected losses based on these
operational assessments.

Updated Economic Risk Factor (ERF) (Positive): Consistent with the
Additional Scenario Analysis section of Fitch's "U.S. RMBS
Coronavirus-Related Analytical Assumptions" criteria, Fitch will
consider applying additional scenario analysis based on stressed
assumptions as described in the section to remain consistent with
significant revisions to its macroeconomic baseline scenario or if
actual performance data indicate the current assumptions require
reconsideration. In response to revisions made to Fitch's
macroeconomic baseline scenario, observed actual performance data,
and the unexpected development in the health crisis arising from
the advancement and availability of coronavirus vaccines, Fitch
reconsidered the application of the coronavirus-related ERF floors
of 2.0 and used ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf'
rating stresses, respectively.

Fitch's "Global Economic Outlook - March 2021" and related baseline
economic scenario forecasts have been revised to 6.2% U.S. GDP
growth for 2021 and 3.3% for 2022 following negative 3.5% GDP
growth in 2020. Additionally, Fitch's U.S. unemployment forecasts
for 2021 and 2022 are 5.8% and 4.7%, respectively, down from 8.1%
in 2020. These revised forecasts support Fitch reverting to the 1.5
and 1.0 ERF floors described in its "U.S. RMBS Loan Loss Model
Criteria." The lower expected losses in the non-investment-grade
rating stresses led to higher ratings for class B5 compared to
prior transactions.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level.

Sensitivity analyses were conducted at the state and national
levels to assess the effect of higher MVDs for the subject pool, as
well as lower MVDs, illustrated by a gain in home prices.

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

-- This defined negative stress sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
    addition to the model projected decline at the base case. This
    analysis indicates there is some potential rating migration
    with higher MVDs compared with the model projection.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to positive home price growth with
    no assumed overvaluation. The analysis assumes positive home
    price growth of 10.0%. Excluding the senior classes already
    rated 'AAAsf' and classes constrained due to qualitative
    rating caps, the analysis indicates there is potential
    positive rating migration for all of the other rated classes.

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

BEST/WORST CASE RATING SCENARIO

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

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

Form ABS Due Diligence-15E was not provided to or reviewed by Fitch
in relation to this rating action. Third-party due diligence was
performed on 100% of the loans in the transaction. Due diligence
was performed by SitusAMC, Opus and Recovco, which Fitch assesses
as 'Acceptable - Tier 1', 'Acceptable - Tier 2' and 'Acceptable -
Tier 3', respectively. The review scope is consistent with Fitch
criteria, and the results are generally similar to prior prime RMBS
transactions. Credit exceptions were supported by strong mitigating
factors, and compliance exceptions were primarily cured with
subsequent documentation.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on 100% of the pool. The third-party due
diligence was consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Opus and Recovco were engaged to perform the review.
Loans reviewed under this engagement were given compliance, credit
and valuation grades, and assigned initial grades for each
subcategory.

Fitch also utilized data files made available by the issuer on its
SEC Rule 17g-5-designated website. Fitch received loan-level
information based on the American Securitization Forum's (ASF) data
layout format, and the data are considered comprehensive.

The ASF data tape layout was established with input from various
industry participants, including rating agencies, issuers,
originators, investors and others, to produce an industry standard
for the pool-level data in support of the U.S. RMBS securitization
market. The data contained in the ASF layout data tape were
reviewed by the due diligence companies, and no material
discrepancies were noted.

ESG CONSIDERATIONS

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


HAWAIIAN HOLDINGS 2013-1: S&P Affirms B- Rating on Class A Certs
----------------------------------------------------------------
S&P Global Ratings affirmed its issue-level ratings on Hawaiian
Holdings Inc.'s 2013-1 class A enhanced equipment trust
certificates (EETCs) following a review prompted by the publication
of new criteria for rating such issues. S&P removed its "under
criteria observation" (UCO) indicator from the affected rating.

S&P said, "Our analysis of equipment trust certificate (ETC) or
EETC ratings under the new criteria typically starts with our
issuer credit rating (ICR) on the airline that operates the
aircraft. It adds any applicable notches for the likelihood that an
airline will successfully reorganize in bankruptcy and continue to
make payments on the ETC or EETC (which we call "affirmation
credit"). We may adjust--by reducing those notches--for any adverse
legal considerations that may arise from the jurisdiction in which
the airline operates. For EETCs, we may also add notches for the
likelihood that repossession and sale of the aircraft collateral
will be sufficient to repay principal and accrued interest,
avoiding a default, if the airline does not reorganize or rejects
the aircraft securing the certificates (which we call "collateral
credit").

"Our affirmation of ratings on Hawaiian's 2013-1 class A
certificates was because the new criteria limit assigning
affirmation credit when the loan to value (LTV) is high (more than
100%), as it is for this issue. However, we used the available
flexibility in the criteria to offset this impact with what we call
a positive comparable ratings analysis (CRA). We believe there is
some possibility that Hawaiian would continue pay the senior class
of the EETC in a hypothetical bankruptcy scenario, although we also
note a risk of renegotiation in that event and see the junior class
at more serious risk of renegotiation and a payment shortfall."

S&P's rating on the 2013-1 class B certificates remains 'CCC+'.

  Ratings List

  RATINGS AFFIRMED

  HAWAIIAN AIRLINES INC.

   Equipment Trust Certificates  B-



HERTZ VEHICLE 2021-2: Moody's Assigns Ba2 Rating to 2 Tranches
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
Series 2021-1 and Series 2021-2 Rental Car Asset-Backed Notes
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 have an expected maturity in 42 months and
legal final maturity in 54 months. The Series 2021-2 Notes 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, Definitive
Rating Assigned Aaa (sf)

Series 2021-1 Rental Car Asset Backed Notes, Class B, Definitive
Rating Assigned A2 (sf)

Series 2021-1 Rental Car Asset Backed Notes, Class C, Definitive
Rating Assigned Baa2 (sf)

Series 2021-1 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba2 (sf)

Series 2021-2 Rental Car Asset Backed Notes, Class A, Definitive
Rating Assigned Aaa (sf)

Series 2021-2 Rental Car Asset Backed Notes, Class B, Definitive
Rating Assigned A2 (sf)

Series 2021-2 Rental Car Asset Backed Notes, Class C, Definitive
Rating Assigned Baa2 (sf)

Series 2021-2 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba2 (sf)

RATINGS RATIONALE

The definitive 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 June
7, 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:

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 and
Series 2021-2 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 and
Series 2021-2 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 (4) the residual values of the non-program
vehicles collateralizing the transaction were to decrease
materially relative to Moody's expectations.


IRWIN HOME 2006-1: Moody's Hikes Cl. IA-1 Bond Rating From Ba2
--------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one bond from
one US residential mortgage backed transaction, backed by second
lien mortgages, issued by Irwin Home Equity Loan Trust 2006-1.

Issuer: Irwin Home Equity Loan Trust 2006-1

Cl. IA-1, Upgraded to Baa3 (sf); previously on Mar 23, 2018
Upgraded to Ba2 (sf)

RATINGS RATIONALE

The rating upgrade reflects the increase in credit enhancement (CE)
available to the bond and also the recent performance as well as
Moody's updated loss expectations on the underlying pool. The CE of
the bond in the rating action has increased by around 15% over the
last 12 months, primarily due to excess spread and the bond's
paydown.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans 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 Methodologies

The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in July 2020.

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


IVY HILL XII: S&P Assigns BB- (sf) Rating on Class D-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1R-R,
A-1T-R, A-2A-R, A-2B-R, B-R, C-R, and D-R replacement notes from
Ivy Hill Middle Market Credit Fund XII Ltd./Ivy Hill Middle Market
Credit Fund XII LLC, a CLO originally issued in April 2017 that is
managed by Ivy Hill Asset Management L.P. At the same time, we
withdrew our ratings on the original class class A-1a and A-1b
following payment in full on the June 28, 2021, refinancing date.
The class A-2, B, C, and D notes were not rated by S&P Global
Ratings.

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-1R-R, A-1T-R, A-2A-R, B-R, and C-R
notes will be issued at a lower spread over three-month LIBOR than
the original notes, while the replacement class D-R notes will be
issued at a higher spread over three-month LIBOR than the original
notes.

-- The replacement class A-2B-R notes will be issued at a fixed
coupon and pro rata with the replacement class A-2A-R notes.

-- The reinvestment period will be extended by 4.25 years; and the
stated maturity, non-call period, and weighted average life test
date will each be extended four years.

-- Of the identified underlying collateral obligations, 97.03%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 56.34%
have recovery ratings assigned by S&P Global Ratings.

-- The S&P Global Ratings' 'A-1' rating is required for the
variable funding notes holder and the replacement mechanism or
funding requirement is in place if the rating falls below 'A-1'.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1R-R, $25.00 million: CP rate + 1.60%
  Class A-1T-R, $347.90 million: Three-month LIBOR + 1.60%
  Class A-2A-R, $75.80 million: Three-month LIBOR + 1.90%
  Class A-2B-R, $10.00 million: 3.03%
  Class B-R (deferrable), $49.50 million: Three-month LIBOR +
2.90%
  Class C-R (deferrable), $29.70 million: Three-month LIBOR +
4.00%
  Class D-R (deferrable), $42.90 million: Three-month LIBOR +
8.17%
  Subordinated notes, $81.65 million: Residual

  Original notes

  Class A-1a, $159.80 million: Three-month LIBOR + 1.70%
  Class A-1b, $53.00 million: Three-month LIBOR + 1.70%
  Class A-2, $49.30 million: Three-month LIBOR + 2.25%
  Class B (deferrable), $30.40 million: Three-month LIBOR + 3.00%
  Class C (deferrable), $22.80 million: Three-month LIBOR + 4.10%
  Class D (deferrable), $29.70 million: Three-month LIBOR + 7.56%
  Subordinated notes, $36.30 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. 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

  Ivy Hill Middle Market Credit Fund XII Ltd./Ivy Hill Middle
Market Credit Fund XII LLC (Refinancing and Extension)

  Class A-1R-R(i), $25.00 million: AAA (sf)
  Class A-1T-R, $347.90 million: AAA (sf)
  Class A-2A-R, $75.80 million: AA (sf)
  Class A-2B-R, $10.00 million: AA (sf)
  Class B-R (deferrable), $49.50 million: A- (sf)
  Class C-R (deferrable), $29.70 million: BBB- (sf)
  Class D-R (deferrable), $42.90 million: BB- (sf)
  Subordinated notes, $81.65 million: NR

(i)The class A-1R-R variable funding notes can be drawn during the
reinvestment period to fund underlying delayed-draw or revolving
loans.



JP MORGAN 2021-8: Fitch Assigns Final B Rating on Class B-5 Debt
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to JP Morgan Mortgage
Trust 2021-8 (JPMMT 2021-8).

DEBT             RATING             PRIOR
----             ------             -----
JPMMT 2021-8

A-1      LT  AAAsf   New Rating   AAA(EXP)sf
A-10     LT  AAAsf   New Rating   AAA(EXP)sf
A-10-A   LT  AAAsf   New Rating   AAA(EXP)sf
A-10-X   LT  AAAsf   New Rating   AAA(EXP)sf
A-11     LT  AAAsf   New Rating   AAA(EXP)sf
A-11-A   LT  AAAsf   New Rating   AAA(EXP)sf
A-11-AI  LT  AAAsf   New Rating   AAA(EXP)sf
A-11-B   LT  AAAsf   New Rating   AAA(EXP)sf
A-11-BI  LT  AAAsf   New Rating   AAA(EXP)sf
A-11-X   LT  AAAsf   New Rating   AAA(EXP)sf
A-12     LT  AAAsf   New Rating   AAA(EXP)sf
A-13     LT  AAAsf   New Rating   AAA(EXP)sf
A-14     LT  AAAsf   New Rating   AAA(EXP)sf
A-15     LT  AAAsf   New Rating   AAA(EXP)sf
A-16     LT  AAAsf   New Rating   AAA(EXP)sf
A-17     LT  AAAsf   New Rating   AAA(EXP)sf
A-2      LT  AAAsf   New Rating   AAA(EXP)sf
A-3      LT  AAAsf   New Rating   AAA(EXP)sf
A-3-A    LT  AAAsf   New Rating   AAA(EXP)sf
A-3-X    LT  AAAsf   New Rating   AAA(EXP)sf
A-4      LT  AAAsf   New Rating   AAA(EXP)sf
A-4-A    LT  AAAsf   New Rating   AAA(EXP)sf
A-4-X    LT  AAAsf   New Rating   AAA(EXP)sf
A-5      LT  AAAsf   New Rating   AAA(EXP)sf
A-5-A    LT  AAAsf   New Rating   AAA(EXP)sf
A-5-B    LT  AAAsf   New Rating   AAA(EXP)sf
A-5-X    LT  AAAsf   New Rating   AAA(EXP)sf
A-6      LT  AAAsf   New Rating   AAA(EXP)sf
A-6-A    LT  AAAsf   New Rating   AAA(EXP)sf
A-6-X    LT  AAAsf   New Rating   AAA(EXP)sf
A-7      LT  AAAsf   New Rating   AAA(EXP)sf
A-7-A    LT  AAAsf   New Rating   AAA(EXP)sf
A-7-B    LT  AAAsf   New Rating   AAA(EXP)sf
A-7-X    LT  AAAsf   New Rating   AAA(EXP)sf
A-8      LT  AAAsf   New Rating   AAA(EXP)sf
A-8-A    LT  AAAsf   New Rating   AAA(EXP)sf
A-8-X    LT  AAAsf   New Rating   AAA(EXP)sf
A-9      LT  AAAsf   New Rating   AAA(EXP)sf
A-9-A    LT  AAAsf   New Rating   AAA(EXP)sf
A-9-X    LT  AAAsf   New Rating   AAA(EXP)sf
A-X-1    LT  AAAsf   New Rating   AAA(EXP)sf
A-X-2    LT  AAAsf   New Rating   AAA(EXP)sf
A-X-3    LT  AAAsf   New Rating   AAA(EXP)sf
A-X-4    LT  AAAsf   New Rating   AAA(EXP)sf
B-1      LT  AA-sf   New Rating   AA-(EXP)sf
B-1-A    LT  AA-sf   New Rating   AA-(EXP)sf
B-1-X    LT  AA-sf   New Rating   AA-(EXP)sf
B-2      LT  A-sf    New Rating   A-(EXP)sf
B-2-A    LT  A-sf    New Rating   A-(EXP)sf
B-2-X    LT  A-sf    New Rating   A-(EXP)sf
B-3      LT  BBB-sf  New Rating   BBB-(EXP)sf
B-4      LT  BBsf    New Rating   BB(EXP)sf
B-5      LT  Bsf     New Rating   B(EXP)sf
B-6      LT  NRsf    New Rating   NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 1,010 loans with a total balance
of approximately $930.39 million as of the cutoff date. The pool
consists of prime quality fixed-rate mortgages (FRMs) from various
mortgage originators. The servicers in the transactions consist of
JP Morgan Chase Bank and various other servicers. Nationstar
Mortgage LLC (Nationstar) will be the master servicer.

All of the loans qualify as either Safe Harbor Qualified Mortgages
(SHQM), Agency Safe Harbor QM or QM Safe Harbor Average Prime Offer
Rate (APOR) loans.

There is no exposure to LIBOR in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are fixed
rate based off of the net weighted average coupon (WAC), or
floating/inverse floating rate based off of the SOFR index, and
capped at the net WAC. This is the seventh Fitch-rated JPMMT
transaction to use SOFR as the index rate for floating/inverse
floating-rate certificates.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists of very
high-quality, fixed-rate fully amortizing loans with maturities up
to 30 years. All of the loans qualify as SHQM, Agency Safe Harbor
QM, QM Safe Harbor (APOR) loans. The loans were made to borrowers
with strong credit profiles, relatively low leverage and large
liquid reserves. The loans are seasoned at an average of four
months according to Fitch (two months per the transaction
documents).

The pool has a weighted average (WA) original FICO score of 775 (as
determined by Fitch), which is indicative of very high credit
quality borrowers. Approximately 82.5% (as determined by Fitch) of
the loans have a borrower with an original FICO score above 750. In
addition, the original WA combined loan-to-value ratio (CLTV) of
69.2%, translating to a sustainable loan-to-value ratio (sLTV) of
75.0%, represents substantial borrower equity in the property and
reduced default risk.

91.8% of the pool comprises nonconforming loans, while the
remaining 8.2% represents conforming loans. 100% of the loans are
designated as QM loans, with roughly 71.9% of the pool being
originated by a retail channel.

The pool consists of 93.1% of loans where the borrower maintains a
primary residence, while 4.8% comprises second homes. Single-family
homes comprise 91.9% of the pool, and condominiums make up 6.6%.
Cashout refinances comprise 13.9% of the pool, purchases comprise
40.0% of the pool and rate-term refinances comprise 46.1% of the
pool.

A total of 320 loans in the pool are over $1 million, and the
largest loan is $2.73 million.

Fitch determined that 2.1% of the loans were made to foreign
nationals/nonpermanent residents. These loans were treated as
investor-occupied to reflect the additional risk they may pose.

Geographic Concentration (Neutral): Approximately 49.9% of the pool
is concentrated in California. The largest MSA concentration is in
the Los Angeles-Long Beach-Santa Ana, CA MSA (14.9%), followed by
San Francisco-Oakland-Fremont, CA MSA (14.6), and the San
Jose-Sunnyvale-Santa Clara, CA MSA (5.9%). The top three MSAs
account for 35.4% of the pool. As a result, there was a 1x
probability of default (PD) penalty for geographic concentration.

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

CE Floor (Positive): A CE or senior subordination floor of 0.70%
has been considered to mitigate potential tail end risk and loss
exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, a junior
subordination floor of 0.50% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.

Updated Economic Risk Factor (Positive): Consistent with the
"Additional Scenario Analysis" section of Fitch's "U.S. RMBS
Coronavirus-Related Analytical Assumptions" criteria, Fitch will
consider applying additional scenario analysis based on stressed
assumptions as described in the section to remain consistent with
significant revisions to Fitch's macroeconomic baseline scenario or
if actual performance data indicates the current assumptions
require reconsideration.

In response to revisions made to Fitch's macroeconomic baseline
scenario, observed actual performance data, and the unexpected
development in the health crisis arising from the advancement and
availability of coronavirus vaccines, Fitch reconsidered the
application of the Coronavirus-related ERF floors of 2.0 and used
ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses,
respectively. Fitch's March 2021 Global Economic Outlook and
related base-line economic scenario forecasts have been revised to
a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5%
GDP growth in 2020. Additionally, Fitch's U.S. unemployment
forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which
is down from 8.1% in 2020. These revised forecasts support Fitch
reverting back to the 1.5 and 1.0 ERF floors described in Fitch's
"U.S. RMBS Loan Loss Model Criteria."

RATING SENSITIVITIES

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 40.0% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, Digital Risk, and Covius. 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.
However, losses were reduced by 0.23% at 'AAAsf' due to no material
findings on the 100% of due diligence that was provided.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Clayton, Digital Risk, and Covius were engaged to perform
the review. Loans reviewed under this engagement were given
compliance, credit and valuation grades and assigned initial grades
for each subcategory. Minimal exceptions and waivers were noted in
the due diligence reports. Refer to the Third-Party Due Diligence
section for more detail.

Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
are considered comprehensive. The data contained in the ResiPLS
layout data tape were reviewed by the due diligence companies, and
no material discrepancies were noted.

ESG CONSIDERATIONS

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


JP MORGAN 2021-8: Moody's Assigns B3 Rating to Cl. B-5 Certs
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 53
classes of residential mortgage-backed securities issued by J.P.
Morgan Mortgage Trust (JPMMT) 2021-8. The ratings range from Aaa
(sf) to B3 (sf).

JPMMT 2021-8 is the ninth prime jumbo transaction in 2021 issued by
J.P. Morgan Mortgage Acquisition Corporation (JPMMAC). The credit
characteristic of the mortgage loans backing this transaction is
similar to both recent JPMMT transactions and other prime jumbo
issuers that Moody's have rated. Moody's consider the overall
servicing framework for this pool to be adequate given the
servicing arrangement of the servicers, as well as the presence of
an experienced master servicer to oversee the servicers.

JPMMT 2021-8 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
coding the cash flow, Moody's took into account the step-up
incentive servicing fee structure.

In this transaction, the Class A-11, A-11-A and A-11-B notes'
coupon is indexed to 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.

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 review (TPR) and the
representations and warranties (R&W) framework of the transaction.

The complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Trust 2021-8

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-B, 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-B, 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 Aaa (sf)

Cl. A-X-2*, Assigned Aaa (sf)

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

Cl. A-X-4*, Assigned Aa1 (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-1-A, Assigned Aa3 (sf)

Cl. B-1-X*, Assigned Aa3 (sf)

Cl. B-2, Assigned A3 (sf)

Cl. B-2-A, Assigned A3 (sf)

Cl. B-2-X*, 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

Moody's expected loss for this pool in a baseline scenario-mean is
0.34%, in a baseline scenario-median is 0.18%, and reaches 3.39% at
a stress level consistent with Moody's Aaa ratings.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of consumer 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.

Moody's increased its model-derived median expected losses by
10.00% (6.60% for the mean) and Moody's Aaa loss by 2.50% to
reflect the likely performance deterioration resulting from the
slowdown in US economic activity due to the coronavirus outbreak.

These adjustments are lower than the 15% median expected loss and
5% Aaa loss adjustments Moody's made on pools from deals issued
after the onset of the pandemic until February 2021. Moody's
reduced adjustments reflect the fact that the loan pool in this
deal does not contain any loans to borrowers who are not currently
making payments. For newly originated loans, post-COVID
underwriting takes into account the impact of the pandemic on a
borrower's ability to repay the mortgage. For seasoned loans, as
time passes, the likelihood that borrowers who have continued to
make payments throughout the pandemic will now become non-cash
flowing due to COVID-19 continues to decline.

Collateral Description

Moody's assessed the collateral pool as of June 1, 2021, the
cut-off date. The deal will be backed by 1,010 fully amortizing
fixed-rate mortgage loans with an aggregate unpaid principal
balance (UPB) of $930,391,473 and an original term to maturity of
up to 30 years. The pool consists of prime jumbo non-conforming
(91.8% by UPB) and GSE-eligible conforming (8.2% by UPB) mortgage
loans. The GSE-eligible loans were underwritten pursuant to GSE
guidelines and were approved by DU/LP.

With the exception of 185 loans which were underwritten pursuant to
the new general QM rule, all of the mortgage loans in the aggregate
pool are QM, with the prime jumbo mortgage loans meeting the
requirements of the QM-Safe Harbor rule.

There are 193 loans originated by United Wholesale Mortgage, LLC
and 2 loans originated by loanDepot.com, LLC pursuant to the new
general QM rule. The third party review verified that the loans'
APRs met the QM rule's thresholds. Furthermore, these loans were
underwritten and documented pursuant to the QM rule's verification
safe harbor via a mix of the Fannie Mae Single Family Selling
Guide, the Freddie Mac Single-Family Seller/Servicer Guide, and
applicable program overlays. As part of the origination quality
review and in consideration of the detailed loan-level third-party
diligence reports, which included supplemental information with the
specific documentation received for each loan, Moody's concluded
that these loans were fully documented loans, and that the
underwriting of the loans is acceptable. Therefore, Moody's ran
these loans as "full documentation" loans in Moody's MILAN model.

Overall, the pool is of strong credit quality and includes
borrowers with high FICO scores (weighted average primary borrower
FICO of 779), low loan-to-value ratios (WA CLTV 69.3%), high
monthly incomes (about $29,384) and substantial liquid cash
reserves (about $324,776), on a weighted-average basis,
respectively, which have been verified as part of the underwriting
process and reviewed by the TPR firms. Approximately 49.9% of the
mortgage loans (by balance) were originated in California which
includes metropolitan statistical areas (MSAs) San Francisco
(14.6%) and Los Angeles (14.9%). The high geographic concentration
in high-cost MSAs is reflected in the high average balance of the
pool ($921,180). Approximately 81.2% of the mortgage loans are
designated as safe harbor Qualified Mortgages (QM) and meet
Appendix Q to the QM rules, 18.8% of the mortgage loans are
designated as Safe Harbor APOR loans, for which mortgage loans are
not underwritten to meet Appendix Q but satisfy AUS with additional
overlays of originators.

As of the cut-off date, none of the borrowers of the mortgage loans
are currently subject to a forbearance plan or are in the process
of being subject to a forbearance plan, including as a result of
COVID-19. In the event a borrower enters into a forbearance plan,
including as a result of COVID-19, after the cut-off date, such
mortgage loan will remain in the pool.

Aggregation/Origination Quality

Moody's consider JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC aggregation
quality, Moody's have also reviewed the origination quality of
originator(s) contributing a significant percentage of the
collateral pool (above 10%) and MAXEX Clearing LLC (an
aggregator).

loanDepot (loanDepot.com, LLC), United Wholesale Mortgage, LLC and
Guaranteed Rate (Guaranteed Rate Inc, Guaranteed Rate Affinity, LLC
and Proper Rate, LLC) sold/originated approximately 19.8%, 19.2%
and 11.1% of the mortgage loans (by UPB) in the pool. The remaining
originators each account for less than 10.0% (by UPB) of the loans
in the pool (49.9% by UPB in the aggregate). Approximately 18.1%
(by UPB) of the mortgage loans were acquired by JPMMAC from
MAXEX(the aggregator) , respectively, which purchased such mortgage
loans from the related originators or from an unaffiliated third
party which directly or indirectly purchased such mortgage loans
from the related originators.

Moody's did not make an adjustment for GSE-eligible loans, since
those loans were underwritten in accordance with GSE guidelines.
Moody's increased its base case and Aaa loss expectations for
certain originators (except being neutral for Guaranteed Rate
Parties, Finance of America Mortgage LLC, CrossCountry Mortgage and
loanDepot) of non-conforming loans where Moody's do not have clear
insight into the underwriting practices, quality control and credit
risk management.

United Wholesale Mortgage originated approximately 19.8% of the
mortgage loans by pool balance. The majority of these loans were
originated under UWM's prime jumbo program which are processed
using the Desktop Underwriter (DU) automated underwriting system,
and are therefore predominantly underwritten to Fannie Mae
guidelines. The loans receive a DU Approve Ineligible feedback due
to the 1) loan amount or 2) LTV for non-released prime jumbo
cash-out refinances is over 80%; none of the loans under number 2)
are included in this pool.

Moody's increased its loss expectations for UWM loans due mostly to
the fact that underwriting prime jumbo loans mainly through DU is
fairly new and no performance history has been provided to Moody's
on these types of loans. More time is needed to assess UWM's
ability to consistently produce high-quality prime jumbo
residential mortgage loans under this program

Servicing Arrangement

Moody's consider the overall servicing framework for this pool to
be adequate given the servicing arrangement of the servicers, as
well as the presence of an experienced master servicer. Nationstar
Mortgage LLC (Nationstar) (Nationstar Mortgage Holdings Inc.
corporate family rating B2) will act as the master servicer.

NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing (Shellpoint), loanDepot.com, LLC (loanDepot) (subserviced
by Cenlar, FSB) and United Wholesale Mortgage LLC (subserviced by
Cenlar FSB) are the principal servicers in this transaction and
will service approximately 60.37%, 19.83% and 19.22% loans (by UPB)
of the mortgage, respectively. Shellpoint will act as interim
servicer for these mortgage loans from the closing date until the
servicing transfer date, which is expected to occur on or about
August 1, 2021 (but which may occur after such date). After the
servicing transfer date, these mortgage loans will be serviced by
JPMorgan Chase Bank, National Association.

The servicers are required to advance P&I on the mortgage loans. To
the extent that the servicers are unable to do so, the master
servicer will be obligated to make such advances. In the event that
the master servicer, Nationstar, is unable to make such advances,
the securities administrator, Citibank, N.A. (rated Aa3) will be
obligated to do so to the extent such advance is determined by the
securities administrator to be recoverable. The servicing fee for
loans in this transaction will be predominantly based on a step-up
incentive fee structure with a monthly base fee of $40 per loan and
additional fees for delinquent or defaulted loans (fixed fee
framework servicers, which will be paid a monthly flat servicing
fee equal to one-twelfth of 0.25% of the remaining principal
balance of the mortgage loans, account for less than 1.00% of
UPB).

Third-Party Review

The transaction benefits from a TPR on 100% of the loans for
regulatory compliance, credit and property valuation. The TPR
results confirm compliance with the originator's underwriting
guidelines for the vast majority of loans, no material regulatory
compliance issues, and no material property valuation issues. The
loans that had exceptions to the originator's underwriting
guidelines had significant compensating factors that were
documented.

R&W Framework

Moody's review of the R&W framework takes into account the
financial strength of the R&W providers, scope of R&Ws (including
qualifiers and sunsets) and enforcement mechanisms. JPMMT 2021-8's
R&W framework is in line with that of other JPMMT transactions
Moody's have rated where an independent reviewer is named at
closing, and costs and manner of review are clearly outlined at
issuance. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. The R&W
framework is "prescriptive", whereby the transaction documents set
forth detailed tests for each R&W.

The originators and the aggregators each makes a comprehensive set
of R&Ws for their loans. The creditworthiness of the R&W provider
determines the probability that the R&W provider will be available
and have the financial strength to repurchase defective loans upon
identifying a breach. JPMMAC does not backstop the originator R&Ws,
except for certain "gap" R&Ws covering the period from the date as
of which such R&W is made by an originator or an aggregator,
respectively, to the cut-off date or closing date. In this
transaction, Moody's made adjustments to its base case and Aaa loss
expectations for R&W providers that are unrated and/or financially
weaker entities.

Transaction Structure

The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bonds have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order. Realized losses are allocated in a reverse sequential order,
first to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

The Class A-11, A-11-A and A-11-B Certificates will have a
pass-through rate that will vary directly with the SOFR rate and
the Class A-11-X, A-11-AI and A-11-BI Certificates will have a
pass-through rate that will vary inversely with the SOFR rate.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinate bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinate bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.70% of the cut-off date pool
balance, and as subordination lockout amount of 0.50% of the
cut-off date pool balance. Moody's calculate the credit neutral
floors as shown in Moody's principal methodology.

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.

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.


MADISON PARK XXXVII: S&P Assigns BB-(sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its rating to the class A-R, B-R, C-R,
D-R, and E-R replacement notes from Madison Park Funding XXXVII
Ltd./Madison Park Funding XXXVII LLC, a CLO originally issued in
2019 that is managed by Credit Suisse Asset Management LLC. At the
same time, S&P withdrew its ratings on the original class A-1, B-1,
B-2, C, D, and E notes following payment in full on the July 6,
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 required minimum overcollateralization coverage ratios will
be amended.

-- The non-call period will be extended to July 6, 2022.

-- The class A-2, B-1, and B-2 will be combined to make the new
class B-R notes.

-- The class E-R notes will issued at $22 million, $1 million
higher than the current class E notes

-- The transaction has also adopted benchmark replacement language
and made updates to conform to current rating agency methodology.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $375.00 million: Three-month LIBOR + 1.07%
  Class B-R, $72.00 million: Three-month LIBOR + 1.65%
  Class C-R, $42.00 million: Three-month LIBOR + 2.00%
  Class D-R, $36.00 million: Three-month LIBOR + 3.10%
  Class E-R, $22.00 million: Three-month LIBOR + 6.15%

  Original notes

  Class A-1, $375.00 million: Three-month LIBOR + 1.30%
  Class A-2, $15.00 million: Three-month LIBOR + 1.65%
  Class B-1, $42.00 million: Three-month LIBOR + 1.75%
  Class B-2, $15.00 million: 3.9170%
  Class C, $42.00 million: Three-month LIBOR + 2.40%
  Class D, $36.00 million: Three-month LIBOR + 3.50%
  Class E, $21.00 million: Three-month LIBOR + 6.55%

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 XXXVII Ltd./Madison Park Funding XXXVII LLC

  Class A-R, $375.00 million: AAA (sf)
  Class B-R, $72.00 million: AA (sf)
  Class C-R, $42.00 million: A (sf)
  Class D-R, $36.00 million: BBB- (sf)
  Class E-R, $22.00 million: BB- (sf)
  Subordinated notes, $50.65 million: NR

  Ratings Withdrawn

  Madison Park Funding XXXVII Ltd./Madison Park Funding XXXVII LLC

  Class A-1: to NR from 'AAA(sf)'
  Class B-1: to NR from 'AA (sf)'
  Class B-2: to NR from 'AA (sf)'
  Class C: to NR from 'A (sf)'
  Class D: to NR from 'BBB- (sf)'
  Class E: to NR from 'BB- (sf)'

  NR--Not rated.


MELLO MORTGAGE 2021-MTG3: Moody's Assigns B2 Rating to B5 Certs
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
fifty-seven classes of residential mortgage-backed securities
issued by Mello Mortgage Capital Acceptance (MMCA) 2021-MTG3. The
ratings range from Aaa (sf) to B2 (sf).

MMCA 2021-MTG3 is a securitization of first-lien primarily
high-balance GSE-eligible mortgage loans. The transaction is backed
by 508, 30-year (97.9% by balance), 29-year (0.2% by balance),
28-year (0.4% by balance), 26-year (0.2% by balance), and 25-year
(1.3% by balance) fixed-rate mortgage loans, with an aggregate
stated principal balance of $325,006,710, originated by
loanDepot.com, LLC (loanDepot). The average stated principal
balance is $639,777. All the mortgage loans were qualified
mortgages under the Qualified Mortgage (QM) rule because such
mortgages were eligible for purchase by Fannie Mae or Freddie Mac.

Approximately 35.5% of the mortgage loans by aggregate unpaid
principal balance (UPB) 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.

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.

The credit, compliance, property valuation, and data integrity
portion of the third-party review (TPR) was conducted on a total of
approximately 36.2% (184 loans) of the pool (by loan count).
Additional valuation products were ordered on the remaining 324
loans. For each appraisal waiver (AW) loan, there was an Automatic
Valuation Model (AVM) review conducted in connection with this
offering by a third-party vendor with respect to the related
mortgaged properties. There were no AW loans in the pool with AVM
value that had more than -10% variance compared to the stated
value. The TPR results indicated compliance with the originators'
underwriting guidelines for most of the loans, no material
compliance issues and no material appraisal defects. 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 is
below Moody's calculated threshold, Moody's therefore applied an
adjustment to Moody's losses.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's also compared the
collateral pool to MMCA 2021-MTG2, MMCA 2021-MTG1, MMCA 2018-MTG2,
Provident Funding Mortgage Trust 2020-2, Provident Funding Mortgage
Trust 2020-1, and Provident Funding Mortgage Trust 2019-1
transactions. Overall, this pool has a weaker credit risk profile
as compared to that of recent comparable transactions with respect
to FICO distribution.

The securitization has a shifting interest structure with a
five-year lockout period that benefits from a senior floor and a
subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: Mello Mortgage Capital Acceptance 2021-MTG3

Cl. A1, Assigned Aaa (sf)

Cl. A2, Assigned Aaa (sf)

Cl. A3, Assigned Aaa (sf)

Cl. A4, Assigned Aaa (sf)

Cl. A5, Assigned Aaa (sf)

Cl. A6, Assigned Aaa (sf)

Cl. A7, Assigned Aaa (sf)

Cl. A8, Assigned Aaa (sf)

Cl. A9, Assigned Aaa (sf)

Cl. A10, Assigned Aaa (sf)

Cl. A11, Assigned Aaa (sf)

Cl. A11X*, Assigned Aaa (sf)

Cl. A12, Assigned Aaa (sf)

Cl. A13, Assigned Aaa (sf)

Cl. A14, Assigned Aaa (sf)

Cl. A15, Assigned Aaa (sf)

Cl. A16, Assigned Aaa (sf)

Cl. A17, Assigned Aaa (sf)

Cl. A18, Assigned Aaa (sf)

Cl. A19, Assigned Aaa (sf)

Cl. A20, Assigned Aaa (sf)

Cl. A21, Assigned Aaa (sf)

Cl. A22, Assigned Aaa (sf)

Cl. A23, Assigned Aaa (sf)

Cl. A24, Assigned Aaa (sf)

Cl. A25, Assigned Aaa (sf)

Cl. A26, Assigned Aa1 (sf)

Cl. A27, Assigned Aa1 (sf)

Cl. A28, Assigned Aa1 (sf)

Cl. A29, Assigned Aaa (sf)

Cl. A30, Assigned Aaa (sf)

Cl. A31, Assigned Aaa (sf)

Cl. AX1*, Assigned Aaa (sf)

Cl. AX4*, Assigned Aaa (sf)

Cl. AX5*, Assigned Aaa (sf)

Cl. AX6*, Assigned Aaa (sf)

Cl. AX8*, Assigned Aaa (sf)

Cl. AX10*, Assigned Aaa (sf)

Cl. AX13*, Assigned Aaa (sf)

Cl. AX15*, Assigned Aaa (sf)

Cl. AX17*, Assigned Aaa (sf)

Cl. AX19*, Assigned Aaa (sf)

Cl. AX21*, Assigned Aaa (sf)

Cl. AX25*, Assigned Aaa (sf)

Cl. AX26*, Assigned Aa1 (sf)

Cl. AX27*, Assigned Aa1 (sf)

Cl. AX28*, Assigned Aa1 (sf)

Cl. AX30*, Assigned Aaa (sf)

Cl. B1, Assigned Aa3 (sf)

Cl. B1A, Assigned Aa3 (sf)

Cl. BX1*, Assigned Aa3 (sf)

Cl. B2, Assigned A3 (sf)

Cl. B2A, Assigned A3 (sf)

Cl. BX2*, Assigned A3 (sf)

Cl. B3, Assigned Baa2 (sf)

Cl. B4, Assigned Ba2 (sf)

Cl. B5, Assigned B2 (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.31%
at the mean, 0.12% at the median, and reaches 6.08% at a stress
level consistent with Moody's Aaa ratings.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans 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%
(5.6% for the mean) and Moody's Aaa losses by 2.5% to reflect the
likely performance deterioration resulting from a slowdown in US
economic activity in 2020 due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated loans, post-COVID underwriting takes
into account the impact of the pandemic on a borrower's ability to
repay the mortgage. For seasoned loans, as time passes, the
likelihood that borrowers who have continued to make payments
throughout the pandemic will now become non-cash flowing due to
COVID-19 continues to decline.

Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the third-party due diligence and the
R&W framework of the transaction.

Collateral description

MMCA 2021-MTG3 is a securitization of first-lien primarily
high-balance GSE-eligible mortgage loans. The transaction is backed
by 508, 30-year (97.9% by balance), 29-year (0.2% by balance),
28-year (0.4% by balance), 26-year (0.2% by balance), and 25-year
(1.3% by balance) fixed-rate mortgage loans, with an aggregate
stated principal balance of $325,006,710, originated by
loanDepot.com, LLC (loanDepot). The average stated principal
balance is $639,777 and the weighted average (WA) current mortgage
rate is 3.1%. Borrowers of the mortgage loans backing this
transaction have strong credit profiles demonstrated by strong
credit scores and low loan-to-value (LTV) ratios. The weighted
average primary borrower original FICO score and original LTV ratio
of the pool is 758 and 65.3%, respectively. The WA original
debt-to-income (DTI) ratio is 33.4%. Approximately, 24.4% by loan
balance of the borrowers in the pool have more than one mortgage.
Also, there is one borrower with two mortgages in this pool. All of
the loans are designated as Qualified Mortgages (QM) under the QM
safe harbor rules. All loans are underwritten to Freddie Mac or
Fannie Mae guidelines with minimal overlays from loanDepot.

Approximately half of the mortgages (52.9% by loan balance) are
backed by properties located in California. The next largest
geographic concentration is Washington (13.7% by loan balance),
Virginia (8.63% by loan balance), and New Jersey (6.72% by loan
balance). All other states each represent 4% or less by loan
balance. Approximately 0.7% (by loan balance) of the pool is backed
by properties that are 2-to-4 unit residential properties whereas
loans backed by single family residential properties represent
62.6% (by loan balance) of the pool.

Approximately 84.9% (by loan balance) of the loans were originated
through the retail channel and 15.1% (by loan balance) of the loans
were originated through the broker channel.

Origination Quality and Underwriting Guidelines

loanDepot has originated all the mortgage loans in the pool. All
mortgage loans were originated generally in accordance with Federal
Housing Finance Agency (FHFA) standards, under loanDepot's
conforming high balance loan program, with no material overlays
imposed by the originator. The underwriting guidelines evaluate,
among others, the borrowers' ability to repay, employment history,
credit history and FICO scores, debt to income ratio (DTI) and
residual income. The mortgage loans were originated using an
automated underwriting system (AUS), DU for Fannie Mae and LP for
Freddie Mac loans, as both a risk screening tool and also to ensure
that the only ineligible factor is the loan amount. For a loan to
get approved, a DU response of "Approve/Eligible" or LP response of
"Accept" is required. Manual underwriting of any loans is not
allowed under the program.

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 arrangement

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.

Covid-19 Impacted Borrowers

In the event that a borrower enters into or requests a COVID-19
related forbearance plan on or after the closing date, such
mortgage loan will remain in the mortgage pool and the servicing
administrator will be required to make advances in respect of
delinquent interest and principal (as well as servicing advances)
on such mortgage loan during the forbearance period (to the extent
such advances are deemed recoverable). Forbearances are being
offered in accordance with applicable state and federal regulatory
guidelines and the homeowner's individual circumstances. At the end
of the forbearance period, as with any other modification, to the
extent the related borrower is not able to make a lump sum payment
of the forborne amount, the servicer may, subject to the servicing
matrix, offer the borrower a repayment plan, enter into a
modification with the borrower (including a modification to defer
the forborne amounts) or utilize any other loss mitigation option
permitted under the pooling and servicing agreement.

The servicing fee rate will be equal to 8 bps. Under the
transaction documents, the servicing administrator may increase the
servicer fee rate up to 25 bps in the event that servicing
administrator terminates Cenlar as the servicer. The successor
servicer chosen by the servicing administrator must be reasonably
acceptable to the master servicer. The master servicer may increase
the servicing fee up to an amount that in its good faith judgment
is necessary or advisable to engage a successor servicer. In
modeling this transaction, Moody's assumed a 25 bps servicing fee
rate in line with other transactions that have similar servicing
fee structure.

Third-party review

The credit, compliance, property valuation, and data integrity
portion of the third-party review (TPR) was conducted on a total of
approximately 36.2% (184 loans) of the pool (by loan count).
Additional valuation products were ordered on the remaining 324
loans. For each appraisal waiver (AW) loan, there was an Automatic
Valuation Model (AVM) review conducted in connection with this
offering by a third-party vendor with respect to the related
mortgaged properties. There were no AW loans in the pool with AVM
value that had more than -10% variance compared to the stated
value.

The TPR results indicated compliance with the originators'
underwriting guidelines for most of the loans, no material
compliance issues and no material appraisal defects. 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 is
below Moody's calculated threshold, Moody's therefore applied an
adjustment to Moody's losses.

Also, AW loans, which constitute approximately 35.5% of the
mortgage loans by aggregate cut-off date balance, may present a
greater risk as the value of the related mortgaged properties may
be less than the value ascribed to such mortgaged properties.
Moody's made an adjustment in Moody's analysis to account for the
increased risk associated with such loans.

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 its 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 0.60% 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 0.60% 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 0.60% and 0.60%,
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.


MOUNTAIN VIEW 2013-1: S&P Affirms CCC+(sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-RR, B-RR,
and C-RR replacement notes from Mountain View CLO 2013-1
Ltd./Mountain View CLO 2013-1 Corp., a CLO originally issued in
2013 that is managed by Seix Investment Advisors LLC. At the same
time, S&P withdrew its ratings on the original class A-R, B-R,
C-1-R, and C-2-R notes following payment in full on the July
7,2021, refinancing date. S&P also affirmed its ratings on the
class D-R and E-R notes, which were not refinanced.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-RR, $236.65 million: Three-month LIBOR + 1.00%
  Class B-RR, $51.00 million: Three-month LIBOR + 1.67%
  Class C-RR, $30.00 million: Three-month LIBOR + 2.20%

  Refinanced notes

  Class A-R, $236.65 million: Three-month LIBOR + 1.25%
  Class B-R, $51.00 million: Three-month LIBOR + 1.75%
  Class C-1-R, $19.47 million: Three-month LIBOR + 2.30%
  Class C-2-R, $10.53 million: 4.4760%

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

  Mountain View CLO 2013-1 Ltd./Mountain View CLO 2013-1 Corp.

  Class A-RR, $236.65 million: AAA (sf)
  Class B-RR, $51.00 million: AA (sf)
  Class C-RR, $30.00 million: A (sf)

  Ratings Affirmed

  Mountain View CLO 2013-1 Ltd./Mountain View CLO 2013-1 Corp.

  Class D-R: BBB- (sf)
  Class E-R: CCC+ (sf)
  Subordinated notes: Not rated

  Ratings Withdrawn

  Mountain View CLO 2013-1 Ltd./Mountain View CLO 2013-1 Corp.

  Class A-R to NR from AAA (sf)'
  Class B-R to NR from AA (sf)'
  Class C-1-R to NR from A (sf)'
  Class C-2-R to NR from A (sf)'

  Other Outstanding Ratings

  Mountain View CLO 2013-1 Ltd./Mountain View CLO 2013-1 Corp.

  Subordinated notes: Not rated



MP CLO VII: Fitch Affirms B- Rating on Class F-RR Notes
-------------------------------------------------------
Fitch Ratings has affirmed MP CLO VII, Ltd.'s class F-RR notes at
'B-sf', and revised the Rating Outlook to Stable from Negative. The
rating action is based on stable asset performance and the updated
cash flow analysis.

     DEBT             RATING          PRIOR
     ----             ------          -----
MP CLO VII, Ltd. (f/k/a ACAS CLO 2015-1, Ltd.)

F-RR 55320TAD5   LT  B-sf  Affirmed   B-sf

TRANSACTION SUMMARY

MP CLO VII is a broadly syndicated collateralized loan obligation
(CLO) that is managed by MP CLO Management LLC. The transaction
originally closed in May 2015 and was reset in Sep 2018. The
transaction exited its reinvestment period in October 2020 and
refinanced its senior most tranche on June 22, 2021 (second
refinancing date).

KEY RATING DRIVERS

STABLE CREDIT QUALITY AND SECOND REFINANCING

The rating actions reflect the stable collateral performance in
credit quality since the last review in August 2020. The
portfolio's credit quality is at 'B'/'B-', and WARF has improved to
35.2 from 37.1. There are no defaults in the portfolio and exposure
to assets considered 'CCC' or lower by Fitch (excluding non-rated
assets) has decreased to 8.5% from 12.0%. In addition, issuers with
a Fitch-derived rating with a Negative Rating Outlook decreased to
23% from 37% since last review.

The CLO also issued the class A-R3 notes on the second refinancing
date and applied net issuance proceeds to redeem the previously
outstanding class A-RR notes at par (plus accrued interest). Fitch
views the reduction in the stated spread to 0.89% from 1.08% as a
credit positive for the transaction.

CASH FLOW ANALYSIS

Loss rates projected for the class F-RR notes continue to exceed
the loss rates projected from the Fitch Stressed Portfolio at the
initial rating analysis, which continues to serve as a proxy for
the transaction's analysis. Fitch used a proprietary cash flow
model (CFM) to replicate the principal and interest waterfalls of
MP CLO VII. The transaction was modelled under nine stress
scenarios to account for the different combinations of three
default timing and three interest rate stresses as outlined in
Fitch's criteria.

In the analysis of the current portfolio, the class F-RR notes
passed the 'B-sf' rating hurdle in six out of nine scenarios, and
experienced shortfalls in the three rising interest rate scenarios,
producing a model-implied rating (MIR) of 'CCCsf'. However, Fitch
gave less weight to the rising interest rate scenarios and affirmed
the class F-R notes at 'B-sf' , which were in line with the
modeling results from the remaining six scenarios.

NEGATIVE OUTLOOK SENSITIVITY SCENARIO

Fitch also performed an additional sensitivity scenario to
determine the notes' resilience to potential near-term rating
volatility. In the scenario, ratings for half of the current
issuers with a Fitch-derived rating with a Negative Outlook were
lowered one notch with a floor of 'CCC-'. Similar to the results
using standard assumptions, the class F-RR notes experienced
shortfalls in the three rising interest rate scenarios in the
'B-sf' rating stress, producing an MIR below 'CCCsf'. Fitch gave
less weight to the rising interest rate scenarios, and modeling
results in the remaining six scenarios were in line with the 'Bsf'
category. As a result, Fitch revised the Rating Outlook to Stable
from Negative.

ASSET SECURITY AND PORTFOLIO COMPOSITION

The portfolio consists of 97.6% first lien senior secured loans,
and weighted average recovery rate (WARR) of the portfolio is
74.5%. The portfolio is composed of 184 obligors and the top 10
obligors comprise 11.4% of the portfolio.

Fitch does not view portfolio management as a key rating driver, as
the CLO exited its reinvestment period, and reinvestment is
expected to be more limited in the remaining life of transaction.

RATING SENSITIVITIES

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

-- A 25% reduction of the mean default rate across all ratings,
    along with a 25% increase of the recovery rate at all rating
    levels, would lead to upgrades (based on model-implied
    ratings) of five notches for the class F-RR notes.

-- Upgrades may occur in the event of a better-than-expected
    portfolio credit quality and deal performance, leading to
    higher CE note levels and excess spread available to cover for
    losses on the remaining portfolio.

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

-- A 25% increase in the mean default rate across all ratings,
    along with a 25% decrease of the recovery rate at all rating
    levels, would lead to downgrades (based on model-implied
    ratings) of more than one rating category for the class F-RR
    notes.

-- Downgrades may occur if realized and projected losses of the
    portfolio are higher than currently expected and the notes' CE
    does not compensate for the worse loss expectation.

BEST/WORST CASE RATING SCENARIO

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

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.

Overall, Fitch's assessment of the asset pool information relied
upon for the agency's rating analysis according to its applicable
rating methodologies indicates that it is adequately reliable.


OAKTREE CLO 2021-1: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Oaktree CLO
2021-1 Ltd./Oaktree CLO 2021-1 LLC's floating-rate notes.

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

The preliminary ratings are based on information as of July 7,
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

  Oaktree CLO 2021-1 Ltd./Oaktree CLO 2021-1 LLC

  Class A-1, $252.00: AAA (sf)
  Class A-2, $8.00: AAA (sf)
  Class B, $44.00: AA (sf)
  Class C (deferrable), $24.00: A (sf)
  Class D (deferrable), $24.00: BBB- (sf)
  Class E (deferrable), $15.00: BB- (sf)
  Class F (deferrable), $5.00: B- (sf)
  Subordinated notes, $35.30: Not rated



OCP CLO 2019-17: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from OCP CLO
2019-17 Ltd./OCP CLO 2019-17 LLC, a CLO originally issued in July
2019 that is managed by Onex Credit Partners LLC. The original
class X will be unchanged and continue to be paid down using
interest proceeds

The preliminary ratings are based on information as of July 1,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the July 20, 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, assign ratings to the replacement notes, and affirm
our rating on the class X 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-1-R, A-2-R, B-R, C-R, D-R, and E-R
notes are expected to be issued at a lower spread over three-month
LIBOR than the original notes.

-- The existing class C-1 and C-2 notes are being combined into a
single class, C-R. The existing class C-1 and C-2 notes paid a
floating spread and a fixed coupon, respectively. The replacement
class C-R notes are expected to be issued at a floating spread.
-- The existing class A-2A and A-2B notes are being split between
two replacement classes, A-1-R and A-2-R.

-- The non-call period and weighted average life test date will be
extended by one year.

-- The transaction allows for purchase of bonds that is capped at
5% of the collateral principal amount.

-- The transaction will add the ability to purchase
workout-related assets.

-- The class X notes are not being refinanced but will be paid
down using interest proceeds over the next two periods ending with
the payment date in January 2022.

-- Of the identified underlying collateral obligations, 100.00%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 97.34%
have recovery ratings assigned by S&P Global Ratings.

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

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

  Preliminary Ratings Assigned

  OCP CLO 2019-17 Ltd./OCP CLO 2019-17 LLC

  Class A-1-R, $320 million: AAA (sf)
  Class A-2-R, $5 million: AA+ (sf)
  Class B-R, $55 million: AA (sf)
  Class C-R (deferrable), $30 million: A (sf)
  Class D-R (deferrable), $30 million: BBB- (sf)
  Class E-R (deferrable), $20 million: BB- (sf)



OHA CREDIT 3: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-R, B-R,
C-R, D-R, and E-R replacement notes from OHA Credit Funding 3
Ltd./OHA Credit Funding 3 LLC, a CLO originally issued July 2,
2019, that is managed by Oak Hill Advisors L.P. At the same time,
S&P withdrew the ratings on the original class X, A-1, A-2, B-1,
B-2, C, D, E-1, and E-2 notes following payment in full on the July
2, 2021 refinancing date.

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

-- The non-call period was extended by approximately two years to
July 2, 2023.

-- The reinvestment period was extended approximately two years to
July 2, 2026.

-- The legal final maturity dates (for the replacement notes and
the existing subordinated notes) were extended by approximately
three years to July 2, 2035.

-- The weighted average life test was extended to 9.75 years from
the refinancing date.

-- No additional assets were purchased on the first refinancing
date, and the target initial par amount will remain at $700
million. There will not be an additional effective date or ramp-up
period, and the first payment date following the refinancing is
Oct. 20, 2021.

-- The class X-R notes were issued on the refinancing date and are
expected to be paid down using interest proceeds during the first
eight payment dates in equal installments of $187,500 beginning on
the first payment date and ending July 20, 2023.

-- The required minimum overcollateralization and interest
coverage ratios were amended.

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

-- The transaction added the ability to purchase workout-related
assets. The transaction has adopted benchmark replacement language
and made updates to conform to current rating agency methodology.

-- The original indenture was discharged, and a new indenture was
put in place on the refinancing date.

  Replacement And Original Note Issuances

  Replacement notes

  Class X-R, $1.50 million: Three-month LIBOR + 0.60%
  Class A-R, $434.00 million: Three-month LIBOR + 1.14%
  Class B-R, $98.00 million: Three-month LIBOR + 1.65%
  Class C-R (deferrable), $42.00 million: Three-month LIBOR +
1.95%
  Class D-R (deferrable), $42.00 million: Three-month LIBOR +
2.90%
  Class E-R (deferrable), $26.50 million: Three-month LIBOR +
6.25%

  Subordinated notes, $64.50 million: Not applicable

  Original notes

  Class X, $0.86 million: Three-month LIBOR + 0.65%
  Class A-1, $427.00 million: Three-month LIBOR + 1.32%
  Class A-2, $24.50 million: Three-month LIBOR + 1.65%
  Class B-1, $63.00 million: Three-month LIBOR + 1.80%
  Class B-2, $17.50 million: 4.06%
  Class C (deferrable), $42.00 million: Three-month LIBOR + 2.45%
  Class D (deferrable), $38.50 million: Three-month LIBOR + 3.55%
  Class E-1 (deferrable), $14.00 million: Three-month LIBOR +
5.00%
  Class E-2 (deferrable), $14.00 million: Three-month LIBOR +
5.50%
  Subordinated notes, $64.50 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. 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

  OHA Credit Funding 3 Ltd./OHA Credit Funding 3 LLC

  Class X-R, $1.50 million: AAA (sf)
  Class A-R, $434.00 million: AAA (sf)
  Class B-R, $98.00 million: AA (sf)
  Class C-R (deferrable), $42.00 million: A (sf)
  Class D-R (deferrable), $42.00 million: BBB- (sf)
  Class E-R (deferrable), $26.50 million: BB- (sf)
  Subordinated notes, $64.50 million: NR

  Ratings Withdrawn

  OHA Credit Funding 3 Ltd./OHA Credit Funding 3 LLC

  Class X: to NR from 'AAA (sf)'
  Class A-1: to NR from 'AAA (sf)'
  Class B-1: to NR from 'AA (sf)'
  Class B-2: to NR from 'AA (sf)'
  Class C (deferrable): to NR from 'A (sf)'
  Class D (deferrable): to NR from 'BBB- (sf)'
  Class E-1 (deferrable): to NR from 'BB- (sf)'
  Class E-2 (deferrable): to NR from 'BB- (sf)'

  NR--Not rated.



POINT AU ROCHE: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Point Au Roche Park CLO
Ltd./Point Au Roche Park CLO LLC 's floating- and fixed-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 CLO Management LLC.

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  Point Au Roche Park CLO Ltd./Point Au Roche Park CLO LLC

  Class A, $279.00 million: AAA (sf)
  Class B-1, $57.00 million: AA (sf)
  Class B-2, $6.00 million: AA (sf)
  Class C (deferrable), $27.00 million: A (sf)
  Class D (deferrable), $27.00 million: BBB- (sf)
  Class E (deferrable), $18.00 million: BB- (sf)
  Subordinated notes, $43.33 million: Not rated


RATE MORTGAGE 2021-J1: Fitch Affirms B Rating on B-5 Certs
----------------------------------------------------------
Fitch Ratings rates the residential mortgage-backed certificates
issued by RATE Mortgage Trust 2021-J1 (RATE 2021-J1).

DEBT             RATING             PRIOR
----             ------             -----
RATE 2021-J1

A-1       LT  AAAsf  New Rating   AAA(EXP)sf
A-10      LT  AAAsf  New Rating   AAA(EXP)sf
A-11      LT  AAAsf  New Rating   AAA(EXP)sf
A-12      LT  AAAsf  New Rating   AAA(EXP)sf
A-13      LT  AAAsf  New Rating   AAA(EXP)sf
A-14      LT  AAAsf  New Rating   AAA(EXP)sf
A-15      LT  AAAsf  New Rating   AAA(EXP)sf
A-16      LT  AAAsf  New Rating   AAA(EXP)sf
A-17      LT  AAAsf  New Rating   AAA(EXP)sf
A-18      LT  AAAsf  New Rating   AAA(EXP)sf
A-19      LT  AAAsf  New Rating   AAA(EXP)sf
A-2       LT  AAAsf  New Rating   AAA(EXP)sf
A-20      LT  AAAsf  New Rating   AAA(EXP)sf
A-21      LT  AAAsf  New Rating   AAA(EXP)sf
A-22      LT  AAAsf  New Rating   AAA(EXP)sf
A-23      LT  AAAsf  New Rating   AAA(EXP)sf
A-24      LT  AAAsf  New Rating   AAA(EXP)sf
A-25      LT  AAAsf  New Rating   AAA(EXP)sf
A-26      LT  AAAsf  New Rating   AAA(EXP)sf
A-27      LT  AAAsf  New Rating   AAA(EXP)sf
A-28      LT  AAAsf  New Rating   AAA(EXP)sf
A-29      LT  AAAsf  New Rating   AAA(EXP)sf
A-3       LT  AAAsf  New Rating   AAA(EXP)sf
A-30      LT  AAAsf  New Rating   AAA(EXP)sf
A-31      LT  AAAsf  New Rating   AAA(EXP)sf
A-32      LT  AAAsf  New Rating   AAA(EXP)sf
A-33      LT  AAAsf  New Rating   AAA(EXP)sf
A-34      LT  AAAsf  New Rating   AAA(EXP)sf
A-35      LT  AAAsf  New Rating   AAA(EXP)sf
A-36      LT  AAAsf  New Rating   AAA(EXP)sf
A-4       LT  AAAsf  New Rating   AAA(EXP)sf
A-5       LT  AAAsf  New Rating   AAA(EXP)sf
A-6       LT  AAAsf  New Rating   AAA(EXP)sf
A-7       LT  AAAsf  New Rating   AAA(EXP)sf
A-8       LT  AAAsf  New Rating   AAA(EXP)sf
A-9       LT  AAAsf  New Rating   AAA(EXP)sf
A-X-1     LT  AAAsf  New Rating   AAA(EXP)sf
A-X-10    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-11    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-12    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-13    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-14    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-15    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-16    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-17    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-18    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-19    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-2     LT  AAAsf  New Rating   AAA(EXP)sf
A-X-20    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-21    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-22    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-23    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-24    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-25    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-26    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-27    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-28    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-29    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-3     LT  AAAsf  New Rating   AAA(EXP)sf
A-X-30    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-31    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-32    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-33    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-34    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-35    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-36    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-37    LT  AAAsf  New Rating   AAA(EXP)sf
A-X-4     LT  AAAsf  New Rating   AAA(EXP)sf
A-X-5     LT  AAAsf  New Rating   AAA(EXP)sf
A-X-6     LT  AAAsf  New Rating   AAA(EXP)sf
A-X-7     LT  AAAsf  New Rating   AAA(EXP)sf
A-X-8     LT  AAAsf  New Rating   AAA(EXP)sf
A-X-9     LT  AAAsf  New Rating   AAA(EXP)sf
A-X-S     LT  NRsf   New Rating   NR(EXP)sf
B-1       LT  AAsf   New Rating   AA(EXP)sf
B-1A      LT  AAsf   New Rating   AA(EXP)sf
B-2       LT  Asf    New Rating   A(EXP)sf
B-2A      LT  Asf    New Rating   A(EXP)sf
B-3       LT  BBBsf  New Rating   BBB(EXP)sf
B-4       LT  BBsf   New Rating   BB(EXP)sf
B-5       LT  Bsf    New Rating   B(EXP)sf
B-6       LT  NRsf   New Rating   NR(EXP)sf
B-X-1     LT  AAsf   New Rating   AA(EXP)sf
B-X-2     LT  Asf    New Rating   A(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 417 loans with a total balance of
approximately $369 million as of the cutoff date. The pool consists
of prime fixed-rate mortgages originated by Guaranteed Rate, Inc.
Distributions of principal and interest and loss allocations are
based on a senior-subordinate, shifting-interest structure.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists of
417 loans, totaling $369 million, and seasoned approximately three
months in the aggregate (calculated as the difference between
origination date and first pay date). The borrowers have a strong
credit profile (784 FICO and 31% DTI) and low leverage (76%
sustainable loan to value [sLTV]). The pool consists of 93.4% of
loans where the borrower maintains a primary residence, while 6.6%
comprise a second home or loans made to non-permanent resident
aliens treated as investment properties. Additionally, 100% of the
loans were originated through a retail channel and 100% are
designated as safe harbor qualified mortgage (QM).

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature for loans more than 120 days delinquent (a
stop-advance loan). Unpaid interest on stop-advance loans reduces
the amount of interest that is contractually due to bondholders in
reverse-sequential order. While this feature helps limit cash flow
leakage to subordinate bonds, it can result in interest reductions
to rated bonds in high-stress scenarios. A key difference with this
transaction, compared with other programs that treat stop-advance
loans similarly, is that liquidation proceeds are allocated to
interest before principal. As a result, Fitch included the full
interest carry in its loss projections and views the risk of
permanent interest reductions as lower than other programs with a
similar feature.

Low Operational Risk (Positive): Operational risk is well
controlled for in this transaction. Guaranteed Rate is assessed as
an 'Average' originator and is contributing all of the loans to the
pool. The originator has a robust origination strategy and
maintains experienced senior management and staff, strong risk
management and corporate governance controls, and a robust due
diligence process. Primary servicing functions will be performed by
Service Mac. Fitch conducted an abbreviated review and determined
the servicer meets the industry standards necessary to effectively
subservice mortgage loans.

Credit Enhancement Floor (Positive): To mitigate tail risk, which
arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 1.00% of the original balance will be
maintained for the subordinate classes. The floor is sufficient to
protect against the five largest loans defaulting at Fitch's
'AAAsf' average loss severity of 46%.

Updated Economic Risk Factor (Positive): Consistent with the
Additional Scenario Analysis section of Fitch's "U.S. RMBS
Coronavirus-Related Analytical Assumptions" criteria, Fitch will
consider applying an additional scenario analysis based on stressed
assumptions as described in the section to remain consistent with
significant revisions to its macroeconomic baseline scenario or if
actual performance data indicate the current assumptions require
reconsideration. In response to revisions to Fitch's macroeconomic
baseline scenario, observed actual performance data, and the
unexpected development in the health crisis arising from the
advancement and availability of coronavirus vaccines, Fitch
reconsidered the application of the coronavirus-related Economic
Risk Factor (ERF) floors of 2.0 and used ERF floors of 1.5 and 1.0
for the 'BBsf' and 'Bsf' rating stresses, respectively.

Fitch's "Global Economic Outlook - March 2021" and related baseline
economic scenario forecasts have been revised to 6.2% U.S. GDP
growth for 2021 and 3.3% for 2022 following the negative 3.5% GDP
rate in 2020. Additionally, Fitch's U.S. unemployment forecasts for
2021 and 2022 are 5.8% and 4.7%, respectively, down from 8.1% in
2020. These revised forecasts support Fitch reverting to the 1.5
and 1.0 ERF floors described in its "U.S. RMBS Loan Loss Model
Criteria."

RATING SENSITIVITIES

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 39.3% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Recovco. The third-party due diligence described in
Form 15E focused on a credit, compliance and property valuation
review. Fitch considered this information in its analysis and, as a
result, Fitch made the following adjustment(s) to its analysis: a
5% default reduction at the loan level. This adjustment resulted in
a 18bps reduction to the 'AAAsf' expected loss.

DATA ADEQUACY

In conducting its analysis, Fitch relied on an independent
third-party due diligence review performed on 100% of the pool. The
third-party due diligence was consistent with Fitch's "U.S. RMBS
Rating Criteria." Recovco engaged to perform the review. Loans
reviewed under this engagement were given compliance, credit and
valuation grades and assigned initial grades for each subcategory.
Minimal exceptions and waivers were noted in the due diligence
reports. Refer to the Third-Party Due Diligence section of the
presale report for further details.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5-designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others, to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.

ESG CONSIDERATIONS

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.



RATE MORTGAGE 2021-J1: Moody's Assigns B3 Rating to Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 82
classes of residential mortgage-backed securities issued by RATE
Mortgage Trust 2021-J1. The ratings range from Aaa (sf) to B3
(sf).

RATE 2021-J1 is the first issue from Guaranteed Rate, Inc.
(Guaranteed Rate or GRI), the sponsor of the transaction. RATE
2021-J1 is a securitization of first-lien prime jumbo and agency
eligible mortgage loans. Since Moody's assigned provisional ratings
on the securities, four mortgage loans have been removed from the
pool due to third-party review (TPR) considerations, which had no
impact on Moody's ratings.

The transaction is backed by 319 (81.8% by unpaid principal
balance) and 98 (18.2% by unpaid principal balance) 30-year fixed
rate prime jumbo and agency eligible mortgage loans, respectively,
with an aggregate stated principal balance of $368,784,920. All the
loans in the pool are originated by Guaranteed Rate. Borrowers of
the mortgage loans backing this transaction have strong credit
profiles demonstrated by strong credit scores and low loan-to-value
(LTV) ratios. No borrower under any mortgage loan is currently in
an active COVID-19 related forbearance plan with the servicer. All
mortgage loans are current as of the cut-off date.

Similar to the recently rated RCKT Mortgage Trust 2021-1 and RCKT
2021-2 transactions, RATE 2021-J1 contains a structural deal
mechanism according to which the servicing administrator will not
advance principal and interest (P&I) to mortgage loans that are 120
days or more delinquent. Here, the servicing administrator will be
responsible for funding any advance of delinquent monthly payments
of principal and interest due but not received by the servicer on
the mortgage loans. The sponsor and the servicing administrator are
the same party, GRI.

One TPR firm verified the accuracy of the loan level information
that Moody's received from the sponsor. This firm conducted
detailed credit, property valuation, data accuracy and compliance
reviews on 417 mortgage loans in the collateral pool. ServiceMac,
LLC (ServiceMac) will service all of the Mortgage Loans as of the
Cut-off Date. Wells Fargo Bank, N.A. (Wells Fargo) will be the
master servicer. Moody's consider the presence of a strong master
servicer to be a mitigant against the risk of any servicing
disruptions.

The transaction has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow for each of the
certificate classes using Moody's proprietary cash flow tool.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model.

The complete rating actions are as follows:

Issuer: RATE Mortgage Trust 2021-J1

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aaa (sf)

Cl. A-4, Assigned Aaa (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

Cl. A-8, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. A-11, Assigned Aaa (sf)

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aaa (sf)

Cl. A-15, Assigned Aaa (sf)

Cl. A-16, Assigned Aaa (sf)

Cl. A-17, Assigned Aaa (sf)

Cl. A-18, Assigned Aaa (sf)

Cl. A-19, Assigned Aaa (sf)

Cl. A-20, Assigned Aaa (sf)

Cl. A-21, Assigned Aaa (sf)

Cl. A-22, Assigned Aaa (sf)

Cl. A-23, Assigned Aaa (sf)

Cl. A-24, Assigned Aaa (sf)

Cl. A-25, Assigned Aaa (sf)

Cl. A-26, Assigned Aaa (sf)

Cl. A-27, Assigned Aaa (sf)

Cl. A-28, Assigned Aaa (sf)

Cl. A-29, Assigned Aaa (sf)

Cl. A-30, Assigned Aaa (sf)

Cl. A-31, Assigned Aa1 (sf)

Cl. A-32, Assigned Aa1 (sf)

Cl. A-33, Assigned Aa1 (sf)

Cl. A-34, Assigned Aaa (sf)

Cl. A-35, Assigned Aaa (sf)

Cl. A-36, Assigned Aaa (sf)

Cl. A-X-1*, Assigned Aaa (sf)

Cl. A-X-2*, Assigned Aaa (sf)

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

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

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

Cl. A-X-6*, Assigned Aaa (sf)

Cl. A-X-7*, Assigned Aaa (sf)

Cl. A-X-8*, Assigned Aaa (sf)

Cl. A-X-9*, Assigned Aaa (sf)

Cl. A-X-10*, Assigned Aaa (sf)

Cl. A-X-11*, Assigned Aaa (sf)

Cl. A-X-12*, Assigned Aaa (sf)

Cl. A-X-13*, Assigned Aaa (sf)

Cl. A-X-14*, Assigned Aaa (sf)

Cl. A-X-15*, Assigned Aaa (sf)

Cl. A-X-16*, Assigned Aaa (sf)

Cl. A-X-17*, Assigned Aaa (sf)

Cl. A-X-18*, Assigned Aaa (sf)

Cl. A-X-19*, Assigned Aaa (sf)

Cl. A-X-20*, Assigned Aaa (sf)

Cl. A-X-21*, Assigned Aaa (sf)

Cl. A-X-22*, Assigned Aaa (sf)

Cl. A-X-23*, Assigned Aaa (sf)

Cl. A-X-24*, Assigned Aaa (sf)

Cl. A-X-25*, Assigned Aaa (sf)

Cl. A-X-26*, Assigned Aaa (sf)

Cl. A-X-27*, Assigned Aaa (sf)

Cl. A-X-28*, Assigned Aaa (sf)

Cl. A-X-29*, Assigned Aaa (sf)

Cl. A-X-30*, Assigned Aaa (sf)

Cl. A-X-31*, Assigned Aaa (sf)

Cl. A-X-32*, Assigned Aa1 (sf)

Cl. A-X-33*, Assigned Aa1 (sf)

Cl. A-X-34*, Assigned Aa1 (sf)

Cl. A-X-35*, Assigned Aaa (sf)

Cl. A-X-36*, Assigned Aaa (sf)

Cl. A-X-37*, Assigned Aaa (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-1A, Assigned Aa3 (sf)

Cl. B-X-1*, Assigned Aa3 (sf)

Cl. B-2, Assigned A3 (sf)

Cl. B-2A, Assigned A3 (sf)

Cl. B-X-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-mean is
0.23%, in a baseline scenario-median is 0.10%, and reaches 2.72% at
a stress level consistent with Moody's Aaa ratings.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans 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 increased its model-derived median expected losses by
10.00% (6.04% for the mean) and Moody's Aaa loss by 2.50% to
reflect the likely performance deterioration resulting from the
slowdown in US economic activity due to the coronavirus outbreak.
These adjustments are lower than the 15% median expected loss and
5% Aaa loss adjustments Moody's made on pools from deals issued
after the onset of the pandemic until February 2021. Moody's
reduced adjustments reflect the fact that the loan pool in this
deal does not contain any loans to borrowers who are not currently
making payments. For newly originated mortgage loans, post-COVID
underwriting takes into account the impact of the pandemic on a
borrower's ability to repay the mortgage. For seasoned mortgage
loans, as time passes, the likelihood that borrowers who have
continued to make payments throughout the pandemic will now become
non-cash flowing due to COVID-19 continues to decline.

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

Moody's base its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's assessments of the origination quality and servicing
arrangement, the strength of the TPR and the representations and
warranties (R&W) framework, and the transaction's legal structure
and documentation.

Collateral Description

In general, the borrowers have high FICO scores, high income,
significant liquid assets and a stable employment history, all of
which have been verified as part of the underwriting process and
reviewed by the TPR firm. All the loans were originated through the
retail channel. The borrowers have a high weighted average total
monthly income of $27,306, significant weighted average liquid cash
reserves of $294,220 (approximately 63.2% of the pool, by unpaid
principal balance, has more than 24 months of mortgage payments in
reserve), and sizeable equity in their properties (weighted average
LTV of 70.9%, CLTV of 71.2%). The pool has approximately one month
of seasoning as of June 1, 2021, and all loans have been current
since origination. All of the mortgages loans in RATE 2021-J1 are
qualified mortgages (QM) meeting the requirements of the safe
harbor provision under the QM rule.

Origination Quality

Guaranteed Rate has originated 100% of the loan pool. Moody's
consider Guaranteed Rate to be an acceptable originator of agency
eligible and prime jumbo loans following a detailed review of its
underwriting guidelines, quality control processes, policies and
procedures, technology infrastructure, disaster recovery plan, and
historical performance information relative to its peers.

Therefore, Moody's did not apply a separate adjustment for
origination quality.

Founded in 2000 by Victor Ciardelli, Guaranteed Rate is the largest
non-bank jumbo mortgage originator in the U.S. and 3rd largest
retail originator overall (as of Q1 2021). Headquartered in
Chicago, the company has approximately 350+ branch offices across
the U.S. and is licensed in all 50 states and Washington, D.C. The
company employs over 6,500 employees nationwide. In 2020 Guaranteed
Rate funded nearly $74B in total loan volume ($9B from jumbo
loans), up 100% from 2019. The company invests heavily in
technology. Guaranteed Rate originates primarily through its retail
channels and focuses primarily on purchase, agency eligible loans.
The company is an approved Ginnie Mae, Fannie Mae, and Freddie Mac
lender.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate. ServiceMac has the necessary processes, staff,
technology and overall infrastructure in place to effectively
service a transaction. Wells Fargo is responsible for servicer
oversight, the termination of servicers and the appointment of
successor servicers. Moody's consider the presence of an
experienced master servicer such as Wells Fargo to be a mitigant
for any servicing disruptions. Wells Fargo has been engaged in the
business of master servicing for over 20 years. As a result,
Moody's did not make any adjustments to Moody's base case and Aaa
stress loss assumptions based on the servicing arrangement.

Third-Party Review

The transaction benefits from a TPR on 100% of the loans for
regulatory compliance, credit and property valuation. The due
diligence results confirm compliance with the originator's
underwriting guidelines for the vast majority of loans, no material
regulatory compliance issues, and no material property valuation
issues. The loans that had exceptions to the originator's
underwriting guidelines had significant compensating factors that
were documented.

Since Moody's assigned provisional ratings on the securities, four
mortgage loans have been removed from the pool for the following
reasons: (1) a secondary valuation for an appraisal was still
pending receipt as the value was not supported, (2) incorrect
appraisal type noted, (3) missing complete appraisal desk review
information, and (4) title issues noted during the review. As a
result, as of the cut-off date, the number of mortgage loans
included in the securitization is now 417 instead of 421.

Representations & Warranties

Moody's evaluate the R&W framework based on three factors: (a) the
financial strength of the remedy provider; (b) the strength of the
R&Ws (including qualifiers and sunsets) and (c) the effectiveness
of the enforcement mechanisms. Moody's evaluated the impact of
these factors collectively on the ratings in conjunction with the
transaction's specific details and in some cases, the strengths of
some of the factors can mitigate weaknesses in others. Moody's also
considered the R&W framework in conjunction with other transaction
features, such as the independent due diligence, custodial receipt,
and property valuations, as well as any sponsor alignment of
interest, to evaluate the overall exposure to loan defects and
inaccurate information. Overall, Moody's consider the R&W framework
for this transaction to be adequate, generally consistent with that
of other prime jumbo transactions which Moody's rated. However,
Moody's applied an adjustment to Moody's losses to account for the
risk that the R&W provider (unrated) may be unable to repurchase
defective loans in a stressed economic environment

Transaction Structure

RATE 2021-J1 has one pool with a shifting interest structure that
benefits from a subordination 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.

Similar to the recently rated RCKT Mortgage Trust 2021-1 and RCKT
2021-2 transactions, RATE 2021-J1 contains a structural deal
mechanism according to which the servicing administrator will not
advance principal and interest to loans that are 120 days or more
delinquent. Although this feature lowers the risk of high advances
that may negatively affect the recoveries on liquidated loans, the
reduction in interest distribution amount is credit negative to the
subordinate certificates.

The balance and the interest accrued on these "Stop Advance
Mortgage Loans (SAML)" will be removed from the calculation of the
principal and interest distribution amounts with respect to the
seniors and subordinate bonds. The interest distribution amount
will be reduced by the interest accrued on the SAML loans. This
reduction will be allocated first to the subordinate certificates
and then to the senior certificates in the reverse order of payment
priority. In the case of the senior certificates, such reduction in
distribution amounts, are allocated (i) first to the senior support
and (ii) then to the super senior classes, on a pro rata basis.

Once a SAML is liquidated, the net recovery from that loan's
liquidation is included in available funds and thus follows the
transaction's priority of payment. However, the reimbursement of
stop advance shortfalls happens only after liquidation or curing of
SAML. As a result, higher delinquencies could lead to higher
shortfalls especially for the subordinate bonds as compared to a
transaction without the stop advance feature.

While the transaction is backed by collateral with strong credit
characteristics, Moody's considered scenarios in which the
delinquency pipeline rises, especially due to the current
coronavirus environment, and results in higher shortfalls for the
certificates outstanding. In Moody's analysis, Moody's have
considered the additional interest shortfall that the certificates
may incur due to the transaction's stop-advance feature.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.00% of the cut-off date pool
balance, and as subordination lock-out amount of 1.00% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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.


SG RESIDENTIAL 2021-1: Fitch Assigns Final B Rating on B-2 Debt
---------------------------------------------------------------
Fitch Ratings has assigned final ratings to SG Residential Mortgage
Trust 2021-1 (SGR 2021-1).

DEBT           RATING              PRIOR
----           ------              -----
SGR 2021-1

A-1      LT  AAAsf  New Rating   AAA(EXP)sf
A-2      LT  AAsf   New Rating   AA(EXP)sf
A-3      LT  Asf    New Rating   A(EXP)sf
M-1      LT  BBBsf  New Rating   BBB(EXP)sf
B-1      LT  BBsf   New Rating   BB(EXP)sf
B-2      LT  Bsf    New Rating   B(EXP)sf
B-3      LT  NRsf   New Rating   NR(EXP)sf
A-IO-S   LT  NRsf   New Rating   NR(EXP)sf

TRANSACTION SUMMARY

Fitch has rated the residential mortgage-backed certificates to be
issued by SG Residential Mortgage Trust 2021-1, Mortgage-Backed
Certificates, Series 2021-1 (SGR 2021-1) as indicated above. The
certificates are supported by 263 loans with a balance of $200.95
million as of the cutoff date. This will be the second Fitch-rated
transaction issued by SG Capital Partners.

The certificates are secured mainly by non-qualified mortgages
(Non-QM) as defined by the Ability to Repay (ATR) rule. Of the
loans in the pool 98% were originated by SG Capital Partners LLC
d/b/a ClearEdge Lending (ClearEdge Lending). A small portion (2%)
was originated by a third-party that will not be named. All the
loans were originated to SG Capital or ClearEdge Lending
underwriting guidelines. Select Portfolio Servicing (SPS) will be
the primary servicer, and Nationstar Mortgage LLC will be the
master servicer for the transaction.

Of the pool, 73.5% comprises loans designated as Non-QM, 0.2% are
Safe-Harbor QM (SHQM) and the remaining 26.3% are investment
properties not subject to ATR.

There is no Libor exposure in this transaction as the interest
rates on the adjustable rate underlying loans are based on 30-day
SOFR and the bonds are either fixed rate and capped at the net
weighted average coupon (WAC) rate or are based on the net WAC
rate.

Since the presale report was published, there were some minor
changes to the loan tape, which did not have a material impact on
Fitch's loss expectations. In addition, the transaction priced and
as a result of coupons pricing wider than assumed, the M-1 class
failed the 'BBB' backloaded benchmark scenario by 0.06% (recovered
99.84% in this scenario). Per Fitch's cash flow criteria, a class
does not have to pass all six of Fitch's cash flow scenarios in
order to be assigned that rating. Since the backloaded benchmark
scenario is a very stressful scenario that is not likely to occur
and the M-1 class failed by only 0.06%, the committee was
comfortable assigning a 'BBBsf' rating to the class M-1.

KEY RATING DRIVERS

Near Prime Credit Quality (Mixed): The collateral consists of 263
loans, totaling $200.95 million, and seasoned approximately four
months in aggregate according to Fitch. The borrowers have a
relatively strong credit profile of 745 FICO and 42% debt-to-income
(DTI) and moderate leverage (76% sustainable loan-to-value [sLTV]),
as determined by Fitch. The pool consists of 69.7% of loans where
the borrower maintains a primary residence, while 30.3% of the
loans comprise an investor property or second home. All of the
loans in the pool were originated through a broker channel, and
73.5% of the loans in the pool are designated as Non-QM loans. In
addition, the pool is concentrated with some large loans (70 are
over $1 million and the largest is $2.99 million).

Although the credit quality of the borrowers is higher than
historical non-prime transactions, the pool characteristics
resemble non-prime collateral, and therefore, the pool was analyzed
using Fitch's non-prime model.

Geographic and Loan Count Concentration (Negative): Approximately
75% of the pool is concentrated in California with moderate MSA
concentration. The largest MSA concentration is in Los Angeles MSA
(38.5%) followed by the San Francisco MSA (12.1%) and the Miami MSA
(11.3%). The top three MSAs account for 61.9% of the pool. As a
result, there was a 1.21x adjustment for geographic concentration
resulting in a 1.76% penalty at 'AAAsf'.

The pool contains 263 loans with a weighted average (WA) count of
162. As a result, a 2.20% penalty was added to the 'AAAsf' loss to
account for loan concentration.

Loan Documentation and Investor Loans (Negative): Approximately
89.1% of the pool was underwritten to less than full documentation,
as determined by Fitch. Of the loans, 64.1% were underwritten to a
12-month bank statement program for verifying income, which is not
consistent with Appendix Q standards and Fitch's view of a full
documentation program. Additionally, 5.5% comprise an asset
depletion product and 18.1%, a debt service coverage ratio (DSCR)
product.

Of the pool, 26.3% comprises investment properties, as determined
by Fitch. Specifically, 8.2% of loans were underwritten using the
borrower's credit profile, while the remaining 18.1% were
originated through the originators' investor cash flow program that
targets real estate investors qualified on a DSCR basis. Fitch
increased the probability of default (PD) by approximately 2.0x for
the cash flow ratio loans (relative to a traditional income
documentation investor loan) to account for the increased risk.

Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes,
while shutting out the subordinate bonds from principal until all
three classes are reduced to zero. To the extent that either the
cumulative loss trigger event or the delinquency trigger event
occurs in a given period, principal will be distributed
sequentially to the class A-1, A-2 and A-3 bonds until they are
reduced to zero.

Macro or Sector Risks (Positive): Consistent with the Additional
Scenario Analysis section of Fitch's "U.S. RMBS Coronavirus-Related
Analytical Assumptions" criteria, Fitch will consider applying
additional scenario analysis based on stressed assumptions as
described in the section to remain consistent with significant
revisions to Fitch's macroeconomic baseline scenario or if actual
performance data indicate the current assumptions require
reconsideration.

In response to revisions made to Fitch's macroeconomic baseline
scenario, observed actual performance data, and the unexpected
development in the health crisis arising from the advancement and
availability of COVID-19 vaccines, Fitch reconsidered the
application of the coronavirus-related ERF floors of 2.0 and used
ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses,
respectively. Fitch's "Global Economic Outlook - June 2021" and
related baseline economic scenario forecasts have been revised to
6.8% U.S. GDP growth for 2021 and 3.9% for 2022 following a 3.5%
GDP decline in 2020. Additionally, Fitch's U.S. unemployment
forecasts for 2021 and 2022 are 5.6% and 4.5%, respectively, which
is down from 8.1% in 2020. These revised forecasts support Fitch
reverting to the 1.5 and 1.0 ERF floors described in Fitch's "U.S.
RMBS Loan Loss Model Criteria."

RATING SENSITIVITIES

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

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

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

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 40.1% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Covius Real Estate Services, LLC (Covius). The
third-party due diligence described in Form 15E focused on three
areas: compliance review, credit review and valuation review. Fitch
considered this information in its analysis and, as a result, Fitch
did not make any adjustments to its analysis due to the due
diligence findings. Based on the results of the 100% due diligence
performed on the pool, the overall expected loss was reduced by
0.43%.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
Covius was engaged to perform the review. Loans reviewed under this
engagement were given compliance, credit and valuation grades, and
assigned initial grades for each subcategory. Minimal exceptions
and waivers were noted in the due diligence reports. Refer to the
Third-Party Due Diligence section for more detail.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies and no material
discrepancies were noted.

ESG CONSIDERATIONS

SGR 2021-1 has an ESG Relevance Score of '4[+]' for Transaction
Parties and Operational Risk. Operational risk is well controlled
in SGR 2021-1, including strong transaction due diligence and a
'RPS1-' Fitch-rated servicer, which resulted in a reduction in
expected losses. This has a positive impact on the credit profile
and is relevant to the ratings in conjunction with other factors.

SGR 2021-1 has an ESG Relevance Score of '4' for Exposure to
Environmental Impacts. The transaction has heightened geographic
concentration/catastrophe risk contributing to increased stressed
losses in the rating analysis. This has a negative impact on the
credit profile and is relevant to the ratings in conjunction with
other factors.

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


SIXTH STREET XIX: S&P Assigns BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Sixth Street CLO XIX
Ltd./Sixth Street CLO XIX LLC'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 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.

  Ratings Assigned

  Sixth Street CLO XIX Ltd./Sixth Street CLO XIX LLC

  Class A notes, up to $279.00 million: AAA (sf)(i)
  Class A-L loans, $142.30 million: AAA (sf)(i)
  Class B notes, $63.00 million: AA (sf)
  Class C notes, $27.00 million: A (sf)
  Class D notes, $27.00 million: BBB- (sf)
  Class E notes, $15.75 million: BB- (sf)
  Subordinated notes, $46.85 million: Not rated

(i)The class A notes can be issued up to a maximum of $279.00
million, and the class A-L loans can be up to $142.30 million. On
the closing date, the class A note balance will be $136.70 million,
and the class A-L loan balance will be $142.30 million. The class
A-L loans can be converted to class A notes. In any instance both
classes combined may not exceed a total of $279.00 million.


SLM STUDENT 2007-3: Fitch Lowers 2 Tranches to 'CCC'
----------------------------------------------------
Fitch Ratings has affirmed the outstanding notes of SLM Student
Loan Trust 2007-2 and 2012-1 and the Rating Outlooks remained
Stable. Fitch has downgraded the outstanding notes of SLM Student
Loan Trust 2007-3.

   DEBT               RATING           PRIOR
   ----               ------           -----
SLM Student Loan Trust 2012-1

A-3 78446WAC1   LT  Bsf    Affirmed    Bsf
B 78446WAD9     LT  Bsf    Affirmed    Bsf

SLM Student Loan Trust 2007-3

A-4 78443YAD8   LT  CCCsf  Downgrade   Bsf
B 78443YAE6     LT  CCCsf  Downgrade   Bsf

SLM Student Loan Trust 2007-2

A-4 78443XAD0   LT  Bsf    Affirmed    Bsf
B 78443XAE8     LT  Bsf    Affirmed    Bsf

TRANSACTION SUMMARY

Each trust has entered into a revolving credit agreement with
Navient by which it may borrow funds at maturity in order to pay
off the notes. Because Navient has the option but not the
obligation to lend to the trust, Fitch cannot give full
quantitative credit to this agreement. However, the agreement does
provide qualitative comfort that Navient is committed to limiting
investors' exposure to maturity risk.

In affirming SLM 2007-2 and 2012-1 at 'Bsf' rather than downgrading
to 'CCCsf' or below, Fitch has considered qualitative factors such
as Navient's ability to call the notes upon reaching 10% pool
factor, and the revolving credit agreement in place for the benefit
of the noteholders, and the eventual full payment of principal in
modelling.

The downgrade of the outstanding notes of 2007-3 is due to the
January 2022 legal final maturity date of the senior class, which
is slightly over six months away. The repayment of the senior class
by the legal final maturity date is unlikely under Fitch's maturity
stress scenarios without an extension of the legal final maturity
date, or without support from the sponsor as described above.

Due to the short amount of time to the legal final maturity date,
Fitch reduced its qualitative credit to the revolving credit
agreement available to the trust. However, these classes are
eventually paid in full under Fitch's base case cashflow analysis.
The downgrade to ratings assigned to the subordinate note reflects
that an event of default from not meeting the legal final maturity
date of the senior class could result in interest payments being
diverted away from the class B notes, causing them to default as
well.

KEY RATING DRIVERS

U.S. Sovereign Risk: The trust collateral is composed of 100%
Federal Family Education Loan Program (FFELP) loans, with
guaranties provided by eligible guarantors and reinsurance provided
by the U.S. Department of Education (ED) for at least 97% of
principal and accrued interest. The U.S. sovereign rating is
currently 'AAA'/Outlook Negative.

Collateral Performance: Based on transaction-specific performance
to date, Fitch assumes a cumulative default rate of 24.2%, 26.0%
and 27.2% under the base case scenario and a 72.7%, 78.0% and 81.7%
default rate under the 'AAA' credit stress scenario for SLM 2007-2,
2007-3 and 2012-1, respectively.

For SLM 2007-2, Fitch maintained its sustainable constant default
rate (sCDR) of 4.20% and its sustainable constant prepayment rate
(voluntary and involuntary prepayments; sCPR of 11.30%) in cash
flow modeling. For SLM 2007-3, Fitch maintained its sCDR of 4.20%
and its sCPR at 10.00%. For SLM 2007-3, Fitch maintained its sCDR
of 4.00% and its sCPR of 11.00%. Fitch applies the standard default
timing curve in its credit stress cash flow analysis. The claim
reject rate is assumed to be 0.25% in the base case and 2.0% in the
'AAA' case.

For SLM 2007-2, the TTM levels of deferment, forbearance and
income-based repayment (prior to adjustment) are 7.1%, 20.1% and
27.4%, respectively. The borrower benefit is assumed to be
approximately 0.01%, based on information provided by the sponsor.
For SLM 2007-3, the TTM levels of deferment, forbearance and
income-based repayment (prior to adjustment) are approximately
7.0%, 21.0% and 27.7%, respectively, in cash flow modeling. The
borrower benefit is assumed to be approximately 0.01%, based on
information provided by the sponsor.

For SLM 2012-1, the TTM levels of deferment, forbearance and
income-based repayment (prior to adjustment) are 7.4%,
approximately 20.0% and 26.0%, respectively. The borrower benefit
is assumed to be approximately 0.04%, based on information provided
by the sponsor.

The TTM levels above for all transactions are used as the starting
point in cash flow modeling. Subsequent declines or increases in
the above assumptions for each transaction are modelled as per
criteria.

Basis and Interest Rate Risk: Basis risk for these transactions
arises from any rate and reset frequency mismatch between interest
rate indices for Special Allowance Payments (SAP) and the
securities. As of March 2021, the majority of the loans are indexed
to LIBOR. All notes for SLM 2007-2 and 2007-3 are indexed to
three-month LIBOR and for SLM 2012-1 are indexed to one-month
LIBOR. Fitch applies its standard basis and interest rate stresses
to this transaction as per criteria.

Payment Structure: Credit enhancement (CE) is provided by excess
spread, overcollateralization, and for the Class A notes,
subordination. As of March 2021, for SLM 2007-2 and 2007-3 total
and senior effective parity ratio (including the reserve) are
100.9% (0.89% CE) and 136.5% (26.7% CE) respectively. for SLM
2012-1, total and senior effective parity ratio (including the
reserve) are 101.3% (1.28% CE) and 112.5% (11.1% CE), respectively,
as of May 2021. Liquidity support is provided by a reserve account
sized at 0.25% of the outstanding pool balance, currently equal to
the floors of $4,000,000, $3,003,866 and $764,728 for SLM 2007-2,
2007-3 and 2012-1, respectively. Excess cash will continue to be
released as long as 100% parity is maintained, and as long as 1% OC
is maintained for SLM 2012-1.

Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, LLC. Fitch believes Navient to be an acceptable
servicer, due to its extensive track record as the largest servicer
of FFELP loans.

Coronavirus Impact: Fitch has revised up the U.S. GDP growth
forecast for 2021 to 6.8%.GDP growth will improve unemployment, but
this will be tempered by a recovery in labor force participation as
restrictions are eased and Fitch expects unemployment to remain
above 4.0% through YE 2022. Payment rates and IBR utilization are
susceptible to unemployment levels. To account for current pandemic
economic conditions, Fitch performed maturity risk rating
sensitivities representing a 25% decrease in CPR, 25% increase in
IBR usage and 25% increase in remaining term. These stresses
indicate no change in model implied ratings.

RATING SENSITIVITIES

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. Fitch conducts credit and maturity stress
sensitivity analysis by increasing or decreasing key assumptions by
25% and 50% over the base case. The credit stress sensitivity is
viewed by stressing both the base case default rate and the basis
spread. The maturity stress sensitivity is viewed by stressing
remaining term, IBR usage and prepayments. The results below should
only be considered as one potential outcome, as the transaction is
exposed to multiple dynamic risk factors. It should not be used as
an indicator of possible future performance.

SLM Student Loan Trust 2007-2, 2007-3, 2012-1

Current Ratings (2007-2, 2012-1): class A 'Bsf', class B 'Bsf'

Current Ratings (2007-3): class A 'CCCsf', class B 'CCCsf'

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

For all transactions

Credit Stress Sensitivity

-- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'

-- Basis Spread decrease .25%: class A 'CCCsf'; class B 'CCCsf'

Maturity Stress Sensitivity

-- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'

-- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'

-- Remaining Term decrease 25%: class A 'CCCsf'; class B 'CCCsf'

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

-- The current ratings reflect the risk the senior notes miss
    their legal final maturity date under Fitch's base case
    maturity scenario. If the margin by which these classes miss
    their legal final maturity date increases, or does not improve
    as the maturity date nears, the ratings may be downgraded
    further.

-- Additional defaults, increased basis spreads beyond Fitch's
    published stresses, lower-than-expected payment speed or loan
    term extension are factors that could lead to future rating
    downgrades.

BEST/WORST CASE RATING SCENARIO

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

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

ESG CONSIDERATIONS

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


SLM STUDENT 2012-7: Fitch Affirms B Rating on 2 Note Classes
------------------------------------------------------------
Fitch Ratings has affirmed the ratings of all outstanding classes
of SLM Student Loan Trust 2003-10, 2011-3 and 2012-7. The Rating
Outlooks for all the classes remain the same, except for the
Outlook on the SLM 2003-10 class B notes, which has been revised to
Stable from Positive.

    DEBT              RATING          PRIOR
    ----              ------          -----
SLM Student Loan Trust 2003-10

A-3 78442GJG2   LT  AAAsf  Affirmed   AAAsf
A-4 78442GJH0   LT  AAAsf  Affirmed   AAAsf
B 78442GJF4     LT  Asf    Affirmed   Asf

SLM Student Loan Trust 2011-3

A 78445UAA0     LT  AAAsf  Affirmed   AAAsf
B 78445UAD4     LT  AAAsf  Affirmed   AAAsf

SLM Student Loan Trust 2012-7

A-3 78447KAC6   LT  Bsf    Affirmed   Bsf
B 78447KAD4     LT  Bsf    Affirmed   Bsf

SLM 2003-10: The class A-4 notes were originally denominated in
British Pounds, but has changed to U.S. Dollars, starting with the
most recent distribution date on June 15, 2021. In addition, on
March 31, 2021, the classes A-4 and B legal final maturity dates
were amended from Dec. 15, 2039 and Dec. 17, 2046 to Dec. 17,
2068.

The class A-3 and A-4 notes pass all of Fitch's credit and maturity
stresses in cash flow modeling, and have been affirmed at 'AAAsf'.
The Negative Rating Outlook on these classes is due to the Negative
Rating Outlook assigned to the U.S. sovereign's Issuer Default
Rating (IDR). Although the class B notes have a model-implied
rating of 'BBBsf', the affirmation at 'Asf' reflects the length of
time to maturity of the notes and the magnitude of the principal
shortfall in the 'Asf' stress scenarios, and is consistent with the
one-category rating tolerance allowed under Fitch's Federal Family
Education Loan Program (FFELP) criteria.

The change in the Rating Outlook assigned to the class B notes is
mainly due to the impact to modeling results from the release of
funds from the yield supplement account since the last review.

In the cash flow modeling analysis for SLM 2003-10, Fitch used
servicing fees higher than the standard fees from Fitch's Federal
Family Education Loan Program (FFELP) criteria, reflecting
transaction-specific fees.

SLM 2011-3: The class A and B notes pass all of Fitch's credit and
maturity stresses in cash flow modeling. The Negative Rating
Outlooks are due to the Outlook assigned to the U.S. sovereign
IDR.

SLM 2012-7: The class A-3 notes did not pass Fitch's base case
stresses in cash flow modeling due to the notes not paying in full
prior to their legal final maturity date. The rating of the class B
notes is constrained by the rating of the senior notes, because in
an event of default (EOD) caused by the class A-3 notes not paying
in full prior to their legal final maturity date, the class B notes
will not receive principal or interest payments.

The ratings of the class A-3 and B notes have been affirmed at
'Bsf', supported by qualitative factors such as Navient's ability
to call the notes upon reaching 10% pool factor and the revolving
credit agreement established by Navient, which allows the servicer
to purchase loans from the trust. Because Navient has the option
but not the obligation to lend to the trust, Fitch does not give
quantitative credit to this agreement. However, this agreement
qualitatively shows that Navient is committed to limiting
investors' exposure to maturity risk. Navient Corporation is
currently rated 'BB-'/Stable.

KEY RATING DRIVERS

U.S. Sovereign Risk: The trust collateral comprises 100% FFELP
loans with guaranties provided by eligible guarantors and
reinsurance provided by the U.S. Department of Education (ED) for
at least 97% of principal and accrued interest. The U.S. sovereign
rating is currently 'AAA'/Negative.

Collateral Performance: Based on transaction-specific performance
to date, Fitch assumes a cumulative default rate of 17.00%, 19.75%
and 30.25% under the base case scenario and a default rate of
51.00%, 59.25% and 90.75% under the 'AAA' credit stress scenario
for SLM 2003-10, 2011-3 and 2012-7, respectively. Fitch is
maintaining its sustainable constant default rate assumption (sCDR)
at 2.5%, 3.0% and 4.1% for SLM 2003-10, 2011-3 and 2012-7,
respectively, in cash flow modeling.

Fitch is also maintaining its sustainable constant repayment rate
assumption (sCPR; voluntary and involuntary prepayments) at 8.0%,
9.5% and 10.0% for SLM 2003-10, 2011-3 and 2012-7, respectively.
Fitch applies the standard default timing curve in its credit
stress cash flow analysis. The claim reject rate is assumed to be
0.25% in the base case and 2.0% in the 'AAA' case for all three
transactions.

The TTM levels of deferment are 3.43%, 4.54% and 6.98% for SLM
2003-10, 2011-3 and 2012-7, respectively. The TTM levels of
forbearance are 10.76%, 13.87% and 19.65% for SLM 2003-10, 2011-3
and 2012-7, respectively. The TTM levels of income-based repayment
(IBR; prior to adjustment) are 20.16%, 20.44% and 27.17% for SLM
2003-10, 2011-3 and 2012-7, respectively. These levels are used as
the starting point in cash flow modeling. Subsequent declines and
increases in the above assumptions are modeled as per criteria. The
borrower benefits are assumed to be approximately 0.18%, 0.16% and
0.04% for SLM 2003-10, 2011-3 and 2012-7, respectively, based on
information provided by the sponsor.

Basis and Interest Rate Risk: Basis risk for these transactions
arises from any rate and reset frequency mismatch between interest
rate indices for Special Allowance Payments (SAP) and the
securities. As of May 2021, approximately 89.07%, 99.74% and 99.82%
of the student loans in SLM 2003-10, SLM 2011-3 and SLM 2012-7,
respectively, are indexed to LIBOR, and the balance of the loans is
indexed to the 91-day T-bill rate. The outstanding notes in SLM
2003-10 are indexed to three-month LIBOR. All notes in SLM 2011-3
and SLM 2012-7 are indexed to one-month LIBOR. Fitch applies its
standard basis and interest rate stresses to the transactions as
per criteria.

Payment Structure: Credit enhancement (CE) is provided by
over-collateralization (OC), excess spread and for the class A
notes, subordination. As of the most recent collection period, the
senior parity ratios (including the reserve account) are 109.92%
(9.02% CE), 117.89% (15.18% CE) and 111.17% (10.04% CE) for SLM
2003-10, 2011-3 and 2012-7, respectively. The total parity ratios
(including the reserve account) are 100.28% (0.28% CE), 106.31%
(5.94% CE) and 101.31% (1.29% CE) for SLM 2003-10, 2011-3 and
2012-7, respectively.

Liquidity support is provided by a reserve account sized at 0.25%
of the outstanding pool balance. As of the most recent collection
period, the reserve accounts are at their floors of $3,012,925,
$1,197,172 and $1,248,784 for SLM 2003-10, 2011-3 and 2012-7,
respectively. SLM 2003-10 and SLM 2011-3 will continue to release
cash as long as 100.0% reported total parity is maintained. SLM
2012-7 will continue to release cash as long as 101.01% reported
total parity is maintained.

Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, LLC. Fitch believes Navient is an acceptable
servicer, due to its extensive track record as the largest servicer
of FFELP loans.

Coronavirus Impact: Fitch has revised its U.S. GDP growth forecast
for 2021 to 6.8%. GDP growth will improve unemployment, but this
will be tempered by a recovery in labor force participation as
restrictions are eased, and Fitch expects unemployment to remain
above 4.0% through YE 2022. Payment rates and IBR utilization are
susceptible to higher unemployment levels, and to account for
current pandemic economic conditions, Fitch performed maturity risk
rating sensitivities representing a 25% decrease in CPR, 25%
increase in IBR usage and 25% increase in remaining term. These
stresses indicate no change in any of the model-implied ratings,
and are shown in Rating Sensitivities.

RATING SENSITIVITIES

'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating given the strong
linkage to the U.S. sovereign, by nature of the reinsurance
provided by the Department of Education. Aside from the U.S.
sovereign rating, defaults, basis risk and loan extension risk
account for the majority of the risk embedded in FFELP student loan
transactions.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. Fitch conducts credit and maturity stress
sensitivity analysis by increasing or decreasing key assumptions by
25% and 50% over the base case. The credit stress sensitivity is
viewed by stressing both the base case default rate and the basis
spread. The maturity stress sensitivity is viewed by stressing
remaining term, IBR usage and prepayments. The results below should
only be considered as one potential outcome, as the transactions
are exposed to multiple dynamic risk factors and should not be used
as an indicator of possible future performance.

SLM Student Loan Trust 2003-10

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity
Stress); class B 'BBBsf' (Credit and Maturity Stress)

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

-- No upgrade credit or maturity stress sensitivity is provided
    for the class A notes, as they are already at their highest
    possible model-implied ratings.

Credit Stress Sensitivity

-- Default decrease 25%: class B 'BBBsf';

-- Basis Spread decrease 0.25%: class B 'Asf'.

Maturity Stress Sensitivity

-- CPR increase 25%: class B 'Asf';

-- IBR usage decrease 25%: class B 'BBBsf';

-- Remaining Term decrease 25%: class B 'Asf'.

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

Credit Stress Rating Sensitivity

-- Default increase 25%: class A 'AAAsf'; class B 'BBsf';

-- Default increase 50%: class A 'AAAsf'; class B 'BBsf';

-- Basis spread increase 0.25%: class A 'AAAsf'; class B 'CCCsf';

-- Basis spread increase 0.50%: class A 'AAAsf'; class B 'CCCsf'.

Maturity Stress Rating Sensitivity

-- CPR decrease 25%: class A 'AAAsf'; class B 'BBBsf';

-- CPR decrease 50%: class A 'AAAsf'; class B 'BBBsf';

-- IBR usage increase 25%: class A 'AAAsf'; class B 'BBBsf';

-- IBR usage increase 50%: class A 'AAAsf'; class B 'BBBsf';

-- Remaining term increase 25%: class A 'AAAsf'; class B 'BBBsf';

-- Remaining term increase 50%: class A 'AAAsf'; class B 'BBBsf'.

SLM Student Loan Trust 2011-3

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity
Stress); class B 'AAAsf' (Credit and Maturity Stress)

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

-- No upgrade credit or maturity stress sensitivity is provided
    for either the class A or class B notes, as they are already
    at their highest possible model-implied ratings.

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

Credit Stress Rating Sensitivity

-- Default increase 25%: class A 'AAAsf'; class B 'AAAsf';

-- Default increase 50%: class A 'AAAsf'; class B 'AAAsf';

-- Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf';

-- Basis spread increase 0.50%: class A 'AAAsf'; class B 'AAAsf'.

Maturity Stress Rating Sensitivity

-- CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf';

-- CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf';

-- IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf';

-- IBR usage increase 50%: class A 'AAAsf'; class B 'AAAsf';

-- Remaining term increase 25%: class A 'AAAsf'; class B 'AAAsf';

-- Remaining term increase 50%: class A 'AAsf'; class B 'AAAsf'.

SLM Student Loan Trust 2012-7

Current Model-Implied Ratings: class A 'CCCsf' (Credit and Maturity
Stress); class B 'CCCsf' (Credit and Maturity Stress)

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

Credit Stress Sensitivity

-- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf';

-- Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'.

Maturity Stress Sensitivity

-- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf';

-- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf';

-- Remaining Term decrease 25%: class A 'CCCsf'; class B 'CCCsf'.

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

Credit Stress Rating Sensitivity

-- Default increase 25%: class A 'CCCsf'; class B 'CCCsf';

-- Default increase 50%: class A 'CCCsf'; class B 'CCCsf';

-- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf';

-- Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'.

Maturity Stress Rating Sensitivity

-- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf';

-- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';

-- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf';

-- IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf';

-- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf';

-- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'.

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.


STARWOOD MORTGAGE 2021-3: Fitch Gives B Rating to Class B-2 Debt
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to Starwood Mortgage
Residential Trust 2021-3.

DEBT          RATING              PRIOR
----          ------              -----
STAR 2021-3

A-1     LT  AAAsf  New Rating   AAA(EXP)sf
A-2     LT  AAsf   New Rating   AA(EXP)sf
A-3     LT  Asf    New Rating   A(EXP)sf
M-1     LT  BBBsf  New Rating   BBB(EXP)sf
B-1     LT  BBsf   New Rating   BB(EXP)sf
B-2     LT  Bsf    New Rating   B(EXP)sf
B-3     LT  NRsf   New Rating   NR(EXP)sf
A-IO-S  LT  NRsf   New Rating   NR(EXP)sf
XS      LT  NRsf   New Rating   NR(EXP)sf

TRANSACTION SUMMARY

Fitch has rated 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 333 loans with a
balance of approximately $310.6 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 90.2%
of the pool. Of the loans in the pool, 72.6% are designated as
nonqualified mortgage (non-QM) and 27.4% are investment properties
not subject to Ability to Repay Rule (ATR, the Rule).

There is LIBOR exposure in this transaction. The collateral
consists of 38.0% 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.

Since the presale report was published, five loans were dropped
from the pool, which did not have a material impact on Fitch's loss
expectations.

KEY RATING DRIVERS

Non-QM Credit Quality (Mixed): The collateral consists of 333
loans, totaling approximately $310.6 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 67.4% that translates to a Fitch calculated
sustainable LTV (sLTV) of 72.8%.

The pool consists of 66.7% of loans where the borrower maintains a
primary residence, while 33.3% represent an investor property or a
second home. Additionally, 22.2% of the loans were originated
through a retail channel. 72.6% are designated as non-QM, while the
remaining 27.4% are exempt from QM since they are investor loans.

The pool contains 120 loans over $1 million, with the largest at $4
million. Self-employed non-debt service coverage ratio (DSCR)
borrowers make up 66% of the pool, while 10.0% are asset depletion
loans, and 16.8% are investor cash flow DSCR loans.

Approximately 27.4% of the pool comprise loans on investor
properties (10.6% underwritten to the borrowers' credit profile and
16.8% 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 60.3% of the
pool is concentrated in California. The largest MSA concentration
is in the Los Angeles-Long Beach-Santa Ana, CA MSA (46.4%),
followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA
MSA (15.0%) and the San Diego, CA MSA (7.3%). The top three MSAs
account for 68.7% 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 2.30%.

Loan Documentation (Negative): Approximately 84.5% 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, 10.0% 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.


TABERNA PREFERRED III: Fitch Affirms D Rating on 2 Tranches
-----------------------------------------------------------
Fitch Ratings has affirmed its ratings on 67 classes, upgraded one
class, and revised Rating Outlooks on three classes from seven
collateralized debt obligations (CDOs).

The CDOs are collateralized by trust preferred securities (TruPS),
senior and subordinated debt issued by real estate investment
trusts (REITs), corporate issuers, tranches of structured finance
CDOs and commercial mortgage-backed securities.

    DEBT             RATING           PRIOR
     ----            ------           -----
Attentus CDO III, Ltd./LLC

A-2 04973PAC3   LT  Bsf    Affirmed   Bsf
B 04973PAD1     LT  CCCsf  Affirmed   CCCsf
C-1 04973PAE9   LT  CCsf   Affirmed   CCsf
C-2 04973PAH2   LT  CCsf   Affirmed   CCsf
D 04973PAF6     LT  CCsf   Affirmed   CCsf
E-1 04973PAG4   LT  Csf    Affirmed   Csf
E-2 04973PAJ8   LT  Csf    Affirmed   Csf
F 04973MAA4     LT  Csf    Affirmed   Csf

Kodiak CDO I, Ltd./Inc.

A-2 50011PAB2   LT  BBBsf  Upgrade    Bsf
B 50011PAC0     LT  Dsf    Affirmed   Dsf
C 50011PAD8     LT  CCsf   Affirmed   CCsf
D-1 50011PAE6   LT  Csf    Affirmed   Csf
D-2 50011PAJ5   LT  Csf    Affirmed   Csf
D-3 50011PAK2   LT  Csf    Affirmed   Csf
E-1 50011PAF3   LT  Csf    Affirmed   Csf
E-2 50011PAL0   LT  Csf    Affirmed   Csf
F 50011PAG1     LT  Csf    Affirmed   Csf
G 50011PAH9     LT  Csf    Affirmed   Csf
H 50011NAC5     LT  Csf    Affirmed   Csf

Taberna Preferred Funding II, Ltd./Inc.

A-1A 87330UAA9  LT  CCCsf  Affirmed   CCCsf
A-1B 87330UAB7  LT  CCCsf  Affirmed   CCCsf
A-1C 87330UAC5  LT  CCCsf  Affirmed   CCCsf
A-2 87330UAD3   LT  CCsf   Affirmed   CCsf
B 87330UAE1     LT  Dsf    Affirmed   Dsf
C-1 87330UAF8   LT  Csf    Affirmed   Csf
C-2 87330UAG6   LT  Csf    Affirmed   Csf
C-3 87330UAH4   LT  Csf    Affirmed   Csf
D 87330UAJ0     LT  Csf    Affirmed   Csf
E-1 87330UAK7   LT  Csf    Affirmed   Csf
E-2 87330UAL5   LT  Csf    Affirmed   Csf
F 87330UAM3     LT  Csf    Affirmed   Csf

Taberna Preferred Funding I, Ltd./Inc.

A-1A 87330PAA0  LT  Bsf    Affirmed   Bsf
A-1B 87330PAB8  LT  Bsf    Affirmed   Bsf
A-2 87330PAC6   LT  CCCsf  Affirmed   CCCsf
B-1 87330PAD4   LT  CCsf   Affirmed   CCsf
B-2 87330PAE2   LT  CCsf   Affirmed   CCsf
C-1 87330PAF9   LT  CCsf   Affirmed   CCsf
C-2 87330PAG7   LT  CCsf   Affirmed   CCsf
C-3 87330PAH5   LT  CCsf   Affirmed   CCsf
D 87330PAJ1     LT  CCsf   Affirmed   CCsf
E 87330PAK8     LT  Csf    Affirmed   Csf

Attentus CDO I, Ltd./LLC

A-1 049730AA2   LT  BBsf   Affirmed   BBsf
A-2 049730AB0   LT  Bsf    Affirmed   Bsf
B 049730AC8     LT  CCsf   Affirmed   CCsf
C-1 049730AD6   LT  CCsf   Affirmed   CCsf
C-2A 049730AE4  LT  Csf    Affirmed   Csf
C-2B 049730AF1  LT  Csf    Affirmed   Csf
D 049730AG9     LT  Csf    Affirmed   Csf
E 049730AH7     LT  Csf    Affirmed   Csf

Kodiak CDO II, Ltd./Corp.

A-2 50011RAB8   LT  Asf    Affirmed   Asf
A-3 50011RAC6   LT  Bsf    Affirmed   Bsf
B-1 50011RAD4   LT  CCCsf  Affirmed   CCCsf
B-2 50011RAE2   LT  CCCsf  Affirmed   CCCsf
C-1 50011RAF9   LT  CCsf   Affirmed   CCsf
C-2 50011RAG7   LT  CCsf   Affirmed   CCsf
D 50011RAH5     LT  CCsf   Affirmed   CCsf
E 50011RAJ1     LT  Csf    Affirmed   Csf
F 50011QAA2     LT  Csf    Affirmed   Csf

Taberna Preferred Funding III, Ltd./Inc.

A-1A 87330WAA5  LT  CCCsf  Affirmed   CCCsf
A-1C 87330WAC1  LT  CCCsf  Affirmed   CCCsf
A-2A 87330WAD9  LT  CCCsf  Affirmed   CCCsf
A-2B 87330WAL1  LT  CCCsf  Affirmed   CCCsf
B-1 87330WAE7   LT  Dsf    Affirmed   Dsf
B-2 87330WAF4   LT  Dsf    Affirmed   Dsf
C-1 87330WAG2   LT  Csf    Affirmed   Csf
C-2 87330WAH0   LT  Csf    Affirmed   Csf
D 87330WAJ6     LT  Csf    Affirmed   Csf
E 87330WAK3     LT  Csf    Affirmed   Csf

KEY RATING DRIVERS

All of the transactions experienced moderate deleveraging from
collateral redemptions and excess spread, which led to the senior
classes of notes receiving paydowns ranging from 6% to 29% of their
last review note balances. However, upgrades were limited due to
the outcomes of the sensitivity analysis performed, reflecting the
concentrated nature of the portfolios. The Positive Outlooks
reflect Fitch's expectation that the notes will continue to
deleverage from excess spread, which could result in an increase in
credit enhancement levels to withstand losses corresponding to the
next rating category stress.

The Stable Outlooks on five tranches in this review reflect Fitch's
expectation that the classes have sufficient levels of credit
protection to withstand potential deterioration in the credit
quality of the portfolios in stress scenarios commensurate with
such classes' rating.

Out of seven CDOs, three transactions are in acceleration, which
diverts excess spread to the most senior classes outstanding while
cutting off interest due on certain junior timely classes that are
currently rated 'Dsf'.

RATING SENSITIVITIES

To address potential risks of adverse selection and increased
portfolio concentration, Fitch applied a sensitivity scenario, as
described in the criteria, to all reviewed transactions.

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

-- Future upgrades to the rated notes may occur if a transaction
    experiences improvement in credit enhancement through
    deleveraging from collateral redemptions and/or interest
    proceeds being used for principal repayment.

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

-- Downgrades to the rated notes may occur if a significant share
    of the portfolio issuers default and/or experience negative
    credit migration, which would cause a deterioration in rating
    default rates.

BEST/WORST CASE RATING SCENARIO

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

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.

Overall, Fitch's assessment of the information relied upon for the
agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


WELLS FARGO 2020-4: Moody's Hikes Class B-5 Certs Rating to Ba1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven
tranches from Wells Fargo Mortgage Backed Securities 2020-4 Trust
("WFMBS 2020-4").

WFMBS 2020-4 is a prime issuance by Wells Fargo Bank, N.A. (Wells
Fargo Bank). The transaction is backed by prime quality, fixed
rate, first-lien residential mortgage loans. Wells Fargo Bank is
the servicer and master servicer for the transaction. The
transaction has a shifting interest structure with subordination
floors that protect noteholders against tail risk.

The complete rating actions are as follows

Issuer: Wells Fargo Mortgage Backed Securities 2020-4 Trust

Cl. A-17, Upgraded to Aaa (sf); previously on Aug 27, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-18, Upgraded to Aaa (sf); previously on Aug 27, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 27, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Aug 27, 2020 Definitive
Rating Assigned A3 (sf)

Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 27, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 27, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 27, 2020
Definitive Rating Assigned Ba3 (sf)

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool. In this
transaction, high prepayment rates averaging 40%-60% over the last
six months, driven by the low interest rate environment, have
benefited the bonds by increasing the paydown and building credit
enhancement.

In Moody's analysis Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's increased
its MILAN model-derived median expected losses by 15% and Moody's
Aaa losses by 5% to reflect the performance deterioration resulting
from a slowdown in US economic activity due to the COVID-19
outbreak.

Moody's identified loans granted payment relief based on a review
of loan level cashflows over the last few months. In Moody's
analysis, Moody's considered loans that: (1) were not liquidated
but took a loss in the reporting period (to capture loans with
monthly deferrals that were reported as current) or (2) have actual
balances that increased or were unchanged in the reporting period,
excluding interest-only loans and pay-ahead loans, to be loans
under a payment relief program. Based on Moody's analysis, the
proportion of borrowers that are enrolled in payment relief plans
in the underlying pool ranged around 0.4%-0.9% over the last six
months.

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
servicer.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans 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 Methodologies

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.

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

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of this transaction. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


WFRBS COMMERCIAL 2013-C17: Fitch Affirms B Rating on Class F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of WFRBS Commercial Mortgage
Trust 2013-C17 pass-through certificates.

    DEBT                RATING          PRIOR
    ----                ------          -----
WFRBS Commercial Mortgage Trust 2013-C17

A-3 92938GAC2    LT  AAAsf   Affirmed   AAAsf
A-4 92938GAD0    LT  AAAsf   Affirmed   AAAsf
A-S 92938GAF5    LT  AAAsf   Affirmed   AAAsf
A-SB 92938GAE8   LT  AAAsf   Affirmed   AAAsf
B 92938GAJ7      LT  AAsf    Affirmed   AAsf
C 92938GAK4      LT  Asf     Affirmed   Asf
D 92938GAN8      LT  BBB-sf  Affirmed   BBB-sf
E 92938GAQ1      LT  BBsf    Affirmed   BBsf
F 92938GAS7      LT  Bsf     Affirmed   Bsf
X-A 92938GAG3    LT  AAAsf   Affirmed   AAAsf
X-B 92938GAH1    LT  AAsf    Affirmed   AAsf

KEY RATING DRIVERS

Generally Stable Performance and Loss Expectations: The overall
performance of the pool has been stable since issuance and loss
expectations are in line with Fitch's prior rating action. One loan
representing less than 1% of the pool is in special servicing, but
is expected to return to the master servicer as prior defaults have
been cured. In addition to the specially serviced loan, there are
four Fitch Loans of Concern (FLOCs) totaling 6.25% of the pool's
balance; there are 17 loans totaling 30.7% of the pool that are on
the servicer's watchlist primarily due to occupancy declines, COVID
related performance declines, and tenant rollovers.

The largest loan in the pool is Hilton Sandestin Beach Resort & Spa
(12.1%), which is a 598-room full-service beachfront hotel located
within the 2,400-acre Sandestin Resort in Destin, FL. The property
was originally built by the sponsor in 1984 as a 400-room hotel,
with an additional guestroom tower containing 198 rooms added to
the property in 1996. In early 2015, the sponsors completed a
three-year, $30 million renovation at the hotel.

The property is still suffering from performance declines due to
COVID-19. Although there was no mandated government shut down in
the state of Florida, tourism in Destin Florida posted record
declines. As of March 2021, TTM occupancy and debt service coverage
ratio (DSCR) were reported to be 47% and 1.02x, respectively,
representing a sharp decline from YE 2019 when occupancy was 67%
and the DSCR was 5.05x. Fitch expects performance to improve in
2021 and 2022 and will continue to monitor.

The second largest loan in the pool, Westfield Mission Valley, is
secured by a 1.6 million-sf regional mall and adjacent strip
center, of which 997,549 sf is collateral, located in San Diego,
CA. The property is anchored by Bloomingdale's Outlet
(non-collateral), Target (21% NRA; exp January 2022), Bed Bath &
Beyond (8% NRA; exp January 2022) and AMC Theatres (8% NRA; exp
January 2026). The mall is located just north of San Diego; the
property benefits from strong demographics. One of the property's
main competitors is Fashion Valley Mall, a Simon property is
located approximately one mile away.

The loan is full-term interest-only with a maturity date of October
2023. The mall re-opened in May 2020. As of YE 2020, occupancy was
93% with a servicer reported NOI DSCR of 2.88x. Approximately 2% of
the NRA rolls through 2021, followed by 32% in 2022 (including
Target), and 5% in 2023. At issuance, Target reported sales of $496
psf versus the chain average of $290 psf. Fitch has an outstanding
request for an updated sales report and status of the Target lease,
but has not received a response.

The largest FLOC is the Rockwall Market Center loan (3.5% of the
pool). The loan is secured by a three-building, 209,054 sf retail
power center located in Rockwall, TX, approximately 25 miles
northeast of Dallas. Largest tenants at the subject include Burke's
Outlet Store (16% of NRA), Ross Dress for Less (14% of NRA), and
Michael's (11% of NRA). While the subject's performance has
remained relatively stable with occupancy and NOI DSCR of 93% and
1.58x, respectively, as of December 2020. The loan is now due for
June 2021 payment; however, it was delinquent earlier in 2020 due
to COVID-19 related hardships. The borrower was able to access
reserve funds to bring loan current and Servicer will continue to
monitor payments and the timeliness in which they are paid.

Increased Credit Enhancement; Paydown and Defeasance: The pool has
paid down approximately 30.2% since issuance. Eighteen loans are
defeased (13.00%). The class C/E continues to increase due to
paydown and defeasance. The paydown and defeasance has led to
increases in credit enhancement. The defeasance has also reduced
the pool-level exposure to non-traditional properties such as
mixed-use, self-storage and manufactured housing properties.

Additional Considerations

Property Type Concentrations: Excluding the defeased loans,
approximately 32.6%, 25.4%, and 11.6% of the loans in the pool are
secured by retail, hotel, and office properties, respectively.

Maturity Concentration: Excluding the defeased loans, the remaining
loans are scheduled to mature in 2023.

RATING SENSITIVITIES

The Rating Outlooks on all classes remain Stable due to generally
stable performance of the collateral.

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

-- Stable to improved asset performance coupled with pay down
    and/or continued defeasance. Upgrades to classes B and C would
    occur with increased paydown and/or defeasance combined with
    increased performance. Upgrades to classes D through F are not
    likely unless performance of the FLOCs stabilize and if the
    performance of the remaining pool is continuing to increase.
    As the remaining loans in the pool do not mature until 2023,
    Fitch does not foresee upgrades.

Factor 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 'AAsf' or 'Asf' should interest shortfalls occur.
    Downgrades to classes E and F are possible should defaults
    occur or loss expectations increase or performance of the
    FLOCs fail to stabilize or decline further.

In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021.
Should this scenario play out, Fitch expects that a greater
percentage of classes may be assigned a Negative Outlook or those
with Negative Outlooks will be downgraded one or more categories.

BEST/WORST CASE RATING SCENARIO

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

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.


[*] S&P Takes Various Actions on 90 Classes from 30 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 90 classes from 30 U.S.
RMBS transactions issued between 2002 and 2007. All of these
transactions are backed by subprime collateral. The review yielded
25 upgrades, six downgrades, 54 affirmations, four discontinuances,
and one withdrawal.

A list of Affected Ratings can be viewed at:

           https://bit.ly/3yafg1Q

Analytical Considerations

S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes." Some of these considerations may include:

-- Collateral performance or delinquency trends;
-- Erosion of or increases in credit support;
-- Available subordination and/or overcollateralization;
-- Historical missed interest payments;
-- Payment priority;
-- A small loan count; and
-- Tail risk.

Rating Actions

S&P siad, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, as well as the application of specific
criteria applicable to these classes. Please see the ratings list
below for the specific rationales associated with each of the
classes with rating transitions.

"The rating affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections."


                            *********

Monday's edition of the TCR delivers a list of indicative prices
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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
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Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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