/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210725.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, July 25, 2021, Vol. 25, No. 205 Headlines ACC AUTO 2021-A: Moody's Assigns (P)B2 Rating to Class D Notes AGL CLO 6: S&P Assigns BB- (sf) Rating on Class E-R Notes AGL CLO 6: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes AGL CLO 7: Moody's Assigns Ba3 Rating to $26.1MM Class ER Notes ANCHORAGE CAPITAL 15: Moody's Assigns Ba3 Rating to Cl. E-R Notes ANTARES CLO 2021-1: S&P Assigns BB- (sf) Rating on Class E Notes ARES LV: S&P Assigns BB- (sf) Rating on Class E-R Notes BAIN CAPITAL 2020-2: S&P Assigns BB-(sf) Rating on Class E-R Notes BALLYROCK CLO 2019-1: Moody's Gives Ba3 Rating to $19MM D-R Notes BANK 2019-BNK19: Fitch Affirms BB Rating on Class F Certs BAYVIEW MSR 2021-INV2: Moody's Assigns (P)B3 Rating to B-5 Certs BLUEMOUNTAIN CLO XXV: Moody's Gives Ba3 Rating to $20MM E-R Notes BLUEMOUNTAIN XXIX: S&P Assigns Prelim BB- (sf) Rating on E-R Notes CARLYLE US 2017-1: Moody's Hikes $24MM Class D Notes Rating to Ba3 CARLYLE US 2020-1: Moody's Assigns B3 Rating to $5MM Cl. E-R Notes CARVAL CLO IV: S&P Assigns Prelim B- (sf) Rating on Class F Notes CBAM LTD 2017-3: Moody's Assigns Ba3 Rating to $65MM Cl. E-R Notes CHASE AUTO 2021-2: Fitch Assigns Final B Rating on Class F Notes CIFC FUNDING 2021-V: S&P Assigns Prelim BB- (sf) Rating on E Notes CITIGROUP COMMERCIAL 019-GC41: Fitch Affirms B- Rating on GRR Certs CITIGROUP COMMERCIAL 2017-B1: Fitch Affirms B- Rating on F Certs CITIGROUP COMMERCIAL 2017-P8: Fitch Affirms B- Rating on 2 Tranches CITIGROUP MORTGAGE 2021-RP4: DBRS Finalizes B Rating on B-2 Notes COLT MORTGAGE 2021-2: Fitch to Give 'B(EXP)' Rating to Cl. B2 Certs CPS AUTO 2021-C: S&P Assigns Prelim BB- (sf) Rating on E Notes CROWN POINT 9: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes DENALI CAPITAL XI: Moody's Upgrades $19.74MM C-R Notes From Ba1 DRYDEN 68 CLO: Moody's Assigns Ba3 Rating to $20MM Class E-R Notes DRYDEN 86: S&P Assigns BB- (sf) Rating on $25MM Class E-R Notes EDUCATION FUNDING 2006-1: S&P Affirms 'CC' Rating on Cl. A-3 Notes ELMWOOD CLO V: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes FLAGSTAR MORTGAGE 2021-6INV: Moody's Gives '(P)B2' to B-5 Certs FREDDIE MAC 2021-DNA5: S&P Assigns Prelim BB- Rating on B-1B Notes GREAT LAKES 2019-1: S&P Affirms BB- (sf) Rating on Class E Notes HALCYON LOAN 2014-1: Moody's Cuts $10MM Class F Notes Rating to C HALCYON LOAN 2014-3: Moody's Cuts $12MM Class F Notes Rating to C HOME RE 2021-2: Moody's Assigns (P)B3 Rating to Cl. M-2 Notes JFIN CLO 2014-II: Moody's Hikes $33.9MM Class D Notes Rating to B1 JP MORGAN 2021-10: Fitch to Give 'B+(EXP)' Rating to Class B-5 Debt LCM 29: S&P Assigns BB-(sf) Rating on Cl. E-R Notes on Refinancing MADISON PARK XLV: Moody's Assigns Ba3 Rating to $18.25MM E-R Notes MAGNETITE XXXI: S&P Assigns Prelim BB- (sf) Rating on Class E Notes MORGAN STANLEY 2004-TOP15: Moody's Hikes Cl. H Certs Rating to Ba1 MORGAN STANLEY 2021-4: Fitch Gives 'B(EXP)' Rating to Cl. B-5 Debt NCF GRANTOR 2005-3: S&P Raises Cl. A-5-1 Certs Rating to 'BB+(sf)' NIAGARA PARK CLO: S&P Assigns BB- (sf) Rating on Class E-R Notes OBX TRUST 2021-J2: Moody's Gives (P)B2 Rating to Cl. B-5 Certs OCP CLO 2019-17: S&P Assigns BB- (sf) Rating on Class E-R Notes OCTAGON INVESTMENT 42: Moody's Gives Ba3 Rating to $25MM E-R Notes OCTAGON LTD 54: Moody's Assigns Ba3 Rating to $25MM Class E Notes OHA CREDIT 6: S&P Assigns BB- (sf) Rating on Class E-R Notes OZLM LTD XIV: Moody's Assigns Ba3 Rating to $19.5MM Class DRR Notes PPLUS LTD-1: S&P Places 'B' Rating on Class A Certs on Watch Pos. RCKT MORTGAGE 2021-3: Fitch to Give 'B(EXP)' Rating to B-5 Certs RCKT MORTGAGE 2021-3: Moody's Gives (P)B3 Rating to Cl. B-5 Certs SARANAC CLO III: Moody's Upgrades $24MM Class E-R Notes to Caa1 SCULPTOR CLO XXVII: Moody's Assigns Ba3 Rating to Class E Notes SHACKLETON 2019-XIV: Moody's Assigns Ba3 Rating to Class E-R Notes STEELE CREEK 2019-2: S&P Affirms BB- (sf) Rating on Class E Notes STUDENT LOAN 2007-1: S&P Raises Class 6-A-1 Certs Rating to 'BB+' STWD 2021-HTS: S&P Assigns Prelim B- (sf) Rating on Class F Certs SYMPHONY CLO XXI: S&P Assigns BB- (sf) Rating on Class E-4XR Notes TRINITAS CLO XVI: Moody's Assigns Ba3 Rating to $25.75MM F Notes VOYA CLO 2020-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes WELLS FARGO 2015-NXS4: Fitch Affirms CCC Rating on 2 Tranches WELLS FARGO 2016-C36: Fitch Lowers Rating on 2 Tranches to 'CCCsf' WIND RIVER 2021-3: Moody's Gives (P)Ba3 Rating to $21.75MM E Notes WOODMONT 2019-6: S&P Affirms BB- (sf) Rating on Class E-R Notes [*] S&P Takes Various Actions on 161 Classes from 45 US RMBS Deals [*] S&P Takes Various Actions on 45 Classes from 36 U.S. RMBS Deals ********* ACC AUTO 2021-A: Moody's Assigns (P)B2 Rating to Class D Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by ACC Auto Trust 2021-A (AUTOC 2021-A). This is the inaugural securitization of non-prime quality auto loans sponsored by Automotive Credit Corporation (ACC; Not Rated). The notes will be backed by a pool of retail automobile loan contracts originated by ACC, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: ACC Auto Trust 2021-A Class A Notes, Assigned (P)A3 (sf) Class B Notes, Assigned (P)Baa2 (sf) Class C Notes, Assigned (P)Ba2 (sf) Class D Notes, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of ACC as the servicer and the presence of Vervent, Inc. (unrated) as named backup servicer. Moody's median cumulative net loss expectation for the 2021-A pool is 21%. Moody's based its cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of ACC to perform the servicing functions; Vervent as the backup servicer; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes and Class D notes benefit 32.15%, 24.25%, 17.00% and 7.50% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account, and subordination, except for the Class D notes, which do not benefit from subordination. The notes will also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in December 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. AGL CLO 6: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from AGL CLO 6 Ltd./AGL CLO 6 LLC, a CLO originally issued in August 2020 that is managed by AGL CLO Credit Management LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B-1, B-2, C, D, and E notes following payment in full on the July 20, 2021, refinancing date. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R, and E-R notes will be issued at a lower spread than the original notes; -- The class A-1 and A-2 notes will be merged into a single class; -- The replacement class B-R notes will be issued at a floating spread, replacing the class B-1 floating-rate notes and the class B-2 fixed-rate notes; and -- The reinvestment period and stated legal final maturity dates (for the replacement notes and the existing subordinated notes) will be extended three years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned AGL CLO 6 Ltd./AGL CLO 6 LLC Class A-R, $359.60 million: AAA (sf) Class B-R, $81.20 million: AA (sf) Class C-R (deferrable), $34.80 million: A (sf) Class D-R (deferrable), $34.80 million: BBB- (sf) Class E-R (deferrable), $23.20 million: BB- (sf) Subordinated notes, $41.88 million: NR Ratings Withdrawn AGL CLO 6 Ltd./AGL CLO 6 LLC Class A-1: to NR from 'AAA (sf)' Class A-2: 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. AGL CLO 6: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from AGL CLO 6 Ltd./AGL CLO 6 LLC, a CLO originally issued in August 2020 that is managed by AGL CLO Credit Management LLC. The preliminary ratings are based on information as of July 16, 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. At that time, S&P expects to withdraw its ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm our ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R, and E-R notes are expected to be issued at a lower spread than the original notes. -- The class A-1 and A-2 notes will be merged into a single class. -- The replacement class B-R notes are expected to be issued at a floating spread, replacing the class B-1 floating-rate notes and the class B-2 fixed-rate notes. -- The reinvestment period and stated maturity will be extended three years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned AGL CLO 6 Ltd./AGL CLO 6 LLC Class A-R, $359.60 million: AAA (sf) Class B-R, $81.20 million: AA (sf) Class C-R (deferrable), $34.80 million: A (sf) Class D-R (deferrable), $34.80 million: BBB- (sf) Class E-R (deferrable), $23.20 million: BB- (sf) Subordinated notes, $41.88 million: Not rated AGL CLO 7: Moody's Assigns Ba3 Rating to $26.1MM Class ER Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by AGL CLO 7 Ltd. (the "Issuer"). Moody's rating action is as follows: US$371,200,000 Class AR Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$69,600,000 Class BR Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$31,900,000 Class CR Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$34,800,000 Class DR Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$26,100,000 Class ER Junior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans or senior secured bond or a senior secured note. AGL CLO Credit Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $580,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2864 Weighted Average Spread (WAS): 3.4% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.5 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ANCHORAGE CAPITAL 15: Moody's Assigns Ba3 Rating to Cl. E-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Anchorage Capital CLO 15, Ltd. (the "Issuer"). Moody's rating action is as follows: US$217,000,000 Class A-R Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$35,875,000 Class B-R Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$20,125,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$24,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$24,500,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Anchorage Capital Group, L.L.C. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $350,000,000 Defaulted par: $0 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3302 Weighted Average Spread (WAS): 3.90% Weighted Average Coupon (WAC): 4.00% 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 Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ANTARES CLO 2021-1: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 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. 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 BB- (sf) Rating on Class E-R Notes ------------------------------------------------------- S&P Global Ratings assigned its 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. On the July 15, 2021, refinancing date, the proceeds from the replacement notes were used to redeem the original notes. As a result, we withdrew our ratings on the original notes and assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture, which outlined the terms of the replacement notes. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, and D-R notes were issued at a lower spread over three-month LIBOR than the original notes. -- The replacement class E-R notes were issued at a higher spread over three-month LIBOR than the original notes. -- The stated maturity and reinvestment period were extended by approximately 3.25 years while the non-call period was 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. "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 Ares LV CLO Ltd. Class A-1-R, $305.00 million: AAA (sf) Class A-2-R, $15.00 million: NR 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: NR Ratings Withdrawn Ares LV CLO Ltd. Class A-1: to NR from AAA (sf) Class B: to NR from AA (sf) Class C (deferrable): to NR from A (sf) Class D (deferrable): to NR from BBB- (sf) Class E (deferrable): to NR from BB- (sf) NR—Not rated BAIN CAPITAL 2020-2: S&P Assigns BB-(sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes and the new class X-R notes from Bain Capital Credit CLO 2020-2 Ltd., a CLO originally issued in June 2020 that is managed by Bain Capital Credit U.S. CLO Manager LLC. On the July 19, 2021, refinancing date, the proceeds from the replacement notes were used to redeem the original notes. S&P withdrew its ratings on the original notes and assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R, and E-R notes were issued at a lower spread over three-month LIBOR than the original notes. -- The stated maturity is extended by three years. -- The reinvestment period is extended by three years. -- There is a two-year non-call period. -- The class X-R notes issued in connection with this refinancing are to be paid down using interest proceeds during the first eight payment dates, beginning with the payment date in October 2021. 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 the ratings on the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Ratings Assigned Bain Capital Credit CLO 2020-2 Ltd. Class X-R, $4.00 million: AAA (sf) Class A-R, $248.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $15.25 million: BB- (sf) Ratings Withdrawn Bain Capital Credit CLO 2020-2 Ltd. Class A, 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) Class F, to NR from BB- (sf) Class G, to NR from B- (sf) NR--Not rated. BALLYROCK CLO 2019-1: Moody's Gives Ba3 Rating to $19MM D-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Ballyrock CLO 2019-1 Ltd. (the "Issuer"). Moody's rating action is as follows: US$256,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2032 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$46,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2032 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$22,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class B-R Notes"), Assigned A2 (sf) US$24,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C-R Notes"), Assigned Baa3 (sf) US$19,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D-R Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Ballyrock Investment Advisors LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period; changes to certain collateral quality tests; the inclusion of alternative benchmark replacement provisions; revisions to the CLO's ability assign recovery on restructured assets above par as interest proceeds, changes to the definition of "Adjusted Weighted Average Rating Factor". Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $399,267,449 Defaulted par: $0 Diversity Score: 87 Weighted Average Rating Factor (WARF): 3198 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.48% Weighted Average Recovery Rate (WARR): 47.63% Weighted Average Life (WAL): 7.49 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. BANK 2019-BNK19: Fitch Affirms BB Rating on Class F Certs --------------------------------------------------------- Fitch Ratings has affirmed 13 classes of BANK 2019-BNK19 commercial mortgage pass-through certificates, series 2019-BNK19. DEBT RATING PRIOR ---- ------ ----- BANK 2019-BNK19 A-1 06540WBA0 LT AAAsf Affirmed AAAsf A-2 06540WBC6 LT AAAsf Affirmed AAAsf A-3 06540WBD4 LT AAAsf Affirmed AAAsf A-S 06540WBE2 LT AAAsf Affirmed AAAsf A-SB 06540WBB8 LT AAAsf Affirmed AAAsf B 06540WBF9 LT AA-sf Affirmed AA-sf C 06540WBG7 LT A-sf Affirmed A-sf D 06540WAJ2 LT BBBsf Affirmed BBBsf E 06540WAL7 LT BBB-sf Affirmed BBB-sf F 06540WAN3 LT BBsf Affirmed BBsf X-A 06540WBH5 LT AAAsf Affirmed AAAsf X-B 06540WBJ1 LT AA-sf Affirmed AA-sf X-D 06540WAA1 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Generally Stable Performance and Loss Expectations/Increased Specially Serviced Loans: Since Fitch's last rating action, two additional loans (12.7% of the pool) have transferred to special servicing, including the second-largest loan (6.7%) in the transaction. Thirteen loans (29.3% of the pool) are considered Fitch Loans of Concern (FLOCs) including the specially serviced loans. While losses have increased slightly since issuance, the overall majority of the pool continues to perform as expected. Fitch's current ratings reflect deal expected losses of 3.3%. Additional stresses were applied on loans expected to be affected by the coronavirus, which resulted in a deal expected loss of 3.7%. However, the additional stresses did not affect the ratings or Outlooks. The vast majority of the retail (23.3%) and hotel (10.7%) properties continue to perform as expected or have improved since 2020 coronavirus pandemic performance. The largest loss contributor and specially serviced loan Waterford Lakes Town Center, which is secured by a 691,265 square foot (sf) power center located in a suburban area 11.5 miles east of Downtown Orlando and 3.5 miles south of the main campus of University of Central Florida. Built in 1998, the property is anchored by an 86,231-sf Regal movie theater and shadow-anchored by an 188,500-sf Super Target. The collateral space is occupied by 104 diverse tenants. Excluding the anchor, Regal, 12.5% of total net rentable area (NRA), no single tenant occupies more than 6.7% of total NRA. The most recent inline tenant stores sales were $458 psf as of August 2020. Fitch's modeled loss of 15.2% is based on a total 10% stress to the annualized September 2020 net operating income (NOI). The next largest contributor to loss and second-largest specially serviced loan is 29 West 35th Street which is secured by a 12-story, 98,000-sf office building with ground floor retail located in Midtown Manhattan, NY. The loan was transferred to special servicing in August 2020 for delinquent payments. The largest tenant Knotel (39% of NRA) filed bankruptcy in February 2021 and vacated. The property is currently 56.4% occupied as of the February 2021 rent roll. Per the special servicer, the State of New York extended the moratorium on foreclosure actions through Aug. 31, 2021. Upon the moratorium being lifted, the servicer will dual track the foreclosure process while discussing workout alternatives with borrowers. Legal counsel was retained to file for foreclosure and/or receivership and the loan was accelerated on Dec. 29, 2020. Fitch's modeled loss of 13% is based on a stress to the most recent appraisal value, which equates to a value of $404 psf. While there are concerns with the low occupancy, consideration was made for the location of the asset. The third-largest loss contributor and FLOC is 167-169 Canal Street which is secured by a 14,000-sf mixed use property located in New York, NY. The loan is currently on the master servicer's watchlist for declines in performance and occupancy as the borrower cited the coronavirus as a negative impact on operations. The most recent servicer reported YE 2020 NOI debt service coverage ratio (DSCR) was 0.99x with 81.8% occupancy compared to YE 2019 DSCR of 1.98x and occupancy at 100.0%. The tenant, Utepia Tea NY, Inc vacated it's 860-sf space (6.1% GLA) in 1Q20 prior to their Aug. 31, 2028 expiration date. They accounted for an annual base rent of $135,960. Per the master servicer, they have prospects for two of the three vacant spaces. Fitch's modeled loss of 49% reflects the YE 2020 NOI with no additional stress. The fourth-largest loss contributor and FLOC is Nova Place, which is secured by a 1.1 million-sf office located in Pittsburgh, PA. The largest tenant at the property is PNC Bank (34.5%, 12/2027). The remainder of the rent roll is granular. Continental Broadhead (6.4%, various) and United Healthcare Services (6.2%, June 2024) are the next largest tenants. No other tenant occupies more than 3.6% of NRA. The most recent occupancy was 86.8% as of YE 2020 with an NOI DSCR of 2.11x. There is upcoming rollover of 0.8% in 2021, 1.8% in 2022, 1.2% in 2023. In place tenants are paying a rental rate of about $18 psf, which is below the market and submarket. Fitch's modeled loss of 3.7% is based on the YE 2020 NOI with 5% stress to NOI. The fifth-largest loss contributor and FLOC is Courtyard Fayetteville Fort Bragg which is secured by a 100 key limited service hotel located in Spring Lake, NC. Property performance has been significantly affected by the coronavirus pandemic. Fitch's modeled loss of 10.9% is based on a 26% stress to YE 2019 NOI for expected decline in performance. Minimal Change in Credit Enhancement (CE): As of the July 2021 distribution date, the pool's aggregate balance was reduced by 1.0% to $1.29 billion from $1.3 billion at issuance. No loans have paid off or defeased. At issuance, based on the scheduled balance at maturity, the pool was expected to pay down by 5.9% prior to maturity, which is lower than the average for transactions of a similar vintage. There are 31 loans that are full interest-only (60% of the pool), 15 loans (19.6%) that are partial interest-only and 27 loans (20.4%) that are amortizing balloon loans. Coronavirus Exposure: There are seven hotel loans (10.7% of the pool) and 16 retail loans (23.3% of the pool). Fitch applied additional coronavirus stress to three hotel loans (2.6% of the pool). Investment-Grade Credit Opinion Loans: Four loans, representing 24.7% of the pool, were assigned investment-grade credit opinions at issuance. Two loans, 350 Bush Street (6.6% of the pool) and 30 Hudson Yards (6.5% of the pool), each received standalone credit opinions of 'A-sf'. Two loans, Grand Canal Shoppes (7.7% of the pool) and Moffett Towers - Buildings 3 and 4 (3.9% of the pool), each received standalone credit opinions of 'BBB-sf'. RATING SENSITIVITIES The Stable Rating Outlooks on all classes reflect overall stable pool performance and sufficient credit enhancement and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or defeasance. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. -- Upgrades to classes B and C would occur with large improvements in CE and/or defasance and with the stabilization of performance of the FLOCs/Specially Serviced Assets. -- Upgrades to classes D and E would also consider these factors but would be limited based on sensitivity to concentrations or the potential for future concentrations. -- Upgrades to class F are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and there is sufficient CE. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans. -- Downgrades to the senior classes (A-1 through A-S) are less likely due to high CE but may occur if losses increase substantially or if there is a likelihood for interest shortfalls. -- A downgrade to classes B, C, D, and E would likely occur if multiple large loans transfer to special servicing and expected losses increase significantly. -- Downgrades to class F would occur with a continued transfer of loans to special servicing, or if performance of the FLOCs continues to deteriorate. 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. BAYVIEW MSR 2021-INV2: Moody's Assigns (P)B3 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to fifty-six (56) classes of residential mortgage-backed securities (RMBS) issued by Bayview MSR Opportunity Master Fund Trust 2021-INV2 (BVINV 2021-2). The ratings range from (P)Aaa (sf) to (P)B3 (sf). Bayview MSR Asset Selector, LLC is the sponsor of Bayview MSR Opportunity Master Fund Trust 2021-INV2, a securitization of predominantly agency-eligible investor (INV) mortgage loans backed by 1,249 fixed rate, non-owner occupied mortgage loans (designated for investment purposes by the borrower), with an aggregate unpaid principal balance (UPB) of $401,148,023.48. The transaction benefits from a collateral pool that is of high credit quality, and is further supported by an unambiguous representations and warranties (R&W) framework, 100% third-party review (TPR) and a shifting interest structure that incorporates a subordination floor. As of the cut-off date, no borrower under any mortgage loan has entered into a COVID-19 related forbearance plan with the servicer. The R&W remedy provider, Bayview MSR Opportunity Master Fund, L.P., acquired the mortgage loans from various third-party sellers or from its subsidiaries or affiliates. Lakeview Loan Servicing, LLC (Lakeview) will service 100% of the mortgage loans. LoanCare, LLC (LoanCare) will sub-service the loans for Lakeview. As of the closing date, the sponsor or a majority-owned affiliate of the sponsor will retain a vertical residual interest with a fair value of at least 5% of the aggregate fair value of the certificates issued by the trust, which is expected to satisfy U.S. risk retention rules. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations and adjusted Moody's expected losses based on qualitative attributes, the R&W framework and TPR results. The complete rating action are as follows. Issuer: Bayview MSR Opportunity Master Fund Trust 2021-INV2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-IO1*, Assigned (P)Aaa (sf) Cl. A-IO2*, Assigned (P)Aaa (sf) Cl. A-IO3*, Assigned (P)Aaa (sf) Cl. A-IO4*, Assigned (P)Aaa (sf) Cl. A-IO5*, Assigned (P)Aaa (sf) Cl. A-IO6*, Assigned (P)Aaa (sf) Cl. A-IO7*, Assigned (P)Aaa (sf) Cl. A-IO8*, Assigned (P)Aaa (sf) Cl. A-IO9*, Assigned (P)Aaa (sf) Cl. A-IO10*, Assigned (P)Aaa (sf) Cl. A-IO11*, Assigned (P)Aaa (sf) Cl. A-IO12*, Assigned (P)Aaa (sf) Cl. A-IO13*, Assigned (P)Aaa (sf) Cl. A-IO14*, Assigned (P)Aaa (sf) Cl. A-IO15*, Assigned (P)Aaa (sf) Cl. A-IO16*, Assigned (P)Aaa (sf) Cl. A-IO17*, Assigned (P)Aaa (sf) Cl. A-IO18*, Assigned (P)Aaa (sf) Cl. A-IO19*, Assigned (P)Aaa (sf) Cl. A-IO20*, Assigned (P)Aa1 (sf) Cl. A-IO21*, Assigned (P)Aa1 (sf) Cl. A-IO22*, Assigned (P)Aa1 (sf) Cl. A-IO23*, Assigned (P)Aaa (sf) Cl. A-IO24*, Assigned (P)Aaa (sf) Cl. A-IO25*, Assigned (P)Aaa (sf) Cl. A-IO26*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary credit analysis and rating rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.74%, in a baseline scenario-median is 0.50%, and reaches 5.44% at stress level consistent with Moody's Aaa rating. 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 increased its model-derived median expected losses by 10% (7.51% for the mean) and Moody's Aaa loss by 2.5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's 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 The pool characteristics are based on the July 1, 2021 cut-off tape. This transaction consists of 1,249 fixed rate, business purpose, non-owner occupied mortgage loans secured by first liens on (i) one-to-four family residential properties, (ii) planned unit developments and (iii) condominiums with an aggregate unpaid principal balance of $401,148,023. The mortgage loans are approximately 3 months seasoned and are backed by full documentation. As of the cut-off date, all of the mortgage loans were contractually current under the MBA method with respect to payments of P&I. Predominantly all of the mortgage loans conformed to either or both of the guidelines of Fannie Mae and Freddie Mac at the time of origination and were eligible to be purchased by Fannie Mae or Freddie Mac, except for two loans that are not agency-eligible because the borrowers have more than 10 mortgaged properties. Geographic concentration is high in California where the three largest states in the transaction, California, Colorado and New Jersey account for 36.4%, 8.7%, and 5.6%, by UPB, respectively. Overall, the credit quality of the mortgage loans backing this transaction is similar to that of transactions issued by other agency INV issuers. The WA original FICO for the pool is 773 (for primary borrowers) and the WA CLTV is 63.3%. As of the cut-off date, all of the mortgage loans were contractually current under the MBA method with respect to payments of P&I and 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, but prior to the closing date, such mortgage loan will be removed from the pool. Origination Quality Bayview MSR Opportunity Master Fund, L.P. acquired the mortgage loans from various third-party sellers or from its subsidiaries or affiliates. Bayview MSR Opportunity Master Fund, L.P is managed by Bayview Asset Management, LLC ("BAM" and together with its related companies, "Bayview"). BAM is a fully integrated investment platform focused on investments in mortgage and consumer related credit. BAM operates loan servicing and robust mortgage origination businesses, with approximately 1,900 employees across business units, of which nearly 25% are dedicated to the origination business. Bayview is licensed to conduct business in 50 U.S. states, as well as the District of Columbia. Bayview began funding loans in February 2013 and its volume since inception has totaled nearly 395,000 loans with a balance of approximately $100.3 billion. Bayview has consumer direct, closed loan correspondent, and wholesale origination channels. Of note, with an exception for loans originated by Stearns Lending (6.0% by UPB) and Paramount Residential Mortgage Group, Inc. (Paramount) (5.2% by UPB), Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions, regardless of the originator, since such loans were underwritten in accordance with GSE guidelines. Moody's increased its loss assumption for the loans originated by Paramount primarily due to limited historical performance data coupled with lack of clear insight into the company's underwriting practices, quality control, and credit risk management practices. Moody's increased its loss assumption for the loans originated by Stearns Lending, LLC, recently out of bankruptcy, because sufficient time has not elapsed to assess whether the originator had corrected any origination issues that contributed to the bankruptcy filing. Servicing Arrangement Moody's assess the overall servicing arrangement for this transaction as adequate. Lakeview Loan Servicing, LLC (Lakeview) will be the named primary servicer for this transaction and LoanCare, LLC (LoanCare) will sub-service the portfolio for Lakeview. Based on operational review of Lakeview, it has strong sub-servicing monitoring processes, seasoned oversight team and system access to sub-servicer. The company uses a comprehensive sub-servicer scorecard and meets monthly with LoanCare to review results. In addition, Lakeview's monthly review of sub-servicers timely investor remittances and bank custodial account reconciliations are positive. LoanCare has the necessary processes, staff, technology and overall infrastructure in place to effectively service the transaction. Fidelity National Financial, Inc., LoanCare's ultimate parent is rated Baa2 by Moody's. The company has servicing operations located in four locations Virginia Beach, VA, Jacksonville, FL, Chandler, AZ, and in Pittsburgh, PA. The company's servicing portfolio totals approximately 1.8 million mortgage loans. LoanCare has been sub-servicing loans for 25 plus years and is the second largest sub-servicer in U.S. The company has a robust technology platform, including (MSP) as its system of record. 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 underwriting and regulatory compliance issues, and no material property valuation issues. Approximately 14.5% of the mortgage loans by UPB are appraisal waiver (AW) loans, whereby the originator 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. One independent TPR firm, Evolve Mortgage Services (Evolve), was engaged to conduct due diligence for the credit, regulatory compliance, property valuation and data accuracy. The original population included 1,599 loans. During the course of the review 350 loans were removed for various reasons, including open exceptions and loan payoffs. The final population of the Review consists of 1,249 loans. Credit quality: For an initial population of 1249 loans, Evolve graded 1247 loans with level A or B credit component grades. Two loans are graded C due to not conforming to GSE guidelines. Moody's analyzed the two loans through the MILAN model's private label module. Compliance: For an initial population of 1249 loans, Evolve graded all the loans with a level A or B grades. Property valuation: For an initial population of 1249 loans, Evolve identified 1054 loans with level A, 193 loans with level B and two loans with level C property valuation grade. One grade C loan has no secondary valuation even through its CU score is above 2.5. The other grade C loan has a low AVM confidence score but no BPO to support the value. None of the mortgage loans were excluded from the mortgage pool as a result of the valuation component of the pre-offering review. Data integrity review: The TPR firms also sought to identify data discrepancies in comparing the collateral tape to the information utilized during their reviews. If the comparison revealed discrepancies, these were reconciled and reported as a data difference and the final bid tape updated accordingly. The majority of the data integrity errors were due to city, FICO, loan purpose, original interest rate, CLTV, DTI, original balance, LTV, postal code and term. Moody's did not make any adjustments to its credit enhancement for data integrity since data discrepancies were updated, where appropriate, in the collateral tape. Representations & Warranties Moody's assessed 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 assessed R&W framework for this transaction as adequate, consistent with that of other agency non-owner occupied transactions for which the breach review process is thorough, transparent and objective, and the costs and manner of review are clearly outlined at issuance. However, Moody's applied an adjustment to Moody's losses to account for the risk that the R&W remedy provider (unrated) may be unable to repurchase defective loans in a stressed economic environment. Transaction Structure BVINV 2021-2 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 0.85% of the cut-off date pool balance, and as subordination lock-out amount of 0.85% 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. BLUEMOUNTAIN CLO XXV: Moody's Gives Ba3 Rating to $20MM E-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of CLO refinancing notes issued by BlueMountain CLO XXV Ltd. (the "Issuer"). Moody's rating action is as follows: US$320,000,000 Class A-R Senior Secured Floating Rate Notes due 2036, Assigned Aaa (sf) US$20,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2036, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans, senior secured bonds and unsecured bonds; provided that, not more than 5% may consist of bonds. Assured Investment Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and four other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Moody's Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $500,000,000 Defaulted par: $0 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3149 Weighted Average Spread (WAS): 3.39% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. BLUEMOUNTAIN XXIX: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class X-R, A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement notes and proposed new class X notes from BlueMountain CLO XXIX Ltd./BlueMountain CLO XXIX LLC, a CLO originally issued in June 2020 that is managed by Assured Investment Management LLC. The preliminary ratings are based on information as of July 21, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 26, 2021, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. S&P said, "At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm our ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R notes are expected to be issued at a lower spread over three-month LIBOR than the original notes. -- The replacement class A-1-R and A-2-R notes are expected to be issued at a floating spread, replacing the current class A floating-rate note. -- The replacement class D-1-R and D-2-R notes are expected to be issued at a floating spread, replacing the current class D floating-rate note. -- The stated maturity and reinvestment period will be extended three years. -- The aggregate ramp-up par amount will be increased from $400.00 million to $500.00 million. -- The portfolio manager will gain the ability to purchase workout obligations. -- 98.89% of the identified underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 96.21% of the identified underlying collateral obligations 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 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 BlueMountain CLO XXIX Ltd./BlueMountain CLO XXIX LLC Class A-1-R, $300.00 million: AAA (sf) Class A-2-R, $20.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1-R (deferrable), $22.50 million: BBB+ (sf) Class D-2-R (deferrable), $7.50 million: BBB- (sf) Class E-R (deferrable), $20.00 million: BB- (sf) Subordinated notes, $46.00 million: Not rated CARLYLE US 2017-1: Moody's Hikes $24MM Class D Notes Rating to Ba3 ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to three classes of CLO refinancing notes issued by Carlyle US CLO 2017-1, Ltd. (the "Issuer"). Moody's rating action is as follows: US$387,761,078 Class A-1-R Senior Secured Floating Rate Notes Due 2031 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$67,000,000 Class A-2-R Senior Secured Floating Rate Notes Due 2031 (the "Class A-2-R Notes"), Assigned Aa1 (sf) US$32,500,000 Class B-R Senior Secured Deferrable Floating Rate Notes Due 2031 (the "Class B-R Notes"), Assigned A2 (sf) Additionally, Moody's has taken rating actions on the following outstanding notes originally issued by the Issuer on April 19, 2017 (the "Original Closing Date"): US$38,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes Due 2031, Upgraded to Baa3 (sf); previously on July 16, 2020 Downgraded to Ba1 (sf) US$24,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes Due 2031, Upgraded to Ba3 (sf); previously on July 16, 2020 Downgraded to B1 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Carlyle CLO Management L.L.C. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining two years reinvestment period. The Issuer previously issued two other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the non-call period; the inclusion of alternative benchmark replacement provisions; additions to the CLO's ability to hold workout and restructured assets, and changes to the definition of "Adjusted Weighted Average Moody's Rating Factor". Moody's rating actions on the Class C Notes and Class D Notes are primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. Additionally, the Notes benefited from an improvement in the credit quality of the portfolio since July 2020. Based on the trustee's June 2021 report[1], the weighted average rating factor is currently 2902 compared to 3409 in July 2020[2]. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $583,233,230 Defaulted par: $1,181,633 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2830 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.35% Weighted Average Recovery Rate (WARR): 47.45% Weighted Average Life (WAL): 5.75 years In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; an additional cashflow analysis assuming a lower WAS to test the sensitivity to LIBOR floors; sensitivity analysis on deteriorating credit quality due to a large exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. 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. CARLYLE US 2020-1: Moody's Assigns B3 Rating to $5MM Cl. E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to nine classes of CLO refinancing notes issued by Carlyle US CLO 2020-1, Ltd. (the "Issuer"). Moody's rating action is as follows: US$2,000,000 Class X-R Senior Secured Floating Rate Notes Due 2034, Assigned Aaa (sf) US$300,000,000 Class A-1A-R Senior Secured Floating Rate Notes Due 2034, Assigned Aaa (sf) US$10,000,000 Class A-1Ba-R Senior Secured Floating Rate Notes Due 2034, Assigned Aaa (sf) US$10,000,000 Class A-1Bb-R Senior Secured Fixed Rate Notes Due 2034, Assigned Aaa (sf) US$60,000,000 Class A-2-R Senior Secured Floating Rate Notes Due 2034, Assigned Aa2 (sf) US$30,000,000 Class B-R Mezzanine Secured Deferrable Floating Rate Notes Due 2034, Assigned A2 (sf) US$30,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes Due 2034, Assigned Baa3 (sf) US$20,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes Due 2034, Assigned Ba3 (sf) US$5,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes Due 2034, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second-lien loans, permitted non-loan assets and unsecured loans. Carlyle CLO Management L.L.C. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the revision of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2671 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.0% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. CARVAL CLO IV: S&P Assigns Prelim B- (sf) Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Carval CLO IV Ltd./Carval CLO IV LLC's loans and fixed- and floating-rate notes. The loan and 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 CarVal CLO Management LLC. The preliminary ratings are based on information as of July 20, 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 Carval CLO IV Ltd./Carval CLO IV LLC Class A-1A, $93.00 million: AAA (sf) Class A-1B, $15.00 million: AAA (sf) Class A-1N loans, $140.00 million(i): AAA (sf) Class A-1N, $0.00 million(i): AAA (sf) Class A-2, $8.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $22.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Class F (deferrable), $6.00 million: B- (sf) Subordinated notes, $32.20 million: Not rated (i)The outstanding principal amount of the class A-1N notes will be $0.00 on the closing date and may be increased to up to $140,000,000 upon the exercise of the conversion option, which shall convert the class A-1N loans into the class A-1N notes. Upon conversion, the outstanding principal amount of the class A-1N loans will be reduced accordingly. CBAM LTD 2017-3: Moody's Assigns Ba3 Rating to $65MM Cl. E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by CBAM 2017-3, Ltd. (the "Issuer"). Moody's rating action is as follows: US$4,200,000 Class X-R Floating Rate Notes Due 2034, Assigned Aaa (sf) US$832,000,000 Class A-R Floating Rate Notes Due 2034, Assigned Aaa (sf) US$156,000,000 Class B-R Floating Rate Notes Due 2034, Assigned Aa2 (sf) US$66,300,000 Class C-R Deferrable Floating Rate Notes Due 2034, Assigned A2 (sf) US$76,700,000 Class D-R Deferrable Floating Rate Notes Due 2034, Assigned Baa3 (sf) US$65,000,000 Class E-R Deferrable Floating Rate Notes Due 2034, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans and/or permitted non-loan assets (secured bonds, senior unsecured bonds or subordinated bonds), provided that no more than 5% of the portfolio may consist of permitted non-loan assets. CBAM Partners, LLC (as successor to CBAM CLO Management LLC) (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the issuer also issued additional subordinated notes. A variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Moody's Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $1,300,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2694 Weighted Average Spread (WAS): 3.30% Weighted Average Recovery Rate (WARR): 45% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. CHASE AUTO 2021-2: Fitch Assigns Final B Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the notes issued by JPMorgan Chase Bank, National Association, Chase Auto Credit Linked Notes, Series 2021-2 (Chase Auto 2021-2). DEBT RATING PRIOR ---- ------ ----- Chase Auto Credit Linked Notes, Series 2021-2 A LT NRsf New Rating NR(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf F LT Bsf New Rating B(EXP)sf G LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf KEY RATING DRIVERS Collateral - Strong Prime Credit Quality: The 2021-2 statistical referenced pool has a weighted average (WA) FICO score of 779, consistent with 780 in 2021-1, and scores above 750 total 67.7%. The WA LTV is low at 94.4% (versus 96.1% in 2021-1), WA APR is 4.21% (versus 4.54%) and WA seasoning is 15.0 months (versus 14.0 months); the pool has strong vehicle brand, model and geographic diversification. Original terms greater than 60 months total 83.9% (versus 86.3%) and 73-to 86-month loans total 26.6% (versus 33.3%), and used vehicles total 45.1% (versus 44.1%), consistent with JPMCB historical originations and the prior transaction. Forward-Looking Approach to Derive Base Case Loss Proxy - Stable Portfolio/Securitization Performance: JPMCB's managed portfolio performance has been strong since 2013 through 2021 YTD, with low losses and delinquencies. Fitch considered current market conditions amid the coronavirus pandemic, and included recessionary and peer prime auto loan static portfolio proxy performance, along with prior JPMCB and peer proxy ABS performance, to derive a cumulative net loss (CNL) proxy of 1.10%, consistent with the prior transaction. Payment Structure — Only Note Subordination for CE: Initial hard CE totals 4.67%, 3.57%, 2.47%, 1.92% and 1.54% for the rated classes B, C, D, E and F, respectively, consistent with the prior transaction, entirely consisting of subordinated note balances, including the additional class G and class R notes. There is no additional enhancement provided, including no excess spread. Initial CE is sufficient to withstand Fitch's base case CNL proxy of 1.10% at the applicable rating loss multiples. Seller/Servicer Operational Review — Stable Origination/Underwriting/Servicing: JPMCB (including Chase Auto) demonstrate adequate abilities as originator, underwriter and servicer, as evidenced by historical portfolio delinquency, loss experience and prior securitization performance. Fitch deems JPMCB (and thus Chase Auto) capable to service this series. Pro-Rata Pay Structure (Negative): Auto loan cash flows are allocated among the class B through E notes based on a pro-rata pay structure, with the class A certificates (retained by JPMCB) receiving a pro-rata allocation payment, and the subordinate class F, G and R notes are to remain unpaid until all other classes are paid in full. In addition, lower-rated subordinated classes will be locked out of principal entirely if the transaction CNL exceeds a set CNL schedule. The lockout feature helps maintain subordination for a longer period should CNL occur earlier in the life of the deal. This feature redirects subordinate principal to classes of higher seniority sequentially, except class A certificates. Further, if the pool CNL exceeds 2.50%, the transaction switches from pro-rata and pays fully sequentially, including for the class A certificates. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, class F, G and R notes are locked out of payments until other classes of notes are paid in full, leading to a floor amount of subordination of 1.92% below the class E notes at issuance. Excessive Counterparty Exposure: The excessive exposure in the transaction arises due to JPMCB's role providing a material degree of credit support to the transaction. Noteholders will not have recourse to the reference portfolio or to the cash generated by the assets. Instead, the transaction relies on JPMCB to make interest payments based on the note rate and principal payments based on the performance of the reference pool. The monthly payment due will be deposited by JPMCB into a segregated trust account held at U.S. Bank N.A. (AA-/F1+; the securities administrator) for the benefit of the notes. If JPMCB fails to make a payment to noteholders, it will be deemed an event of default. JPMCB is also the servicer and will retain the class A certificates. Given this dependence on the bank, ratings on the notes are directly linked to, and capped by, the IDR of the counterparty, JPMCB (AA/F1+/Stable). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Changes in expected loss timing for the transaction may affect the transaction structure over time, leading to impairments in the payment of the outstanding notes. In the event that losses suddenly increase near the end of the transaction, which has primarily paid down pro rata with no increase in CE at that time, significant losses may be incurred to the outstanding notes, which will not have entered sequential payment, per the performance triggers outlined herein. -- In addition, unanticipated increases in the frequency of defaults could produce CNL levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. -- For this transaction, Fitch conducted sensitivity analyses by stressing the transaction's assumed loss timing, the transaction's initial base case CNL and recovery rate assumptions, examining the rating implications on all rated classes of issued notes. The loss timing sensitivity modifies the base case loss timing curve to delay the sequential payment triggers to the middle of the transaction's life while maintaining overall loss levels. -- The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non investment grade (BBsf) and to 'CCCsf', based on the break even loss coverage provided by the CE structure. -- Additionally, Fitch conducts a 1.5x and a 2.0x increase to the CNL proxy, representing both moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. -- A more prolonged disruption from the pandemic is accounted for in the severe downside CNL stress of 2.0x and could result in downgrades of up to two rating categories for the subordinate notes. The U.S. and the broader global economy was under significant stress, with surging unemployment and pressure on businesses stemming from government-led social distancing guidelines. While delinquencies and losses increased slightly, the magnitude was limited due to government stimulus and lender support in the form of loan extensions. However, the U.S. economy has rebounded from weak pandemic levels. Loss Timing Sensitivity As mentioned, prior to the triggering of a sequential payment event through the CNL schedule, the class B through E notes are paid pro rata until paid in full. This pro-rata paydown presents a risk to the notes, which may share in any losses incurred and not receive adequate principal paydown over time. In Fitch's mid-loaded primary scenario, this trigger activates almost immediately, leading to higher loss coverage. While Fitch believes a more back-loaded scenario is less likely, to evaluate the potential structural challenge, an additional timing scenario was considered in which 20% of the CNL expected to occur in the first two years of the transaction's life were delayed to the second two years, in a 25%/35%/30%/10% loss curve. The delayed loss curve leads to the sequential order event occurring later in the life of the transaction in the class B, C and D stress scenarios, causing a significant drop in break-even loss coverage for these rated classes of notes. Class E and F notes are supported regardless of timing scenario due to their relative size and the locked-out nature of the class F, G and R notes, which do not receive payments until all other notes are paid in full, regardless of any events being triggered. In this scenario, class B, C and D notes would each potentially drop two notches in their ratings. The second sensitivity also focuses on stressing the impact of CNLs outside of base case expectations by a 1.5x and 2.0x multiple relative to available loss coverage. This analysis provides a good indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. In this example, under the 1.5x scenario, the base case proxy increases to 1.65% and an implied loss multiple of 2.83x, which would suggest a downgrade to the 'Asf' range. Under the more severe 2.0x stress, the base case proxy increases to 2.20%, which results in an implied multiple of 2.12x or downgrade to the 'BBBsf' range. Due to de-levering and structural features, a typical auto loan ABS transaction tends to build CE and loss coverage levels over time, absent any increase to projected defaults/losses beyond expectations. However, the current transaction, which is based on a reference pool and is not a standard auto loan ABS transaction, sees only limited increases in enhancement over the life of the deal as classes B through E pay down pro rata. The greatest risk of losses to an auto loan ABS transaction is over the first one to two years of the transaction, where the benefit of de-levering may be muted. This analysis does not give explicit credit to the de-levering and building CE afforded in auto loan ABS transactions. Recovery Rate Sensitivity Recoveries can have a material impact on auto loan pool performance, particularly in stressed economic environments where default frequency is higher. This sensitivity analysis evaluates the impact of stressed recovery rates on the considered structure and rating impact. Historically, recovery rates on auto loan collateral have ranged from 40%-70%. Utilizing the base case of 1.10% detailed in the CNL sensitivities above, recovery rate credit under Fitch's primary scenario is 50%, resulting in a CGD base case proxy of 2.20%. Applying a 50% haircut to the 50% recovery rate results in a stressed recovery rate of 25% and a base case CNL proxy of 1.65% (2.20% x 75% = 1.65%). Under this stressed scenario, the implied multiple declines to 2.83x (4.67%/1.65% = 2.83x), resulting in an implied rating of 'BBB+sf'. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Conversely, stable to improved asset performance driven by stable delinquencies and defaults would lead to marginally increasing CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be maintained for class B (which are capped at the originator's ratings) and upgraded by one category for class C, D, E and F notes. However, this upgrade potential is very remote, as low losses will mean the transaction remains pro rata for longer, leading to less enhancement build over time. 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. CIFC FUNDING 2021-V: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CIFC Funding 2021-V Ltd./CIFC Funding 2021-V 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 CIFC Asset Management LLC. The preliminary ratings are based on information as of July 19, 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 CIFC Funding 2021-V Ltd./CIFC Funding 2021-V LLC Class A, $300.00 million: AAA (sf) Class B, $80.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Subordinated notes, $48.30 million: Not rated CITIGROUP COMMERCIAL 019-GC41: Fitch Affirms B- Rating on GRR Certs ------------------------------------------------------------------- Fitch affirms all classes of Citigroup Commercial Mortgage Trust 2019-GC41 commercial mortgage pass-through certificates, series 2019-GC41 DEBT RATING PRIOR ---- ------ ----- CGCMT 2019-GC41 A-1 17328FAS4 LT AAAsf Affirmed AAAsf A-2 17328FAT2 LT AAAsf Affirmed AAAsf A-3 17328FAU9 LT AAAsf Affirmed AAAsf A-4 17328FAV7 LT AAAsf Affirmed AAAsf A-5 17328FAW5 LT AAAsf Affirmed AAAsf A-AB 17328FAX3 LT AAAsf Affirmed AAAsf A-S 17328FAY1 LT AAAsf Affirmed AAAsf B 17328FAZ8 LT AA-sf Affirmed AA-sf C 17328FBA2 LT A-sf Affirmed A-sf D 17328FAA3 LT BBBsf Affirmed BBBsf E 17328FAC9 LT BBB-sf Affirmed BBB-sf F 17328FAE5 LT BB-sf Affirmed BB-sf GRR 17328FAG0 LT B-sf Affirmed B-sf X-A 17328FBB0 LT AAAsf Affirmed AAAsf X-B 17328FAL9 LT A-sf Affirmed A-sf X-D 17328FAN5 LT BBB-sf Affirmed BBB-sf X-F 17328FAQ8 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations increased since issuance due to the transfer of one loan (0.6%) to special servicing and higher modeled losses on loans performing below expectations. Fitch flagged nine loans (17.5%) as Fitch Loans of Concern (FLOCs) including the loan in special and two loans within the top 15 (9.8%) primarily due to deteriorating performance or concerns related to the coronavirus pandemic. Fitch's current ratings incorporate a base case loss of 4.3%. Fitch applied additional stresses on loans expected to be impacted by the coronavirus pandemic; however, this did not impact the ratings or outlooks. The majority of retail properties (16.3%) and hotel properties (10.1%) continue to perform as expected or have improved since 2020 pandemic performance. Fitch Loans of Concern: The largest contributor to loss, Compass Self Storage Michigan Portfolio (0.8%), is secured by two self-storage properties (147 units) located in Michigan. Current NOI is approximately 50% lower than issuance. Based on the most recent cashflow, Fitch's modeled losses (55%) are higher than issuance (4.5%). Fitch will continue to monitor the loan for performance updates. The second largest contributor to loss, The Zappettini Portfolio (4.3%), is secured by portfolio of 10 office buildings (251,575 sf) all located in Mountain View, CA. The portfolio is located near the Googleplex and Microsoft's Silicon Valley campus. Top three tenants: Iridex Corporation (11.9%; lease expires August 2024), Egnyte, Inc. (11.8%; lease expires April 2024) and County of Santa Clara (9.9%; lease expires Sept. 30, 2021). The loan was flagged as a FLOC as occupancy declined to 88.7% as of April 2021 from 100% at YE 2020 and upcoming rollover risk. Approximately 22.4% NRA and 2.9% NRA expires in 2021 and 2022 respectively. Fitch's analysis includes a 20% stress to YE 2020 NOI to account for the decline in occupancy and upcoming rollover concerns, which resulted in an 8.6% loss severity. The largest FLOC and second largest loan in the pool is Millennium Park Plaza (5.5%). It is secured by 560,083 sf mixed-use property (multifamily, office and retail) tower located in Chicago, Illinois. The components of the Millennium Park Plaza Property are divided as follows: multifamily (557 units), office (64,465 sf) and retail (18,450 sf). The subject is well-located in the downtown Chicago Loop, approximately two blocks north of Maggie Daley Park and two-and-a half blocks west of the Chicago River. YE 2020 occupancy was 85%, below Fitch expectations (93%). Most of the decline is to the multifamily where occupancy declined to 82.7% as of October 2020 from 99.8% at issuance. Despite the decline in performance, low loss expectation of 4.6% reflect the expectation that performance will improve as tenants return to the city and offices. The losses also reflect the property's location adjacent to Millennium Park in downtown Chicago. Minimal Change in Credit Enhancement: As of the July 2021 distribution date, the pool's aggregate principal balance has paid down by 0.3% to $1,272 million from $1,276 million at issuance. No loans are defeased. 27 loans, representing 80.7% of the pool, are full-term interest-only. Eight loans, representing 9.2% of the pool, were structured with a partial interest-only component; none have begun to amortize. Based on the scheduled balance at maturity, the pool will pay down by only 2.7%. Coronavirus Exposure: Retail, hotel and multifamily properties represent 16.3%, 10.1% and 9.6% of the pool, respectively. Fitch's analysis applied additional coronavirus-related stresses on three hotel loans (3.9%) and one retail loan (1.6%) to account for potential cash flow disruptions. Pool Concentrations: Office properties represent the largest asset concentration at 33.4%. Retail (16.3%) and mixed use (12.9%) represent the second and third largest asset types respectively. Pari Passu: 13 loans (53.1% of pool) are pari passu, including 10 loans (46.6%) in the top 15. RATING SENSITIVITIES The Stable Outlooks on classes reflect the overall stable performance of the majority of the pool and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance; -- Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in credit enhancement (CE) and/or defeasance; however, adverse selection and increased concentrations, or underperformance of the FLOCs, could cause this trend to reverse; -- Upgrades to the '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. -- Additionally, an upgrade to the 'BB-sf' and 'B-sf' rated classes is not likely until later years of the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE, which would likely occur when the nonrated class is not eroded and the senior classes pay off. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans; -- Downgrades to the 'AA-sf' through 'AAAsf' rated-classes are not considered likely due to their position in the capital structure but may occur should interest shortfalls affect these classes; -- Downgrades to the 'BBB-sf' through 'A-sf' rated classes may occur should expected losses for the pool increase substantially and all of the loans susceptible to the coronavirus pandemic suffer losses, which would erode CE; -- Downgrades to the 'B-sf' and 'BB-sf' rated classes would occur with greater certainty of loss or as losses are realized. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CITIGROUP COMMERCIAL 2017-B1: Fitch Affirms B- Rating on F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Citigroup Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2017-B1 (CGCMT 2017-B1). The Rating Outlooks remain Negative on classes E, X-E and F. DEBT RATING PRIOR ---- ------ ----- Citigroup Commercial Mortgage Trust 2017-B1 Class A-1 17326CAW4 LT AAAsf Affirmed AAAsf Class A-2 17326CAX2 LT AAAsf Affirmed AAAsf Class A-3 17326CAY0 LT AAAsf Affirmed AAAsf Class A-4 17326CAZ7 LT AAAsf Affirmed AAAsf Class A-AB 17326CBA1 LT AAAsf Affirmed AAAsf Class A-S 17326CBB9 LT AAAsf Affirmed AAAsf Class B 17326CBC7 LT AA-sf Affirmed AA-sf Class C 17326CBD5 LT A-sf Affirmed A-sf Class D 17326CAA2 LT BBB-sf Affirmed BBB-sf Class E 17326CAC8 LT BB-sf Affirmed BB-sf Class F 17326CAE4 LT B-sf Affirmed B-sf Class X-A 17326CBE3 LT AAAsf Affirmed AAAsf Class X-B 17326CBF0 LT AA-sf Affirmed AA-sf Class X-D 17326CAJ3 LT BBB-sf Affirmed BBB-sf Class X-E 17326CAL8 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Stable Loss Expectations; Coronavirus Concerns: Overall loss expectations have remained relatively stable since the prior rating action with several loans experiencing less severe coronavirus pandemic-related declines than expected. Thirteen loans (26.9% of pool), including one (1.0%) in special servicing were designated Fitch Loans of Concern (FLOCs). Fitch's current ratings incorporate a base case loss of 4.50%. The Negative Outlooks reflect losses that could reach 6.10% when factoring in additional pandemic-related stresses, as well as a potential outsized loss on Crossgates Commons. Fitch Loans of Concern: The largest contributor to loss expectations, Lakeside Shopping Center (6.4%), is secured by a 1.2 million sf super regional mall located in Metairie, LA, approximately 7.8 miles northwest of New Orleans. The loan is sponsored by the Feil Organization. The mall is anchored by Dillard's, which leases 25.7% net rentable area (NRA) through December 2029, Macy's, which has a ground lease for 19.0% NRA through February 2029 and JCPenney, which leases 16.8% NRA through July 2023. Fitch's loss expectation of approximately 14% in the base case is based on a 12% cap rate and 5% total haircut to the YE 2020 NOI, which reflects rollover risks as well as secular shifts away from regional malls and larger retail centers. Occupancy has remained relatively flat since issuance, reporting at 98% as of March 2021; however, NOI has declined as a result of the pandemic with YE 2020 NOI approximately 13% below YE 2019 NOI and 20% below the issuers underwritten NOI. The servicer-reported NOI debt service coverage ratio (DSCR) has declined to 2.18x as of the YTD March 2021 from 2.36x at YE 2020, 2.72x at YE 2019 and 2.96x at issuance. The declines are attributed to lower revenues, as well as increased expenses. Near term rollover includes 4% NRA in 2021 and 4% in 2022. The second largest contributor to loss expectations is the McNeill Hotel Portfolio (3.5%), secured by the 110-key, extended stay Homewood Suites Boise in Idaho, the 107-key, select service Hilton Garden Inn Twin Falls in Idaho and the 106-key, limited service Hampton Inn and Suites West Jordan in Utah. The loan is sponsored by McNeill Hotel Company. Per servicer updates, the borrower has requested coronavirus relief, which is currently under review by the servicer. Fitch's analysis includes a pandemic-related stress scenario where losses could reach up to approximately 23% and is based on a 11.50% cap rate and a 26% total haircut to the YE 2019 NOI. Fitch's base case analysis reflects a 10% total haircut to the YE 2019 NOI and loss of approximately 8%. Occupancy and servicer-reported NOI DSCR were 72% and 0.95x as of the TTM ended March 2021 compared with 69% and 0.93x at YE 2020, 78% and 1.66x at YE 2019 and 81% and 2.43x at issuance. Per Smith Travel Research (STR) and as of the TTM ended March 2021, Homewood Suites Boise, Hilton Garden Inn and Hampton Inn and Suites were all outperforming their competitive sets with RevPAR penetration rates of 171.1%, 121.6% and 104.5%, respectively. All three hotels have long term franchise agreements with Hilton through July 2032. Exposure to Coronavirus Pandemic: Six loans (18.5%) are secured by hotel properties. The weighted average NOI DSCR for all the hotel loans is 2.45x. These hotel loans could sustain a weighted average (WA) decline in NOI of 60% before DSCR falls below 1.00x. Twelve loans (21.7%) are secured by retail properties. The WA NOI DSCR for all non-defeased retail loans is 2.18x. These retail loans could sustain a weighted average decline in NOI of 55% before DSCR fall below 1.00x. Additional coronavirus specific stresses were applied to five hotel loans (17.3%) and one retail loan (0.7%). These additional stresses contributed to the Negative Outlooks on classes E, X-E and F. Alternative Loss Consideration: Fitch applied a potential outsized loss of 25% on the maturity balance of Crossgates Commons (1.3%) to reflect concerns with the loan sponsor, The Pyramid Companies, and refinance concerns at loan maturity in May 2022. Crossgates Commons is secured by a 437,286 sf anchored retail center in Albany, NY across from Crossgates Mall. The property is shadow-anchored by Walmart and anchored by Home Depot, which leases 23.5% NRA through January 2025. This additional scenario did not cause any additional Outlook revisions. Minimal Change to Credit Enhancement (CE): There has been minimal change to CE since issuance. As of the June 2021 distribution date, the pool's aggregate balance has been paid down by 2.2% to $921.1 million from $941.6 million at issuance. Twenty loans (60.1% of pool) are full-term, interest-only. Sixteen loans (19.7%) had a partial-term, interest-only component at issuance of which 12 have begun amortizing. One loan (1.1%) is fully defeased. Interest shortfalls of $199,263 are currently affecting the non-rated classes H and VRR. Pool Concentration: The top 10 loans comprise 54.0% of the pool. Loan maturities are concentrated in 2027 (91.0%). Based on property type, the largest concentrations are mixed-use at 25.0%, retail at 21.7% and hotel at 18.5%. RATING SENSITIVITIES The Negative Outlooks on classes E, X-E and F reflect the potential for downgrades given concerns with the FLOCs, primarily the loans affected by the coronavirus pandemic. The Stable Outlooks reflect sufficient CE and the expectation of paydown from continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B through D, X-B and X D may occur with significant improvement in CE and/or defeasance but would be limited based on sensitivity to concentrations or the potential for future concentration. The Negative Outlooks on classes E, X-E and F will be revised to Stable if loans affected by the pandemic stabilize and return to their pre-pandemic performance. -- Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades of classes E, X-E and F could occur if performance of the FLOCs improves significantly and/or if there is sufficient CE, which would likely occur if the non-rated classes are not eroded and the senior classes pay-off. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level expected losses from underperforming or specially serviced loans. Downgrades of classes rated 'AAAsf' are not likely due to sufficient CE and expected continued amortization but would occur at the 'AAAsf' and 'AAsf' levels if interest shortfalls occur. -- Downgrades of classes in the 'Asf' and 'BBBsf' categories would occur if additional loans become FLOCs or if performance of the FLOCs deteriorates further. Classes E, X-E and F would be downgraded if additional loans become FLOCs, performance of the FLOCs declines and/or losses on the loans affected by the coronavirus pandemic materialize. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CITIGROUP COMMERCIAL 2017-P8: Fitch Affirms B- Rating on 2 Tranches ------------------------------------------------------------------- Fitch Ratings has affirmed 22 classes of Citigroup Commercial Mortgage Trust 2017-P8 commercial mortgage pass-through certificates (CGCMT 2017-P8). DEBT RATING PRIOR ---- ------ ----- CGCMT 2017-P8 A-1 17326DAA0 LT AAAsf Affirmed AAAsf A-2 17326DAB8 LT AAAsf Affirmed AAAsf A-3 17326DAC6 LT AAAsf Affirmed AAAsf A-4 17326DAD4 LT AAAsf Affirmed AAAsf A-AB 17326DAE2 LT AAAsf Affirmed AAAsf A-S 17326DAF9 LT AAAsf Affirmed AAAsf B 17326DAG7 LT AA-sf Affirmed AA-sf C 17326DAH5 LT A-sf Affirmed A-sf D 17326DAM4 LT BBB-sf Affirmed BBB-sf E 17326DAP7 LT BB-sf Affirmed BB-sf F 17326DAR3 LT B-sf Affirmed B-sf V-2A 17326DBF8 LT AAAsf Affirmed AAAsf V-2B 17326DBH4 LT AA-sf Affirmed AA-sf V-2C 17326DBK7 LT A-sf Affirmed A-sf V-2D 17326DBM3 LT BBB-sf Affirmed BBB-sf V-3AC 17326DBR2 LT A-sf Affirmed A-sf V-3D 17326DBV3 LT BBB-sf Affirmed BBB-sf X-A 17326DAJ1 LT AAAsf Affirmed AAAsf X-B 17326DAK8 LT AA-sf Affirmed AA-sf X-D 17326DAV4 LT BBB-sf Affirmed BBB-sf X-E 17326DAX0 LT BB-sf Affirmed BB-sf X-F 17326DAZ5 LT B-sf Affirmed B-sf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased slightly from Fitch's prior rating action primarily due to higher loss expectations from two retail loans in the top 15 - Mall of Louisiana (4.5%) and Lakeside Shopping Center (3.1%). Fitch has identified six additional loans (10.5%) as Fitch Loans of Concern (FLOCs) including five loans (9.9%) secured by hotel properties that have experienced pandemic-related performance declines. Our current ratings incorporate a base case loss of 4.6%. The Negative Rating Outlook on Classes E and F reflect losses that could reach 5.2% when factoring in additional pandemic-related stresses; 1.2% of these losses are attributed to the FLOCs secured by hotel loans, which may improve in the next year if travel starts to return to pre-pandemic levels. The largest FLOC and largest contributor to losses is Mall of Louisiana (4.4%), which is secured by 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 YE 2020 sales report, comp inline sales for tenants less than 10,000 sf was $335 psf, excluding Apple, compared with $454 psf at YE 2019, $461 psf at YE 2018 and $461 psf at issuance (March 2018). YE 2020 debt service coverage ratio (DSCR) is 2.00x compared with 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 net rentable area (NRA) are scheduled to roll in 2021, and an additional 5.7% in 2022. Sears, a non-collateral anchor, closed in May 2021. Fitch's loss expectation of approximately 20% is based on a 15% cap rate and a 10% stress to the YE 2021 NOI due to the upcoming tenant rollover, 18.3% NRA in 2021 and 2022, combined, the dark Sears box, declining sales, regional mall asset class and secondary market location. The second largest FLOC is the Starwood Capital Group Hotel Portfolio (4.4%), which is secured by a portfolio of 65 hotels spanning the limited service, full service and extended stay varieties. The hotels range in size from 56 to 147 rooms, with an average count of 98 rooms. Per servicer updates, pandemic relief has been granted to the borrower. Relief terms include three months of deferred reserves and ability to utilize reserve funds toward three months of debt service payments. Repayment is occurring over a 12-month period which began with the February 2021 payment. Portfolio occupancy and servicer reported NOI DSCR for this interest-only loan were 53% and 0.93x as of YTD September 2020, down from 74% and 2.73x at YE 2019 and 75% and 3.05x at issuance. The special servicer will monitor asset performance for a transfer back to the master servicer. Fitch's loss expectation of approximately 15% is based on a 11.5% cap rate and 26% stress to YE 2019 NOI. The third-largest FLOC is Lakeside Shopping Center (3.1%), which is a 1.2 million sf regional mall located in Metairie, LA, approximately 7.8 miles northwest of the New Orleans CBD. Collateral anchors are Dillard's (24.1%; expired Dec. 31. 2029), Macy's (18.9%; expired Jan. 1, 2029) and JC Penney (16.8% NRA; expired Nov. 11, 2022). JC Penney (4.6% of Rent+ recoveries) will be vacating prior to its Nov. 30, 2022 lease expiration. Currently, the tenant remains open and is still listed on the mall's online directory. As of March 2021, the property was 97.9% occupied (81.6% excluding JC Penney). Fitch's analysis included a 5% stress to YE 2020 NOI to account for potential co-tenancy triggers, which resulted in an approximate 15% loss severity. Minimal Change in Credit Enhancement: Credit enhancement has had minimal change since issuance due to limited amortization, no loan payoffs and no defeasance. As of the June 2021 distribution period, the pool's aggregate balance has been paid down by 1.9% to $1.066 billion from $1.087 billion at issuance. There are 19 loans (43.9% of the pool) that are full-term, interest only and seven loans (14.6%) that are partial interest only that have not yet begun to amortize. Granular Pool: The top 10 and 15 loans account for approximately 43.8% and 58.9% of total pool balances, respectively. This compares favorably with the 2017 vintage averages of 53.1% and 66.9%, respectively. RATING SENSITIVITIES The Stable Outlooks on Classes A-1 through D reflect the overall stable performance of the majority of the pool and expected continued amortization. The Negative Outlooks on Classes E and F reflect the potential for downgrade due to concerns surrounding the ultimate effects 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 pay down and/or defeasance. Upgrades to the 'Asf' and 'AAsf' categories would likely occur with significant improvement in credit enhancement and/or defeasance; however, adverse selection, increased concentrations and/or further underperformance of the FLOCs or loans, expected to be negatively affected by the coronavirus pandemic, could cause this trend to reverse. -- Upgrades to the 'BBBsf' category would also take into account these factors but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if interest shortfalls are likely. -- Upgrades to the 'Bsf' and 'BBsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient credit enhancement to the classes. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming or specially serviced loans. -- Downgrades to the 'AAsf' and 'AAAsf' categories are not likely due to the position in the capital structure but may occur at the 'AAsf' and 'AAAsf' categories should interest shortfalls occur. -- Downgrades to the 'Asf' and 'BBBsf' categories would occur if a high proportion of the pool defaults and expected losses increase significantly. -- Downgrades to the 'Bsf' and 'BBsf' categories would occur should loss expectations increase due to an increase in FLOCs or specially serviced loans. The Rating Outlooks on Classes E and F may be revised back to Stable if the performance of the FLOC's improves and stabilizes. 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-RP4: DBRS Finalizes B Rating on B-2 Notes ----------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage-Backed Notes, Series 2021-RP4 issued by Citigroup Mortgage Loan Trust 2021-RP4: -- $2.2 billion Class A-1 at AAA (sf) -- $142.3 million Class A-2 at AA (sf) -- $2.3 billion Class A-3 at AA (sf) -- $2.4 billion Class A-4 at A (sf) -- $2.5 billion Class A-5 at BBB (sf) -- $106.7 million Class M-1 at A (sf) -- $84.3 million Class M-2 at BBB (sf) -- $61.9 million Class B-1 at BB (sf) -- $47.4 million Class B-2 at B (sf) Classes A-3, A-4, and A-5 are exchangeable notes. These classes can be exchanged for combinations of exchange notes. The AAA (sf) rating on the Notes reflects 17.90% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 12.50%, 8.45%, 5.25%, 2.90%, and 1.10% of credit enhancement, respectively. Other than the specified class above, DBRS Morningstar does not rate any other classes in this transaction. The Trust is a securitization a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 14,648 loans with a total principal balance of $2,634,798,746 as of the Cut-Off Date (May 31, 2021). The mortgage loans, which were purchased from Fannie Mae, are approximately 173 months seasoned. As of the Cut-Off Date, 98.2% of the loans are current, including 113 bankruptcy-performing loans. Approximately 71.0% and 91.8% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the Mortgage Bankers Association delinquency method. The portfolio contains 98.3% modified loans. The modifications happened more than two years ago for 96.5% of the modified loans. Within the pool, 11,115 mortgages have aggregate noninterest-bearing deferred amounts of $558,734,544, which comprise approximately 21.2% of the total principal balance. Approximately 1.2% of the loans in the pool are subject to the Consumer Financial Protection Bureau Ability-to-Repay and Qualified Mortgage (QM) rules. Approximately 1.2% of these loans are designated as either Safe Harbor or Temporary Safe Harbor and less than 0.1% as non-QM. The remainder of the pool is exempt due to seasoning or loan purpose. The Seller, Citigroup Global Markets Realty Corp. (CGMRC), acquired the mortgage loans from Fannie Mae following the award of a bid in connection with a competitive auction for the initial pool. The Seller will then contribute the loans to the Trust through an affiliate, Citigroup Mortgage Loan Trust Inc. (the Depositor). As the Sponsor, CGMRC or one of its majority-owned affiliates will acquire and retain a 5% eligible vertical interest in each class of Notes (other than the Class R Notes) to satisfy the credit risk retention requirements. The loans were originated and previously serviced by various entities. As of the Cut-Off Date, the loans are serviced by an interim servicer. Such servicing will be transferred to Rushmore Loan Management Services, LLC, on September 1, 2021. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner association fees in super lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. When the aggregate pool balance is reduced to less than 25% of the balance as of the Cut-off Date, the directing noteholder may purchase all of the mortgage loans and real-estate-owned properties from the Issuer, as long as the aggregate proceeds meet a minimum price. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-1 and more subordinate principal and interest bonds will not be paid from principal proceeds until the more senior classes are retired. CORONAVIRUS IMPACT The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in the delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months delinquencies have been gradually trending downwards, as forbearance periods come to an end for many borrowers. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: June 2021 Update," published on June 18, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans. Notes: All figures are in U.S. dollars unless otherwise noted. COLT MORTGAGE 2021-2: Fitch to Give 'B(EXP)' Rating to Cl. B2 Certs ------------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2021-2 Mortgage Loan Trust. DEBT RATING ---- ------ COLT 2021-2 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Loans in the pool were originated by multiple originators and aggregated by Hudson Advisors. All loans are serviced by Select Portfolio Servicing, Inc. The certificates are supported by 584 loans with a total balance of approximately $339 million as of the cutoff date. KEY RATING DRIVERS Non-QM Credit Quality (Mixed): The collateral consists of 584 loans, totaling $339 million and seasoned approximately four months in aggregate. The borrowers have a strong credit profile -- 741 model FICO and 40% debt-to-income ratio (which includes mapping for debt service coverage ration [DSCR] loans); and moderate leverage -- 80% sustainable loan-to-value ratio [sLTV]). The pool consists of 62.6% of loans Fitch's model treats as owner occupied, while 37.3% was investor loans or non-permanent resident alien loans treated as investor properties (33.4%) or second home (4.0%). Additionally, 7.3% of the loans were originated through a retail channel, and 0.3% are designated as a qualified mortgage (QM) loan, while 67.9% are non-QM, and the remainder Ability to Repay Rule (ATR) does not apply. Lastly, there are currently 18 loans that are 30 days delinquent. Loan Documentation (Negative): Approximately 85.7% of the pool was underwritten to less than full documentation, and 51.0% was underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the CFPB's ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the ATR's mandates regarding the underwriting and documentation of the borrower's ability to repay. Additionally, 1.2% is an Asset Depletion product, 0.3% is a CPA or PnL product, 6.0% is a WVOE product, and 26.7% is DSCR product. Modified Sequential Payment Structure (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent P&I will be made on the mortgage loans for the first 180 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer (Wells Fargo) will be obligated to make such advance. The servicer or master servicer will not advance delinquent P&I during the forbearance period. Excess Cash Flow (Positive): The transaction benefits from a material amount of excess cash flow that provides benefit to the rated certificates before being paid out to class X certificates. The excess is available to pay timely interest and protect against realized losses, resulting in a CE amount that is less than Fitch's loss expectations for all classes except for the A1. To the extent the collateral weighted average coupon (WAC) and corresponding excess are reduced through a rate modification, Fitch would view the impact as credit neutral, as the modification would reduce the borrower's probability of default, resulting in a lower loss expectation. As a sensitivity to Fitch's rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt A modification %) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macro and regulatory environment. A portion of borrowers will likely be impaired but not ultimately default. Further, this approach had the largest impact on the Backloaded Benchmark scenario, which is also the most probable outcome, as defaults and liquidations are not likely to be extensive over the next 12 to 18 months given the ongoing borrower relief and eviction moratoriums. Limited Advancing (Positive): The deal is structured to six months of servicer advances for delinquent principal and interest. The limited advancing reduces loss severities as there is a lower amount repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure side as there is limited liquidity in the event of large and extended delinquencies. 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 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 negative 3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting to the 1.5 and 1.0 ERF floors described in Fitch's U.S. RMBS Loan Loss Model Criteria. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject poo. Factor that could, individually or collectively, lead to 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 42.7% 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 positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or positive home price growth with no assumed overvaluation. -- The analysis assumes positive home price growth of 10.0%. Excluding the senior classes that are already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. -- The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Fitch has also added a coronavirus sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a reemergence of infections in the major economies, before a slow recovery begins in 2Q21. -- Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment- and speculative-grade ratings. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Clayton, Edgemac, Evolve, Infinity, Revolve and Selene. The third-party due diligence described in Form 15E focused on compliance, credit and valuation grades, and it assigned initial grades for each subcategory. Fitch considered this information in its analysis and, as a result, Fitch gave a 43bps adjustment to the losses for 100% due diligence performed. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's U.S. RMBS Rating Criteria. Lone Star Residential Mortgage Fund II (LSRMF II) engaged AMC, Clayton, Edgemac, Evolve, Infinity, Recovco and Selene to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company, and no material discrepancies were noted. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CPS AUTO 2021-C: S&P Assigns Prelim BB- (sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CPS Auto Receivables Trust 2021-C's asset-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of July 15, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 60.2%, 51.8%, 42.8%, 33.3%, and 27.4% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.10x, 2.60x, 2.10x, 1.60x, and 1.23x our 18.75%-19.75% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. Additionally, credit enhancement, including excess spread, for classes A, B, C, D, and E covers break-even cumulative gross losses of approximately 96.3%, 82.8%, 71.3%, 55.5%, and 45.6%, respectively. -- The expectations that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within the credit stability limits specified by section A.4 of the Appendix contained in "S&P Global Ratings Definitions," published Jan. 5, 2021. -- The preliminary rated notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A through E notes. -- The timely interest and principal payments made to the preliminary rated notes under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The transaction's payment and credit enhancement structure, which includes an incurable performance trigger. Preliminary Ratings Assigned CPS Auto Receivables Trust 2021-C Class A, $126.00 million: AAA (sf) Class B, $51.45 million: AA (sf) Class C, $45.15 million: A (sf) Class D, $44.10 million: BBB (sf) Class E, $24.30 million: BB- (sf) CROWN POINT 9: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Crown Point CLO 9 Ltd./Crown Point CLO 9 LLC, a CLO originally issued in June 2020 that is managed by Pretium Credit CLO Management LLC. The preliminary ratings are based on information as of July 20, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 28, 2021, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. S&P said, "At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm our ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-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 stated maturity will be extended by two years. -- The reinvestment period will be extended by five years. -- The non-call period will be extended to July 2023. -- The weighted average life test will be extended to nine years from the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and 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 Crown Point CLO 9 Ltd./Crown Point CLO 9 LLC Class A-R, $185.25 million: AAA (sf) Class B-R, $42.75 million: AA (sf) Class C-R (deferrable), $16.50 million: A (sf) Class D-R (deferrable), $18.00 million: BBB- (sf) Class E-R (deferrable), $12.75 million: BB- (sf) Subordinated notes, $28.95 million: Not rated DENALI CAPITAL XI: Moody's Upgrades $19.74MM C-R Notes From Ba1 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Denali Capital CLO XI, Ltd.: US$39,500,000 Class A-2-RR Senior Secured Floating Rate Notes Due 2028, Upgraded to Aaa (sf); previously on October 22, 2018 Assigned Aa2 (sf) US$14,800,000 Class B-RR Senior Secured Deferrable Floating Rate Notes Due 2028, Upgraded to Aa3 (sf); previously on October 22, 2018 Assigned A2 (sf) US$19,740,000 Class C-R Senior Secured Deferrable Floating Rate Notes Due 2028, Upgraded to Baa3 (sf); previously on June 19, 2020 Downgraded to Ba1 (sf) Denali Capital CLO XI, Ltd., originally issued in March 2015 and refinanced in October 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2020. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since July 2020. The Class A-1-RR notes have been paid down by approximately 26.5% or $56.2 million since that time. Based on the trustee's June 2021 report [1], the OC ratios for the Class A, Class B, and Class C notes are reported at 133.35%, 123.95%, and 113.31%, respectively, versus July 2020 levels of 126.20%, 119.19%, and 110.97%, respectively [2]. The deal has benefited from an improvement in the credit quality of the portfolio since July 2020. Based on the trustee's June 2021 report [3], the weighted average rating factor is currently 3286, compared to 3468 in July 2020 [4]. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, weighted average spread, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $260,428,246 Defaulted par: $1,378,440 Diversity Score: 67 Weighted Average Rating Factor (WARF): 3055 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.43% Weighted Average Recovery Rate (WARR): 48.37% Weighted Average Life (WAL): 4.04 years Par haircut in OC tests and interest diversion test: 0.25% In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; sensitivity analysis on deteriorating credit quality due to a large exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors that Would Lead to an Upgrade or Downgrade of the Ratings The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. DRYDEN 68 CLO: Moody's Assigns Ba3 Rating to $20MM Class E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to two classes of CLO refinancing notes issued by Dryden 68 CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$320,000,000 Class A-R Senior Secured Floating Rate Notes Due 2035 (the "Class A-R Notes"), Assigned Aaa (sf) US$20,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes Due 2035 (the "Class E-R Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans or unsecured loans, of which up to 5% may consist of bonds. PGIM, Inc. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the issuer also issued three other classes of secured notes and additional subordinated notes. A variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Average Debt Rating" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $496,473,457 Defaulted par: $3,800,810 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2859 Weighted Average Spread (WAS): 3.25% Weighted Average Recovery Rate (WARR): 46% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. DRYDEN 86: S&P Assigns BB- (sf) Rating on $25MM Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R, A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes and proposed new class X notes from Dryden 86 CLO Ltd./Dryden 86 CLO LLC, a CLO originally issued in August 2020 that is managed by PGIM Inc. On the July 19, 2021, refinancing date, the proceeds from the replacement notes were used to redeem the original notes. S&P withdrew its ratings on the original notes and assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R notes were issued at a lower spread over three-month LIBOR than the original notes. -- The replacement class X-R, A-1-R, A-2-R, B-R, C-R, D-R, and E-R notes were issued at a floating spread. -- The stated maturity is extended by approximately four years. -- The reinvestment period is extended by approximately three years -- The non-call period is extended by approximately two years. -- The transaction documents updated the terms of workout-related concepts and introduced new workout-related concepts. -- The class X-R notes were issued in connection with this refinancing. These notes are to be paid down using interest proceeds over 12 payment dates, beginning with the payment date in April 2023. -- 100% of the identified underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 92.58% of the identified underlying collateral obligations have recovery ratings assigned by S&P Global Ratings. S&P sid, "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 Dryden 86 CLO Ltd./Dryden 86 CLO LLC Class X-R, $3.60 million: AAA (sf) Class A-1-R, $381.30 million: AAA (sf) Class A-2-R, $25.00 million: AAA (sf) Class B-R, $68.80 million: AA (sf) Class C-R (deferrable), $37.50 million: A (sf) Class D-R (deferrable), $37.50 million: BBB- (sf) Class E-R (deferrable), $25.00 million: BB- (sf) Ratings Withdrawn Dryden 86 CLO Ltd./Dryden 86 CLO LLC Class A, to NR from 'AAA (sf)' Class B, to NR from 'AA (sf)' Class C, to NR from 'A (sf)' Class D, to NR from 'BBB- (sf)' Class E, to NR from 'BB- (sf)' NR--Not rated. EDUCATION FUNDING 2006-1: S&P Affirms 'CC' Rating on Cl. A-3 Notes ------------------------------------------------------------------ S&P Global Ratings affirmed its 'CC (sf)' rating on the class A-3 notes from Education Funding 2006-1 LLC, an ABS transaction backed by a pool of private student loans. S&P said, "We considered the transaction's collateral performance, available liquidity, changes in credit enhancement, and the capital and payment structures in our review. We also considered secondary credit factors, such as credit stability and an issuer-specific analysis." Collateral Pool As of March 2021, the collateral pool factor was approximately 14.0%, and approximately 95.7% of the collateral pool was in repayment status (out of which 98.3% was in current status). In S&P's prior review, 95.8% of the collateral pool was in repayment status (out of which 97.1% was in current status). Cumulative defaults as a percentage of the initial collateral principal balance and capitalized interest reached 37.7% as of March 2021, compared to 37.6% as of the prior review. The pace of cumulative defaults continues to decline, reflecting the seasoning of the collateral. Over the same period, recoveries from defaulted loans increased to 3.7% from 3.5%. Payment Structure And Credit Enhancement The class A-3 note has a note factor of 84.3% as of March 2021, and is the only rated bond remaining. It is a floating-rate note that matures in April 2033. The note continues be undercollateralized, primarily due to the historical collateral performance and negative excess spread. S&P said, "We previously lowered our ratings on the class B and C notes to 'D (sf)' in July 2012 and February 2009, respectively, because the classes experienced interest shortfalls resulting from interest reprioritization trigger breaches. We then discontinued these ratings in April 2015 because we believed it was unlikely that these ratings would be raised from 'D (sf)' given the ongoing interest shortfalls and each class' level of undercollateralization. "The transaction continues to pay principal sequentially due to the subordinate note principal trigger, which is in effect, as total parity is less than 101%. Because total parity has remained below 101% since inception and declined to 50.5% as of March 2021, we expect that the class A-3 notes will continue to receive all principal payments going forward." Rationale S&P said, "Our criteria for 'CC' category ratings includes the scenario where there is an expectation of default even under the most optimistic collateral performance over a longer period of time. We affirmed our rating on the class A-3 notes at 'CC (sf)' because the notes continue to be vulnerable to nonpayment and will likely not receive full repayment of principal by the legal final maturity. As of March 2021, the class' parity level had decreased to 82.5%, down from 83.4% as of our prior review. The continued decline in parity is primarily due to historically poor collateral performance and negative excess spread, which is further stressed by undercollateralization (negative excess spread causes the trust to potentially use principal collections to pay transaction fees and interest payments to the notes). "We will continue to monitor the performance of the student loan receivables backing the transaction relative to our rating." ELMWOOD CLO V: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Elmwood CLO V Ltd., a CLO originally issued in July 2020 that is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of July 16, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the August 2, 2021 refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. S&P said, "At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm our ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class B-R, 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 replacement class A-R notes are expected to be issued at a floating spread, replacing the current class A-1 floating spread and A-2 fixed coupon notes. -- The stated maturity and reinvestment period will be extended 3.25 years. -- The documents added the ability to purchase bonds and the ability of the issuer to purchase notes sequentially. 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 Elmwood CLO V Ltd. Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Subordinated notes, $30.40 million: Not rated FLAGSTAR MORTGAGE 2021-6INV: Moody's Gives '(P)B2' to B-5 Certs --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to forty-three classes of residential mortgage-backed securities issued by Flagstar Mortgage Trust 2021-6INV ("FSMT 2021-6INV"). The ratings range from (P)Aaa (sf) to (P)B2 (sf). Flagstar Mortgage Trust 2021-6INV (FSMT 2021-6INV) is the sixth issue from Flagstar Mortgage Trust in 2021 and the third issue with investor-property loans in 2021. Flagstar Bank, FSB (Flagstar) is the sponsor of the transaction. FSMT 2021-6INV is a securitization of GSE eligible first-lien investment property mortgage loans. 100.0% of the pool by loan balance were originated by Flagstar Bank, FSB. All the loans are underwritten in accordance with Freddie Mac or Fannie Mae guidelines, which take into consideration, among other factors, the income, assets, employment and credit score of the borrower as well as loan-to-value (LTV). These loans were run through one of the government-sponsored enterprises' (GSE) automated underwriting systems (AUS) and received an "Approve" or "Accept" recommendation. All of the personal-use loans are "qualified mortgages" under Regulation Z as result of the temporary provision allowing qualified mortgage status for loans eligible for purchase, guaranty, or insurance by Fannie Mae and Freddie Mac (and certain other federal agencies). If the Sponsor or the Reviewer determines a Personal Use Loan is no longer a "qualified mortgage" under the ATR Rules, the Sponsor will be required to repurchase such Personal Use Loan. With the exception of personal-use loans, all other mortgage loans in the pool are not subject to TILA because each such mortgage loan is an extension of credit primarily for a business purpose and is not a "covered transaction" as defined in Section 1026.43(b)(1) of Regulation Z. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations. Overall, this pool has average credit risk profile as compared to that of recent prime jumbo transactions. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In this transaction, the Class A-11 notes' coupon is indexed to SOFR. In addition, the coupon on Class A-11X is also impacted by changes in SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. Issuer: Flagstar Mortgage Trust 2021-6INV Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aa1 (sf) Cl. A-17, Assigned (P)Aa1 (sf) Cl. A-18, Assigned (P)Aa1 (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-11X*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-15*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aa1 (sf) Cl. A-X-18*, Assigned (P)Aa1 (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-2-A, Assigned (P)A2 (sf) Cl. B-2-X*, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) Cl. RR-A, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 1.10% at the mean, 0.80% at the median, and reaches 7.22% 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% (7.6% for the mean) and Moody's Aaa losses by 2.5% to reflect the likely performance deterioration resulting from a slowdown in US economic activity in 2020 due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence and the R&W framework of the transaction. Collateral description Flagstar Mortgage Trust 2021-6INV (FSMT 2021-6INV) is the third issue from Flagstar Mortgage Trust in 2021 and the first in 2021 with investor-property loans. Flagstar Bank, FSB (Flagstar) is the sponsor of the transaction. FSMT 2021-6INV is a securitization of GSE eligible first-lien investment property mortgage loans. 100.0% of the pool by loan balance were originated by Flagstar Bank, FSB. All the loans are underwritten in accordance with Freddie Mac or Fannie Mae guidelines, which take into consideration, among other factors, the income, assets, employment and credit score of the borrower as well as loan-to-value (LTV). As of the cut-off date of July 1, 2021, the $739,992,765 pool consisted of 2,742 mortgage loans secured by first liens on residential investment properties. The average stated principal balance is $269,873and the weighted average (WA) current mortgage rate is 3.5%. The majority of the loans have a 30-year term, with 11 loans with terms ranging from 25 years. All of the loans have a fixed rate. The WA original credit score is 771 for the primary borrower only and the WA combined original LTV (CLTV) is 66.7%. The WA original debt-to-income (DTI) ratio is 36.9%. Approximately, 21.1% by loan balance of the borrowers have more than one mortgage loan in the mortgage pool. All of the mortgage loans originated by Flagstar were either directly or indirectly originated through correspondents and brokers. A significant percentage of the mortgage loans by loan balance (37.9%) are backed by properties located in California. The second largest geographic concentration of properties are Texas, which represents 9.0% by loan balance. All other states each represent less than 5% by loan balance. Approximately 21.1% (by loan balance) of the pool is backed by properties that are 2-4 unit residential properties whereas loans backed by single family residential properties represent 48.1% (by loan balance) of the pool. Origination Quality Flagstar Bank, FSB (Flagstar) originated 100% of the loans in the pool. The loans in the pool are underwritten in conformity with GSE guidelines. Moody's consider Flagstar conforming and non-conforming mortgage origination quality to be adequate. As a result, Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on Moody's review of the underwriting, QC, audit and loan performance. Servicing arrangement Moody's consider the overall servicing arrangement for this pool to be adequate. Flagstar will service the mortgage loans. Servicing compensation is subject to a step-up incentive fee structure. Wells Fargo Bank, N.A. (Wells Fargo) will be the master servicer. Flagstar will be responsible for principal and interest advances as well as servicing advances. The master servicer will be required to make principal and interest advances if Flagstar is unable to do so. Servicing compensation for loans in this transaction is based on a fee-for-service incentive structure. The fee-for-service incentive structure includes an initial monthly base fee of $20.50 for all performing loans and increases according to certain delinquent and incentive fee schedules. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The fee-for-service compensation is reasonable and adequate for this transaction. It also better aligns the servicer's costs with the deal's performance and structure. The Class B-6-C (NR) is first in line to absorb any increase in servicing costs above the base servicing costs. Delinquency and incentive fees will be deducted from the Class B-6-C interest payment amount first and could result in interest shortfall to the certificates depending on the magnitude of the delinquency and incentive fees. Trustee and master servicer The transaction trustee is Wilmington Savings Fund Society, FSB. The custodian functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells Fargo, as master servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. The master servicer will be required to make principal and interest advances if Flagstar is unable to do so. Third-party review Moody's applied an adjustment to Moody's Aaa and expected losses due to the sample size. The credit, compliance, property valuation, and data integrity portion of the third party review (TPR) was conducted on a total of approximately 12.7% of the pool (by loan count). Canopy Financial Technology Partners (Canopy) conducted due diligence for a total random sample of 325 loans. The TPR results indicated compliance with the originators' underwriting guidelines for most of the loans without any material compliance issues or appraisal defects. 100% of the loans reviewed received a grade B or higher with 73.5% of loans receiving an A grade. While the TPR results indicated compliance with the originators' underwriting guidelines for most of the loans, no material compliance issues and no material appraisal defects, the total sample size of 325 loans reviewed did not meet Moody's credit neutral criteria. Moody's therefore made an adjustment to loss levels to account for this risk. Representations and Warranties Framework Flagstar Bank, FSB the originator as well as an investment-grade rated entity, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit neutral R&Ws Moody's have identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria to determine whether any R&Ws were breached when (1) the loan becomes 120 days delinquent, (2) the servicer stops advancing, (3) the loan is liquidated at a loss or (4) the loan becomes between 30 days and 119 days delinquent and is modified by the servicer. Similar to other private-label transactions, the transaction contains a "prescriptive" R&W framework. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. Moody's assessed the R&W framework for this transaction as adequate. Moody's analyzed the strength of the R&W provider, the R&Ws themselves and the enforcement mechanisms. The R&W provider is rated investment grade, the breach reviewer is independent, and the breach review process is thorough, transparent and objective. Moody's did not make any additional adjustment to Moody's base case and Aaa loss expectations for R&Ws. Transaction structure The securitization has a shifting interest structure that benefits from a senior subordination floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments on pro rata basis up to the senior bonds principal distribution amount, and then interest and principal payments on sequential basis up to each subordinate bond principal distribution amount. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period of time, and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. In this transaction, the Class A-11 notes' coupon is indexed to SOFR. In addition, the coupon on Class A-11X is also impacted by changes in SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. All certificates (except Class B-6-C) in this transaction are subject to a net WAC cap. Class B-6-C will accrue interest at the net WAC minus the aggregate delinquent servicing and aggregate incentive servicing fee. For any distribution date, the net WAC will be the greater of (1) zero and (2) the weighted average net mortgage rates minus the capped trust expense rate. Realized losses are allocated reverse sequentially among the subordinate, starting with most junior, and senior support certificates and on a pro-rata basis among the super senior certificates. Tail Risk and subordination floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 1.00% 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. COVID-19 Impacted Borrowers As of the cut-off date, no borrower in the pool has entered into a COVID-19 related forbearance plan with the servicer. Also, if any borrower enters or requests a COVID-19 related forbearance plan from the cut-off date to the closing date, then the associated mortgage loan will be removed from the pool. In the event a borrower enters or requests a COVID-19 related forbearance plan after the closing date, such mortgage loan (and the risks associated with it) will remain in the mortgage pool. Any principal forbearance amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. FREDDIE MAC 2021-DNA5: S&P Assigns Prelim BB- Rating on B-1B Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Freddie Mac STACR REMIC Trust 2021-DNA5's notes. The note issuance is an RMBS transaction backed by 100% conforming residential mortgage loans. The preliminary ratings are based on information as of July 15, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The REMIC structure, which reduces the counterparty exposure to Freddie Mac for periodic principal and interest payments but also pledges the Freddie Mac support (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which enhances the notes' strength, in our view; -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying representations and warranties framework; and -- The impact that the economic stress brought on by COVID-19 pandemic may have on the performance of the mortgage borrowers in the pool and the structural provisions included to address corresponding forbearance and subsequent defaults. Preliminary Ratings Assigned Freddie Mac STACR REMIC Trust 2021-DNA5 Class A-H(i), $69,960,116,216: NR Class M-1, $169,500,000: BBB+ (sf) Class M-1H(i), $9,469,684: NR Class M-2, $339,000,000: BBB- (sf) Class M-2A, $169,500,000: BBB+ (sf) Class M-2AH(i), $8,969,684: NR Class M-2B, $169,500,000: BBB- (sf) Class M-2BH(i), $8,969,684: NR Class M-2R, $339,000,000: BBB- (sf) Class M-2S, $339,000,000: BBB- (sf) Class M-2T, $339,000,000: BBB- (sf) Class M-2U, $339,000,000: BBB- (sf) Class M-2I, $339,000,000: BBB- (sf) Class M-2AR, $169,500,000: BBB+ (sf) Class M-2AS, $169,500,000: BBB+ (sf) Class M-2AT, $169,500,000: BBB+ (sf) Class M-2AU, $169,500,000: BBB+ (sf) Class M-2AI, $169,500,000: BBB+ (sf) Class M-2BR, $169,500,000: BBB- (sf) Class M-2BS, $169,500,000: BBB- (sf) Class M-2BT, $169,500,000: BBB- (sf) Class M-2BU, $169,500,000: BBB- (sf) Class M-2BI, $169,500,000: BBB- (sf) Class M-2RB, $169,500,000: BBB- (sf) Class M-2SB, $169,500,000: BBB- (sf) Class M-2TB, $169,500,000: BBB- (sf) Class M-2UB, $169,500,000: BBB- (sf) Class B-1, $339,000,000: BB- (sf) Class B-1A, $169,500,000: BB+ (sf) Class B-1AR, $169,500,000: BB+ (sf) Class B-1AI, $169,500,000: BB+ (sf) Class B-1AH(i), $8,969,684: NR Class B-1B, $169,500,000: BB- (sf) Class B-1BH(i), 8,969,684: NR Class B-2, $339,000,000: NR Class B-2A, $169,500,000: NR Class B-2AR, $169,500,000: NR Class B-2AI, $169,500,000: NR Class B-2AH(i), $8,969,684: NR Class B-2B, $169,500,000: NR Class B-2BH(i), $8,969,684: NR Class B-3H(i), $178,469,685: NR (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of these tranches. NR--Not rated. GREAT LAKES 2019-1: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, A-L-R, B-R, C-R, and D-R replacement notes from Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC, a CLO originally issued in 2019 that is managed by BMO Asset Management Corp. The class A-L loans and class E notes are not being refinanced, but the applicable margin of the class A-L loans was amended and reduced. The replacement notes were issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The non-call period was extended by approximately two years to July 15, 2023, for the refinancing notes and the class A-L loans. -- The reinvestment period and the legal final maturity dates of the transaction remain unchanged. -- The applicable margin of the class A-L loans were amended and reduced to three-month LIBOR plus 1.61% from three-month LIBOR plus 1.92%. -- The transaction updated the benchmark replacement language. Replacement And Original Note Issuances Replacement notes Class A-R notes, $57,175,665.00: Three-month LIBOR + 1.56% Class A-L-R notes, $8,110,527.00: Three-month LIBOR + 1.61% Class B-R notes, $11,613,808.00: Three-month LIBOR + 1.85% Class C-R notes (deferable), $28,000,000.00: Three-month LIBOR + 2.85% Class D-R notes (deferable), $22,750,000.00: Three-month LIBOR + 4.00% Original notes Class A notes, $57,175,665.00: Three-month LIBOR + 1.74% Class A-L notes, $8,110,527.00: Three-month LIBOR + 1.92% Class B notes, $11,613,808.00: Three-month LIBOR + 2.60% Class C notes (deferable), $28,000,000.00: Three-month LIBOR + 3.60% Class D notes (deferable), $22,750,000.00: Three-month LIBOR + 4.75% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC Class A-R notes, $57,175,665.00: AAA (sf) Class A-L-R notes, $8,110,527.00: AA (sf) Class B-R notes, $11,613,808.00: AA (sf) Class C-R notes (deferable), $28,000,000.00: A (sf) Class D-R notes (deferable), $22,750,000.00: BBB- (sf) Ratings Withdrawn Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC Class A notes: to NR from AAA (sf) Class A-L notes: to NR from AA (sf) Class B notes: to NR from AA (sf) Class C notes (deferable: to NR from A (sf) Class D notes (deferable) : to NR from BBB- (sf) Ratings Affirmed Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC Class A-L loans: AA (sf) Class E notes: BB- (sf) Other Outstanding Ratings Great Lakes CLO 2019-1 Ltd./Great Lakes CLO 2019-1 LLC Subordinated notes, $45,600,000.00: NR NR--Not rated. HALCYON LOAN 2014-1: Moody's Cuts $10MM Class F Notes Rating to C ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by Halcyon Loan Advisors Funding 2014-1 Ltd.: US$18,000,000 Class E Secured Deferrable Floating Rate Notes Due April 2026, Downgraded to Caa3 (sf); previously on Jun 16, 2020 Downgraded to Caa1 (sf) US$10,000,000 Class F Secured Deferrable Floating Rate Notes Due April 2026, Downgraded to C (sf); previously on Jun 16, 2020 Downgraded to Ca (sf) Moody's also upgraded the ratings on the following notes: US$21,500,000 Class C-R Secured Deferrable Floating Rate Notes Due April 2026, Upgraded to Aaa (sf); previously on Feb 1, 2019 Upgraded to Aa1 (sf) Halcyon Loan Advisors Funding 2014-1 Ltd., originally issued in March 2014 and partially refinanced in July 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2018. RATINGS RATIONALE The upgrade action on the Class C-R Notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2020. The Class B-1-R Notes and Class B-2-R Notes have been paid down by approximately 94% or $31.2 million and $18.8 million, respectively, since May 2020. Based on the trustee's June 2021 report[1], the OC ratio for the Class C-R Notes is 243.88% versus the May 2020 reported[2] level of 146.29%. The downgrade actions on the Class E Notes and Class F Notes reflect the specific risks to the notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's June 2021 report[3], the OC ratios for the Class E Notes and the Class F Notes (as reflected in the interest diversion test ratio) are 89.07% and 76.69% versus May 2020[4] levels of 94.92% and 87.55%, respectively. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $62,700,050 Defaulted par: $8,664,688 Diversity Score: 22 Weighted Average Rating Factor (WARF): 3785 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 4.09% Weighted Average Recovery Rate (WARR): 45.8% Weighted Average Life (WAL): 2.4 years Par haircut in OC tests and interest diversion test: 7.4% In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; sensitivity analysis on deteriorating credit quality due to a large exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. HALCYON LOAN 2014-3: Moody's Cuts $12MM Class F Notes Rating to C ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by Halcyon Loan Advisors Funding 2014-3 Ltd.: US$37,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes Due October 2025, Downgraded to Ba2 (sf); previously on Aug 12, 2020 Downgraded to Ba1 (sf) US$22,500,000 Class E-1 Junior Secured Deferrable Floating Rate Notes Due October 2025, Downgraded to Ca (sf); previously on Aug 12, 2020 Downgraded to Caa3 (sf) US$6,000,000 Class E-2 Junior Secured Deferrable Floating Rate Notes Due October 2025, Downgraded to Ca (sf); previously on Aug 12, 2020 Downgraded to Caa3 (sf) US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes Due October 2025, Downgraded to C (sf); previously on Aug 12, 2020 Downgraded to Ca (sf) Halcyon Loan Advisors Funding 2014-3 Ltd., originally issued in September 2014 and partially refinanced in July 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2018. RATINGS RATIONALE These rating actions reflect the specific risks to the notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's June 2021 report[1], the over-collateralization (OC) ratios for the Class D Notes and Class E Notes are 106.47% and 88.18% versus July 2020[2] levels of 103.44% and 92.40%, respectively. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $164,450,078 Defaulted par: $11,928,044 Diversity Score: 33 Weighted Average Rating Factor (WARF): 3402 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.57% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 2.9 years Par haircut in OC tests and interest diversion test: 5.5% In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; sensitivity analysis on deteriorating credit quality due to a large exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors that Would Lead to an Upgrade or Downgrade of the Ratings The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. HOME RE 2021-2: Moody's Assigns (P)B3 Rating to Cl. M-2 Notes ------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to four classes of mortgage insurance credit risk transfer notes issued by Home Re 2021-2 Ltd. Home Re 2021-2 Ltd. (the issuer) is the fifth transaction issued under the Home Re program to date and the second such issue in 2021, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by Mortgage Guaranty Insurance Corporation (MGIC, the ceding insurer) on a portfolio of residential mortgage loans. The notes are exposed to the risk of claims payments on the MI policies, and depending on the notes' priority, may incur principal and interest losses when the ceding insurer makes claims payments on the MI policies. As of the cut-off date, no mortgage loan has been reported to the ceding insurer as in two payment loan default (i.e. two or more monthly payments delinquent) and 0.03% (by unpaid principal balance) are subject to forbearance but are not currently delinquent. To the extent that a mortgage loan no longer satisfies the eligibility criteria as of a date subsequent to the cut-off date, such mortgage loan will not be removed from the offering and the coverage for the related MI policy will continue to be provided by the reinsurance agreement. On the closing date, the issuer and the ceding insurer will enter into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes will be deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account will also be available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account will be used to purchase eligible investments and will be subject to the terms of the reinsurance trust agreement. Following the instruction of the ceding insurer, the trustee will liquidate assets in the reinsurance trust account to (1) make principal payments to the notes as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims after the coverage levels B-3H and B-2 (subject to a class B-2 reopening) are written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. Transaction credit strengths include strong loan credit characteristics, including the fact that the MI policies are predominantly borrower-paid MI policies (98.4% by unpaid principal balance). Transaction credit weaknesses include predominantly high loan-to-value (LTV) ratios, as well as a limited third-party review scope and lack of representations and warranties (R&Ws) to the noteholders. The complete rating actions are as follows: Issuer: Home Re 2021-2 Ltd. Cl. M-1A, Assigned (P)Baa2 (sf) Cl. M-1B, Assigned (P)Baa3 (sf) Cl. M-1C, Assigned (P)Ba3 (sf) Cl. M-2, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expect this insured pool's aggregate exposed principal balance (AEPB) to incur 2.16% losses in a baseline scenario-mean, a baseline scenario-median loss of 1.83%, and 16.60% losses under a Aaa stress scenario. The AEPB is the portion of the pool's risk in force that is not covered by existing quota share reinsurance through unaffiliated parties. It is the product, for all the mortgage loans covered by MI policies, of (i) the unpaid principal balance of each mortgage loan, (ii) the MI coverage percentage, and (iii) the existing quota share reinsurance percentage. Reinsurance coverage percentage is 100% minus existing quota share reinsurance through unaffiliated insurer, if any. By unpaid principal balance, approximately 23.2% of the pool has zero quota share reinsurance, 71.8% of the pool has 30% reinsurance and 5.0% of the pool has 65% reinsurance. The ceding insurer has purchased quota share reinsurance from unaffiliated third parties, which provides proportional reinsurance protection to the ceding insurer for certain losses. The 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 increased its model-derived median expected losses by 7.5% (6.6% for the mean) and Moody's Aaa loss by 2.5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's calculated losses on the pool using US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality. Collateral Description The mortgage loans in the reference pool have an insurance coverage effective date (in force date) from January 1, 2021 to May 28, 2021 (both days inclusive). The reference pool consists of 181,727 prime, fixed- and adjustable-rate, one- to four-unit, first-lien fully-amortizing, predominantly conforming mortgage loans with a total insured loan balance of approximately $52 billion. There are 7,285 loans (5.1% of total unpaid principal balance) which were not underwritten through GSE guidelines. All loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80% with a weighted average (WA) of 90.7% (by unpaid principal balance). By unpaid principal balance, the borrowers in the pool have a WA FICO score of 749, a WA debt-to-income ratio of 35.1% and a WA mortgage rate of 3.0%. The WA risk in force (MI coverage percentage net of existing reinsurance coverage) is approximately 17% of the reference pool unpaid principal balance.100% of insured loans were covered by mortgage insurance at origination with 98.4% covered by BPMI and 1.6% covered by LPMI based on risk in force. Company Overview MGIC is an insurance company domiciled in the State of Wisconsin. MGIC received its initial certificate of authority from the Wisconsin Office of the Commissioner of Insurance in March 1979. MGIC is one of the leading private mortgage insurers in the industry. MGIC is an approved mortgage insurer of loans purchased by Fannie Mae and Freddie Mac, and is licensed in all 50 states, the District of Columbia and the territories of Puerto Rico and Guam to issue private mortgage guaranty insurance. MGIC has $251.7 billion of insurance in force as of March 31, 2021, with more than 5,000 originators and/or servicers utilized MGIC mortgage insurance in the last 12 months. MGIC is the primary insurance subsidiary of MGIC Investment Corporation, a Wisconsin corporation whose stock trades on the New York Stock Exchange under the symbol "MTG". MGIC Investment Corporation is a holding company which, through MGIC, MGIC Indemnity Corporation and several other subsidiaries, is principally engaged in the mortgage insurance business. MGIC is rated Baa1 (insurance financial strength) by Moody's with stable outlook. Underwriting Quality Moody's took into account the quality of MGIC's insurance underwriting, risk management and claims payment process in Moody's analysis. Most applications for mortgage insurance are submitted to MGIC electronically, and MGIC relies upon the lender's R&Ws that the data submitted is true and correct when MGIC makes its insurance decisions. At present, MGIC's underwriting guidelines are broadly consistent with those of the GSEs. MGIC accepts the underwriting decisions made by the GSEs' underwriting systems, subject to certain additional limitations and requirements. MGIC has overlays to GSE underwriting requirements though immaterial. MGIC's primary mortgage insurance policies are issued through one of two programs. Lenders submit mortgage loans to MGIC for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without MGIC re-underwriting the loan file. MGIC issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Lenders eligible under this program must be pre-approved by MGIC's risk management group and are subject to random and targeted internal quality control (QC) reviews. In this transaction, approximately 71.2% of the mortgage loans were originated under a delegated underwriting program. Under the non-delegated underwriting program, insurance coverage is approved after underwriting by the insurer. Some customers prefer MGIC's non-delegated program because MGIC assumes underwriting responsibility and will not rescind coverage if it makes an underwriting error, subject to the terms of its master policy. MGIC seeks to ensure that loans are appropriately underwritten through QC sampling, loan performance monitoring and training. In this transaction, approximately 28.8% of the mortgage loans were originated under a non-delegated underwriting program. Overall, the share of delegated and non-delegated underwriting in this pool is reflective of the corresponding percentage in MGIC's overall portfolio (approximately 70% and 30%, respectively). MGIC maintains a primary underwriting center in Milwaukee, Wisconsin, along with geographically disbursed underwriters. Although MGIC's employees conduct the substantial majority of its non-delegated underwriting, from time-to-time, MGIC engages third parties to assist with certain clerical functions. As part of its ongoing QC processes, MGIC undertakes QC reviews of limited samples of mortgage loans that it insures under both delegated and non-delegated underwriting programs. Through MGIC's quality control process, it reviews a statistically significant sample of individual mortgages from its customers to ensure that the loans accepted through its underwriting processes meet MGIC's pre-determined eligibility and underwriting criteria. The QC process allows MGIC to identify trends in lender underwriting and origination practices, as well as to investigate underlying reasons for delinquencies, defaults and claims within its portfolio that are potentially attributable to insurance underwriting process defects. The information gathered from the QC process is used by MGIC in its ongoing policy acquisitions and is intended to prevent continued aggregation of Policies with insurance underwriting process defects. Submission of Claims Unless MGIC has directed the insured to file an accelerated claim, the master policy requires the insured to submit a claim for loss no later than 60 days after the earliest of (i) acquiring the borrower's title to the related property, (ii) an approved sale or (iii) completion of the foreclosure sale of the property. Prior to claim payment, an investigative underwriter investigates select claims to determine the appropriateness of the claim amount. The insurance policy provides that MGIC can reduce or deny a claim if the servicer did not comply with its obligations required by the policy, including the requirement to mitigate losses through reasonable loss mitigation efforts or, for example, diligently pursuing a foreclosure or bankruptcy relief in a timely manner. In addition, the master policy reserves rescission rights with respect to fraud committed by the insured or those under its control and certain patterns of fraud. When no issues are found, the investigative underwriter will close the investigation case and release the claim for final processing. Investigative underwriters analyze the origination documentation as well as documentation from a variety of sources and determine if there is a significant defect. Third-Party Review MGIC engaged Wipro Opus Risk Solutions, LLC to perform a data analysis and diligence review of a sampling of mortgage loans files submitted for mortgage insurance. This review included validation of credit qualifications, verification of presence of material documentation as applicable to the mortgage insurance application, updated valuation analysis and comparison, and a tape-to-file data integrity validation to identify possible data discrepancies. There was no compliance tested due to the nature of the review, which was to ensure the mortgage insurance application met all applicable company guidelines. MGIC is a mono-line mortgage insurance company not a mortgage lender. The size of the diligence sample was determined by the third-party diligence provider using a 95% confidence level applied to the total pool of 181,727 mortgage loans to be covered by the reinsurance agreement, a 2% precision interval applied to the confidence level and a 5% error rate applied to the final result, with the resulting number rounded up. The diligence sample consisted of 325 mortgage loans to be covered by the reinsurance agreement. The scope of the third-party review is weaker than private label RMBS transactions because it covers only a limited sample of loans (0.18% by total loan count in the reference pool) and only includes credit, data and valuation. Of note, approximately 30% of the insured loans in the reference pool are re-underwritten by the ceding insurer via non-delegated underwriting program, which mitigates the risk of underwriting defects. In addition, MI claims paid will not include legal costs associated with any TRID violations, as the loan originators will bear these costs. Since the insured pool is predominantly GSE loans, the GSEs will also conduct their QC review. After taking into account the (i) third-party due diligence results for credit and property valuation and (ii) the extent to which the characteristics of the mortgage loans can be extrapolated from the error rate and the extent to which such errors and discrepancies may indicate an increased likelihood of MI losses, Moody's did not make any further adjustments to Moody's credit enhancement. R&Ws Framework The ceding insurer does not make any R&Ws to the noteholders in this transaction. Since the insured mortgages are predominantly GSE loans, the individual sellers would provide exhaustive representations and warranties to the GSEs that are negotiated and actively monitored. In addition, the ceding insurer may rescind the MI policy for certain material misrepresentation and fraud in the origination of a loan, which would benefit the MI CRT noteholders. Transaction Structure The transaction structure is very similar to other MI CRT transactions that Moody's have rated. The ceding insurer will retain the senior coverage level A-H, coverage level B-2 (subject to a class B-2 reopening), and coverage level B-3 at closing. The offered notes benefit from a sequential pay structure. The transaction incorporates structural features such as a 12.5-year bullet maturity and a sequential pay structure for the non-senior tranches, resulting in a shorter expected WA life on the offered notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Interest on the notes will accrue based on the outstanding balance of the notes, but the ceding insurer will only be obligated to remit coverage premium based on each note's coverage level. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. The rated Class M-1A, Class M-1B, Class M-1C, and Class M-2 offered notes have credit enhancement levels of 5.75%, 4.55%, 3.15%, and 2.35%, respectively. The credit risk exposure of the notes depends on the actual MI losses incurred by the insured pool. MI losses are allocated in a reverse sequential order starting with the coverage level B-3H. Investment deficiency amount losses are allocated in a reverse sequential order starting with the class B-1 notes, or class B-2 notes if issued pursuant to a class B-2 reopening. So long as the senior coverage level is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches. Principal payments are all allocated to the senior reference tranche when a trigger event occurs. A trigger event with respect to any payment date will be in effect if the coverage level amount of coverage level A-H for such payment date has not been reduced to zero and either (i) the preceding three month average of the sixty-plus delinquency amount for that payment date equals or exceeds 75% of coverage level A-H subordination amount or (ii) the subordinate percentage (or with respect to the first payment date, the original subordinate percentage) for that payment date is less than the target CE percentage (minimum C/E test: 7.25%). Premium Deposit Account (PDA) The premium deposit account will benefit the transaction upon a mandatory termination event (e.g. the ceding insurer fails to pay the coverage premium and does not cure, triggering a default under the reinsurance agreement), by providing interest liquidity to the noteholders, when combined with the income earned on the eligible investments, of approximately 70 days while the reinsurance trust account and eligible investments are being liquidated to repay the principal of the notes. On the closing date, the ceding insurer will establish a cash and securities account (the PDA) but no initial deposit amount will be made to the account by the ceding insurer unless the premium deposit event is triggered. The premium deposit event will be triggered (1) with respect to any class of notes, if the rating of that class of notes exceeds the insurance financial strength (IFS) rating of the ceding insurer or (2) with respect to all classes of notes, if the ceding insurer's IFS rating falls below Baa2. If the note ratings exceed that of the ceding insurer, the insurer will be obligated to deposit into and maintain in the premium deposit account the required PDA amount (see next paragraph) only for the notes that exceeded the ceding insurer's rating. If the ceding insurer's rating falls below Baa2, it will be obligated to deposit the required PDA amount for all classes of notes. The required PDA amount for each class of notes and each month is equal to the excess, if any, of (i)(a) the coupon rate of the note multiplied by (b) the applicable funded percentage, (c) the coverage level amount for the coverage level corresponding to such class of notes and (d) a fraction equal to 70/360, over (ii) two times the investment income collected (but not yet distributed) on the eligible investments. Moody's believe the requirement that the PDA be funded only upon a rating trigger event does not establish a linkage between the ratings of the notes and the IFS rating of the ceding insurer because, 1) the required PDA amount is small relative to the entire deal, 2) the risk of PDA not being funded could theoretically occur only if the ceding insurer suddenly defaults, causing a rating downgrade from investment grade to default in a very short period, which is a highly unlikely scenario, and 3) even if the insurer becomes insolvent, there would be a strong incentive for the insurer's insolvency regulator to continue to make the interest payments to avoid losing reinsurance protection provided by the deal. Claims Consultant To mitigate risks associated with the ceding insurer's control of the trust account and discretion to unilaterally determine the MI claims amounts (i.e. ultimate net losses), the ceding insurer will engage Opus Capital Markets Consultants, LLC as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the coverage level B-3H and B-2H have been written down. The claims consultant will review on a quarterly basis a sample of claims paid by the ceding insurer covered by the reinsurance agreement. In verifying the amount, the claims consultant will apply a permitted variance to the total paid loss for each MI Policy of +/- 2%. The claims consultant will provide a preliminary report to the ceding insurer containing results of the verification. If there are findings that cannot be resolved between the ceding insurer and the claims consultant, the claims consultant will increase the sample size. A final report will be delivered by the claims consultant to the trustee, the issuer and the ceding insurer. The issuer will be required to provide a copy of the final report to the noteholders and the rating agencies. Unlike RMBS transactions where there is typically some level of independent third-party oversight by the trustee, the master servicer and/or the securities administrator, MI CRT transactions typically do not have such oversight. As noted, the ceding insurer not only has full control of the trust account but can also determine, at its discretion, the MI claims amount. The ceding insurer will then direct the trustee to withdraw the funds to reimburse for the claims paid. Since the trustee is not required to verify the MI claims amount, there could be a scenario where funds are withdrawn from the reinsurance trust account in excess of the amounts necessary to reimburse the ceding insurer. As such, Moody's believe the claims consultant in this transaction will provide the oversight to mitigate such risks. SOFR benchmark rate In this transaction, the notes' coupon is indexed to SOFR. Based on the transaction's synthetic structure, the particular choice of benchmark has no credit impact. Interest payments to the notes are made from income earned on the eligible investments in the reinsurance trust account and the coverage premium from the ceding insurer, which prevents the notes from incurring interest shortfalls as a result of increases in the benchmark index. Benchmark rate fallback language The floating rate note coupons reference SOFR which will be based on compounded SOFR or Term SOFR, as applicable. Following the occurrence of a benchmark transition event, a benchmark replacement will be determined by the issuer (in consultation with the ceding insurer), and such benchmark replacement will replace SOFR and will be the benchmark for the next following accrual period and each accrual period thereafter (unless and until a subsequent benchmark transition event is determined to have occurred). Any determination made with respect to the occurrence of a benchmark transition event or a benchmark replacement, and any calculation by the trustee of the applicable benchmark for an accrual period, will be final and binding on the noteholders in the absence of manifest error 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 these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. JFIN CLO 2014-II: Moody's Hikes $33.9MM Class D Notes Rating to B1 ------------------------------------------------------------------ Moody's Investors Service upgrades the ratings on the following notes issued by JFIN CLO 2014-II Ltd.: US$25,000,000 Class B-1-R Senior Secured Deferrable Floating Rate Notes due 2026, Upgraded to Aaa (sf); previously on December 17, 2020 Upgraded to Aa1 (sf) US$2,500,000 Class B-2-R Senior Secured Deferrable Fixed Rate Notes due 2026, Upgraded to Aaa (sf); previously on December 17, 2020 Upgraded to Aa1 (sf) US$34,800,000 Class C Senior Secured Deferrable Floating Rate Notes due 2026, Upgraded to Aa2 (sf); previously on December 17, 2020 Upgraded to A2 (sf) US$33,900,000 Class D Senior Secured Deferrable Floating Rate Notes due 2026, Upgraded to B1 (sf); previously on September 17, 2020 Downgraded to B2 (sf) JFIN CLO 2014-II Ltd., originally issued in July 2014 and partially refinanced in July 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2018. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since December 2020. The Class A notes have been paid down collectively by approximately 67% or $83.8 million since that time. Based on the trustee's June 2021 report[1], the OC ratios for the Class A/B, Class C, and Class D notes are reported at 218.45%, 144.69%, and 108.87%, respectively, versus December 2020 levels of 148.99%, 121.25%, and 102.38%, respectively. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $152,666,256 Defaulted par: $6,174,705 Diversity Score: 44 Weighted Average Rating Factor (WARF): 3353 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.49% Weighted Average Recovery Rate (WARR): 47.81% Weighted Average Life (WAL): 2.99 years Par haircut in OC tests and interest diversion test: 3.38% In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; sensitivity analysis on deteriorating credit quality due to a large exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. JP MORGAN 2021-10: Fitch to Give 'B+(EXP)' Rating to Class B-5 Debt ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to JP Morgan Mortgage Trust 2021-10 (JPMMT 2021-10). DEBT RATING ---- ------ JPMMT 2021-10 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-A LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-B LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-B LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-10-A LT AAA(EXP)sf Expected Rating A-10-X LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-A LT AAA(EXP)sf Expected Rating A-11-AI LT AAA(EXP)sf Expected Rating A-11-B LT AAA(EXP)sf Expected Rating A-11-BI LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating A-X-2 LT AAA(EXP)sf Expected Rating A-X-3 LT AAA(EXP)sf Expected Rating A-X-4 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B+(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates issued by JP Morgan Mortgage Trust 2021-10 (JPMMT 2021-10), as indicated above. The certificates are supported by 1,032 loans with a total balance of approximately $1,015.86 million as of the cutoff date. The pool consists of prime quality fixed-rate mortgages (FRMs) from various mortgage originators. The servicers in the transaction consists 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 loans or QM Safe Harbor Average Prime Offer Rate (APOR) loans. There are 208 APOR loans, or approximately 18.6% by unpaid principal balance (UPB), all of which were originated by United Wholesale Mortgage, LLC, Quicken Loans, Sprout Mortgage and loanDepot under the new QM rule announced in December 2020. These loans were not confirmed to be SH-verify loans by the third party review (TPR) firm. Fitch views QM loans that are non-SH verify loans as having a possible higher risk of challenges; as such, Fitch would typically apply a penalty to these loans. For this transaction, Fitch ran additional analyses, and the difference in expected losses with and without a penalty was immaterial. Therefore, no additional loss adjustments were added. 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 WAC, or floating/inverse floating rate based off of the SOFR index, and capped at the net WAC. This is the eighth 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 of up to 30 years. All of the loans qualify as SHQM, Agency Safe Harbor QM or 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 five months, according to Fitch (three months per the transaction documents). The pool has a weighted average (WA) original FICO score of 776 (as determined by Fitch), which is indicative of very high credit quality borrowers. Approximately 84.9% (as determined by Fitch) of the loans have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan-to-value ratio (CLTV) of 68.3%, translating to a sustainable loan-to-value ratio (sLTV) of 75.6%, represents substantial borrower equity in the property and reduced default risk. A 92.9% portion of the pool comprises nonconforming loans, while the remaining 7.1% represents conforming loans. All of the loans are designated as QM loans, with roughly 74.8% of the pool being originated by a retail and correspondent channel. The pool consists of 90.9% of loans where the borrower maintains a primary residence, while 5.7% comprises second homes. Single-family homes including townhomes and PUD comprise 93.3% of the pool, and condominiums make up 5.4%. Cashout refinances comprise 14.5% of the pool, purchases comprise 35.1% of the pool and rate-term refinances comprise 50.4% of the pool. A total of 381 loans in the pool are over $1 million, and the largest loan is $2.97 million. Fitch determined that 3.4% 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 50.0% of the pool is concentrated in California. The largest MSA concentration is in the San Francisco-Oakland-Fremont, CA MSA (16.2%), followed by the Los Angeles-Long Beach-Santa Ana, CA MSA (13.5%) and the San Jose-Sunnyvale-Santa Clara, CA MSA (8.3%). The top three MSAs account for 38.0% of the pool. As a result, there was a 1.01x probability of default (PD) penalty for geographic concentration. Shifting Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure where 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 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 its 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 baseline economic scenario forecasts have been revised to 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a 3.5% GDP contraction 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, as 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 Opus. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, Digital Risk, and Opus were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. LCM 29: S&P Assigns BB-(sf) Rating on Cl. E-R Notes on Refinancing ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, E-R, and X-R replacement notes from LCM 29 Ltd./LCM 29 LLC, a CLO originally issued in 2019 that is managed by LCM Asset Management LLC. At the same time, S&P withdrew its ratings on the original class A-1, B, C, D, E, and X notes following payment in full on the July 15, 2021, refinancing date. S&P said, "Our rating analysis considers a transaction's potential exposure to ESG credit factors. We regard this transaction's exposure as being broadly in line with our benchmark for the sector. For CLOs, we view the exposure to environmental credit factors as below average, to social credit factors as below average, and to governance credit factors as average, primarily due to the diversity of the assets within the sector. For this transaction, the documents prohibit assets from being related to the controversial weapons industry. Accordingly, since there are no material differences compared to our ESG benchmark for the sector, we made no specific adjustments in our rating analysis to account for any ESG-related risks or opportunities." The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The non-call period was extended to July 2022; -- Classes A-1 and A-2 were combined into a single class A-R; and -- An ESG restriction was added to exclude manufacturers of controversial weapons. Replacement And Original Note Issuances Replacement notes Class X-R, $2.0 million: Three-month LIBOR + 0.80% Class A-R, $260.0 million: Three-month LIBOR + 1.07% Class B-R, $44.0 million: Three-month LIBOR + 1.60% Class C-R, $24.0 million: Three-month LIBOR + 2.20% Class D-R, $24.0 million: Three-month LIBOR + 3.40% Class E-R, $13.6 million: Three-month LIBOR + 6.83% Original notes Class X, $1.3 million: Three-month LIBOR + 0.75 % Class A-1, $240.0 million: Three-month LIBOR + 1.33% Class A-2, $20.0 million: Three-month LIBOR + 1.65% Class B, $44.0 million: Three-month LIBOR + 1.90% Class C, $24.0 million: Three-month LIBOR + 2.60% Class D, $24.0 million: Three-month LIBOR + 3.85% Class E, $13.6 million: Three-month LIBOR + 6.90% Subordinated notes, $36.6 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 LCM 29 Ltd./LCM 29 LLC Class X-R, $2.0 million: AAA (sf) Class A-R, $260.0 million: AAA (sf) Class B-R, $44.0 million: AA (sf) Class C-R (deferrable), $24.0 million: A (sf) Class D-R (deferrable), $24.0 million: BBB- (sf) Class E-R (deferrable), $13.6 million: BB- (sf) Subordinated notes, $36.6 million: Not rated Ratings Withdrawn LCM 29 Ltd./LCM 29 LLC Class X to not rated from 'AAA (sf)' Class A-1 to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' MADISON PARK XLV: Moody's Assigns Ba3 Rating to $18.25MM E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned a rating to one class of CLO refinancing notes issued by Madison Park Funding XLV, Ltd. (the "Issuer"). Moody's rating action is as follows: US$18,250,000 Class E-R Deferrable Floating Rate Mezzanine Notes Due 2034, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the rating is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of not senior secured loans. Credit Suisse Asset Management, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $450,000,000 Defaulted par: $0 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3056 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in this rating 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 Rating: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MAGNETITE XXXI: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Magnetite XXXI Ltd./Magnetite XXXI LLC's floating- and fixed-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of July 19, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Magnetite XXXI Ltd./Magnetite XXXI LLC Class A-1, $310.0 million: AAA (sf) Class A-2, $10.0 million: AAA (sf) Class B, $60.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D (deferrable), $30.0 million: BBB- (sf) Class E (deferrable), $20.0 million: BB- (sf) Subordinated notes, $46.8 million: Not rated MORGAN STANLEY 2004-TOP15: Moody's Hikes Cl. H Certs Rating to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on two classes and affirmed the ratings on two classes in Morgan Stanley Capital I Trust 2004-TOP15, Commercial Mortgage Pass-Through Certificates, Series 2004-TOP15, as follows: Class G, Upgraded to A1 (sf); previously on January 25, 2019 Upgraded to A3 (sf) Class H, Upgraded to Ba1 (sf); previously on January 25, 2019 Upgraded to Ba3 (sf) Class J, Affirmed Caa3 (sf); previously on January 25, 2019 Upgraded to Caa3 (sf) Class X-1*, Affirmed Ca (sf); previously on January 25, 2019 Affirmed Ca (sf) *Reflects interest-only classes RATINGS RATIONALE The ratings on two P&I classes, Cl. G and Cl. H were upgraded primarily because of an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 46% since Moody's last review and just under 99% since securitization. Furthermore, defeased loans now represent 14% of the pool and the remaining pool is fully amortizing with the remaining loans having amortized an average of 77% from securitization. The rating on Cl. J was affirmed because realized losses are consistent with the current rating. Class J has already experienced a 20% realized loss as a result of previously liquidated loans. The rating on the IO class was affirmed based on the credit quality of the referenced classes. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 1.6% of the original pooled balance, unchanged from the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. DEAL PERFORMANCE As of the June 17, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $9.4 million from $889.8 million at securitization. The certificates are collateralized by ten remaining mortgage loans. Two loans, constituting 15% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 7, compared to 10 at Moody's last review. As of the June 2021 remittance report, all loans were current on their debt service payments. Five loans, constituting 58% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $14 million (for an average loss severity of 20%). No loans are currently in special servicing. Moody's received full year 2019 operating results for 100% of the pool, and full or partial year 2020 operating results for 90% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 20%, compared to 29% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 15% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.47X and above 4.00X, respectively, compared to 1.53X and above 4.00X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 42% of the pool balance. The largest loan is the Elkhorn Plaza Shopping Center Loan ($1.5 million -- 16.2% of the pool), which is secured by a 50,901 square feet (SF) of 109,807 SF grocery shadow-anchored shopping center located in Sacramento, California. The loan is fully amortizing, has amortized 75% since securitization and matures in June 2024. The three largest tenants, representing a combined 22% of NRA, all have lease expirations in April 2024 or later. As of the April 2021 rent roll, the property was 92% leased, compared to 86% in December 2020 and 96% in December 2019. Moody's LTV and stressed DSCR are 25% and 3.83X, respectively, compared to 42% and 2.32X at the last review. The second largest loan is the Braeswood Shopping Center Loan ($1.3 million -- 14.1% of the pool), which is secured by a 60,167 SF neighborhood shopping center located in Houston, Texas. The loan is fully amortizing, has amortized 77% since securitization and matures in June 2024. The property is located near Texas Medical Center, one of the largest medical complexes in the world. As of May 2021, the property was 98% leased, compared to 98% in December 2020 and 85% in December 2019. Moody's LTV and stressed DSCR are 10% and greater than 4.00X, respectively, compared to 21% and greater than 4.00X at the last review. The third largest loan is the Del Monte Plaza Loan ($1.1 million -- 11.7% of the pool), which is secured by a 36,627 SF neighborhood shopping center located in Reno, Nevada. The property is shadow anchored by a Whole Foods Market and is located less than 0.5 miles from Meadowood Mall. The loan is fully amortizing, has amortized 78% since securitization and matures in March 2024. The property was 55% leased in December 2020 after Pier 1 (29% of NRA) vacated due to their lease expiration and corporate bankruptcy, however, Five Below is expected to backfill the space which would increase the occupancy to 84%. Moody's LTV and stressed DSCR are 17% and greater than 4.00X, respectively, compared to 28% and 3.46X at the last review. MORGAN STANLEY 2021-4: Fitch Gives 'B(EXP)' Rating to Cl. B-5 Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2021-4. DEBT RATING ---- ------ MSRM 2021-4 A-1 LT AAA(EXP)sf Expected Rating A-1-IO LT AAA(EXP)sf Expected Rating A-1A-IO LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-A LT AAA(EXP)sf Expected Rating A-3A-IO LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4A-IO LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5A-IO LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-IO LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-IO LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-IO LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates issued by Morgan Stanley Residential Mortgage Loan Trust 2021-4 (MSRM 2021-4) as indicated above. This is the seventh post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust shelf; the first transaction was issued in 2014. This is the fifth MSRM transaction that comprises loans from various sellers and acquired by Morgan Stanley in its prime jumbo aggregation process. The certificates are supported by 283 prime-quality loans with a total balance of approximately $275.62 million as of the cutoff date. The servicer in this transaction is Specialized Loan Servicing LLC (SLS). Nationstar Mortgage LLC will be the master servicer. Of the loans,98.6% qualify as safe harbour qualified mortgage (SHQM) with the remainder being higher-priced QM loans. There is no exposure to Libor in this transaction. The collateral comprise 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC), are floating- or inverse floating-rate bonds based off of the SOFR index and capped at the net WAC or are based on the net WAC. Like other prime transactions, the transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail-end risk. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 30-year fixed-rate fully amortizing loans, seasoned approximately five months in aggregate as determined by Fitch (2.6 months per the transaction documents). Most of the loans were originated through the sellers' retail channels. The borrowers in this pool have strong credit profiles (777 FICO as determined by Fitch) and relatively low leverage (77.1% sustainable loan to value [sLTV] ratio as determined by Fitch). 106 loans are over $1 million, and the largest totals $2.47 million. Fitch considered 100% of the loans in the pool to be fully documented loans. Lastly, 1.2% of the pool is made up of foreign nationals. Fitch treats foreign nationals as investor occupied in Fitch's analysis. Shifting-Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): A CE or senior subordination floor of 2.10% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. A junior subordination floor of 1.30% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Geographic and Loan Count Concentration (Negative): Approximately 48% of the pool is concentrated in California with moderate MSA concentration. The largest MSA concentration is in Los Angeles MSA (15.5%) followed by the San Francisco MSA (15.4%) and the Miami MSA (5.7%). The top three MSAs account for 37.7% of the pool. As a result, there was a 1.01x adjustment for geographic concentration resulting in a 0.04% penalty at 'AAAsf'. The pool contains 283 loans with a WA count of 260. As a result, a 0.38% penalty was added to the 'AAAsf' loss to account for loan concentration. Macro or Sector Risk (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicate the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of COVID 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 June 2021 Global Economic Outlook and related base-line economic scenario forecasts have been revised to a 6.8% U.S. GDP growth for 2021 and 3.9% for 2022 following a negative 3.5% GDP growth 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 its "U.S. RMBS Loan Loss Model Criteria." RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper 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 negative rating action/upgrade: -- This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected MVD, which is 42.3% in the 'AAAsf' stress. The analysis indicates that there is some potential rating migration with higher MVDs, 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 positive rating action/downgrade: -- 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 modelling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Digital Risk, and Infinity. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis based on the findings. Due to the fact that there was 100% due diligence provided and there were no material findings, Fitch reduced the 'AAAsf' expected loss by 0.23%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Digital Risk, and Infinity were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. NCF GRANTOR 2005-3: S&P Raises Cl. A-5-1 Certs Rating to 'BB+(sf)' ------------------------------------------------------------------ S&P Global Ratings raised its rating on the transferable custody receipts (Bank of New York (SPE)) related to NCF Grantor Trust 2005-3's class A-5-1 certificates due 2033 to 'BB+ (sf)' from 'BB (sf)'. S&P's rating on the custody receipts reflects the higher of our ratings on the underlying security, NCF Grantor Trust 2005-3's class A-5-1 certificates due Oct. 25, 2033 ('BB+ (sf)'), and the insurance provider, Ambac Assurance Corp. (not rated). The rating action reflects the July 12, 2021, raising of S&P's rating on the underlying security to 'BB+ (sf)' from 'BB ( sf)'. S&P may take subsequent rating actions on this transaction if its rating on the underlying security changes. NIAGARA PARK CLO: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class B-R, C-R, D-R, and E-R replacement notes from Niagara Park CLO Ltd., a CLO originally issued in 2019 that is managed by GSO/Blackstone Debt Funds Management. S&P did not rate the replacement class A-R notes. On the July 19, 2021, refinancing date, the proceeds from the replacement notes were used to redeem the original notes. At that time, S&P withdrew its ratings on the original notes and assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The non-call period was reestablished as July 17, 2022. -- The replacement class notes were issued at a lower weighted average cost of debt than the existing notes. -- The stated maturity and the reinvestment period were unchanged. -- The weighted average life test was extended to eight years from the refinancing date. -- The LIBOR replacement language was amended/updated. Replacement And Original Note Issuances Replacement notes Class A-R, $288.000 million: Three-month LIBOR + 1.00% Class B-R, $51.300 million: Three-month LIBOR + 1.60% Class C-R, $28.575 million: Three-month LIBOR + 2.10% Class D-R, $27.000 million: Three-month LIBOR + 3.10% Class E-R, $14.175 million: Three-month LIBOR + 5.95% Original notes Class A, $288.000 million: Three-month LIBOR + 1.30% Class B, $51.300 million: Three-month LIBOR + 1.80% Class C, $28.575 million: Three-month LIBOR + 2.40% Class D, $27.000 million: Three-month LIBOR + 3.55% Class E, $14.175 million: Three-month LIBOR + 6.45% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Niagara Park CLO Ltd./Niagara Park CLO LLC Class A-R, $288.000 million: Not rated Class B-R, $51.300 million: AA (sf) Class C-R, $28.575 million: A (sf) Class D-R, $27.000 million: BBB- (sf) Class E-R, $14.175 million: BB- (sf) Ratings Withdrawn Niagara Park CLO Ltd./Niagara Park CLO LLC Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D, to not rated from 'BBB- (sf)' Class E, to not rated from 'BB- (sf)' OBX TRUST 2021-J2: Moody's Gives (P)B2 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to fifty-eight classes of residential mortgage-backed securities issued by OBX 2021-J2 Trust. The ratings range from (P)Aaa (sf) to (P)B2 (sf). This transaction represents the second prime jumbo issuance by Onslow Bay Financial LLC (the sponsor). The transaction includes 377 fixed rate, first lien mortgages with an aggregate loan balance of approximately $382,482,549. The pool consists of 100% non -conforming mortgage loans. The mortgage loans for this transaction have been acquired by the sponsor and the seller, Onslow Bay Financial LLC, from Bank of America, National Association (BANA). BANA acquired the mortgage loans through its whole loan purchase program from various originators. Approximately, 98.5% of the loans in the pool were underwritten to the OBX 2021-J2 Trust acquisition criteria, and the remaining 1.5% were underwritten to loanDepot's guidelines. All the loans are designated as safe harbor qualified mortgages (QM) and meet Appendix Q to the QM rules. Shellpoint Mortgage Servicing (SMS) will service the loans and Wells Fargo Bank, N.A. (Aa2) will be the master servicer. SMS will be responsible for advancing principal and interest and other corporate advances, with the master servicer backing up SMS' advancing obligations if SMS cannot fulfill them. Three third-party review (TPR) firms verified the accuracy of the loan level information that Moody's received from the sponsor. These firms conducted detailed credit, property valuation, data accuracy and compliance reviews on 100% of the mortgage loans in the collateral pool. The TPR results indicate that there are no material compliance, credit, or data issues. One loan has a final valuation grade of C because the original appraised value could not be supported within a negative 10% variance by the TPR firm. Moody's did not make any adjustments because this loan represents a small portion of the overall pool and had strong credit characteristics such as high credit score, low DTI and significant liquid cash reserves. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations. In addition, Moody's adjusted its expected losses based on qualitative attributes, including the financial strength of the representation and warranties (R&W) provider and TPR results. OBX 2021-J2 Trust has a shifting interest structure in which subordinates will receive no unscheduled principal payment (prepayment) during the first five years, which protects and accelerates the pay-down of the senior classes and therefore protects the senior classes from losses. The transaction also has a senior subordination floor and a subordination lockout percentage, which accelerates the pay-down of the senior and senior subordinate classes if losses exceed certain thresholds. The complete rating actions are as follows: Issuer: OBX 2021-J2 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aaa (sf) Cl. A-X-15*, Assigned (P)Aaa (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aa1 (sf) Cl. A-X-21*, Assigned (P)Aa1 (sf) Cl. A-X-22*, Assigned (P)Aa1 (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aaa (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.24% at the mean, 0.12% at the median, and reaches 2.37% 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 Moody's ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10.0% (6.0% 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 Moody's assessed the collateral pool as of the cut-off date of July 1, 2021. OBX 2021-J2 Trust is a securitization of 377 prime residential mortgage loans with an aggregate principal balance of approximately $382,482,549. The pool comprises 377 30-year fixed rate mortgages. Overall, the credit quality of the mortgage loans backing this transaction is similar to recently-issued prime jumbo transactions. The WA FICO for the aggregate pool is 781 with a WA LTV of 62.5% and WA CLTV of 62.7%. Approximately 12.2% (by loan balance) of the pool has a LTV ratio greater than 75%. High LTV loans generally have a higher probability of default and higher loss severity compared to lower LTV loans. There is no loan in the pool having LTV greater than 80%. Exterior-only appraisals: In response to the COVID-19 national emergency, many originators/aggregators have temporarily transitioned to allowing exterior-only appraisals, instead of a full interior and exterior inspection of the subject property, on many mortgage transactions. There are 6 loans in the pool, 1.6% by aggregate loan balance, that do not have a full appraisal that includes an exterior and an interior inspection of the property. Instead, these loans have an exterior-only appraisal. Moody's did not make any adjustments to Moody's losses for such loans primarily because of strong credit characteristics such as high FICO score, low LTV and DTI ratios, and significant liquid cash reserves and because such loans comprise a de minimis percentage of loan pool, by loan balance. In addition, none of these borrowers have any prior history of delinquency. Loans with delinquency and forbearance history: As of the cut-off date, no borrower under any mortgage loan is currently in an active COVID-19 related forbearance plan. None of the borrowers have previously entered into a COVID-19 related forbearance plan. In the event that after the cut-off date a borrower enters into or requests an active COVID-19 related forbearance plan, such loan will remain in the mortgage pool and the servicer will be required to make advances in respect of delinquent interest and principal (as well as other servicing advances) on such mortgage loan during the forbearance period (to the extent such advances are deemed recoverable) and the loan will be considered delinquent for all purposes under the transaction documents. There were six borrowers reported with recent 30-day delinquency, which were due to borrower confusion under servicing transfer. Origination Quality and Underwriting Guidelines There are 12 originators in the transaction. The largest originators in the pool with more than 10% by loan balance are Guaranteed Rate, Inc. (27.6%), Guild Mortgage Company LLC (11.4%), PrimeLending (10.7%) and Commerce Home Mortgage, LLC (10.0%). The seller, Onslow Bay Financial LLC, acquired the mortgage loans from Bank of America, National Association (BANA). As of the cut-off date, approximately 98.5% of the mortgage loans (by loan balance) were acquired by BANA from various mortgage loan originators or sellers through Bank of America whole loan purchase program, and the remaining 1.5% were underwritten to loanDepot's guidelines. These mortgage loans have principal balances in excess of the requirements for purchase by Fannie Mae and Freddie Mac (i.e. 100% of the loans in the pool are prime jumbo loans) and were generally acquired pursuant to the OBX 2021-J2 Trust acquisition criteria. In addition, approximately 1.5% of the mortgage loans (by loan balance) were acquired by BANA but originated pursuant to the guidelines of loanDepot. The OBX 2021-J2 Trust acquisition criteria does not apply to the eligibility criteria, underwriting, or origination or acquisition of these mortgage loans. Moody's increased its base case and Aaa loss expectations for all loans underwritten to the OBX 2021-J2 Trust acquisition criteria, which include loans originated by Guaranteed Rate, Inc., Guild Mortgage Company LLC, PrimeLending and Commerce Home Mortgage, LLC, because Moody's do not have performance available for the jumbo loans underwritten to OBX 2021-J2 Trust acquisition criteria and securitized through OBX platform, and Moody's have been considering such mortgage loans to have been acquired to slightly less conservative prime jumbo underwriting standards. Moody's did not make any adjustments to Moody's loss levels for loans originated by loanDepot as these loans were underwritten to its own guidelines. Moody's considered loanDepot's performance history and risk management as adequate. Servicing arrangement Shellpoint Mortgage Servicing (SMS) will service all the mortgage loans in the transaction. Wells Fargo Bank, N.A. (Wells Fargo) will serve as the master servicer. Shellpoint is generally obligated to fund monthly advances of cash (to the extent such advances are deemed recoverable) and to make interest payments to compensate in part for any shortfall in interest payments due to prepayment of the mortgage loans. The master servicer will monitor the performance of the servicer and will be obligated to fund any required advance and interest shortfall payments if a servicer fails in its obligation to do so. As of the cut-off date, no borrower under any mortgage loan is currently in an active COVID-19 related forbearance plan with the servicer. None of the borrowers of the mortgage loans (by aggregate loan balance as of the cut-off date) have previously entered into a COVID-19 related forbearance plan with the servicer. In the event that after the cut-off date a borrower enters into or requests an active COVID-19 related forbearance plan, such mortgage loan will remain in the mortgage pool and the servicer will be required to make advances in respect of delinquent interest and principal (as well as other servicing advances) on such mortgage loan during the forbearance period (to the extent such advances are deemed recoverable) and the mortgage loan will be considered delinquent for all purposes under the transaction documents. 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. Wells Fargo provides oversight of the servicer. Moody's consider the presence of a strong master servicer to be a mitigant for any servicing disruptions. Moody's evaluation of Wells Fargo as a master servicer takes into account the bank's strong reporting and remittance procedures, servicer compliance and monitoring capabilities and servicing stability. Wells Fargo's oversight encompasses loan administration, default administration, compliance and cash management. Third Party Review Three independent third party review (TPR) firms, Clayton Services LLC (Clayton), Wipro Opus Risk Solutions, LLC (Opus), and Consolidated Analytics, Inc. (Consolidated Analytics), reviewed 100% of the loans in this transaction for credit, regulatory compliance, appraisal, and data integrity. The TPR results indicate that the majority of reviewed loans were in compliance with respective originators' underwriting guidelines, no material compliance or data issues, and no appraisal defects. For property valuation, the TPR firms identified all loans as either A ,B or C level grades. There were 8 loans with B grades for appraisal review and majority of these B grades were due to exterior-only appraisals done instead of a full appraisal. There was 1 loan with C grade because the original appraised value could not be supported within a negative 10% variance by the TPR firm. Moody's did not make any adjustments because this loan represents a small portion of the overall pool and had strong credit characteristics such as high credit score, low DTI and significant liquid cash reserves. For credit review, the TPR firms identified mostly A and B level grades in its review, with no C or D level grades. The credit exceptions had documented compensating factors such as high FICOs, low LTVs, low DTIs, high reserves, and long stable employment history. For compliance review, the TPR firms identified mostly A and B level grades in its review, with no C or D level grades. The identified compliance exceptions were primarily related to incorrect Right of Rescission form used and missing affiliated business disclosures. Moody's did not make any adjustments to Moody's credit enhancement due to regulatory compliance issues because Moody's did not view the compliance exceptions as material. Representations and Warranties Framework Each originator will provide comprehensive loan level reps and warranties for their respective loans. BANA will assign each originator's R&W to the seller, who will in turn assign to the depositor, which will assign to the trust. To mitigate the potential concerns regarding the originators' ability to meet their respective R&W obligations, Onslow Bay Financial LLC (the seller) will backstop the R&Ws for all originator's loans. The R&W provider's obligation to backstop third party R&Ws will terminate 5 years after the closing date, subject to certain performance conditions. The R&W provider will also provide the gap reps. Moody's considered the R&W framework in Moody's analysis and found it to be adequate. Moody's therefore did not make any adjustments to Moody's losses based on the strength of the R&W framework. The R&W framework is adequate in part because the results of the independent TPRs revealed a high level of compliance with underwriting guidelines and regulations, as well as overall adequate appraisal quality. These results give us a clear indication that the loans do not breach the R&Ws the originators have made and that the originators are unlikely to face any material repurchase requests in the future. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's identified for US RMBS. Among other considerations, the R&Ws address property valuation, underwriting, fraud, data accuracy, regulatory compliance, the presence of title and hazard insurance, the absence of material property damage, and the enforceability of the mortgage. In a continued effort to focus breach reviews on loans that are more likely to contain origination defects that led to or contributed to the delinquency of the loan, an additional carve out has been in recent transactions Moody's have rated from other issuers relating to the delinquency review trigger. Similarly, in this transaction, exceptions exist for certain excluded disaster mortgage loans that trip the delinquency trigger. These excluded disaster loans include COVID-19 forbearance loans. 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 increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 1.25% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 1.25% of the cut-off pool balance. Other Considerations In OBX 2021-J2 Trust, the controlling holder has the option to hire at its own expense the independent reviewer upon the occurrence of a review event. If there is no controlling holder (no single entity holds a majority of the Class Principal Amount of the most subordinate class of certificates outstanding), the trustee shall, upon receipt of a direction of the certificate holders of more than 25% of the aggregate voting interest of all certificates and upon receipt of the deposit, appoint an independent reviewer at a cost to the trust. However, if the controlling holder does not hire the independent reviewer, the holders of more than 50% of the aggregate voting interests of all outstanding certificates may direct (at their expense) the trustee to appoint an independent reviewer. In this transaction, the controlling holder can be the depositor or a seller (or an affiliate of these parties). If the controlling holder is affiliated with the depositor, seller or Sponsor, then the controlling holder may not be motivated to discover and enforce R&W breaches for which its affiliate is responsible. The servicer will not commence foreclosure proceedings on a mortgage loan unless the servicer has notified the controlling holder at least five business days in advance of the foreclosure and the controlling holder has not objected to such action. If the controlling holder objects, the servicer has to obtain three appraisals from the appraisal firms as listed in the pooling and servicing agreement. The cost of the appraisals is borne by the controlling holder. The controlling holder will be required to purchase such mortgage loan at a price equal to the highest of the three appraisals plus accrued and unpaid interest on such mortgage loan as of the purchase date. If the servicer cannot obtain three appraisals there are alternate methods for determining the purchase price. If the controlling holder fails to purchase the mortgage loan within the time frame, the controlling holder forfeits any foreclosure rights thereafter. Moody's consider this credit neutral because a) the appraiser is chosen by the servicer from the approved list of appraisers, b) the fair value of the property is decided by the servicer, based on third party appraisals, and c) the controlling holder will pay the fair price and accrued interest. 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. OCP CLO 2019-17: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R, 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 class X-R note will be paid down using interest proceeds ending with the payment date in January 2022. On the July 20, 2021, refinancing date, the proceeds from the replacement notes were used to redeem the original notes. As a result, we withdrew our ratings on the original notes and assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture, which outlined the terms of the replacement notes. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R notes were issued at a lower spread over three-month LIBOR than the original notes. -- The existing class C-1 and C-2 notes were 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 were issued at a floating spread. -- The existing class A-2A and A-2B notes were split between two replacement classes, A-1-R and A-2-R. -- The non-call period and weighted average life test date were extended by one year. -- The transaction allows for purchase of bonds that is capped at 5% of the collateral principal amount. -- The transaction added the ability to purchase workout-related assets. -- The class X-R notes will be paid down using interest proceeds over the next two periods ending with the payment date in January 2022. -- At the time of preliminary rating release in connection with this refinancing, class X was not included. S&P assigned a final rating to the new class X-R notes, which replaced the original class X notes. -- Of the identified underlying collateral obligations, 100.00% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 98.08% have recovery ratings assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OCP CLO 2019-17 Ltd./OCP CLO 2019-17 LLC Class X-R, $0.375 million: AAA (sf) 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) Ratings Withdrawn OCP CLO 2019-17 Ltd./OCP CLO 2019-17 LLC Class X: to NR from 'AAA (sf)' Class A-1: to NR from 'AAA (sf)' Class B: to NR from 'AA (sf)' Class C-1 (deferrable): to NR from 'A (sf)' Class C-2 (deferrable): to NR from 'A (sf)' Class D (deferrable): to NR from 'BBB- (sf)' NR--Not rated. OCTAGON INVESTMENT 42: Moody's Gives Ba3 Rating to $25MM E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Octagon Investment Partners 42, Ltd. (the "Issuer"). Moody's rating action is as follows: US$315,000,000 Class A-R Senior Secured Floating Rate Notes Due 2034, Assigned Aaa (sf) US$63,750,000 Class B-R Senior Secured Floating Rate Notes Due 2034, Assigned Aa2 (sf) US$25,000,000 Class C-R Secured Deferrable Floating Rate Notes Due 2034, Assigned A2 (sf) US$31,250,000 Class D-R Secured Deferrable Floating Rate Notes Due 2034, Assigned Baa3 (sf) US$25,000,000 Class E-R Secured Deferrable Floating Rate Notes Due 2034, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans, of which up to 5% may consist of permitted non-loan assets (senior secured bonds and senior unsecured bonds). Octagon Credit 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 issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Moody's Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2914 Weighted Average Spread (WAS): 3.40% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. OCTAGON LTD 54: Moody's Assigns Ba3 Rating to $25MM Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Octagon 54, Ltd. (the "Issuer"). Moody's rating action is as follows: US$280,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$40,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2034, Assigned Aaa (sf) US$57,500,000 Class B Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$32,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$25,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Octagon 54, Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of not senior secured loans and eligible investments. The portfolio is approximately 85% ramped as of the closing date. Octagon Credit 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: 70 Weighted Average Rating Factor (WARF): 2952 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. OHA CREDIT 6: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class X, A-R, B-R, C-R, D-R, and E-R replacement notes from OHA Credit Funding 6 Ltd./OHA Credit Funding 6 LLC, a CLO originally issued in July 2020 that is managed by Oak Hill Advisors L.P. On the July 20, 2021, refinancing date, the proceeds from the replacement notes were used to redeem the original notes. At that time, S&P also withdrew its ratings on the original notes and assigned ratings to the replacement notes. 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 be extended by approximately two years to July 20, 2023. -- The reinvestment period was be extended by approximately three years to July 20, 2026. -- The legal final maturity date (of the replacement notes and the existing subordinated notes) was be extended by approximately three years to July 20, 2034. -- Additional assets were purchased on the first refinancing date, increasing the target par amount to $550 million. There will not be an additional effective date or ramp-up period, and the first payment date following the refinancing will be Oct. 20, 2021. -- No additional subordinated notes were issued on the refinancing date. -- The class X notes were issued on the first 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. -- The transaction added the ability to purchase workout related assets. In addition, the transaction has adopted benchmark replacement language and made updates to conform to current rating agency methodology. -- The original indenture is being discharged, and a new indenture was put in place on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OHA Credit Funding 6 Ltd./OHA Credit Funding 6 LLC Class X, $1.50 million: AAA (sf) Class A-R, $341.00 million: AAA (sf) Class B-R, $77.00 million: AA (sf) Class C-R (deferrable), $33.00 million: A (sf) Class D-R (deferrable), $33.00 million: BBB- (sf) Class E-R (deferrable), $22.00 million: BB- (sf) Subordinated notes, $37.75 million: Not rated Ratings Withdrawn OHA Credit Funding 6 Ltd./OHA Credit Funding 6 LLC Class A-1, to NR from AAA (sf) Class A-2, to NR from AAA (sf) Class B, to NR from AA (sf) Class C, to NR from A (sf) Class D, to NR from BBB- (sf) Class E, to NR from BB- (sf) OZLM LTD XIV: Moody's Assigns Ba3 Rating to $19.5MM Class DRR Notes ------------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes issued by OZLM XIV, Ltd. (the "Issuer"). Moody's rating action is as follows: US$1,000,000 Class X Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$201,500,000 Class A1Sr Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$9,750,000 Class A1Jr Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$32,500,000 Class A2RR Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$16,250,000 Class BRR Senior Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$19,500,000 Class CRR Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$19,500,000 Class DRR Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans, and permitted debt securities. Sculptor Loan Management LP (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout instruments; changes to the definition of "Moody's Default Probability Rating" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $325,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2825 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 6.00% 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 Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. PPLUS LTD-1: S&P Places 'B' Rating on Class A Certs on Watch Pos. ----------------------------------------------------------------- S&P Global Ratings placed its 'B' rating on PPLUS Trust Series LTD-1's $25 million class A and B certificates on CreditWatch with positive implications. S&P's rating on the certificates is dependent on its rating on the underlying security, L Brands Inc.'s 6.95% debentures due March 1, 2033 (B/Watch Pos). The rating action reflects S&P's July 14, 2021, placement of the rating on the underlying security on CreditWatch positive. The CreditWatch placement followed L Brands' update on its capital structure plans and financial policy for Bath & Body Works. The company recently announced the approval of its proposed separation of the Victoria's Secret business into an independent, publicly traded company and the name change to Bath & Body Works Inc. from L Brands Inc. S&P may take subsequent rating actions on this transaction if its rating on the underlying security changes. RCKT MORTGAGE 2021-3: Fitch to Give 'B(EXP)' Rating to B-5 Certs ---------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by RCKT Mortgage Trust 2021-3 (RCKT 2021-3) DEBT RATING ---- ------ RCKT Mortgage Trust 2021-3 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-21-X LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-23 LT AAA(EXP)sf Expected Rating A-24 LT AA+(EXP)sf Expected Rating A-25 LT AA+(EXP)sf Expected Rating A-26 LT AA+(EXP)sf Expected Rating A-27 LT AAA(EXP)sf Expected Rating A-28 LT AA+(EXP)sf Expected Rating A-X-1 LT AA+(EXP)sf Expected Rating A-X-2 LT AAA(EXP)sf Expected Rating A-X-3 LT AAA(EXP)sf Expected Rating A-X-4 LT AAA(EXP)sf Expected Rating A-X-5 LT AAA(EXP)sf Expected Rating A-X-6 LT AAA(EXP)sf Expected Rating A-X-7 LT AAA(EXP)sf Expected Rating A-X-8 LT AAA(EXP)sf Expected Rating A-X-9 LT AAA(EXP)sf Expected Rating A-X10 LT AAA(EXP)sf Expected Rating A-X-11 LT AAA(EXP)sf Expected Rating A-X-12 LT AA+(EXP)sf Expected Rating A-X-13 LT AA+(EXP)sf Expected Rating A-X-14 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-X-1 LT AA-(EXP)sf Expected Rating B-1A LT AA-(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-X-2 LT A(EXP)sf Expected Rating B-2A LT A(EXP)sf Expected Rating B-3 LT BBB+(EXP)sf Expected Rating B-4 LT BB+(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 597 loans with a total balance of approximately $557 million as of the cutoff date. The pool consists of prime fixed-rate mortgages acquired by Woodward Capital Management LLC (Woodward) from Quicken Loans, LLC (Quicken Loans). Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure. Every loan in RCKT 2021-3 was originated by Quicken under the new qualified mortgage (QM) rule announced in December 2020. These loans were not deemed to be SH verify loans to Fitch. Fitch views QM loans that are non-SH verify loans as having a higher risk of challenges and so would typically apply a penalty to these loans. For this transaction, Fitch ran two additional analyses. One in which average prime offer rate (APOR) loans were designated as Higher Priced QM, and another in which an additional $5,000 in lawyer fees were applied to each APOR loan. The difference in expected losses was immaterial to the final levels. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 597 loans, totaling $557 million, and seasoned approximately four months in the aggregate. (calculated as the difference between origination date and first pay date) The borrowers have a strong credit profile (771 FICO and 34% DTI) and moderate leverage (78% sLTV). The pool consists of 97.2% of loans where the borrower maintains a primary residence, while 2.8% comprise a second home. Additionally, 44.3% of the loans were originated through a retail channel and 100% are designated as Safe Harbor APOR QM. Interest Reduction Risk (Negative): The transaction incorporates a structural feature for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high-stress scenarios. A key difference with this transaction, compared to other programs that treat stop-advance loans similarly, is that liquidation proceeds are allocated to interest before principal. As a result, Fitch included the full interest carry in its loss projections and views the risk of permanent interest reductions as lower than other programs with a similar feature. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. Quicken Loans is assessed as an 'Above Average' originator and is contributing all of the loans to the pool. The originator has a robust origination strategy and maintains experienced senior management and staff, strong risk management and corporate governance controls and a robust due diligence process. Primary servicing functions will be performed by Quicken Loans, which is rated 'RPS2'. Credit Enhancement Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.25% will be available for the senior bonds and a subordinate floor of 0.85% of the original balance will be maintained for the subordinate classes. The floor is sufficient to protect against the 100 average sized loans incurring Fitch's 'AAAsf' expected loss 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 - 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 the negative 3.5% GDP rate 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 its "U.S. RMBS Loan Loss Model Criteria." RATING SENSITIVITIES Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level 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: -- 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 41.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factor that could individually or collectively, lead to a positive rating action/upgrade: -- 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 AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on a review that consisted of credit, regulatory compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% PD credit to the 72% of the pool by loan count in which diligence was conducted. This/These adjustment(s) resulted in a 20bps reduction to the 'AAAsf' expected loss. 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. RCKT MORTGAGE 2021-3: Moody's Gives (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 52 classes of residential mortgage-backed securities issued by RCKT Mortgage Trust 2021-3 (RCKT 2021-3). The ratings range from (P)Aaa (sf) to (P)B3 (sf). RCKT 2021-3 is a securitization of prime jumbo mortgage loans originated and serviced by Quicken Loans, LLC (Rocket Mortgage, rated Ba1 with Positive outlook). The transaction is backed by 597 first-lien, fully amortizing, 30-year fixed-rate qualified mortgage (QM) loans, with an aggregate unpaid principal balance (UPB) of $557,429,263. The average stated principal balance is $933,717. 100% of the collateral pool comprises prime jumbo mortgage loans underwritten to Quicken Loans' Jumbo Smart prime jumbo underwriting standards. The underwriting incorporates the new QM rule that replaces 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). The transaction is sponsored by Woodward Capital Management LLC, a wholly owned subsidiary of RKT Holdings, LLC (RKT Holdings). Rocket Companies, Inc. (NYSE: RKT), is the sole managing member and an owner of equity interests in RKT Holdings. This will be the third issuance from RCKT Mortgage Trust in 2021 and the fourth transaction for which Quicken Loans, LLC (wholly owned subsidiary of RKT Holdings) is the sole originator and servicer. There is no master servicer in this transaction. Citibank, N.A. (Citibank, rated Aa3) will be the securities administrator and Wilmington Savings Fund Society, FSB will be the trustee. Transaction credit strengths include the high credit quality of the collateral pool, the strong third-party review (TPR) results for credit and compliance, and the prescriptive and unambiguous representations & warranties (R&W) framework. Transaction credit weaknesses include weaker property valuation review and having no master servicer to oversee the primary servicer, unlike typical prime jumbo transactions Moody's have rated. In this transaction, the Class A-21 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 analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations and adjusted Moody's expected losses based on qualitative attributes, including the financial strength of the R&W provider and TPR results. RCKT 2021-3 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: RCKT Mortgage Trust 2021-3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aa1 (sf) Cl. A-25, Assigned (P)Aa1 (sf) Cl. A-26, Assigned (P)Aa1 (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aa1 (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aa1 (sf) Cl. A-X-13*, Assigned (P)Aa1 (sf) Cl. A-X-14*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-X-2*, Assigned (P)A2 (sf) Cl. B-2A, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.38% at the mean (0.21% at the median) and reaches 3.95% at a stress level consistent with Moody's Aaa ratings. The action reflects the coronavirus pandemic's residual impact on the ongoing performance of US RMBS as the US economy continues on the path toward normalization. Economic activity will continue to strengthen in 2021 because of several factors, including the rollout of vaccines, growing household consumption and an accommodative central bank policy. However, specific sectors and individual businesses will remain weakened by extended pandemic related restrictions. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10% (6.31% 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 base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the TPR and the R&W framework of the transaction. Collateral Description RCKT 2021-3 is a securitization of 597 first lien prime jumbo mortgage loans with an unpaid principal balance of $557,429,263. 100% of the mortgage loans in the pool are underwritten to Quicken Loans' prime jumbo guidelines. The average stated principal balance is $933,717 and the weighted average (WA) current mortgage rate is 3.1%. The loans in this transaction have strong borrower characteristics with a weighted average primary borrower FICO score of 775 and a weighted-average original loan-to-value ratio (LTV) of 69.8%. The WA original debt-to-income (DTI) ratio is 33.5%. The average borrower total monthly income is $26,038 with an average $114,715 of reserves. Approximately 49.6% of the mortgages are backed by properties in California. The next largest states by geographic concentration in the pool are Florida (8.0% by UPB). All other states each represent 5% or less by UPB. Approximately 59.4% of the pool is backed by single family residential properties and 38.4% is backed by PUDs. Approximately 44.3% of the mortgages (by UPB) were originated through the retail channel, 53.3% of the mortgages (by UPB) were originated through the broker channel and the remaining 2.4% were originated through the correspondent channel. Loans originated through different origination channels often perform differently. Typically, loans originated through a broker or correspondent channel do not perform as well as loans originated through a retail channel, although performance will vary by originator. As of the cut-off date, none of the borrowers of the mortgage loans are currently subject to a COVID-19 forbearance plan or have contacted the servicer regarding the same. In the event a borrower enters into a COVID-19 related forbearance plan after the cut-off date, such mortgage loan will remain in the pool. Origination Quality In this transaction, the loans originated by Quicken are originated pursuant to the new general QM rule. To satisfy the new rule, Quicken implemented its non-agency Jumbo Smart program for applications on or after March 1, 2021. Under the program, the APR on all loans will not exceed the average prime offer rate (APOR) +1.5%, and income and asset documentation will be governed by the following, designed to meet the verification safe harbor provisions of the new QM Rule via a mix of the Fannie Mae Single Family Selling Guide, the Freddie Mac Single-Family Seller/Servicer Guide, and the applicable program overlays. Applicable program overlays are in place for FICO, LTV, DTI, and reserves, among others in its underwriting. Servicing Arrangement Moody's assess the overall servicing arrangement for this pool as adequate, given the ability, scale and experience of Quicken Loans as a servicer. However, compared to other prime jumbo transactions which typically have a master servicer, servicer oversight for this transaction is weaker. While third-party review of Quicken Loans' servicing operations, performance and regulatory compliance will be conducted at least annually by an independent accounting firm, the government-sponsored entities (GSEs), the Consumer Financial Protection Bureau (CFPB) and state regulators, such oversight lacks the depth and frequency that a master servicer would typically provide. However, Moody's did not adjust its expected losses for the weaker servicing arrangement due to the following reasons: (1) Quicken Loans' relative financial strength, scale, franchise value, experience and demonstrated ability as a servicer, (2) Citibank as the securities administrator will be responsible for making advances of delinquent interest and principal if Quicken Loans is unable to do so and for reconciling monthly remittances of cash by Quicken Loans, (3) the R&W framework is strong and includes triggers for delinquency and modification, which ensures that poorly performing mortgage loans will be reviewed by a third-party, and (4) the mortgage pool is of high credit quality. Servicer compensation will be a monthly fee based on the outstanding principal amount of the mortgage loans serviced, of a per annum rate equal to 25 basis points (0.25%). Third-Party Review An independent TPR firm, AMC Diligence, LLC (AMC), was engaged to conduct due diligence for the credit, regulatory compliance, property valuation, and data accuracy for approximately 72.4% of the loans in the transaction. The due diligence results confirm compliance with the originator's UW guidelines for the vast majority of mortgage loans, no material regulatory compliance issues, and no material property valuation exceptions. However, weaknesses exist in the property valuation review, where 269 non-conforming loans originated under Quicken Loans' Jumbo Smart prime jumbo guidelines had a property valuation review consisting of a Fannie Mae's Collateral Underwriter score and no other third-party valuation product such as a Collateral Desktop Analysis (CDA) and field review or second full appraisal. Also, there are 165 loans in the pool that were not reviewed by the due-diligence firm. As a result, Moody's applied an adjustment to the collateral loss to these 434 loans since the sample size of loans in the pool that were reviewed using a third-party valuation product such as a CDA was insufficient. Representations & Warranties Moody's assessed RCKT 2021-3's R&W framework for this transaction as adequate, consistent with that of other prime jumbo transactions for which an independent reviewer is named at closing, the breach review process is thorough, transparent and objective, and the costs and manner of review are clearly outlined at issuance. However, Moody's applied an adjustment to Moody's losses to account for the risk that Quicken Loans may be unable to repurchase defective mortgage loans in a stressed economic environment, given that it is a non-bank entity with a monoline business (mortgage origination and servicing) that is highly correlated with the economy. However, Moody's tempered this adjustment by taking into account Quicken Loans' relative financial strength and strong TPR results which suggest a lower probability that poorly performing mortgage loans will be found defective following review by the independent reviewer. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor and a subordination lock-out amount of 1.25% and 0.85% of the cut-off date pool balance, respectively. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. Transaction Structure The securitization has a shifting interest structure that benefits from a senior floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all unscheduled principal collections to the senior bond for a specified period and increasing amounts of unscheduled principal collections to the senior bond for a specified period and increasing amounts of unscheduled principal collections to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. Realized losses are allocated reverse sequentially among the subordinate and senior support certificates and on a pro-rata basis among the super senior certificates. Furthermore, similar to RCKT 2021-2, this transaction contains a structural deal mechanism in which the servicer and the securities administrator will not advance principal and interest (P&I) to mortgage loans that are 120 days or more delinquent. Although this feature lowers the risk of high advances that may negatively affect the recoveries on liquidated loans, the reduction in interest distribution amount is credit negative to the subordinate certificates, because interest shortfalls resulting from delinquencies from "Stop Advance Mortgage Loans" (SAML) is allocated to the subordinate certificates (in reverse order of distribution priority), then to the senior support certificates and finally to the super-senior certificates. Once a SAML is liquidated, the net recovery from that loan's liquidation is included in available funds and thus follows the transaction's priority of payment. In Moody's analysis, Moody's have considered the additional interest shortfall that the certificates may incur due to the transaction's stop-advance feature. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. SARANAC CLO III: Moody's Upgrades $24MM Class E-R Notes to Caa1 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Saranac CLO III Limited. US$45M Class B-R Senior Secured Floating Rate Notes due 2030, Upgraded to Aa2 (sf); previously on August 7, 2020 Downgraded to Aa3 (sf) US$24.5M Class C-R Secured Deferrable Floating Rate Notes due 2030, Upgraded to A3 (sf); previously on January 15, 2021 Upgraded to Baa1 (sf) US$24M Class E-R Secured Deferrable Floating Rate Notes due 2030, Upgraded to Caa1 (sf); previously on August 7, 2020 Downgraded to Caa3 (sf) Saranac CLO III Limited, originally issued in August 2014 and refinanced in May 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end on May 2022. RATINGS RATIONALE These rating actions are primarily a result of an increase in the transaction's over-collateralization (OC) ratios since December 2020. Based on the June 2021 trustee report[1], the overcollateralization (OC) ratios for the Class A/B, Class C-R, Class D-R and Class E-R notes are reported at 133.83%, 123.17%, 114.26% and 106.55%, respectively, versus December 2020 levels of 130.26%, 119.89%, 111.21% and 103.41%, respectively. Moody's notes however that the credit quality of the portfolio has weakened since then, with a weighted average rating factor reported by the trustee of 3794 in June 2021 [2] versus 3593 reported in December[3]. Moreover, based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (adjusted for watchlist for downgrade) remains elevated at approximately 22.24% as of June 2021. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $378,430,831 Defaulted par: $2,525,345 Diversity Score: 69 Weighted Average Rating Factor (WARF): 3447 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.93% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 48.66% Weighted Average Life (WAL): 4.06 years In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge, both to the downside and the upside, from Moody's base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure; an additional cashflow analysis assuming a lower WAS to test the sensitivity to LIBOR floors; sensitivity analysis on deteriorating credit quality due to a large exposure to loans with negative outlook, and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SCULPTOR CLO XXVII: Moody's Assigns Ba3 Rating to Class E Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to ten classes of notes issued by Sculptor CLO XXVII, Ltd. (the "Issuer" or "Sculptor XXVII"). Moody's rating action is as follows: US$4,000,000 Class X Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$248,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$4,000,000 Class A-2A Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$4,000,000 Class A-2B Senior Secured Fixed Rate Notes due 2034, Assigned Aaa (sf) US$40,000,000 Class B-1 Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$8,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2034, Assigned Aa2 (sf) US$17,350,000 Class C-1 Senior Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$3,250,000 Class C-2 Senior Secured Deferrable Fixed Rate Notes due 2034, Assigned A2 (sf) US$24,300,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$19,100,000 Class E 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. Sculptor XXVII 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 first lien senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and senior secured bonds. The portfolio is approximately 80% ramped as of the closing date. Sculptor Loan Management LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued two classes of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2821 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. SHACKLETON 2019-XIV: Moody's Assigns Ba3 Rating to Class E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes issued by Shackleton 2019-XIV CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$3,500,000 Class X-R Senior Secured Floating Rate Notes Due 2034 (the "Class X-R Notes"), Assigned Aaa (sf) US$215,500,000 Class A-1-R Senior Secured Floating Rate Notes Due 2034 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$62,100,000 Class A-2-R Senior Secured Fixed Rate Notes Due 2034 (the "Class A-2-R Notes"), Assigned Aaa (sf) US$43,400,000 Class B-R Senior Secured Floating Rate Notes Due 2034 (the "Class B-R Notes"), Assigned Aa2 (sf) US$23,200,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes Due 2034 (the "Class C-R Notes"), Assigned A2 (sf) US$28,200,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes Due 2034 (the "Class D-R Notes"), Assigned Baa3 (sf) US$25,350,000 Class E-R Mezzanine Secured Deferrable Floating Rate Notes Due 2034 (the "Class E-R Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Alcentra NY, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $433,750,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2977 Weighted Average Spread (WAS): 3.35% Weighted Average Recovery Rate (WARR): 47.3% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. STEELE CREEK 2019-2: S&P Affirms BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, and C-R replacement notes from Steele Creek CLO 2019-2 Ltd., a CLO originally issued in 2019 that is managed by Steele Creek Investment Management LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, and C notes following payment in full on the July 15, 2021, refinancing date. S&P also affirmed its ratings on the class D and E 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 class A-1 and A-2 notes will be combined to make the new class A-R notes. -- The non-call period will be extended to July 15, 2022. No additional subordinated notes will be issued on the refinancing date. -- The transaction adopted benchmark replacement language and made updates to conform to current rating agency methodology. Replacement And Original Note Issuances Replacement notes Class A-R, $256 million: Three-month LIBOR + 1.170% Class B-R, $44 million: Three-month LIBOR + 1.850% Class C-R, $26 million: Three-month LIBOR + 2.650% Original notes Class A-1, $215 million: Three-month LIBOR + 1.360% Class A-2, $41 million: 3.204% Class B, $44 million: Three-month LIBOR + 2.250% Class C, $26 million: Three-month LIBOR + 3.250% 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 Steele Creek CLO 2019-2 Ltd. Class A-R, $256 million: AAA (sf) Class B-R $44 million: AA (sf) Class C-R (deferrable) $26 million: A (sf) Ratings Affirmed Steele Creek CLO 2019-2 Ltd. Class D: BBB- (sf) Class E: BB- (sf) Ratings Withdrawn Steele Creek CLO 2019-2 Ltd. Class A-1 to not rated from 'AAA (sf)' Class A-2 to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' STUDENT LOAN 2007-1: S&P Raises Class 6-A-1 Certs Rating to 'BB+' ----------------------------------------------------------------- S&P Global Ratings raised its ratings on Student Loan ABS Repackaging Trust Series 2007-1's class 6-A-1 and 6-A-IO certificates to 'BB+' from 'BB'. S&P's rating on the certificates are dependent on the lower of the rating on the underlying security, transferable custody receipts (TCRs) relating to NCF Grantor Trust 2005-3's class A-5-1 certificates due in 2033 ('BB+ (sf)'), and the rating on swap counterparty, Deutsche Bank AG (New York branch) ('BBB+'). S&P's rating on the swap counterparty is based on the lower of the long-term rating on Deutsche Bank AG ('BBB+') and the long-term foreign-currency rating on the U.S. ('AA+'), the jurisdiction where the bank branch is located. The rating action reflects July 12, 2021, raising of its rating on the underlying security to 'BB+ (sf)' from 'BB (sf)'. S&P may take subsequent rating actions on this transaction if the rating on the underlying security changes. STWD 2021-HTS: S&P Assigns Prelim B- (sf) Rating on Class F Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to STWD 2021-HTS Mortgage Trust's commercial mortgage pass-through certificates. The certificate issuance is a CMBS securitization backed by the assets of the trust that include one commercial mortgage loan and one commercial mezzanine loan. The mortgage loan is secured by the borrowers' fee simple interests and the operating lessee's leasehold interest in 41 extended-stay HomeTowne Studios by Red Roof hotels across 18 U.S. states. The mezzanine loan is secured by the mezzanine borrower's pledge of 100% of its equity interest in the mortgage borrowers. The preliminary ratings are based on information as of July 21, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect our view of the collateral's historical and projected performance, the experience of the sponsors and the manager, the trustee-provided liquidity, the mortgage and mezzanine loan terms, and the transaction's structure. Preliminary Ratings Assigned STWD 2021-HTS Mortgage Trust(i) Class A, $67,559,000: AAA (sf) Class X, $169,532,000(ii): Not rated Class B, $23,857,000: AA- (sf) Class C, $17,734,000: A- (sf) Class D, $23,435,000: BBB- (sf) Class E, $36,947,000: BB- (sf) Class F, $32,724,000: B- (sf) Class G, $16,044,000: Not rated Class HRR(iii), $11,700,000: Not rated (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Notional balance. The notional amount of the class X certificates will equal the certificate balance of the class A, class B, class C, class D, and class E certificates. (iii)Horizontal risk retention interest. SYMPHONY CLO XXI: S&P Assigns BB- (sf) Rating on Class E-4XR 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, along with the MASCOT notes associated with the class A-R notes, from Symphony CLO XXI Ltd., a CLO originally issued in 2019 that is managed by Symphony Asset Management LLC. At the same time, S&P withdrew its ratings on the original class B, C, D, and E notes following payment in full on the July 15, 2021, refinancing date. S&P also withdrew its ratings on the original MASCOT notes, and assigned ratings to the replacement MASCOT notes. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture, LIBOR fallback language will be added. 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 Symphony CLO XXI Ltd. Class X-R, $1.50 million: AAA (sf) Class A-R, $252.00 million: AAA (sf) Class A-1R: AAA (sf) Class A-1XR: AAA (sf) Class A-2R: AAA (sf) Class A-2XR: AAA (sf) Class A-3R: AAA (sf) Class A-3XR: AAA (sf) Class A-4R: AAA (sf) Class A-4XR: AAA (sf) Class B-R, $52.00 million: AA (sf) Class B-1R: AA (sf) Class B-1XR: AA (sf) Class B-2R: AA (sf) Class B-2XR: AA (sf) Class B-3R: AA (sf) Class B-3XR: AA (sf) Class B-4R: AA (sf) Class B-4XR: AA (sf) Class C-R, $24.00 million: A (sf) Class C-1R: A (sf) Class C-1XR: A (sf) Class C-2R: A (sf) Class C-2XR: A (sf) Class C-3R: A (sf) Class C-3XR: A (sf) Class C-4R: A (sf) Class C-4XR: A (sf) Class D-R, $23.00 million: BBB- (sf) Class D-1R: BBB- (sf) Class D-1XR: BBB- (sf) Class D-2R: BBB- (sf) Class D-2XR: BBB- (sf) Class D-3R: BBB- (sf) Class D-3XR: BBB- (sf) Class D-4R: BBB- (sf) Class D-4XR: BBB- (sf) Class E-R, $15.00 million: BB- (sf) Class E-1R: BB- (sf) Class E-1XR: BB- (sf) Class E-2R: BB- (sf) Class E-2XR: BB- (sf) Class E-3R: BB- (sf) Class E-3XR: BB- (sf) Class E-4R: BB- (sf) Class E-4XR: BB- (sf) Ratings Withdrawn Symphony CLO XXI Ltd. Class B to NR from 'AA (sf)' Class B-1 to NR from 'AA (sf)' Class B-1X to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class B-2X to NR from 'AA (sf)' Class B-3 to NR from 'AA (sf)' Class B-3X to NR from 'AA (sf)' Class B-4 to NR from 'AA (sf)' Class B-4X to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class C-1 to NR from 'A (sf)' Class C-1X to NR from 'A (sf)' Class C-2 to NR from 'A (sf)' Class C-2X to NR from 'A (sf)' Class C-3 to NR from 'A (sf)' Class C-3X to NR from 'A (sf)' Class C-4 to NR from 'A (sf)' Class C-4X to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class D-1 to NR from 'BBB- (sf)' Class D-1X to NR from 'BBB- (sf)' Class D-2 to NR from 'BBB- (sf)' Class D-2X to NR from 'BBB- (sf)' Class D-3 to NR from 'BBB- (sf)' Class D-3X to NR from 'BBB- (sf)' Class D-4 to NR from 'BBB- (sf)' Class D-4X to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Class E-1 to NR from 'BB- (sf)' Class E-1X to NR from 'BB- (sf)' Class E-2 to NR from 'BB- (sf)' Class E-2X to NR from 'BB- (sf)' Class E-3 to NR from 'BB- (sf)' Class E-3X to NR from 'BB- (sf)' Class E-4 to NR from 'BB- (sf)' Class E-4X to NR from 'BB- (sf)' NR--Not rated. TRINITAS CLO XVI: Moody's Assigns Ba3 Rating to $25.75MM F Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of notes issued by Trinitas CLO XVI, Ltd. (the "Issuer" or "Trinitas XVI "). Moody's rating action is as follows: US$290,000,000 Class A-1 Floating Rate Notes due 2034, Assigned Aaa (sf) US$20,000,000 Class A-2 Fixed Rate Notes due 2034, Assigned Aaa (sf) US$58,000,000 Class B-1 Floating Rate Notes due 2034, Assigned Aa2 (sf) US$9,500,000 Class B-2 Fixed Rate Notes due 2034, Assigned Aa2 (sf) US$12,500,000 Class C-1 Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$10,000,000 Class C-2 Deferrable Fixed Rate Notes due 2034, Assigned A2 (sf) US$31,750,000 Class D Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$25,750,000 Class E Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) The notes listed are referred to, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Trinitas XVI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, up to 7.5% of the portfolio may consist of second lien loans and permitted non-loan assets, and up to 2.5% of the portfolio may consist of unsecured loans. The portfolio is approximately 95% ramped as of the closing date. Trinitas Capital Management, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued 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: 65 Weighted Average Rating Factor (WARF): 2890 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.25% Weighted Average Life (WAL): 9 years 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. VOYA CLO 2020-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Voya CLO 2020-1 Ltd./Voya CLO 2020-1 LLC, a CLO originally issued in June 2020 that is managed by Voya Alternative Asset Management LLC. The preliminary ratings are based on information as of July 20, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 27, 2021, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. S&P said, "At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm our ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-R, 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 replacement class B-R notes are expected to be issued at a floating spread, replacing the current class B-1 floating rate notes and the class B-2 fixed rate notes. -- The stated maturity and reinvestment period will be extended three years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Voya CLO 2020-1 Ltd./Voya CLO 2020-1 Ltd. Class A-R, $186.00 million: AAA (sf) Class B-R, $42.00 million: AA (sf) Class C-R (deferrable), $18.00 million: A (sf) Class D-R (deferrable), $18.00 million: BBB- (sf) Class E-R (deferrable), $11.25 million: BB- (sf) Subordinated notes, $28.80 million: Not rated WELLS FARGO 2015-NXS4: Fitch Affirms CCC Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust Pass-Through Certificates series 2015-NXS4 (WFCM 2015-NXS4). DEBT RATING PRIOR ---- ------ ----- WFCM 2015-NXS4 A-3 94989XBB0 LT AAAsf Affirmed AAAsf A-4 94989XBC8 LT AAAsf Affirmed AAAsf A-S 94989XBE4 LT AAAsf Affirmed AAAsf A-SB 94989XBD6 LT AAAsf Affirmed AAAsf B 94989XBH7 LT AA-sf Affirmed AA-sf C 94989XBJ3 LT A-sf Affirmed A-sf D 94989XBL8 LT BBBsf Affirmed BBBsf E 94989XAL9 LT BBB-sf Affirmed BBB-sf F 94989XAN5 LT BB-sf Affirmed BB-sf G 94989XAQ8 LT CCCsf Affirmed CCCsf X-A 94989XBF1 LT AAAsf Affirmed AAAsf X-B 94989XBG9 LT AA-sf Affirmed AA-sf X-D 94989XBK0 LT BBB-sf Affirmed BBB-sf X-F 94989XAA3 LT BB-sf Affirmed BB-sf X-G 94989XAC9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Concerns Despite Lower Loss Expectations: Fitch's loss expectations have declined since the last rating action, driven by improved performance and recovery expectations in conjunction with deleveraging of the pool. Fitch's ratings incorporate a base case loss of 6.7%. The projected losses are driven by 11 Fitch Loans of Concern (FLOC) representing 16.5% of the pool, including seven loans in special servicing representing 9.8% of the pool. The largest contributors to modeled losses are two retail properties in special servicing. The Streets of Chester (2.1% of the pool) is an anchored open-air shopping center located in Chester, NJ. Major tenants include GAP (10% NRA), Banana Republic (8.4% NRA), and Talbots (8.3% NRA). The property is shadow-anchored by a Marshalls/HomeGoods anchored power center located across the street. The loan transferred to special in December 2018 for imminent default attributed to a decline in base rents. A receiver was appointed in June 2019 and the asset became REO in March 2021. The special servicer plans to continue stabilizing the asset ahead of listing it for sale, with an estimated stabilization date of June 2022. Fitch's modeled loss of 32% is based on a stress to the most recent appraised value to reflect the property's declining performance trends. Farm Fresh at Princess Anne (1.1% of the pool) is a single-tenant retail property previously occupied by Farm Fresh grocery store. The tenant vacated at lease expiration in January 2019 after the grocer went out of business. The space, which is located adjacent to a non-collateral Target, has been vacant since. A February 2021 servicer site inspection indicates the property is in average condition though it appears dated and has been dark for over two years. The loan transferred to special in January 2020 and became REO in June 2021. The special servicer commentary notes that the receiver has given several property tours. Fitch's modeled loss of 62% is based on a stress to the most recent appraised value to reflect the property's continued dark status and lack of leasing activity. Increased Credit Enhancement: Since the last rating action, three loans have been repaid from the trust. Repayment of these loans contributed approximately $61 million in principal paydown to the senior bonds, resulting in increased credit support. As of the July 2021 distribution date, the pool's aggregate pool balance has paid down by 22.5% to $599.5 million from $774.5 million at issuance. Six loans (11% of the pool) are fully defeased. All of the remaining loans in the pool are scheduled to mature in 2025. Coronavirus Exposure: Thirteen loans representing 22.2% of the pool are secured by lodging properties. This includes seven hotel loans (9.6% of the pool) which are flagged as FLOCs, five of which are in special servicing. These loans were modeled with an additional stress to the most recent appraised value or an additional haircut to the YE 2019 NOI, given the significant declines to 2020 NOI related to reduced reservations and/or temporary closures related to the pandemic. RATING SENSITIVITIES Factor that could, individually or collectively, lead to a positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or continued defeasance. Upgrades to classes B and C may occur with increased paydown and/or defeasance combined with increased performance. An upgrade to classes D and E is not likely unless the FLOCs' performance stabilizes and if the performance of the remaining pool improves. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- An increase in pool level losses from underperforming loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur. Downgrades to classes C and D are possible should additional loans default. Downgrades to classes E and F are possible should performance of the FLOCs' performance fail to stabilize. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WELLS FARGO 2016-C36: Fitch Lowers Rating on 2 Tranches to 'CCCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded nine classes and affirmed seven classes of Wells Fargo Commercial Mortgage Trust 2016-C36 (WFCM 2016-C36) commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- WFCM 2016-C36 A-2 95000MBM2 LT AAAsf Affirmed AAAsf A-3 95000MBN0 LT AAAsf Affirmed AAAsf A-4 95000MBP5 LT AAAsf Affirmed AAAsf A-S 95000MBR1 LT AAsf Downgrade AAAsf A-SB 95000MBQ3 LT AAAsf Affirmed AAAsf B 95000MBU4 LT Asf Downgrade AA-sf C 95000MBV2 LT BBBsf Downgrade A-sf D 95000MAC5 LT BB-sf Downgrade BBB-sf E 95000MAJ0 LT CCCsf Downgrade B-sf E-1 95000MAE1 LT B-sf Downgrade BBsf E-2 95000MAG6 LT CCCsf Downgrade B-sf EF 95000MAS0 LT CCCsf Affirmed CCCsf F 95000MAQ4 LT CCCsf Affirmed CCCsf X-A 95000MBS9 LT AAAsf Affirmed AAAsf X-B 95000MBT7 LT Asf Downgrade AA-sf X-D 95000MAA9 LT BB-sf Downgrade BBB-sf Class X-A, X-B and X-D are interest only. The class E-1 and E-2 certificates may be exchanged for a related amount of class E certificates, and the class E certificates may be exchanged for a rateable portion of class E-1 and E-2 certificates. Additionally, a holder of class E-1, E-2, F-1 and F-2 certificates may exchange such classes of certificates (on an aggregate basis) for a related amount of class EF certificates, and a holder of class EF certificates may exchange that class EF for a rateable portion of each class of the class E-1, E-2, F-1 and F-2 certificates. A holder of class E-1, E-2, F-1, F-2, G-1 and G-2 certificates may exchange such classes of certificates (on an aggregate basis) for a related amount of class EFG certificates, and a holder of class EFG certificates may exchange that class EFG for a ratable portion of each class of the class E-1, E-2, F-1, F-2, G-1 and G-2 certificates. Fitch does not rate classes F-1, F-2, G-1, G-2, G, EFG, H-1, H-2 and H. KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased loss expectations from Fitch's prior rating action primarily due to higher base case loss expectations on two regional mall loans, the Gurnee Mills loan (9.4% of the pool) and the specially serviced Mall at Turtle Creek loan (3.4% of the pool). Fitch has identified 14 other loans (21%) as Fitch Loans of Concern (FLOCs) including five additional specially serviced loans (10.5%). Fitch's current ratings incorporate a base case loss of 7.4%. The Negative Rating Outlook on classes A-S through E-1 reflect losses that could reach 9.2% when factoring in additional pandemic-related stresses. Largest Contributors to Base Case Loss: The largest contributor to loss is the Gurnee Mills loan, which is secured by a 1.7 million sf portion of a 1.9 million sf regional mall located in Gurnee, IL, approximately 45 miles north of Chicago. Non-collateral anchors include Burlington Coat Factory, Marcus Cinema and Value City Furniture. Collateral anchors include Macy's, Bass Pro Shops, Kohl's and a vacant anchor box previously occupied by Sears, which left in 2Q18. Collateral occupancy declined to approximately 74.5% as of the YE 2020 rent roll from 91% at issuance. In line tenant sales were reported to be $325 psf as of YE 2019 compared to $332 psf for YE 2018, $313 psf for YE 2017 and $347 psf around the time of issuance (as of TTM July 2016). The sponsor is Simon Property Group. The loan transferred to the special servicer in June 2020 for imminent monetary default related to the ongoing pandemic. The loan was returned to the master servicer in May 2021 after the borrower and servicer agreed on a forbearance to defer the monthly payments from May 2020 through December 2020. Regular debt service payments resumed with the January 2021 payment. Beginning with the March 2021 payment, borrower began to repay the deferred amounts through February 2023. Fitch's base case loss of 31% reflects an implied cap rate of 12.6% on YE 2019 NOI. Fitch's COVID stressed loss of 45% reflects an implied cap rate of 15.8% on YE 2019 NOI. The next largest contributor to base case loss is the specially serviced Mall at Turtle Creek loan. The loan, which is sponsored by Brookfield Properties, is secured by 329,398 sf of inline space within an enclosed mall located in Jonesboro, AR. Non-collateral anchor tenants include JCPenney, Dillard's and Target. The largest collateral tenants include Barnes & Noble, Bed Bath & Beyond, Best Buy and H&M. In March 2020, a tornado caused significant damage to the mall, including collapsing the walls of the Best Buy store. None of the non-collateral anchors suffered major damage and all have reopened. However, all in-line tenants have ceased operations until remediation and reconstruction to the property has been completed. Some of the insurance proceeds have been released to the borrower for the demolition of areas deemed to be unsafe by local officials. The servicer continues to work with the borrower to determine the best strategy moving forward, including a possible deed in lieu of foreclosure. Fitch's loss expectations of approximately 25% reflects a haircut to the net insurance proceeds expected to be received by the borrower. The third largest contributor to loss is the Plaza America I & II loan (8.2% of the pool), which is secured by a 514,615-sf two-building suburban office property located in Reston, VA. The loan continues to perform with a servicer reported YE 2020 NOI DSCR of 1.97x for this interest only loan. The property has a granular rent roll with over 40 tenants in place; the largest tenant comprises approximately 12% of the NRA. The servicer reported YE 2020 NOI was approximately 10% below the YE 2019 NOI primarily attributable to a slight decrease in occupancy. Per the January 2021 rent roll, the property was 85.8% leased compared to 89.5% in January 2020. Approximately 9.1% of the NRA is scheduled to roll over the next 12 months. Fitch applied a 10% haircut to the YE 2020 NOI to account for upcoming tenant roll. The next largest contributor to loss is the specially serviced Home2 Suites - Long Island City loan (2.9% of the pool), which is secured by a 115-key extended stay hotel located in Long Island City, NY. The property, which was built in 2014, is well connected to Manhattan via public transportation. The loan transferred to special servicing in April 2020 due to COVID-19. Per the servicer, a three-month forbearance agreement was executed effective June 2020, which provided that FF&E reserves could be used to pay three months of debt service. The loan is now 90+ days delinquent with additional forbearance reportedly under consideration. Per the servicer, recent operating statements have not been provided by the borrower. Per the TTM April 2021 STR report, occupancy, ADR, and RevPAR were 56.5%, $122, and $69, respectively, with RevPAR penetration of 133.1%. TTM April 2021 RevPAR was down 57% yoy. Fitch's loss expectation of 20% reflects a value of $175,000/key. Minimal Increase in Credit Enhancement (CE): As of the June 2021 distribution date, the pool's aggregate principal balance has paid down by 7.1% to $797.4 million from $858.2 million at issuance. Two loans have paid off ($18.8 million) in the last year while five loans (2.6%) are defeased. The pool has experienced no realized losses since issuance. Eleven loans (31.1% of pool) are full-term interest only, while no loans remain in partial interest-only periods. Three loans are scheduled to mature in 2021 (1.9% of pool), while the majority of the pool is scheduled to mature in 2025 and 2026 at 98.1%. High Retail Concentration: Loans secured by retail properties represent 31.5% of the pool, including six of the top 15 loans (26.2% of pool), two of which are secured by regional mall properties (12.8%). Coop concentration: The pool contains 10 loans (8.4% of the pool) consists of loans secured by lowly leveraged coop properties. Nine of the ten properties are located within the greater New York metro area, with the remaining property located in Suffolk, Long Island. RATING SENSITIVITIES The Negative Outlooks in classes A-S through E-1 primarily reflect performance concerns on the specially serviced loans and the Gurnee Mills loan in addition to the ultimate impact of the pandemic on performance stabilization. The Stable Outlooks on classes A-2 through A-SB reflect the substantial CE and the generally stable pool performance for the majority of the pool. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, particularly on the Gurnee Mills loan and other FLOCs, coupled with paydown and/or defeasance. Upgrades of the 'AAsf' and 'Asf' category would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations or the underperformance of particular loan(s) could cause this trend to reverse. -- Upgrades to 'BBBsf' category are considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. The 'BBsf', 'Bsf' and distressed classes are unlikely to be upgraded absent significant performance improvement and substantially higher recoveries than expected on the specially serviced loans/assets. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-2, A SB, A-3 and A-4 are not expected given the position in the capital structure, but may occur should interest shortfalls impact these classes. -- 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 further losses be realized. The distressed classes could be further downgraded should expected losses increase 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 WFCM 2016-C36 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to two regional malls that are underperforming as a result of changing consumer preference to shopping, 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. WIND RIVER 2021-3: Moody's Gives (P)Ba3 Rating to $21.75MM E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Wind River 2021-3 CLO Ltd. (the "Issuer" or "Wind River 2021-3"). Moody's rating action is as follows: US$310,000,000 Class A Senior Secured Floating Rate Notes due 2033, Assigned (P)Aaa (sf) US$56,000,000 Class B-1 Senior Secured Floating Rate Notes due 2033, Assigned (P)Aa2 (sf) US$11,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2033, Assigned (P)Aa2 (sf) US$26,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2033, Assigned (P)A2 (sf) US$34,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2033, Assigned (P)Baa3 (sf) US$21,750,000 Class E Junior Secured Deferrable Floating Rate Notes due 2033, Assigned (P)Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Wind River 2021-3 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of non-senior secured loans, 5% of which may consist of bonds. Moody's expect the portfolio to be approximately 80% ramped as of the closing date. First Eagle Alternative Credit, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue 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: 73 Weighted Average Rating Factor (WARF): 3025 Weighted Average Spread (WAS): 3.62% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR): 47.11% 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. WOODMONT 2019-6: S&P Affirms BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its rating to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Woodmont 2019-6 L.P./Woodmont 2019-6 LLC, a CLO transaction backed by middle market speculative-grade (rated 'BB+' and lower) senior secured term loans originally issued in 2019 that is managed by MidCap Financial Services Capital Management LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, and D notes following payment in full on the July 15, 2021, refinancing date. At the same time, S&P affirmed its ratings on the class E notes. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture, the non-call period will be extended to July 15, 2022. Replacement And Original Note Issuances Replacement notes Class A-1-R, $277.00 million: Three-month LIBOR + 1.48% Class A-2-R, $25.00 million: Three-month LIBOR + 1.65% Class B-R, $42.50 million: Three-month LIBOR + 1.85% Class C-R, $36.50 million: Three-month LIBOR + 2.75% Class D-R, $30.00 million: Three-month LIBOR + 3.90% Original notes Class A-1, $277.00 million: Three-month LIBOR + 1.71% Class A-2, $25.00 million: Three-month LIBOR + 2.00% Class B, $42.50 million: Three-month LIBOR + 2.40% Class C, $36.50 million: Three-month LIBOR + 3.40% Class D, $30.00 million: Three-month LIBOR + 4.40% Class E, $29.00 million: Three-month LIBOR + 7.70% Subordinated notes, $66.60 million 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 Woodmont 2019-6 L.P./Woodmont 2019-6 LLC Class A-1-R, $277.00 million: AAA (sf) Class A-2-R, $25.00 million: AAA (sf) Class B-R, $42.50 million: AA (sf) Class C-R, $36.50 million: A (sf) Class D-R, $30.00 million: BBB- (sf) Subordinated notes, $66.60 million: NR Rating Affirmed Woodmont 2019-6 L,P,/Woodmont 2019-6 LLC Class E-R, $29.00 million: BB- (sf) Ratings Withdrawn Woodmont 2019-6 L.P./Woodmont 2019-6 LLC Class A-1: to NR from 'AAA(sf)' Class A-2: to NR from 'AAA (sf)' Class B: to NR from 'AA (sf)' Class C: to NR from 'A (sf)' Class D: to NR from 'BBB- (sf)' NR--Not rated. [*] S&P Takes Various Actions on 161 Classes from 45 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 161 ratings from 45 U.S. RMBS transactions issued between 1997 and 2007. The review yielded 65 upgrades, two downgrades, 86 affirmations, four discontinuances, and four withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3hJXHAd Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics, and their potential effects on certain classes. Some of these considerations may include: -- Factors related to the COVID-19 pandemic, -- Collateral performance or delinquency trends, -- Available subordination and/or overcollateralization, -- Expected short duration, -- Small loan count, -- Historical interest shortfalls or missed interest payments, and -- Reduced interest payments due to loan modifications. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, the structural characteristics, and/or reflect the application of specific criteria applicable to these classes. See the ratings list above for the specific rationales associated with each of the classes with rating transitions. "The affirmations reflect our view that our projected credit support and collateral performance on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on four classes from two transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, their future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level. "We raised our ratings on 59 classes because of increased credit support, including seven ratings that were raised by five or more notches. These classes have benefitted from performance trigger failures and/or reduced subordinate class principal distribution amounts, which built each class' credit support as a percent of its respective deal balance. Ultimately, we believe these classes have credit support that is sufficient to withstand losses at higher rating levels. "We raised our ratings on five classes due to expected short duration. Based on their average recent principal allocation, these classes are projected to pay down in a short period of time relative to the projected loss timing, thus limiting their exposure to potential losses." [*] S&P Takes Various Actions on 45 Classes from 36 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 45 classes from 36 U.S. RMBS transactions. The review yielded 26 downgrades due to observed principal write-downs and 19 downgrades due to observed interest shortfalls. In addition, S&P subsequently discontinued the rating on three classes that it lowered to 'D (sf)' for principal write-downs due to the transaction fully paid down. A list of Affected Ratings can be viewed at: https://bit.ly/2V0aBBe Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Factors related to COVID-19; -- Available subordination or overcollateralization; and -- Historical interest shortfalls or missed interest payments. Rating Actions S&P said, "The rating changes reflect our view of the associated transaction-specific collateral performance, the structural characteristics, or the application of criteria relevant to these classes. "The lowered ratings due to interest shortfalls are consistent with our "S&P Global Ratings Definitions," published Jan. 5, 2021, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "In instances where the class does receive additional compensation for outstanding interest shortfalls, our analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. Twelve classes from 11 transactions were impacted in this review. "In instances where the class does not receive additional compensation for outstanding interest shortfalls, our analysis focuses on our expectations regarding the length of the interest payment interruptions to assign the rating on the class. Seven classes from six transactions were impacted in this review. "The lowered ratings due to outstanding principal write-downs reflect our assessment of the principal write-downs' impact on the affected classes during recent remittance periods. All of these classes were rated 'CCC (sf)' before the rating actions." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2021. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***