/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210822.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, August 22, 2021, Vol. 25, No. 233 Headlines 610 FUNDING 3: Moody's Hikes Rating on Cl. F Notes to Caa1 AFFIRM ASSET 2021-B: DBRS Finalizes B Rating on Class E Notes AIMCO CLO 10: Moody's Assigns Ba3 Rating to $19MM Class E-R Notes BANK 2017-BNK8: Fitch Affirms B- Rating on Class F Certs BENCHMARK 2018-B6: Fitch Affirms B- Rating on J-RR Certs BENEFIT STREET XX: S&P Assigns Prelim BB- (sf) Rating on E-R Notes BRAVO RESIDENTIAL 2021-NQM2: S&P Assigns B(sf) Rating on B-2 Notes BX TRUST 2018-BILT: Fitch Affirms B- Rating on Class F Debt CIM TRUST 2021-INV1: Moody's Assigns B2 Rating to Cl. B-5 Certs FLAGSHIP CREDIT 2021-3: S&P Assigns BB- (sf) Rating on Cl. E Notes GS MORTGAGE 2015-GS1: Fitch Lowers Class F Certs to 'CC' GS MORTGAGE 2016-GS4: Fitch Affirms CCC Rating on Class F Certs GS MORTGAGE 2021-PJ8: Moody's Assigns (P)B2 Rating to B-5 Certs HAYFIN US XIV: S&P Assigns Prelim BB- (sf) Rating on Class E Notes IMPERIAL 2021-NQM2: S&P Assigns Prelim B(sf) Rating on B-2 Certs JP MORGAN 2014-C23: Fitch Affirms CCC Rating on 2 Tranches JPMBB TRUST 2014-C18: Fitch Affirms C Rating on Class F Certs JPMDB COMMERCIAL 2017-C7: Fitch Affirms CCC Rating on F-RR Certs MFA 2021-NQM2: S&P Assigns B (sf) Rating on Class B-2 Notes MORGAN STANLEY 2021-5: Fitch Gives 'B(EXP)' Rating to B-5 Debt OCP CLO 2020-19: S&P Assigns Prelim BB- (sf) Rating on E-R Notes OCTAGON INVESTMENT 46: S&P Assigns BB-(sf) Rating on Cl. E-R Notes PROVIDENT FUNDING 2021-INV1: Moody's Gives B2 Rating to B-5 Certs SANTANDER CONSUMER 2020-B: Fitch Raises Class F Notes to 'BB' SOLARCITY LMC 2014-2: S&P Affirms 'BB(sf)' Rating on Class B Notes TCW CLO 2019-1: S&P Assigns B- (sf) Rating on $4MM Class FR Notes TIAA SEASONED 2007-C4: Fitch Affirms D Rating on 4 Tranches TICP CLO XII: S&P Assigns BB- (sf) Rating on Class E-R Notes TRESTLES CLO IV: S&P Assigns BB- (sf) Rating on Class E Notes VENTURE XIII CLO: Moody's Hikes Rating on $39.5MM E-R Notes to Ba3 [*] S&P Lowers Ratings on 17 Classes from Seven U.S. CMBS Deals [*] S&P Takes Various Actions on 24 Classes from Six US RMBS Deals [*] S&P Takes Various Actions on 38 Classes from 16 U.S. RMBS Deals [*] S&P Takes Various Actions on 82 Classes from 24 U.S. RMBS Deals ********* 610 FUNDING 3: Moody's Hikes Rating on Cl. F Notes to Caa1 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by 610 Funding CLO 3, Ltd.: US$44,000,000 Class B Senior Secured Floating Rate Notes Due July 17, 2028, Upgraded to Aaa (sf); previously on June 28, 2018 Assigned Aa2 (sf) US$23,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes Due July 17, 2028, Upgraded to Aa2 (sf); previously on June 28, 2018 Assigned A2 (sf) US$22,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes Due July 17, 2028, Upgraded to Baa1 (sf); previously on August 13, 2020 Confirmed at Baa3 (sf) US$19,000,000 Class E Junior Secured Deferrable Floating Rate Notes Due July 17, 2028, Upgraded to Ba3 (sf); previously on August 13, 2020 Downgraded to B1 (sf) US$7,000,000 Class F Junior Secured Deferrable Floating Rate Notes Due July 17, 2028, Upgraded to Caa1 (sf); previously on August 13, 2020 Downgraded to Caa2 (sf) 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 August 2020. The Class A-1, Class A-2 and Class A-3 notes have been collectively paid down by approximately 42% or 109.4 million since then. Based on the trustee's July 2021 report[1], the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 138.86%, 126.10%, 115.91% and 108.36%, respectively, versus August 2020[2] levels of 128.77%, 119.71%, 112.16% and 106.37%, respectively. The deal has also benefited from an improvement in the credit quality of the portfolio since August 2020. Based on the trustee's July 2021 report[3], the weighted average rating factor is currently 3163 compared to 3367 in August 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, 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: $282,983,781 Diversity Score: 44 Weighted Average Rating Factor (WARF): 3020 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.50% Weighted Average Recovery Rate (WARR): 47.89% Weighted Average Life (WAL): 3.65 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, deteriorating credit quality of the portfolio, additional default on a large obligor and lower recoveries on defaulted assets. 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. AFFIRM ASSET 2021-B: DBRS Finalizes B Rating on Class E Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following notes issued by Affirm Asset Securitization Trust 2021-B (Affirm 2021-B): -- $418,750,000 Class A Notes at AA (sf) -- $28,000,000 Class B Notes at A (sf) -- $19,750,000 Class C Notes at BBB (sf) -- $22,500,000 Class D Notes at BB (sf) -- $11,000,000 Class E Notes at B (sf) The ratings on the notes are based on DBRS Morningstar's review of the following considerations: (1) The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: June 2021 Update", published on June 18, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on June 18, 2021, and are reflected in DBRS Morningstar's rating analysis. (2) The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in continued success in containment during the second half of 2021, enabling the continued relaxation of restrictions. -- DBRS Morningstar's projected losses include an additional stress due to the potential impact of the coronavirus. The DBRS Morningstar cumulative net loss (CNL) assumption is 5.06% based on the worst-case loss pool constructed giving consideration to the concentration limits present in the structure. (3) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, the Yield Supplement Overcollateralization Amount, and excess spread create credit enhancement levels that are commensurate with the ratings. -- Transaction cash flows are sufficient to repay investors under all AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) stress scenarios in accordance with the terms of the Affirm 2021-B transaction documents. (4) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for receivables that are permissible in the transaction. -- Concentration limits designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the revolving period and begin amortization. (5) The experience, sourcing, and servicing capabilities of Affirm, Inc. (Affirm). (6) The experience, underwriting, and origination capabilities of Cross River Bank (CRB) and Celtic Bank. (7) The ability of Nelnet Servicing to perform duties as a Backup Servicer. (8) The annual percentage rate charged on the loans and CRB and Celtic Bank's status as the true lender. -- All loans in the initial pool included in Affirm 2021-B are originated by originating banks, CRB and Celtic Bank, New Jersey and Utah, respectively, state-chartered Federal Deposit Insurance Corporation-insured banks. -- Loans originated by Affirm Loan Services LLC (ALS) utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans may be in excess of individual state usury laws; however, CRB and Celtic Bank as the true lenders are able to export rates that preempt state usury rate caps. -- Loans originated to borrowers in states with active litigation (Second Circuit (New York, Connecticut, Vermont) and Colorado) are either excluded from the pool or limited to each state's respective usury cap. -- Loans originated to borrowers in Iowa will be eligible to be included in the Receivables to be transferred to the Trust. These loans will be originated under the ALS entity using Affirms state license in Iowa. -- Loans originated to borrowers in West Virginia will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations that will enable it to operate the bank partner platform in West Virginia. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (9) Affirm 2021-B provides for Class E Notes with an assigned rating of B (sf). While the DBRS Morningstar “Rating U.S. Structured Finance Transactions” methodology does not set forth a range of multiples for this asset class for the B (sf) level, the analytical approach for this rating level is consistent with that contemplated by the methodology. The typical range of multiples applied in the DBRS Morningstar stress analysis for a B (sf) rating is 1.00 times (x) to 1.25x. (10) The legal structure and legal opinions that address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. AIMCO CLO 10: Moody's Assigns Ba3 Rating to $19MM Class E-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of refinancing notes issued by AIMCO CLO 10, Ltd. (the "Issuer"). Moody's rating action is as follows: US$292,500,000 Class A-R Senior Secured Floating Rate Notes Due 2032 (the "Class A-R Notes"), Assigned Aaa (sf) US$19,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes Due 2032 (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. Allstate Investment Management Company (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. In addition to the Refinancing Notes, three additional classes of unrated secured notes were also issued. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, and three 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 WAL test; increase to the par amount of the Class E-R notes; changes to the overcollateralization test levels; 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 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: $448,611,905 Defaulted par: $1,909,912 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3152 Weighted Average Spread (WAS): 3.10% Weighted Average Recovery Rate (WARR): 47.50% Weighted Average Life (WAL): 8 years Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge from Moody's base case. 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 2017-BNK8: Fitch Affirms B- Rating on Class F Certs -------------------------------------------------------- Fitch Ratings has affirmed 15 classes of BANK 2017-BNK8 Commercial Mortgage Pass-Through Certificates, Series 2017-BNK8. DEBT RATING PRIOR ---- ------ ----- BANK 2017-BNK8 A-1 06650AAA5 LT AAAsf Affirmed AAAsf A-2 06650AAB3 LT AAAsf Affirmed AAAsf A-3 06650AAD9 LT AAAsf Affirmed AAAsf A-4 06650AAE7 LT AAAsf Affirmed AAAsf A-S 06650AAH0 LT AAAsf Affirmed AAAsf A-SB 06650AAC1 LT AAAsf Affirmed AAAsf B 06650AAJ6 LT AA-sf Affirmed AA-sf C 06650AAK3 LT A-sf Affirmed A-sf D 06650AAU1 LT BBB-sf Affirmed BBB-sf E 06650AAW7 LT BB-sf Affirmed BB-sf F 06650AAY3 LT B-sf Affirmed B-sf X-A 06650AAF4 LT AAAsf Affirmed AAAsf X-B 06650AAG2 LT AA-sf Affirmed AA-sf X-D 06650AAL1 LT BBB-sf Affirmed BBB-sf X-E 06650AAN7 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Overall Stable Loss Expectations: Since the last rating action, overall pool performance remains stable. Fitch identified six loans (9.6%), including one loan in special servicing (0.6%), as Fitch Loans of Concern (FLOCs), primarily due to deteriorating performance or performance concerns stemming from the coronavirus pandemic. Fitch's current ratings incorporate a base case loss of 3.2%. Fitch's analysis also included additional coronavirus related stresses that indicate losses could reach 4.3%. These additional stresses resulted in the Negative Outlooks. Fitch Loans of Concern: The largest FLOC and largest contributor to losses, DHG Greater Boston Hotel Portfolio (6.2%), is secured by a portfolio of three hotels: the VERVE Boston Natick (251 rooms), the Holiday Inn Boston-Bunker Hill (184 rooms) and the Hampton Inn Boston Natick (188 rooms). The property was negatively impacted but the coronavirus pandemic. As of YE 2020, servicer reported occupancy and debt service coverage ratio (DSCR) were 21% and -0.80x, respectively, compared to 68% and 1.51x at YE 2019. Fitch's based case analysis, which assumed performance stabilizes during the loan term, applied a 5% stress to TTM March 2020 and resulted in a 0.3% loss severity (LS). In the stressed scenario, which assumed pandemic performance over a longer period, Fitch applied a 26% stress to TTM March 2020 NOI, which resulted in a 14% LS. The second largest contributor to losses, Best Western Plus Silverdale Beach Hotel (1.2% of the pool), is secured by 151 room lodging property located in Silverdale, WA. The loan was previously transferred to the special servicer in June 2020 due to payment default and was subsequently returned back to the master servicer in April 2021. As of YE 2020, servicer-reported occupancy and DSCR were 56% and 0.25x, respectively, compared to 82% and 0.95x at YE 2019. Fitch's based case analysis, which assumed performance stabilizes during the loan term, applied a 5% stress to YE 2019 and resulted in a 28% LS. In the stressed scenario, which assumed pandemic performance over a longer period, Fitch applied a 26% stress to YE 2019 NOI, which resulted in a 49% LS. 5700 Lake Worth Road transferred to special servicing in June 2020 for payment default. It is secured by a 51,053- sf office property located Greenacres, FL. As of March 2021, the property was 82% occupied compared to 94% at YE 2019. Approximately 36% and 20% NRA expires in 2021 and 2022, respectively. Fitch modeled a 12% LS based on a recent valuation. Minimal Change in Credit Enhancement: As of the July 2021 distribution date, the pool's aggregate principal balance has paid down by 1.1% to $1.12 billion from $1.13 billion at issuance. No loans are defeased. Nineteen loans, representing 66.4% of the pool, are full-term interest-only. Fourteen loans, representing 19.1% of the pool, were structured with a partial interest-only component; nine loans (5.9%) have begun to amortize. Based on the scheduled balance at maturity, the pool will pay down by only 5.1%. Coronavirus Exposure: Multifamily, retail and hotel properties represent 14.1%, 13% and 8.2% of the pool, respectively. Fitch's analysis applied additional coronavirus-related stresses on two hotel loans (7.4%) to account for potential cash flow disruptions. Concentration: The top 10 loans represent 69.9% of the pool by balance. The transaction contains eight loans (2.3% of the pool) secured by multifamily cooperatives. Most of the co-ops are located within the greater New York City metro area. Investment-Grade Credit Opinion Loans: Fitch assigned standalone investment grade credit opinions to two of the top 15 loans (13.3%) at issuance. Colorado Center (7.2% of the pool) and 237 Park Avenue (6.3% of the pool) received investment grade standalone credit opinions of 'A+sf*' and 'BBB+sf*', respectively. RATING SENSITIVITIES The Negative Outlook 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 on the remaining classes reflect the expectation of paydown from continued amortization and over stable performance for a majority of the pool. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance; -- Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in credit enhancement (CE) and/or defeasance and improved performance from loans affected by the coronavirus pandemic; however, adverse selection and increased concentrations, or underperformance of the FLOCs, could cause this trend to reverse; -- Upgrades to the 'BBB-sf' and below-rated classes are considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Additionally, an upgrade to the 'BB-sf' and 'B-sf' rated classes is not likely until later years of the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE, which would likely occur when the nonrated class is not eroded and the senior classes pay off. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans; -- Downgrades to the 'AA-sf' through 'AAAsf' rated-classes are not 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. BENCHMARK 2018-B6: Fitch Affirms B- Rating on J-RR Certs -------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Benchmark 2018-B6 Mortgage Trust (BMARK 2018-B6) commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- Benchmark 2018-B6 A-2 08162CAB6 LT AAAsf Affirmed AAAsf A-3 08162CAC4 LT AAAsf Affirmed AAAsf A-4 08162CAD2 LT AAAsf Affirmed AAAsf A-AB 08162CAE0 LT AAAsf Affirmed AAAsf A-S 08162CAF7 LT AAAsf Affirmed AAAsf B 08162CAG5 LT AA-sf Affirmed AA-sf C 08162CAH3 LT A-sf Affirmed A-sf D 08162CAL4 LT BBBsf Affirmed BBBsf E 08162CAN0 LT BBB-sf Affirmed BBB-sf F-RR 08162CAQ3 LT BB+sf Affirmed BB+sf G-RR 08162CAS9 LT BB-sf Affirmed BB-sf J-RR 08162CAU4 LT B-sf Affirmed B-sf X-A 08162CAJ9 LT AAAsf Affirmed AAAsf X-D 08162CAY6 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Generally Stable Performance and Loss Expectations: Fitch's loss expectations for the pool have improved since the prior rating action due to better than expected 2020 performance on some of the Fitch Loans of Concern (FLOCs) and larger loans in the pool. While losses have increased slightly since issuance due to the transfer of four loans (5.7% of pool) to special servicing since August 2020 as a result of the coronavirus pandemic, the majority of the pool continues to perform as expected. Fitch has designated 11 loans (22.5%) as FLOCs, including the four specially serviced loans (5.7%). Fitch's current ratings incorporate a base case loss of 3.50%. The Negative Outlook on class J-RR reflects losses that could reach 3.60% when factoring in additional coronavirus-related stresses. The largest increase in loss since the prior rating action is the JAGR Hotel Portfolio loan (1.8%), which is secured by a portfolio of three full-service hotel properties comprising 721 rooms. The loan transferred to special servicing in August 2020 due to imminent default as a result of pandemic-related performance deterioration and was 90+ days delinquent as of July 2021. A loan modification and reinstatement agreement is currently being drafted. Fitch's base case loss expectation of approximately 18% is based on a discount to a recent appraisal valuation and reflects a stressed value of $58,592 per key. The collateral hotels include the DoubleTree Grand Rapids (Grand Rapids, MI; 226 keys), Hilton Jackson (Jackson, MS; 276 keys) and DoubleTree Annapolis (Annapolis, MD; 219 keys). The DoubleTree Grand Rapids hotel reported declining occupancy, ADR, and RevPAR as of TTM April 2021 of 24.5%, $84.03, and $20.59, respectively, from 71%, $113, and $80 in 2019. The Hilton Jackson hotel reported lower occupancy, ADR, and RevPAR as of TTM April 2021 of 36%, $96.84, and $34.82, respectively, from 61%, $114, and $69 in 2019. The DoubleTree Annapolis hotel had occupancy, ADR, and RevPAR as of TTM April 2021 decline to 46.2%, $79.54, and $36.74, respectively, from 64.4%, $124, and $80 in 2019. The portfolio reported negative cash flow as of YE 2020. The next largest increase in loss since the prior rating action is the Aloft Portland Airport loan (2.2%), which is secured by a 136-key limited service hotel located in Portland, OR, two miles from the Portland International Airport. The loan transferred to special servicing in September 2020 due to payment default and was 90+ days delinquent as of July 2021. A default has been declared and an official Notice of Default was recorded in February 2021. The lender will dual track modification discussions and foreclosure. YE 2020 NOI declined 74% from YE 2019 due to the coronavirus pandemic. The hotel reported TTM April 2021 occupancy, ADR, and RevPAR of 55%, $106, and $58, respectively, compared with 67.7%, $146, and $99 as of TTM June 2020 and 87.8%, $155, and $136 at issuance. Fitch's base case loss expectation of approximately 22% reflects a stressed value of $149,555 per key. Increased Credit Enhancement (CE): As of the July 2021 distribution date, the pool's aggregate principal balance has paid down by 5% to $1.09 billion from $1.15 billion at issuance. Since the prior rating action, one loan (Town Park Commons; $47.6 million) was prepaid in full in July 2021 ahead of its scheduled September 2023 maturity date. The majority of the pool (21 loans; 58.7% of pool) is full-term interest-only and 11 loans (17.5%) still have a partial interest-only component during their remaining loan term, compared with 18 loans (22.8%) at issuance. Six loans (10.7%) are scheduled to mature between May and September of 2023 and the remaining 48 loans (89.3% of pool) mature between March and November of 2028. Coronavirus Exposure: Loans secured by retail, hotel, and multifamily properties represent 20.1% of the pool (11 loans), 10.6% of the pool (eight loans), and 12.2% (seven loans), respectively. Fitch's analysis applied an additional pandemic-related stress on one retail loan (1.4%), five hotel loans (6.6%), and one multifamily loan (0.4%) to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to the Negative Outlook on class J-RR. Credit Opinion Loans: Five loans (29.5% of pool) received investment-grade credit opinions at issuance, including the Aventura Mall (10.1%; received a credit opinion of 'Asf*' on a standalone basis), Workspace (4.6%; 'Asf*'), Moffett Towers II - Building 1 (7%; 'BBB-sf*'), TriBeCa House (2.8%; 'BBBsf*'), and West Coast Albertsons Portfolio (6%; 'BBB+sf*') loans. Occupancy at the property securing the TriBeCa House loan fell to 82% at YE 2020 from 97.7% at YE 2019, 95.1% at YE 2018, and 92.8% at issuance. YE 2020 NOI fell 18.1% from YE 2019 due to the reduced occupancy. Although the property has experienced occupancy declines as a result of the coronavirus pandemic, these declines are expected to be short-term and Fitch views the strong property attributes and prime location to be mitigating factors. Fitch will continue to monitor the property's performance. RATING SENSITIVITIES The Negative Rating Outlook on class J-RR reflects concerns surrounding the ultimate impact of the pandemic and the performance concerns associated with the FLOCs. The Stable Rating Outlooks on all other classes reflect the overall stable pool performance and increasing CE from 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 additional paydown and/or defeasance. -- Upgrades to classes B and C would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs and other properties affected by the coronavirus pandemic. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. -- Upgrades to classes D, E, and X-D may occur as the number of FLOCs are reduced, properties vulnerable to the pandemic return to pre-pandemic levels, and/or there is sufficient CE to the classes. -- Upgrades to classes F-RR and G-RR are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus pandemic return to pre-pandemic levels, and there is sufficient CE to the classes. -- Upgrades to class J-RR are not likely unless resolution of the specially serviced loans is better than expected. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans. -- Downgrades to classes A-1, A-2, A-3, A-4, A-AB, A-S, X-A, and B are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. -- Downgrades to classes C, D, E, and X-D are possible should expected losses for the pool increase significantly and/or all loans susceptible to the coronavirus pandemic suffer losses. -- Downgrades to classes F-RR, G-RR, and J-RR would occur should loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize, additional loans default or transfer to special servicing and/or higher losses are incurred on the specially serviced loans than expected. 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. BENEFIT STREET XX: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-L loans and class A-R, A-L, B-R, C-R, D-R, and E-R replacement notes from Benefit Street Partners CLO XX Ltd./Benefit Street Partners CLO XX LLC, a CLO originally issued in June 2020 that is managed by Benefit Street Partners LLC. The preliminary ratings are based on information as of Aug. 18, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the August 24, 2021 refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. S&P said, "At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm our ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-L loans and class A-R, A-L, 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 and replace the current class B-1 floating spread and B-2 fixed coupon notes. -- The replacement class A-R and A-L notes are expected to pay pro rata and replace the current class A-1 and A-2 notes, which pay sequentially. -- The issuer, through a credit agreement, is also expected to issue class A-L loans, which can be converted into class A-L notes at a future date and will be paid pro rata with the class A-R and A-L notes. -- The stated maturity and reinvestment period will be extended by approximately three years, and the target par amount will increase to $450 million from $400 million. -- The documents had a number of updates, including the added the ability to purchase bonds and workout-related assets, as well as the capacity to account for the replacement of LIBOR. -- 99.70% of the identified underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 94.35% 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 Benefit Street Partners CLO XX Ltd./Benefit Street Partners CLO XX LLC Class A-L loans(i) $143.00 million: AAA (sf) Class A-L notes(i) $0.00 million: AAA (sf) Class A-R $136.00 million: AAA (sf) Class B-R $63.00 million: AA (sf) Class C-R (deferrable) $27.00 million: A (sf) Class D-R (deferrable) $27.00 million: BBB- (sf) Class E-R (deferrable) $15.75 million: BB- (sf) Subordinated notes $38.20 million: Not rated (i)The class A-L loans can be converted to up to $143.00 million in class A-L notes. BRAVO RESIDENTIAL 2021-NQM2: S&P Assigns B(sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to BRAVO Residential Funding Trust 2021-NQM2's mortgage-backed notes series 2021-NQM2. The note issuance is an RMBS securitization backed by seasoned and unseasoned first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans that are primarily secured by single-family residences, planned unit developments, condominiums, two- to four-family homes, mixed-use, and five- to 10-unit multifamily properties to prime and nonprime borrowers. The pool has 657 loans, which are primarily nonqualified or exempt mortgage loans. The ratings reflect S&P's view of: -- The pool's collateral composition, -- The transaction's credit enhancement, -- The transaction's associated structural mechanics, -- The transaction's representation and warranty framework, -- The mortgage originator/aggregator, and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. Ratings Assigned BRAVO Residential Funding Trust 2021-NQM2 Class A-1, $183,882,000: AAA (sf) Class A-2, $16,570,000: AA (sf) Class A-3, $27,714,000: A (sf) Class M-1, $17,450,000: BBB (sf) Class B-1, $16,276,000: BB (sf) Class B-2, $12,758,000: B (sf) Class B-3, $18,623,102: Not rated Class SA, $588,996: Not rated Class FB, $414,877: Not rated Class AIOS, notional(i): Not rated Class XS, notional(i): Not rated Class R, not applicable: Not rated (i)The notional amount equals the loans' aggregate unpaid principal balance. BX TRUST 2018-BILT: Fitch Affirms B- Rating on Class F Debt ----------------------------------------------------------- Fitch Ratings affirms and removes Rating Watch Negative (RWN) from 79 classes in 14 U.S. CMBS single borrower transactions backed by hotel collateral. Twenty classes have been assigned Stable Outlooks and 59 classes have been assigned Negative Outlooks. The removal of the RWN is due to the continued stabilization of the assets; although negative pressure remains, Fitch does not see rating changes in the near term as loans remain current and performance continues to revert to pre-pandemic performance. DEBT RATING PRIOR ---- ------ ----- BX Trust 2018-BILT A 05606JAA3 LT AAAsf Affirmed AAAsf B 05606JAG0 LT AA-sf Affirmed AA-sf C 05606JAJ4 LT A-sf Affirmed A-sf D 05606JAL9 LT BBB-sf Affirmed BBB-sf E 05606JAN5 LT BB-sf Affirmed BB-sf F 05606JAQ8 LT B-sf Affirmed B-sf X-CP 05606JAC9 LT BBB-sf Affirmed BBB-sf X-EXT 05606JAE5 LT BBB-sf Affirmed BBB-sf MSC 2018-SUN A 61691MAA5 LT AAAsf Affirmed AAAsf B 61691MAG2 LT AA-sf Affirmed AA-sf C 61691MAJ6 LT A-sf Affirmed A-sf D 61691MAL1 LT BBB-sf Affirmed BBB-sf X-CP 61691MAC1 LT AAAsf Affirmed AAAsf X-EXT 61691MAE7 LT AAAsf Affirmed AAAsf BAMLL 2018-DSNY A 054967AA2 LT AAAsf Affirmed AAAsf B 054967AG9 LT AA-sf Affirmed AA-sf C 054967AJ3 LT A-sf Affirmed A-sf D 054967AL8 LT BBB-sf Affirmed BBB-sf X-CP 054967AC8 LT BBB-sf Affirmed BBB-sf X-EXT 054967AE4 LT BBB-sf Affirmed BBB-sf GS Mortgage Securities Corporation Trust 2019-BOCA A 36256QAA5 LT AAAsf Affirmed AAAsf B 36256QAC1 LT AA-sf Affirmed AA-sf C 36256QAE7 LT A-sf Affirmed A-sf D 36256QAG2 LT BBB-sf Affirmed BBB-sf BFLD Trust 2019-DPLO A 054970AA6 LT AAAsf Affirmed AAAsf B 054970AG3 LT AA-sf Affirmed AA-sf C 054970AJ7 LT A-sf Affirmed A-sf D 054970AL2 LT BBB-sf Affirmed BBB-sf GSMS 2018-LUAU A 36256AAA0 LT AAAsf Affirmed AAAsf WFCM 2019-JWDR A 95002NAA5 LT AAAsf Affirmed AAAsf B 95002NAG2 LT AA-sf Affirmed AA-sf C 95002NAJ6 LT A-sf Affirmed A-sf D 95002NAL1 LT BBB-sf Affirmed BBB-sf E 95002NAN7 LT BB-sf Affirmed BB-sf F 95002NAQ0 LT B-sf Affirmed B-sf BX Trust 2018-GW A 12433UAA3 LT AAAsf Affirmed AAAsf B 12433UAG0 LT AA-sf Affirmed AA-sf C 12433UAJ4 LT A-sf Affirmed A-sf D 12433UAL9 LT BBB-sf Affirmed BBB-sf X-CP 12433UAC9 LT BBB-sf Affirmed BBB-sf X-EXT 12433UAE5 LT BBB-sf Affirmed BBB-sf DBWF 2018-GLKS A 23307GAA4 LT AAAsf Affirmed AAAsf B 23307GAG1 LT AA-sf Affirmed AA-sf C 23307GAJ5 LT A-sf Affirmed A-sf D 23307GAL0 LT BBB-sf Affirmed BBB-sf E 23307GAN6 LT BB-sf Affirmed BB-sf F 23307GAQ9 LT B-sf Affirmed B-sf GS Mortgage Securities Corporation Trust 2018-HULA A 36259AAA7 LT AAAsf Affirmed AAAsf B 36259AAJ8 LT AA-sf Affirmed AA-sf C 36259AAL3 LT A-sf Affirmed A-sf D 36259AAN9 LT BBB-sf Affirmed BBB-sf X-CP 36259AAC3 LT BBB-sf Affirmed BBB-sf X-FP 36259AAE9 LT BBB-sf Affirmed BBB-sf X-NCP 36259AAG4 LT BBB-sf Affirmed BBB-sf JPMCC 2018-LAQ A 46649VAA9 LT AAAsf Affirmed AAAsf B 46649VAG6 LT AA-sf Affirmed AA-sf C 46649VAJ0 LT A-sf Affirmed A-sf D 46649VAL5 LT BBB-sf Affirmed BBB-sf E 46649VAN1 LT BBsf Affirmed BBsf HRR 46649VAQ4 LT BB-sf Affirmed BB-sf X-CP 46649VAC5 LT BBB-sf Affirmed BBB-sf X-EXT 46649VAE1 LT BBB-sf Affirmed BBB-sf CGCMT 2018-TBR A 17326MAA0 LT AAAsf Affirmed AAAsf B 17326MAG7 LT AA-sf Affirmed AA-sf C 17326MAJ1 LT A-sf Affirmed A-sf D 17326MAL6 LT BBB-sf Affirmed BBB-sf X-CP 17326MAC6 LT AAAsf Affirmed AAAsf X-NCP 17326MAE2 LT AAAsf Affirmed AAAsf Margaritaville Beach Resort Trust 2019-MARG A 56658LAA8 LT AAAsf Affirmed AAAsf B 56658LAG5 LT AA-sf Affirmed AA-sf C 56658LAJ9 LT A-sf Affirmed A-sf D 56658LAL4 LT BBB-sf Affirmed BBB-sf X-CP 56658LAC4 LT BBB-sf Affirmed BBB-sf X-EXT 56658LAE0 LT BBB-sf Affirmed BBB-sf Hilton Orlando Trust 2018-ORL A 432885AA9 LT AAAsf Affirmed AAAsf B 432885AG6 LT AAsf Affirmed AAsf C 432885AJ0 LT A-sf Affirmed A-sf D 432885AL5 LT BBB-sf Affirmed BBB-sf X-EXT 432885AE1 LT BBB-sf Affirmed BBB-sf TRANSACTION SUMMARY The majority of the transactions are secured by an individual hotel property; the underlying properties are located in Florida (six deals), Hawaii (four), Arizona (two) and California (one). There is one transaction secured by a portfolio of La Quinta hotels. Three transactions, MSC 2018-SUN (Shutters On The Beach and Casa Del Mar), BAMLL 2018-DSNY (The Swan and Dolphin) and DBWF 2018-GLKS (JW Marriott Grande Lakes and Ritz-Carlton Grande Lakes), are backed by two hotels adjacent to one another. KEY RATING DRIVERS In removing the RWN and affirming the classes, Fitch relied on its cash flow analysis from issuance as a stabilized value for the assets. The pandemic has caused unprecedented disruptions to the hotel sector and most hotels are still reporting negative cash flows as of March 2021. Fitch believes this recent data is not a reliable indicator of sustainable cash flow. Fitch has assigned Stable Rating Outlooks to eight classes rated 'AAAsf' from the following transactions: CGCMT 2018-TBR (Turtle Bay Resort), BAMLL 2018-DSNY, BX 2018-GW (Grand Wailea), GSMS 2018-HULA (Four Seasons Resort Hualalai), GSMS 2018-LUAU (Ritz-Carlton Kapalua), MSC 2018-SUN (Santa Monica Hotel Portfolio), JPMCC 2019-MARG (Margaritaville Hollywood Beach Resort) and GSMS 2019-BOCA (Waldorf Astoria Boca Raton Resort & Club). The Stable Outlooks for these classes represent improved occupancy in 2021 pointing to a gradual recovery and limited reliance on group business as reported at issuance. Furthermore, Fitch still maintains that there is inherent value in the collateral assets as evidenced by land and replacement values compared to the debt levels at each rating category, especially at 'AAAsf'. Updated information was not available for the Turtle Bay Resort (CGCMT 2018-TBR) as the property reopened in July 2021 after being closed for most of 2020 and into 2021. However, significant renovations were performed while the hotel was closed including remodeled guestrooms, new windows, updated entry/lobby and enhancements to the pool as well as food and beverage outlets. Media reports indicate the total cost exceeded $100 million ($200,000 per key). The loan securitized within the MSC 2018-SUN transaction had transferred to special servicing in 2020, but the borrower and lender executed a modification and reinstatement agreement in December 2020 that cured the defaults. According to servicer information, June 2021 occupancy for the Shutters on the Beach was 38% (compared to 12% in December 2020) and 35% for Casa Del Mar (compared to 13% at December 2020). The loan remains current and no additional relief requests have been made from the borrower (Edward Slatkin and Thomas Slatkin). The loan matured in July 2021, but the second one-year extension option is in the process of being executed. Fitch assigned Stable Rating Outlooks to all eight classes within JPMCC 2018-LAQ (the La Quinta portfolio), which is backed by a group of 182 limited service hotels. The transaction has had 159 property releases since issuance resulting in paydown of approximately 45.5%. The removal of the RWN from this transaction reflects significant deleveraging from the releases and low debt/key for the remaining hotels within the pool (approximately $20,000 per key). There have been no relief requests from the borrower and the loans remains current. The maturity date was recently extended through June 2022. The Negative Outlooks assigned to the non-'AAAsf' rated classes for CGCMT 2018-TBR, BAMLL 2018-DSNY, BX 2018-GW, GSMS 2018-HULA, GSMS 2018-LUAU, MSC 2018-SUN and JPMCC 2019-MARG reflects the current negative cash flow and potential rating downgrades should the properties fail to reach a sustained cash flow recovery at or near pre-pandemic levels. The recovery thus far has been fueled by leisure demand, which is expected to wane in the coming months once summer vacations come to an end. The Negative Outlooks asigned to all classes within BX 2018-BILT (Arizona Biltmore), HILT 2018-ORL (Hilton Orlando), DWWF 2018-GLKS (Grande Lakes Resort), DBWF 2018-DPLO (The Diplomat Beach Resort) and JPMCC 2018-JWDR (JW Marriott Phoenix Desert Ridge Resort & Spa) reflect concerns regarding exposure to group demand as a percentage of overall occupancy reported at issuance. All of these hotels reported group demand at or above 60% of total occupancy. The past reliance on group business for these hotels may impact future recoveries especially given the concerns with transient demand moving forward. The Diplomat Beach Resort Hotel, located in Hollywood, FL, suspended operations starting in March 2020, but reopened in May 2021. A forbearance for the loan has been discussed between the borrower (Thayer Hotel Investors) and servicer, but terms have not been finalized. At issuance, it was noted that approximately 70% of total occupancy was from meeting and group business. The Arizona Biltmore in Phoenix, AZ had also been closed since March 2020 and reopened in May 2021. The hotel website detailed various renovations undertaken at the property including remodeled villas and updates to the pool, spa and food and beverage outlets. At issuance, group business accounted for 60% of total occupancy. A recently executed consent agreement waives debt yield testing for the loan through March 2022. Monthly replacement reserve deposits have also been modified and will increase for 2021 and 2022. The Hilton Orlando (HILT 2018-ORL) and Grand Lakes Resort (DBWF 2018-GLKS) also had higher exposures to group demand at issuance and both loans received COVID-19-related relief in 2020. For the Hilton Orlando, a consent agreement allowed for the borrower (joint venture between affiliates of RIDA Development Corporation, Ares Management L.P., and Park Hotels & Resorts Inc.) to utilize reserve funds to cover debt service payments; funds had been utilized from April through December 2020. The borrower has also exercised its first extension option through December 2021. For the Grande Lakes Resort, the borrower (Blackstone) is allowed to commingle FF&E reserves between two collateral hotels (JW Marriot - Grande Lakes and Ritz Carlton - Grande Lakes) to fund property related improvements, but not for interest payments. Ten transactions had 2020 maturities, though all were extended through 2021 without a performance hurdle. Six of the 10 transactions have been extended again through 2022 and four mature in 4Q21. Two transactions (JPMCC 2019-MARG and GSMS 2019-BOCA) had an initial maturity date in 2021, but were extended through 2022. The loan securitized in the BFLD 2019-DPLO transaction has an initial maturity date in December 2021. While hotel performance within these transactions has improved over the prior year, revenue per available room (RevPar) for the TTM is still well below levels reported at issuance (down close to 80% for some hotels). Despite widespread vaccine rollout that was thought to aid in the recovery of the lodging sector, U.S. cases are rising again and the recovery path for the upper tier and luxury segments continues to be slow and uneven. RATING SENSITIVITIES The Stable Outlooks assigned reflect the high quality of the collateral assets as well as the generally low leverage at the 'AAAsf' categories in addition to signs of a gradual recovery and minimal reliance on group business reported at issuance. The Negative Outlooks assigned to the 'AAAsf' rated classes reflects the past reliance on group business for certain hotels as well as the expectation that recovery to a sustained level will not occur in the short term. Fitch will monitor the status and performance of the hotels into YE 2021 and 2022, any will make rating and outlook revisions as deemed necessary on a case-by-case basis. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades are not considered likely given the uncertainty within the sector. The Negative Outlooks may be removed if performance improves and as tourism levels and business travel increase over time. Fitch may also take into account the amount of leverage for each transaction at each rating category, including debt per key, relative to a loan's recovery, and refinanceability. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to senior bonds, including the 'AAAsf'-rated classes with a Negative Rating Outlook, remains a possibility in part due to past reliance on group business and potential disruptions to transient demand in the near term. Downgrades to senior bonds with a Stable Rating Outlook are less likely due to the high level of recoverability based on the high quality of most of the properties as well as the low leverage at the higher rating categories. Macroeconomic considerations, such as travel and tourism levels, will determine their ultimate fate and will be closely monitored by Fitch. -- Downgrades to the junior bonds, especially if already non investment grade, are possible if the economic impact of the pandemic continues into 2022. Fitch expects limited refinancing and liquidity for all hotels, which will prevent property valuations through sales comparisons and near-term dispositions of assets that default. Downgrades are more likely if loans default and value declines are determined to be prolonged or permanent. 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. CIM TRUST 2021-INV1: Moody's Assigns B2 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 65 classes of residential mortgage-backed securities (RMBS) issued by CIM Trust 2021-INV1. The ratings range from Aaa (sf) to B2 (sf). Chimera Investment Corporation (Chimera), is the sponsor of CIM Trust 2021-INV1 (CIM 2021-INV1). The pool comprises of 1,203 newly originated fixed rate agency-eligible mortgage loans secured by non-owner occupied investor properties with up to 30 years of original term to maturity. All of the mortgage loans are (i) originated in accordance with Freddie Mac and Fannie Mae guidelines (ii) current as of July 1, 2021 (cut-off date) and (iii) not actively enrolled in a COVID-19 related forbearance plan. A few borrowers in the mortgage pool, however, (8 loans or 0.7% by stated principal balance) were previously enrolled into a coronavirus related forbearance plan with the servicer and such borrowers have since been reinstated. The aggregate principal balance of the pool is approximately $434,667,948. The average stated principal balance is approximately $361,320 and the weighted average (WA) current mortgage rate is 3.4%. The borrowers have a WA credit score of 770, WA combined loan-to-value ratio (CLTV) of 64.6% and WA debt-to-income ratio (DTI) of 32.6%. There are 6 originators in the transaction, the largest of which are Home Point Financial Corporation (48.97%) and Fairway Independent Mortgage Corporation (45.50%). Moody's took into consideration the origination quality of these originators and factored it in Moody's analysis. NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will act as the servicer of the mortgage loans. Wells Fargo Bank, N.A. (Wells Fargo) will be the master servicer. The servicer is generally obligated to advance delinquent payments of principal and interest (P&I) (to the extent such advances are deemed recoverable). The master servicer, or a successor servicer, will be obligated to make any required advance of delinquent payments of principal and interest if the servicer fails in its obligation to fund such required advance. Moody's loss estimates based on a loan-by-loan assessment of the securitized collateral pool as of the cut-off date using Moody's Individual Loan Level Analysis (MILAN) model. The expected loss for this pool in a baseline scenario is 0.80% at the mean (0.54% at the median) and reaches 6.13% at a stress level consistent with Moody's Aaa ratings. CIM 2021-INV1 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. The complete rating actions are as follows: Issuer: CIM Trust 2021-INV1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aaa (sf) Cl. A-32, Definitive Rating Assigned Aaa (sf) Cl. A-33, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. A-X-27*, Definitive Rating Assigned Aaa (sf) Cl. A-X-30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-32*, Definitive Rating Assigned Aaa (sf) Cl. A-X-33*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2A, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.80% at the mean (0.54% at the median) and reaches 6.13% 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 10.0% 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. As of the cut-off date, the pool consisted of 1,203 fixed rate agency-eligible mortgage loans secured by first liens on non-owner occupied residential investor properties with original terms to maturity up to 30 years. Pool strengths include the high credit quality of the underlying borrowers. The borrowers in this transaction have high FICO scores and sizeable equity in their properties. The WA original primary borrower credit score is 770 and the CLTV is 64.6%. Additionally, the borrowers have a high WA total monthly income of $19,261 and significant WA liquid cash reserves of $175,287. Self-employed borrowers constitute 25.1% (by loan balance) of the pool. There are 9 loans (0.8% by balance) which had at least 1 month delinquency in the past 12 months. One loan was delinquent due to a servicing transfer and the remaining loans were delinquent because the borrowers were on a COVID-19 related forbearance plan. Approximately 71.0% (by balance) and 84.7% (by balance) of the properties backing the mortgage loans are located in five and ten states, respectively. Origination The seller (Fifth Avenue Trust) acquired the mortgage loans from Bank of America, National Association (BANA). BANA acquired the loans in the pool from 6 different originators. The largest originators in the pool with more than 10% by balance are Home Point Financial Corporation (Home Point, 48.97%) and Fairway Independent Mortgage Corporation (Fairway, 45.50%). All of the mortgage loans are originated in accordance with Freddie Mac and Fannie Mae guidelines. Moody's have increased its base case and Aaa loss assumption for loans originated by Home Point due to (i) worse performance than average GSE investor loan despite average loans having better characteristics than GSE loans and (ii) lack of strong controls and uneven production quality (as evidenced by recent internal QC/audit findings) to support recent rapid growth. Moody's consider the GSE eligible loan origination quality of Fairway to be adequate and therefore, Moody's did not apply a separate adjustment to Moody's losses. Servicing Arrangement Moody's consider the overall servicing arrangement for this pool to be adequate, and as a result Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on the servicing arrangement. Shellpoint will service all the mortgage loans in the transaction and Wells Fargo will be the master servicer. The servicer is generally obligated to advance delinquent payments of principal and interest (P&I) (to the extent such advances are deemed recoverable). The master servicer, or a successor servicer, will be obligated to make any required advance of delinquent payments of principal and interest if the servicer fails in its obligation to fund such required advance. 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 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. 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 such action and the controlling holder has not objected to such action. Third Party Review Three diligence providers reviewed approximately 75.4% of the pool (by count). Other than Home Point originated loans, the remaining loans were subject to 100% review. Approximately 46.5% of Home Point loans were reviewed by the diligence provider. The review scope included a credit component, a compliance component, a component consisting of an analysis of the independent third-party appraisals of the mortgaged properties and a data integrity review. The due diligence results confirm compliance with the originator's underwriting guidelines for the vast majority of loans and no material regulatory compliance issues. The scope for appraisal quality is adequate for non- appraisal waiver (AW) loans and there were no material findings. However, the scope was slightly weaker for the AW loans. Unlike other deals, where an AVM review is conducted for all AW loans, in this pool, an AVM review was only conducted on 11 out of the 45 AW loans. As a result, Moody's made adjustments in its analysis to account for the increased risk associated with such loans. Representation & Warranties Overall, Moody's assessed R&W framework for this transaction as adequate, consistent with that of other prime transactions for which the breach review process is thorough, transparent and objective, and the costs and manner of review are clearly outlined at issuance. 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. 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 confidence that the loans do not systemically breach the R&Ws the originators have made and that the originators are unlikely to face material repurchase requests in the future. Furthermore, the transaction has reasonably well-defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent reviewer, when appointed, must review loans for breaches of representations and warranties when certain clearly defined triggers have been breached (review event). A review event will be in effect for a mortgage loan if (i) such mortgage loan has become 120 days or more delinquent, (ii) such mortgage loan is liquidated and such liquidation results in a realized loss, or (iii) the related servicer determines that a monthly advance for a mortgage loan is nonrecoverable. Of note, 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 review event. These excluded disaster loans include COVID-19 forbearance loans. Transaction Structure The transaction is structured as a one pool shifting interest structure in which the senior bonds benefit from a senior floor and a subordination floor. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next principal payments are made to the senior bonds and then interest and principal payments are paid to the subordinate bonds in sequential order, subject to the subordinate class percentage of the subordinate principal distribution amounts. The senior subordination floor and subordination lock-out amount are both 1% of the closing pool balance. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balances of the subordinate bonds are written off, losses from the pool begin to write off the principal balances of the senior support bonds until their principal balances are reduced to zero. Next realized losses are allocated to the super senior bonds until their principal balances are written off. As in all transactions with shifting-interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bonds for a specified period of time, and allocates increasing amounts of prepayments to the subordinate bonds thereafter only if loan performance satisfies both delinquency and loss tests. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2021. FLAGSHIP CREDIT 2021-3: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Flagship Credit Auto Trust 2021-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 40.86%, 35.45%, 27.78%, 21.71%, and 17.70% credit support (including excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x of its 11.00%-11.50% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40.00%) of approximately 68.10%, 59.08%, 46.30%, 36.19%, and 29.40%, respectively. -- The hard credit enhancement in the form of subordination, overcollateralization, and a reserve account, in addition to excess spread. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, our 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within the credit stability limits specified by section A.4 of the Appendix contained in "S&P Global Ratings Definitions," published Jan. 5, 2021. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate for the assigned ratings. -- The characteristics of the collateral pool being securitized. -- The transaction's payment and legal structures. Ratings Assigned Flagship Credit Auto Trust 2021-3 Class A, $268.20 million: AAA (sf) Class B, $29.24 million: AA (sf) Class C, $39.13 million: A (sf) Class D, $25.83 million: BBB (sf) Class E, $15.58 million: BB- (sf) GS MORTGAGE 2015-GS1: Fitch Lowers Class F Certs to 'CC' -------------------------------------------------------- Fitch Ratings has downgraded 10 and affirmed three classes of GS Mortgage Securities Trust 2015-GS1. The Rating Outlooks on classes A-S, B, C, D, X-A, X-B, X-D and the exchangeable PEZ certificates remain Negative. DEBT RATING PRIOR ---- ------ ----- GSMS 2015-GS1 A-2 36252AAB2 LT AAAsf Affirmed AAAsf A-3 36252AAC0 LT AAAsf Affirmed AAAsf A-AB 36252AAD8 LT AAAsf Affirmed AAAsf A-S 36252AAG1 LT AAsf Downgrade AAAsf B 36252AAH9 LT Asf Downgrade AA-sf C 36252AAK2 LT BBBsf Downgrade A-sf D 36252AAL0 LT B-sf Downgrade BBB-sf E 36252AAN6 LT CCCsf Downgrade B-sf F 36252AAQ9 LT CCsf Downgrade CCCsf PEZ 36252AAJ5 LT BBBsf Downgrade A-sf X-A 36252AAE6 LT AAsf Downgrade AAAsf X-B 36252AAF3 LT Asf Downgrade AA-sf X-D 36252AAM8 LT B-sf Downgrade BBB-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased loss expectations for the pool since Fitch's prior rating action, driven primarily by higher loss expectations on the two regional mall loans, the specially serviced Glenbrook Square loan (7.2% of pool) and the South Plains Mall loan (8.9%). Fitch's current ratings incorporate a base case loss of 8.9%. The Negative Outlooks reflect losses that could reach 11.5% after factoring additional pandemic-related stresses and a potential outsized loss on the Glenbrook Square and South Plains Mall loans. Fitch Loans of Concern/Specially Serviced Loans: There are nine Fitch Loans of Concern (FLOCs; 40.9%), including three loans (14.3%) in special servicing and six loans (26.6%) flagged for low DSCR, high vacancy and/or pandemic-related underperformance. The largest increase in loss since the prior rating action is the South Plains Mall loan (8.9%), which is secured by a super-regional mall located in Lubbock, TX. The loan is sponsored by Pacific Premier Retail Trust LLC, a joint venture between The Macerich Company and a subsidiary of GIC Realty Private Limited. Fitch's base case loss has increased to 20% from 11% at the prior rating action, and is based on a 12% cap rate to the YE 2020 NOI. Fitch also performed an additional sensitivity that applied a potential outsized loss of approximately 32%, which is based on a 20% cap rate to the YE 2020 NOI. Collateral anchors include JCPenney (20.4% of collateral NRA; July 2027 lease expiry), Dillard's Women (16.4%; January 2022) and Dillard's Men & Children (9.5%; January 2022). Upon lease expiry, both of the Dillard's leases will convert to month-to-month. A former non-collateral Sears box closed in late 2018. Collateral occupancy declined to 73.7% as of March 2021 from 78.7% at YE 2020, 92.7% in September 2020 and 95.9% in March 2019. A junior collateral anchor tenant, Beall's (4% of collateral NRA), vacated in August 2020. YE 2020 NOI declined 18% from YE 2019. As of the March 2021 rent roll, near-term lease rollover includes 4.4% in 2021 (across 22 tenants), 30.8% in 2022 (24 tenants) and 7.8% in 2023 (14 tenants). Comparable in-line sales for tenants less than 10,000 sf were $418 psf as of YE 2020, compared with $502 psf as of TTM June 2019, $461 psf as of TTM August 2018 and $456 psf at the time of issuance. The second largest increase in loss since the prior rating action is the specially serviced Glenbrook Square loan (7.2%), which is secured by a super-regional mall located in Fort Wayne, IN. The loan transferred to special servicing in July 2020 for payment default, and has since been brought current as of July 2021. According to the special servicer, the borrower initially requested a transition of the property back to the lender, which is currently being evaluated alongside a possible loan modification. Fitch's base case loss on this loan increased to 53% from 40% at the prior rating action; the loss considers a discount to a recent appraisal and implies a 16% cap rate to the YE 2019 NOI. Fitch also performed an additional sensitivity that applied a potential outsized loss of 66%, which is based on a 20.6% cap rate to the YE 20219 NOI. Collateral anchors include Macy's and JCPenney. The collateral anchor, Carson's, and non-collateral anchor, Sears both closed their stores at the property in 2018, and the Sears store has reportedly been demolished. Collateral occupancy declined to 80.4% as of December 2020 from 82.3% in March 2019 and 96.8% in September 2017. Additionally, prior to the pandemic, there were plans to redevelop the former Sears site into a development including HomeGoods and Dave & Buster's, but construction halted on the project in mid-2020. Comparable in-line sales for tenants occupying less than 10,000 sf were $381 psf as of YE 2020, down from $436 psf at YE 2019, $415 psf as of TTM September 2018 and $414 psf at YE 2017. The third largest increase in loss since the prior rating action, Hammons Hotel Portfolio loan (5.3%), is secured by fee and leasehold interests in seven full service, limited service, and extended stay hotels located in seven distinct markets in seven states. The properties, which total 1,869 rooms, were developed between 2006 and 2010 and all carry either a Hilton or Marriott flag. Four out of the seven hotels have a convention center included in the collateral. The loan transferred to special servicing for a second time in June 2020 due to the borrower's request for coronavirus relief and was over 90 days delinquent as of the August 2021 remittance reporting. The servicer and borrower have agreed upon relief terms, which included cash infusion from a new equity partner to cover operating shortfalls. The loan was modified in May 2021, with terms including the addition of two one-year maturity extension options, contribution of $30 million of equity by the borrower to cover outstanding costs and replenish reserves, conversion of payments to interest-only and repayment of previously deferred amounts from 2020 beginning in October 2021. The loan was previously in special servicing due to a borrower related bankruptcy that was resolved in 2019. Aggregate portfolio NOI for YE 2020 was down 86.4% from YE 2019. The servicer-reported YE 2020 NOI DSCR was 0.72x, down from 2.09x at YE 2019. Per the TTM March 2021 STR report, the weighted average portfolio RevPAR was down 59.2% from TTM December 2019. Fitch's expected loss of approximately 18% reflects a discount to a recent appraisal valuation, which equates to a stressed value of $111,717 per key. Additional Stresses Applied due to Exposure to Coronavirus: There are 19 loans secured by retail properties (37.3% of pool) and 11 loans secured by hotel properties (18.2%). Fitch's analysis applied additional pandemic-related stresses to two retail loans and two hotel loans given the significant declines in property-level cash flow as a result of pandemic-based restrictions; these additional stresses, in addition to the potential outsized losses applied on the two regional mall FLOCs (16.1%), contributed to the Negative Outlooks. Minimal Change in Credit Enhancement: As of the August 2021 distribution date, the pool's aggregate principal balance has been paid down by 4.3% to $785.7 million from $820.6 million at issuance, with 39 loans remaining. Ten loans (45.4% of pool) are full-term, interest-only. Two loans (4.2%) are fully defeased. No loans are scheduled to mature until September 2025. RATING SENSITIVITIES The Negative Rating Outlooks reflect downgrade potential due to performance concerns on the FLOCs, particularly the two regional mall loans. The Stable Rating Outlooks reflect the increasing CE and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, particularly on the two regional mall loans and other FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes A-S, B, X-A and X-B would likely occur with significant improvement in CE and/or defeasance and/or the stabilization of the Glenbrook Square and South Plains Mall loans, in addition to other properties affected by the coronavirus pandemic, and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. -- Upgrades to classes C, D, X-D and the exchangeable PEZ class may occur as the number of FLOCs are reduced, properties vulnerable to the pandemic return to pre-pandemic levels and/or with a modification or workout of the Glenbrook Square loan that results in scenarios better than currently expected, and there is sufficient CE to the classes. Classes E and F are unlikely to be upgraded absent significant performance improvement on the South Plains Mall loan, other FLOCs and higher recoveries than expected on the Glenbrook Square loan. 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 through A-AB are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. A downgrade of one category to classes A-S, B, X-A and X-B is possible should all of the loans susceptible to the pandemic suffer losses, and both the Glenbrook Square and South Plains Mall loans experience outsized losses or if interest shortfalls occur. -- Downgrades to classes C, D, X-D and the exchangeable PEZ class would occur should loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilizing, additional loans default or transfer to special servicing, higher losses incurred on the specially serviced loans than expected and/or the Glenbrook Square and South Plains Mall loans experience outsized losses. -- Downgrades to classes E and F would occur as losses are realized and/or become more certain. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS GSMS 2015-GS1 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to exposure to two underperforming regional malls, which has a negative impact on the credit profile, and is highly relevant to the ratings. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2016-GS4: Fitch Affirms CCC Rating on Class F Certs --------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of GS Mortgage Securities Trust (GSMS), commercial mortgage pass-through certificates, series 2016-GS4. DEBT RATING PRIOR ---- ------ ----- GSMS 2016-GS4 A-2 36251XAP2 LT AAAsf Affirmed AAAsf A-3 36251XAQ0 LT AAAsf Affirmed AAAsf A-4 36251XAR8 LT AAAsf Affirmed AAAsf A-AB 36251XAS6 LT AAAsf Affirmed AAAsf A-S 36251XAV9 LT AAAsf Affirmed AAAsf B 36251XAW7 LT AA-sf Affirmed AA-sf C 36251XAY3 LT A-sf Affirmed A-sf D 36251XAA5 LT BBB-sf Affirmed BBB-sf E 36251XAE7 LT B-sf Affirmed B-sf F 36251XAG2 LT CCCsf Affirmed CCCsf PEZ 36251XAX5 LT A-sf Affirmed A-sf X-A 36251XAT4 LT AAAsf Affirmed AAAsf X-B 36251XAU1 LT AA-sf Affirmed AA-sf X-D 36251XAC1 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased Credit Enhancement: Credit enhancement (CE) has increased significantly since the prior rating action due to the full repayment of the former two largest loans in the pool, AMA Plaza ($100 million) and 225 Bush Street ($100 million), which were repaid in full in June 2021 and November 2020, respectively, ahead of their scheduled 2021 maturity dates. As of the July 2021 distribution date, the pool's aggregate principal balance has paid down by 22.4% to $796 million from $1.0 billion at issuance. One loan (Wesco International; 0.8% of pool) has been defeased. Eight loans (35.5%) are full-term, interest-only and two loans (1.3%) still have a partial interest-only component during their remaining loan term, compared with 25.5% of the original pool at issuance. All of the remaining loans in the pool are scheduled to mature in 2026. Improved Loss Expectations, But Increasing Pool Concentration: Loss expectations have declined since Fitch's prior rating action due to improved performance on larger Fitch Loans of Concern (FLOCs). The pool has also become slightly more concentrated following two large loan repayments since the prior rating action. Fitch has designated 13 loans (47.8%) as FLOCs, up from 11 loans (33.8%) at the prior rating action. These include three specially serviced loans (9.9%), all of which were in special servicing at the time of the prior rating action. Fitch's current ratings incorporate a base case loss of 6.90%. The Negative Outlooks reflect losses that could reach 10.40% when factoring in coronavirus-related stresses and potential outsized losses on the Simon Premium Outlets and Hamilton Place loans. The largest contributor to Fitch's loss expectations and largest increase in loss since the prior rating action is the specially serviced Hamilton Place loan (4.8%), which is secured by a super-regional mall located in Chattanooga, TN. The loan was transferred to special servicing in April 2020 for imminent monetary default at the borrower's request due to the coronavirus pandemic. The sponsor, CBL & Associates Properties, Inc. (CBL), subsequently filed for Chapter 11 bankruptcy in November 2020. Dillard's, Belk and JCPenney serve as non-collateral anchors and the larger collateral tenants include Barnes & Noble and H&M. As of March 2021, overall mall occupancy was 97.5% and collateral occupancy was 92.5% compared to 91% at issuance. The mall re-opened in early May 2020 with certain restrictions after being closed since March due to the coronavirus. According to the sponsor's 2019 annual report, in-line tenant sales were $418 psf in 2019, compared with $406 psf in 2018. An updated total tenant sales report was not provided; however, individual stores did report sales which are generally trending downward for larger tenants, such as Barnes & Noble, Victoria's Secret, Express, H&M and American Eagle Outfitters. CBL purchased the non-collateral Sears in 2017 and has redeveloped the space into retail and hotel uses. The retail includes Dick's Sporting Goods, Dave and Buster's and Cheesecake Factory. The hotel is Chattanooga's first Aloft-branded Marriott hotel, with a rooftop bar that opened in June 2021. The loan remains current. Fitch's base case loss expectation of approximately 21% is based on a 12% cap rate and 5% haircut to YE 2020 NOI. Fitch also performed an additional stressed scenario which assumes a 15% cap rate and 5% haircut to YE 2020 NOI, which resulted in a loss expectation of 37%. The next largest increase in loss since the prior rating action is the Westchester Office Portfolio 700 Series loan (6.8%), which is secured by a portfolio of suburban office properties consisting of five buildings located in White Plains, NY totaling 671,330 sf. The portfolio has experienced declining occupancy and cash flow as a result of the coronavirus pandemic. Portfolio occupancy declined to 67.2% as of March 2021 from 73.9% in December 2020 and 74.8% in December 2019 due to eight tenants totaling 8.7% of the NRA vacating or downsizing at or ahead of their scheduled lease expirations; this was partially offset by seven new or tenant expansion leases (3.5%) starting in 2020 and 2021. Tenants that vacated included W.J. Deutsche (4.5% of NRA; vacated at February 2021 expiration) and Benjamin Edwards (1.1%; April 2020). YE 2020 NOI declined 38.6% from YE 2019 due primarily to a 10.5% decrease in total EGI as a result of the vacating tenants and the coronavirus pandemic, according to servicer commentary. Current major tenants include Sabra (5.4% of NRA leased through September 2022), Citrin Cooperman & Company (5%; October 2024), NY Life (4.9%; January 2025), Pentegra (4.3%; July 2027) and UBS (4.3%; August 2024). Upcoming lease rollover includes 6.3% of the NRA (11 tenants) in 2021, 10.9% (eight tenants) in 2022 and 12.4% (15 tenants) in 2023. With the exception of the Sabra Lease (5.4%; September 2022), no tenant representing greater than 2.1% of the NRA is scheduled to roll through YE 2023. Fitch's base case loss expectation of approximately 11% assumes a 20% haircut to YE 2019 NOI to reflect the recent occupancy decline and upcoming lease rollover risk. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario that assumed a potential outsized loss of 50% on the maturity balance of the Simon Premium Outlets loan to reflect concerns with the sponsor's commitment to the assets, declining occupancy and cash flow, moderate upcoming lease rollover as well as general concerns with the outlet mall asset class. The sensitivity implies a cap rate of approximately 20% on YE 2020 NOI. The additional sensitivity scenario also included a higher stressed loss of approximately 37% for the Hamilton Place loan, as described above. This additional sensitivity scenario contributed to the Negative Rating Outlooks. Coronavirus Exposure: Loans secured by retail and hotel properties represent 39% and 13.5% of the pool, respectively. Fitch's analysis applied additional coronavirus-related stresses on one retail loan (Hamilton Place; 4.8%) and four hotel loans (11.9%) to account for potential cash flow disruptions; these additional stresses contribute to the Negative Outlooks. RATING SENSITIVITIES The Negative Rating Outlooks on classes A-S, B, C, D, E, PEZ, X-A, X-B and X-D reflect potential downgrades based on the additional sensitivity analysis performed on the Simon Premium Outlets and Hamilton Place loans, as well as continued performance concerns on a growing number of FLOCs and the ultimate impact of the coronavirus pandemic on performance stabilization. The Stable Rating Outlooks on the senior classes A-2 through A-AB reflect the overall stable performance of the majority of the pool, increasing CE and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Improved asset performance, particularly on the Hamilton Place and Simon Premium Outlets FLOCs, coupled with additional paydown and/or defeasance. -- Upgrades to classes B, C, PEZ and X-B are not expected in the near term but would likely occur with significant improvement in CE and/or defeasance and/or the stabilization to the properties impacted by the pandemic. -- Upgrades to classes D and X-D are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. -- Classes E and F are unlikley to be upgraded absent significant performance improvement on the FLOCs and substantially higher recoveries than expected on the specially serviced loans, particularly the Hamilton Place loan. 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 through A-AB are not likely due to the significant CE and senior position in the capital structure, but may occur should interest shortfalls impact these classes. -- Downgrades to classes A-S and X-A are possible should all of the FLOCs suffer losses, particularly the Simon Premium Outlets and Hamilton Place loans. -- Downgrades to classes B, X-B, C and PEZ are possible should expected losses for the pool increase significantly and/or should all of the loans susceptible to the coronavirus pandemic not stabilize and/or deteriorate further. -- Downgrades to classes D and X-D would occur should loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize, additional loans default and/or transfer to special servicing, higher losses than expected are incurred on the specially serviced loans and/or the larger FLOCs experience outsized losses. -- Downgrades to classes E and F would occur as losses are realized and/or become more certain. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2021-PJ8: Moody's Assigns (P)B2 Rating to B-5 Certs --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 38 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2021-PJ8. The ratings range from (P)Aaa (sf) to (P)B2 (sf). GS Mortgage-Backed Securities Trust 2021-PJ8 (GSMBS 2021-PJ8) is the eighth prime jumbo transaction in 2021 issued by Goldman Sachs Mortgage Company (GSMC), the sponsor and the primary mortgage loan seller. The certificates are backed by 536 (90.88% by UPB) prime jumbo (non-conforming) and 125 (9.12% by UPB) conforming, 30-year, fully-amortizing fixed-rate mortgage loans with an aggregate stated principal balance (UPB) $ $618,170,101 as of the August 1, 2021 cut-off date. Overall, pool strengths include the high credit quality of the underlying borrowers, indicated by high FICO scores, strong reserves for prime jumbo borrowers, mortgage loans with fixed interest rates and no interest-only loans. As of the cut-off date, none of the mortgage loans are subject to a COVID-19 related forbearance plan. GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA and Goldman Sachs. The mortgage loans for this transaction were acquired by GSMC, the sponsor and the primary mortgage loan seller (96.5% by UPB), MTGLQ Investors, L.P. (MTGLQ) (3.3% by UPB), and MCLP Asset Company, Inc. (MCLP) (0.2% by UPB), the mortgage loan sellers, from certain of the originators or the aggregator, MAXEX Clearing LLC (which aggregated 7.3% of the mortgage loans by UPB). NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service 96.20% and United Wholesale Mortgage, LLC will service 3.80% of the pool. Wells Fargo Bank, N.A. (Wells Fargo, long term deposit, Aa1; long term debt Aa2) will be the master servicer and securities administrator. U.S. Bank Trust National Association will be the trustee. Pentalpha Surveillance LLC will be the representations and warranties (R&W) breach reviewer. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. In addition, Moody's adjusted its losses based on qualitative attributes, including origination quality, the strength of the R&W framework and third-party review (TPR) results. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure with a five-year lockout period that benefits from a senior and subordination floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-PJ8 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-7-X*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-11-X*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-15-X*, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-17-X*, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-18-X*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)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-9*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa2 (sf) Cl. B-2, Assigned (P)A1 (sf) Cl. B-3, Assigned (P)Baa1 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.39%, in a baseline scenario-median is 0.23%, and reaches 3.46% at stress level consistent with Moody's Aaa rating. The action reflects the coronavirus pandemic's residual impact on the ongoing performance of US RMBS as the US economy continues on the path toward normalization. Economic activity will continue to strengthen in 2021 because of several factors, including the rollout of vaccines, growing household consumption and an accommodative central bank policy. However, specific sectors and individual businesses will remain weakened by extended pandemic related restrictions. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10% (6.69% for the mean) and Moody's Aaa loss by 2.5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any mortgage loans to borrowers who are not currently making payments. For newly originated mortgage loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned mortgage loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, strength of the TPR and the R&W framework of the transaction. Collateral Description The aggregate collateral pool comprises 536 (90.88% by UPB) prime jumbo (non-conforming) and 125 (9.12% by UPB) conforming, 30-year, fully-amortizing fixed-rate mortgage loans, none of which have the benefit of primary mortgage guaranty insurance, with an aggregate stated principal balance (UPB) $618,170,101 and a weighted average (WA) mortgage rate of 3.0%. The WA current FICO score of the borrowers in the pool is 771. The WA Original LTV ratio of the mortgage pool is 69.1%, which is in line with GSMBS 2021-PJ6 and also with other prime jumbo transactions. All the mortgage loans in the aggregate pool are QM, with the prime jumbo non-conforming mortgage loans meeting the requirements of the QM-Safe Harbor rule (Appendix Q) or the new General QM rule (see bullet point below), and the GSE eligible mortgage loans meeting the temporary QM criteria applicable to loans underwritten in accordance with GSE guidelines. The other characteristics of the mortgage loans in the pool are generally comparable to that of GSMBS 2021-PJ6 and recent prime jumbo transactions. A portion of the loans purchased from various sellers into the pool were originated pursuant to the new general QM rule (170 loans). The majority of these loans are Movement Mortgage and UWM loans underwritten to GS AUS underwriting guidelines. For avoidance of doubt, Movement Mortgage originated both new-QM and QM-Safe Harbor loans into the pool. The third-party reviewer verified that the loans' APRs met the QM rule's thresholds. Furthermore, these loans were underwritten and documented pursuant to the QM rule's verification safe harbor via a mix of the Fannie Mae Single Family Selling Guide, the Freddie Mac Single-Family Seller/Servicer Guide, and applicable program overlays. As part of the origination quality review and in consideration of the detailed loan-level third-party diligence reports, which included supplemental information with the specific documentation received for each loan, Moody's concluded that these loans were fully documented loans, and that the underwriting of the loans is acceptable. Therefore, Moody's ran these loans as "full documentation" loans in Moody's MILAN model, but increased Moody's Aaa and expected loss assumptions due to the lack of performance, track records and overlays of the AUS-underwritten loans. The mortgage loans in the pool were originated mostly in California (43.5%) and in high cost metropolitan statistical areas (MSAs) of Los Angeles (16.1%), San Francisco (11.9%), Chicago (5.7%), New York (4.6%) and others (19.2%), by UPB, respectively. The high geographic concentration in high cost MSAs is reflected in the high average balance of the pool ($935,204). Moody's made adjustments to Moody's losses to account for this geographic concentration risk. Top 10 MSAs comprise 57.6% of the pool, by UPB. Aggregator/Origination Quality GSMC is the loan aggregator and the primary mortgage seller for the transaction. GSMC's general partner is Goldman Sachs Real Estate Funding Corp. and its limited partner is Goldman Sachs Bank USA. Goldman Sachs Real Estate Funding Corp. is a wholly owned subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital markets group within Goldman Sachs. Senior management averages 16 years of mortgage experience and 15 years of Goldman Sachs tenure. The mortgage loans for this transaction were acquired by GSMC, the sponsor and a mortgage loan seller (96.5% by UPB), MTGLQ Investors, L.P. (MTGLQ) (3.3% by UPB), and MCLP Asset Company, Inc. (MCLP) (0.2% by UPB), the mortgage loan sellers, from certain of the originators or the aggregator, MAXEX Clearing LLC (7.3% by UPB, in total). The mortgage loans in the pool are underwritten to either GSMC's underwriting guidelines, or seller's applicable guidelines. The mortgage loan sellers do not originate any mortgage loans, including the mortgage loans included in the mortgage pool. Instead, the mortgage loan sellers acquired the mortgage loans pursuant to contracts with the originators or the aggregator. Overall, Moody's consider GSMC's aggregation platform to be comparable to that of peer aggregators and therefore did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing GSMC's aggregation quality, Moody's have also reviewed the origination quality of each of the originators which contributed at least approximately 10% of the mortgage loans (by UPB) to the transaction. For these originators, Moody's reviewed their underwriting guidelines, performance history, and quality control and audit processes and procedures (to the extent available, respectively). Approximately 27.1%, 17.5%, 14.8% of the mortgage loans, by a UPB as of the cut-off date (approximately 59.4% by UPB), were originated by Guaranteed Rate affiliates (including Guaranteed Rate, Inc. (GRI), Guaranteed Rate Affinity, LLC (GRA) and Proper Rate, LLC), Movement Mortgage, LLC (Movement Mortgage), CrossCountry Mortgage, LLC (CrossCountry) and United Wholesale Mortgage, LLC (UWM) respectively. No other originator or group of affiliated originators originated more than approximately 10% of the mortgage loans in the aggregate. Moody's consider Guaranteed Rate affiliates and CrossCountry to have adequate residential prime jumbo loan origination practices that are in line with peers due to: (1) adequate underwriting policies and procedures, (2) consistent performance with low delinquency and repurchase and (3) adequate quality control, Moody's did not make any adjustments to Moody's loss levels for mortgage loans originated by these parties. In addition, 15.2% (by balance) of loans are non-conforming, QM-Safe Harbor loans underwritten to GS prime jumbo guidelines. Moody's did not increase its loss expectations for loans underwritten to GSMC's guidelines, because Moody's reviewed and consider the guidelines to be adequate along with adequate quality control and audit processes. Servicing Arrangement Moody's consider the overall servicing arrangement for this pool to be adequate, and as a result Moody's did not make any adjustments to its base case and Aaa stress loss assumptions based on the servicing arrangement. Shellpoint will service 96.2% of the pool and United Wholesale Mortgage, LLC will service 3.8% (by loan balance). Shellpoint is an approved servicer in good standing with Ginnie Mae, Fannie Mae and Freddie Mac. Shellpoint's primary servicing location is in Greenville, South Carolina. Shellpoint services residential mortgage assets for investors that include banks, financial services companies, GSEs and government agencies. Wells Fargo will act as master. Wells Fargo is a national banking association and a wholly-owned subsidiary of Wells Fargo & Company. Moody's consider the presence of an experienced master servicer such as Wells Fargo to be a mitigant for any servicing disruptions. Wells Fargo is committed to act as successor servicer if no other successor servicer can be engaged. Third-party Review The transaction benefits from TPR on 100% of the mortgage loans for regulatory compliance, credit and property valuation. The due diligence results confirm compliance with the originators' underwriting guidelines for the vast majority of mortgage loans, no material compliance issues, and no material valuation defects. The mortgage loans that had exceptions to the originators' underwriting guidelines had significant compensating factors that were documented. Representations & Warranties GSMBS 2021-PJ8's R&W framework is in line with that of prior GSMBS transactions Moody's have rated where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Moody's review of the R&W framework takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and the R&W enforcement mechanism. The loan-level R&Ws meet or exceed the baseline set of credit-neutral R&Ws Moody's have identified for US RMBS. R&W breaches are evaluated by an independent third-party using a set of objective criteria. The transaction requires mandatory independent reviews of mortgage loans that become 120 days delinquent and those that liquidate at a loss to determine if any of the R&Ws are breached. There is a provision for binding arbitration in the event of a dispute between the trust and the R&W provider concerning R&W breaches. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. An investment-grade rated R&W provider lends substantial strength to its R&Ws. Moody's analyze the impact of less creditworthy R&W providers case by case, in conjunction with other aspects of the transaction. Here, because most of the R&W providers are unrated and/or exhibit limited financial flexibility, Moody's applied an adjustment to the mortgage loans for which these entities provided R&Ws. Tail Risk and Locked Out Percentage The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 1.10% of the cut-off date pool balance, and as subordination lock-out amount of 0.95% of the cut-off date pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. COVID-19 Impacted Borrowers As of the cut-off date, none of the mortgage loans are subject to a COVID-19 related forbearance plan. Also, any mortgage loan, with respect to which the related borrower requests or enters into a COVID-19 related forbearance plan after the cut-off date, will remain in the pool. In the event the servicer enters into a forbearance plan with a COVID-19 impacted borrower, the servicer will report such mortgage loan as delinquent (to the extent payments are not actually received from the borrower) and the servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such loan during the forbearance period (unless the servicer determines any such advances would be a nonrecoverable advance). At the end of the forbearance period, if the borrower is able to make the current payment on such mortgage loan but is unable to make the previously forborne payments as a lump sum payment or as part of a repayment plan, then such principal forbearance amount will be recognized as a realized loss. At the end of the forbearance period, if the borrower repays the forborne payments via a lump sum or repayment plan, advances will be recovered via the borrower payment(s). In an event of modification, Shellpoint will recover advances made during the period of COVID-19 related forbearance from pool level collections. Any principal forbearance amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2021. HAYFIN US XIV: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Hayfin US XIV Ltd./Hayfin US XIV 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 Hayfin Capital Management LLC. The preliminary ratings are based on information as of Aug. 13, 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 Hayfin US XIV Ltd./Hayfin US XIV LLC Class A-1, $290.00 million: AAA (sf) Class A-F, $10.00 million: AAA (sf) Class B, $64.80 million: AA (sf) Class C (deferrable), $28.80 million: A (sf) Class D (deferrable), $28.80 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $47.37 million: Not rated IMPERIAL 2021-NQM2: S&P Assigns Prelim B(sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Imperial Fund Mortgage Trust 2021-NQM2's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate fully amortizing residential mortgage loans that are secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to prime and nonprime borrowers. The pool has 523 loans backed by 533 properties, which are non-qualified or exempt mortgage loans. The preliminary ratings are based on information as of Aug. 19, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty (R&W) framework; -- The mortgage originators, primarily A&D Mortgage LLC; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and the liquidity available in the transaction. Preliminary Ratings Assigned Imperial Fund Mortgage Trust 2021-NQM2(i) Class A-1, $161,924,000: AAA (sf) Class A-2, $17,807,000: AA (sf) Class A-3, $27,541,000: A (sf) Class M-1, $10,328,000: BBB (sf) Class B-1, $8,073,000: BB+ (sf) Class B-2, $6,885,000: B (sf) Class B-3, $4,867,844: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, not applicable: NR (i)The collateral and structural information in this report reflects the term sheet dated Aug. 18, 2021. The preliminary ratings address the ultimate payment of interest and principal. (ii)Notional amount equals the loans' aggregate stated principal balance. NR--Not rated. JP MORGAN 2014-C23: Fitch Affirms CCC Rating on 2 Tranches ---------------------------------------------------------- Fitch Ratings has downgraded, removed from Rating Watch Negative and assigned Negative Outlooks to two classes and also affirmed 12 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust's (JPMBB), series 2014-C23 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- JPMBB 2014-C23 A-4 46643ABD4 LT AAAsf Affirmed AAAsf A-5 46643ABE2 LT AAAsf Affirmed AAAsf A-S 46643ABJ1 LT AAAsf Affirmed AAAsf A-SB 46643ABF9 LT AAAsf Affirmed AAAsf B 46643ABK8 LT AAsf Affirmed AAsf C 46643ABL6 LT Asf Affirmed Asf D 46643AAG8 LT BBB-sf Affirmed BBB-sf E 46643AAJ2 LT Bsf Downgrade BBsf EC 46643ABM4 LT Asf Affirmed Asf F 46643AAL7 LT CCCsf Affirmed CCCsf X-A 46643ABG7 LT AAAsf Affirmed AAAsf X-B 46643ABH5 LT BBB-sf Affirmed BBB-sf X-C 46643AAA1 LT Bsf Downgrade BBsf X-D 46643AAC7 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased loss expectations for the pool since Fitch's last rating action. Most are associated with the larger Fitch Loans of Concern (FLOCs) within the top 15, most notably Las Catalinas Mall and the specially serviced loans. Sixteen loans (47% of the pool) are considered FLOCs for declines in occupancy, upcoming rollover, deferred maintenance and declines in performance due to the coronavirus pandemic. Five of these loans (7.5%) are currently in special servicing. Fitch's current ratings incorporate a base case loss of 8.4%. The Negative Rating Outlooks reflect losses that could reach 11.4% when factoring in an outsized full loss on Las Catalinas Mall and additional pandemic-related stresses. The largest specially serviced loan, Las Catalinas Mall (5.3% of the pool), is secured by a 355,385-sf collateral portion of a 494,071-sf regional mall in Caguas, Puerto Rico, approximately 20 miles south of San Juan. The loan was transferred to special servicing in June 2020 for imminent default due to the impact of the coronavirus pandemic. Anchor space includes a vacant non-collateral Sears, which closed in February 2021 and the Kmart (34.5% of NRA) remains vacant since January 2019. Large inline tenants include Forever 21 (3.8% of NRA; through January 2026), Old Navy (3.6%; October 2029); Shoe Carnival (2.7%; January 2024) and La Nueva Era (1.8%; November 2029). Casual dining options include P.F. Chang's (2.1%); Outback Steakhouse (1.9%), which has gone dark but continues to lease their space through May 2025. Total mall occupancy declined to 35.1% after Sears vacated. Inline sales were $530 psf as of TTM January 2020 compared with $642 psf as of TTM January 2019 and $498 psf at issuance. Forever 21 reported decreased sales of $507 psf as of TTM January 2020 from $609 psf the prior year. The pari passu loan, which was previously specially serviced due to declines from the pandemic and the closure of Kmart in 2Q19, was returned to the master servicer as a corrected mortgage loan. The loan was modified in December 2020, modification terms included an extension of the maturity by through February 2026 with new terms including interest rate reduction and a total loan forgiveness of $56 million, of which $24.3 million may be applied to this trust. Fitch's base case loss factors in a 15% cap rate and 20% stress to the YE 2020 NOI which results in a 62% expected loss. Fitch also performed an additional sensitivity analysis that assumed a full loss on the loan. The second largest loss contributor and specially serviced loan is Duncan Center, which is secured by a six-story office building, totaling 57,468 sf located in Dover, DE. The property was 19.3% occupied as of the March 2021 rent roll. The loan was transferred to special servicing in October 2019 for imminent default. The space previously occupied by one of the anchors, the Homeland Security Administration (36% of physical NRA, 46% of gross revenues), became vacant in May 2019. The property had lost a previous anchor tenant, the State Office of Budget Management, in 2016. Per the special servicer, the collateral became REO on Aug. 5, 2021. They plan to stabilize the property and prepare it for sale. Fitch's base case loss of 68% reflects a 20% stress to the recent appraisal value, which reflects a stressed value psf of $78. The third largest loss contributor is Stevens Business Park, which is secured by a 468,373 sf office complex consisting of four single-tenant and two multitenant buildings located in Richland, WA in an area known as the Tri-Cities Research District. The buildings are part of a larger 11-building research park. The loan is currently on the master servicer's watchlist as occupancy, revenues and expenses are all down roughly 10%. The decline in performance is related to the downsizing of tenant, Bechtel National, in late 2018 terminating about 77K sf reducing their footprint from 98K to 22K. Per the master servicer, the borrower stated they have a letter of intent (LOI) from as prospective tenant. Fitch has requested an update on leasing activity and LOI from the master servicer but has not received a response yet. The property is 80.5% occupied as of May 2021 with above market average rent of $18.93 psf. Fitch's base case loss of 11% reflects a total 10% stress to YE 2020 NOI for upcoming rollover and above market rents. The fourth largest loss contributor is 333 Penn, which is secured by a 79-unit multifamily property located in Indianapolis, IN. The loan is on the master servicer's watchlist due to income decline and increased operating expenses. The property's occupancy has improved to 84.8% as of June 2021 with average rent $1,228 per unit compared to 77.2% as of March 2021 with average rent $1,241. Fitch's base case loss of 58% is reflects the YE 2020 NOI with no additional stress. The fifth largest loss contributor is Columbus Square, which is secured by a 494,224 sf retail property located on 97th and 100th streets on Columbus Avenue located in Manhattan's Upper West Side. The loan is considered a FLOC due to the loss of several tenants. Petco (3.5%) expired at lease expiration in October 2020; that space is currently being marketed. Modell's (4.3% NRA) had a lease expiration in July 2020 but closed in February 2020 due to bankruptcy proceedings. The Modells space has been replaced by Target, with a lease effective date in June 2020. The Target store recently opened on Aug. 15, 2021. Lastly, Michael's (7% NRA) closed in January 2021, but are expected to honor their rental obligations through lease expiration in March 2022. Fitch base case loss of 5% reflects a total 5% stress to the YE 2020 NOI. Increased Credit Enhancement: The transaction's credit enhancement (CE) has improved since issuance given loan amortization, payoffs, and defeasance. As of the July 2021 distribution date, the pool's aggregate principal balance has been paid down by 32.1% to $933.1 million from $1.356 billion at issuance and by 7.4% since Fitch's last rating action. Since the last rating action, the ninth largest loan (previously 3.6% of the pool) which was defeased paid off at maturity and the 12th largest loan (previously 3.2% of the pool) prepaid with yield maintenance. Thirteen loans (11.4%) are currently defeased. Approximately 29.3% of the pool is full-term, interest only and 47.3% of the pool is partial interest-only. Alternative Loss Considerations: Fitch ran an additional sensitivity which reflects 13 defeased loans (11.4%), paydown of 13 loans (11.7%) with strong performance that are expected to pay in full and pass both default tests, in addition to a 100% assumed outsized loss on Las Catalinas Mall due to the loss of Kmart and non-collateral Sears, declining cash flow, and secondary market. This sensitivity also contributed to the downgrades and Outlook revisions to Negative from Stable on classes E and X-C. Coronavirus Exposure: Eight loans (14.5%) are secured by hotel properties, including three loans (12.2%) in the top 15. Nine loans (24.1%) are secured by retail properties, including four loans (22%) in the top 15. Fifteen loans (17.6%) are secured by multifamily properties. Fitch applied additional stresses to three hotel loans, three retail loans and one multifamily loan to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to downgrades of classes E and X-C and Negative Outlooks. ADDITIONAL CONSIDERATIONS Property Type Concentration: Nine loans (24.1%) are secured by retail properties. Of which, four (22%) of the top 15 loans are collateralized by (two regional malls and two shopping centers) located in Grapevine, TX, Caguas, PR, Los Angeles, CA, and Northville, MI. The Las Catalinas Mall (5.8%) loan in Puerto Rico has a dark Kmart and non-collateral Sears amid challenging economic conditions. Eight loans (14.5%) are secured by hotel properties, of which three (12.2%) are in the top 15 loans. Pool Concentrations: The top 10 loans represent (63.9%) of the total pool balance and the top three loans (30.5%) of the total pool balance. Maturity Schedule: 48 loans (93.3%) in 2024; one loan (5.8%) in 2026 and one loan (0.9%) in 2034. RATING SENSITIVITIES The downgrade of classes E and X-C reflects increased loss expectations for the pool since Fitch's last rating action associated with the larger FLOCs within the top 15 most notably Las Catalinas Mall and the specially serviced loans. The Negative Rating Outlooks on classes E and X-C reflect the potential for further downgrades due to concerns surrounding the ultimate impact of the coronavirus pandemic and the performance concerns associated with the FLOCs and specially serviced loans. The Stable Rating Outlooks on classes A-4 through C and classes X-A and EC reflect the increasing CE, continued amortization, defeasance and relatively stable performance of the majority of the pool. Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'Asf' and 'AAsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs or loans expected to be negatively affected by the coronavirus pandemic could cause this trend to reverse. -- An upgrade to the 'BBB-sf' category is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'CCCsf' and 'Bsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre pandemic levels, and there is sufficient CE to the classes. Factors that could, individually or collectively, lead to a negative rating action/downgrade: -- An increase in pool level losses from underperforming or specially serviced loans. Downgrades of the super-senior A-4, A-5, and A-SB classes, rated 'AAAsf', are not considered likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. -- Downgrades of classes A-S, B, C, X-A, X-B and X-C may occur if the larger FLOCs realize outsized losses. Downgrades to the 'Bsf' and 'BBB-sf' categories, both of which currently have Negative Outlooks, would occur should loss expectations increase significantly, the FLOCs experience outsized losses and/or the loans vulnerable to the coronavirus pandemic not stabilize. A downgrade to the distressed 'CCCsf' rated classes would occur with increased certainty of losses 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. JPMBB TRUST 2014-C18: Fitch Affirms C Rating on Class F Certs ------------------------------------------------------------- Fitch Ratings has removed one class from Rating Watch Negative, downgraded two classes and affirmed 10 classes of JPMBB Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2014-C18. DEBT RATING PRIOR ---- ------ ----- JPMBB 2014-C18 A-4A1 46641JAV8 LT AAAsf Affirmed AAAsf A-4A2 46641JAA4 LT AAAsf Affirmed AAAsf A-5 46641JAW6 LT AAAsf Affirmed AAAsf A-S 46641JBA3 LT AAAsf Affirmed AAAsf A-SB 46641JAX4 LT AAAsf Affirmed AAAsf B 46641JBB1 LT AA-sf Affirmed AA-sf C 46641JBC9 LT A-sf Affirmed A-sf D 46641JAE6 LT CCCsf Downgrade BBsf E 46641JAG1 LT CCsf Downgrade CCCsf EC 46641JBD7 LT A-sf Affirmed A-sf F 46641JAJ5 LT Csf Affirmed Csf X-A 46641JAY2 LT AAAsf Affirmed AAAsf Class X-A is interest only. Class A-S, B and C certificates may be exchanged for a related amount of class EC certificates, and class EC certificates may be exchanged for class A-S, B and C certificates. R KEY RATING DRIVERS Increased Loss Expectations: Overall loss expectations on the pool have risen primarily due to the increased number of Fitch Loans of Concern (FLOCs, 53.5% of the pool) including four loans in special servicing (10.5% of the pool). Fitch's current ratings incorporate a base case loss of 8.8%. The Negative Outlooks on classes A-S through C and X-A reflect losses that could reach 9.5% when factoring in additional stresses related to the coronavirus pandemic. The downgrades to junior classes primarily reflect a realized loss of $29.2 million from the disposition of 545 Madison Avenue, as well loss expectations from the specially serviced loans. Largest Contributors to Loss: The largest contributor to base case losses is the specially serviced Meadows Mall loan (6.3% of the pool). The loan transferred to special servicing in October 2020 due to monetary default. Cash management has been triggered and all rents are being swept into the lockbox. To date, the cash trap has provided enough funds to bring the loan current and fund a portion of operating expenses, with borrower covering shortfalls. The borrower has requested forbearance and discussions are ongoing. The loan is secured by a 308,620-sf portion of a 945,043-sf regional mall located in Las Vegas, NV approximately four miles west of downtown and south of Interstate 95. The mall was built in 1978 and underwent a $22 million renovation in 2003. Meadows Mall caters to the local residents and does not rely on tourists. Non-collateral anchors include Dillard's Clearance Center/Curacao, Macy's/Macy's Backstage and JCPenney. A Seritage owned Sears at the mall closed in February 2020; Round 1 Bowling & Amusement subsequently leased the first floor. The largest collateral tenants include Forever 21 (5.5% of NRA, expiration 2024), Victoria's Secret (3.9% of NRA, expiration January 2023) and Rainbow (2.6% of NRA, expiration 2024). Since the onset of the pandemic, over 10 tenants have been granted relief in the form of lease modifications and/or rent reductions and abatements. Comparable in-line tenant sales were reported at $392 psf for TTM March 2021, compared to $358 psf for YE 2020, $378 psf for YE 2018, and $416 psf at issuance. Recent news reporting, noted that developers broke ground in March 2021 on a new $80+ million upscale apartment project next to Meadows Mall. Fitch's modeled loss of 42% reflects an implied cap rate of approximately 17.5% on YE 2019 NOI. The next largest contributor to loss is the Shops at Wiregrass loan (6.4% of the pool). Per the servicer, pandemic relief was requested and the borrower is working with the servicer towards a possible solution. Property performance was impacted by the pandemic with a servicer reported YE 2020 NOI DSCR of only 0.42x compared to 1.15x at YE 2019. The loan is secured by the 474,150-sf collateral portion of a 759,880-sf open air retail center located in Wesley Chapel, FL, approximately 20 miles north of Tampa. The property was built in 2008 and is anchored by Macy's and Dillard's (both non-collateral) and JCPenney (21.1% of NRA; exp. October 2035). Large collateral tenants also include Barnes & Noble (7.4%; exp. January 2024), Pottery Barn (2.6%; expiration March 2022, sales $244 psf for TTM 3/21) and Victoria's Secret (1.9%; expiration January 2029, sales $386 psf for TTM March 2021). No full year sales were reported for JCPenney or Barnes & Noble. Per the April 2021 rent roll, the collateral was approximately 76% leased while the entire mall was 85.1% leased. Approximately 10.9% of collateral NRA rolls over the next year, including Pottery Barn. Fitch applied a 25% haircut to YE 2019 NOI to reflect the declining NOI and occupancy as well as the upcoming scheduled lease roll. The third largest contributor to base case loss is the Jordan Creek Town Center loan (12.7% of the pool). Pandemic relief was requested and granted in 2020. The loan is secured by a 503,034-sf portion of a 1.1 million-sf regional mall located in West Des Moines, IA. The mall is anchored by Dillard's (non-collateral) and Scheels (leasehold). A previous non-collateral anchor, Younkers, vacated in August 2018. The largest collateral tenants are Century Theatres (NRA 14% exp. August 2024) and Barnes & Noble (NRA 6% expiration January 2025). No other tenant occupies more than 2.6% of the NRA. Upcoming rollover at the property includes 5.5% of the NRA in 2021, followed by 4% in 2022, 3.2% in 2023 and 44% in 2024. Sales have declined due to the pandemic. TTM March 2021 total mall sales were reported at $397 psf ($366 psf excluding Apple) compared with $592 psf ($474 excluding Apple) for the TTM March 2020 period. H&M opened a 25,000-sf store at the center in June 2021, which is its first location in the Des Moines metro area, while a new Fabletics and Tempur-pedic store are reportedly coming soon. Further, a recent news article noted that work is expected to commence this summer on a new Von Mauer store that is to fill the vacant anchor space left by Younkers. The next largest contributor to loss is the specially serviced Geneva Shopping Center loan (1.7% of the pool). The loan transferred to special servicing in December 2020 due to delinquent debt service payments. A loan modification is currently under discussion. The loan is secured by a 186,275-sf retail property located in Geneva, NY. The property was built in 1957 and last renovated in 2012. The former largest tenant, Tops Market (27.5% of NRA, exp. 2032), vacated after its parent company filed Chapter 11. The majority of the Tops space remains vacant; however, Dollar Store leased 10,000 sf (5.4% of NRA, expiration January 2027). The former third largest tenant, Gordmans (10.7% of NRA, through 2023), also vacated in October 2020 due to its parent company's bankruptcy. The servicer noted no known tenant prospects for the vacant spaces. Per the January 2021 rent roll, the property was approximately 60% leased. About 26% of the NRA rolls by YE 2021. The YTD September 2020 annualized NOI DSCR was 0.80x. Fitch's loss reflects a value of $32 psf for the center. Credit Enhancement (CE): CE to the junior classes has decreased over the last year due to the expected $29.2 million loss from the disposition in November 2020 of the defaulted 545 Madison Avenue loan. The senior classes have seen increased CE over the period due to continued amortization and the full paydown of three other loans. As of the July 2021 distribution date, the pool's aggregate balance has been reduced by 29.2% to $678.2 million, from $957.6 million at issuance. Only one loan (14.7%) is full term interest only, while all other remaining loans are currently amortizing. No loans are scheduled to mature until 2023 (9.2% of the pool) and 2024 (87.9%) with one loan maturing in 2029 (2.9%). 6.3% of the pool is defeased. ADDITIONAL CONSIDERATIONS: Concentrated Pool. The transaction is becoming increasingly concentrated with 37 loans; the top 10 loans comprise 70.4% of the pool. Loans secured by retail properties comprise 63.2% of the pool. RATING SENSITIVITIES The Stable Outlooks on the classes A-4A1 through A-SB reflect the substantial CE to the classes and defeasance. The Negative Outlooks on classes A-S through C reflect the concern over the FLOCs (53.5% of the pool) including four loans in special servicing (10.5%) as well as substantial concentration of retail loans (63.2%) with four regional malls within the top ten loans. Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'AA-sf' and 'A-sf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and 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 'CCCsf' and below categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement to the classes. Factors that could, individually or collectively, lead to a negative rating action/downgrade: -- An increase in pool level losses from underperforming or specially serviced loans. Downgrades of the 'AA-sf' and 'AAAsf' rating categories are not considered likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. -- Downgrades to the 'A-sf' category could occur if performance of the FLOCs continues to decline, additional loans transfer to special servicing and/or loans impacted by the pandemic do not stabilize. Further downgrades to the distressed 'CCCsf' rated and below classes would occur with increased certainty of losses or as additional 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. JPMDB COMMERCIAL 2017-C7: Fitch Affirms CCC Rating on F-RR Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of JPMDB Commercial Mortgage Securities Trust 2017-C7, commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- JPMDB 2017-C7 Class A-2 46648KAR7 LT AAAsf Affirmed AAAsf Class A-3 46648KAS5 LT AAAsf Affirmed AAAsf Class A-4 46648KAT3 LT AAAsf Affirmed AAAsf Class A-5 46648KAU0 LT AAAsf Affirmed AAAsf Class A-S 46648KAY2 LT AAAsf Affirmed AAAsf Class A-SB 46648KAV8 LT AAAsf Affirmed AAAsf Class B 46648KAZ9 LT AA-sf Affirmed AA-sf Class C 46648KBA3 LT A-sf Affirmed A-sf Class D 46648KAC0 LT BBB-sf Affirmed BBB-sf Class E-RR 46648KAE6 LT Bsf Affirmed Bsf Class F-RR 46648KAG1 LT CCCsf Affirmed CCCsf Class X-A 46648KAW6 LT AAAsf Affirmed AAAsf Class X-B 46648KAX4 LT AA-sf Affirmed AA-sf Class X-D 46648KAA4 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Concerns Despite Lower Loss Expectations: Fitch's overall loss expectations have decreased since the last rating action; however, uncertainty of losses remain for two loans in special servicing. Fitch's current ratings incorporate a base case loss of 4.7%. The Negative Outlooks reflect that losses could reach 6.4%, which includes additional pandemic-related stresses for several loans where Fitch is utilizing 2019 performance in its analysis. There are 10 Fitch Loans of Concern (FLOCs) representing 29.0% of the pool, including two loans in special servicing (5.3%). The AHIP Northeast Portfolio I loan (5.2%), the largest contributor to expected losses, is secured by five hotel properties totaling 612 rooms located in Maryland, New Jersey and Pennsylvania. Portfolio performance had already exhibited declines pre-pandemic driven by lower revenues across the hotels, with YE 2019 NOI down 12.8% from 2018. YE 2020 NOI declined further by 56% from YE 2019. The borrower was granted pandemic-related relief and the loan remains current. The Capital Centers II & III loan (2.4%), the second largest contributor to expected losses, is secured by two office properties totaling 530,365 square feet, and located in Rancho Cordova, CA. Performance metrics has declined since issuance primarily due to occupancy falling to 65% in April 2020 from 74% at YE 2018 and 90% at issuance. While occupancy has improved to 75% as of September 2020, The Travelers Indemnity Co (NRA 13.7%), Anthem Inc (NRA 10.2%) and CA Student Aid Commissions (NRA 5%) have leases scheduled to expire in 2021. The YE 2020 NOI DSCR is 1.10x compared with 1.55x at YE 2019. Starwood Capital Group Hotel Portfolio (4.4%), which is secured by a portfolio of 65 hotels located in 17 states, largely located in California, Texas and Indiana is the third largest contributor to expected losses. The full-term interest-only loan reported a YE 2020 NOI DSCR of 0.92x compared with 2.73x at YE 2019 and 2.97x at YE 2018. The hotels reflect 14 different franchises, largely from flags such as Marriott, Hilton, Larkspur Landing (Starwood), IHG, and Choice Hotels. The collateral is diversified across several properties, with no property accounting for more than 5.9% of the allocated loan balance. According to the servicer, the borrower was granted pandemic-related relief and the loan remains current. Minimal Changes in Credit Enhancement: As of the August 2021 remittance reporting, the pool's aggregate principal balance has been paid down by 4.3% to $1.06 billion from $1.12 billion at issuance. Three loans have repaid in full since Fitch's last rating action. One loan (0.7% of pool) is fully defeased. Coronavirus Exposure: Eight loans representing 19.3% of the pool are secured by lodging properties. This includes six hotel loans (175% of the pool) ,which are flagged as FLOCs, two of which (5.3% of the pool) are in special servicing. These loans were modeled with an additional stress to the most recent appraised value or an additional haircut to the YE2019 NOI, given the significant declines to 2020 NOI related to reduced reservations and/or temporary closures related to the pandemic. RATING SENSITIVITIES Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B and C would likely occur with a significant improvement in credit enhancement (CE) and/or defeasance and improved performance from loans affected by the coronavirus pandemic; however, adverse selection and increased concentrations, or underperformance of the FLOCs, could cause this trend to reverse. -- An upgrade to class D would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes E-RR and F-RR 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. Factors that could, individually or collectively, lead to a negative rating action/downgrade: -- An increase in pool level losses from underperforming or specially serviced loans. Downgrades to the classes A-1 through A-SB are not considered likely due to position in the capital structure and high credit enhancement. Downgrades to classes A-S, B and C may occur if overall pool performance declines or a large loan suffers an outsized loss. -- Classes rated 'AAAsf' or 'AAsf' would be downgraded to 'Asf' if there were possibility for interest shortfalls. Downgrades to classes D and E-RR may occur if loans in special servicing remain unresolved or if performance of the FLOCs continues to decline. A downgrade to class F-RR would occur if 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. MFA 2021-NQM2: S&P Assigns B (sf) Rating on Class B-2 Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to MFA 2021-NQM2 Trust's mortgage pass-through certificates series 2021-NQM2. The certificate issuance is an RMBS transaction backed by first-lien fixed- and adjustable-rate fully amortizing and interest-only residential mortgage loans primarily secured by single-family residences, planned unit developments, condominiums, condotels, two- to four-family homes, mixed-use, five- to 10-unit multifamily, and manufactured housing to both prime and nonprime borrowers. The pool has 678 loans, which are primarily nonqualified mortgage loans. The ratings reflect S&P's view of: -- The pool's collateral composition, -- The transaction's credit enhancement, -- The transaction's associated structural mechanics, -- The transaction's representation and warranty framework, -- The mortgage aggregator and mortgage originator, -- The geographic concentration, and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. Ratings Assigned(i) MFA 2021-NQM2 Trust Class A-1, $210,300,000: AAA (sf) Class A-2, $16,490,000: AA (sf) Class A-3, $27,770,000: A (sf) Class M-1, $13,740,000: BBB (sf) Class B-1, $8,970,000: BB (sf) Class B-2, $5,350,000: B (sf) Class B-3, $6,659,452: NR Class XS, notional(ii): NR Class A-IO-S, notional(ii): NR Class R: NR (i)The collateral and structural information in this report reflects the private placement memorandum received on Aug. 5, 2021. The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. MORGAN STANLEY 2021-5: Fitch Gives 'B(EXP)' Rating to B-5 Debt -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2021-5. DEBT RATING ---- ------ MSRM 2021-5 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-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-IO LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-IO LT AAA(EXP)sf Expected Rating 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 Ratings expects to rate the residential mortgage-backed certificates issued by Morgan Stanley Residential Mortgage Loan Trust 2021-5 (MSRM 2021-5) as indicated above. This is the eighth post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust shelf; the first transaction was issued in 2014. This is the sixth MSRM transaction that comprises loans from various sellers and acquired by Morgan Stanley in its prime-jumbo aggregation process. The certificates are supported by 495 prime-quality loans with a total balance of approximately $478.34 million, as of the cutoff date. The pool consists of 100% fixed-rate mortgages from various mortgage originators. The servicer for this transaction is Specialized Loan Servicing LLC. Nationstar Mortgage LLC will be the master servicer. Of the loans, 100% qualify as safe-harbor qualified mortgage (QM). There are no high-priced QM loans or Non-QM loans in the pool. There is no exposure to Libor in this transaction. The collateral comprises 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 the secured overnight funding rate index, and capped at the net WAC or based on the net WAC. Like other prime transactions, the transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate fully amortizing loans, seasoned approximately 2.5 months in aggregate as determined by Fitch. Most of the loans were originated through the sellers' retail channels. The borrowers in this pool have strong credit profiles (775 FICO as determined by Fitch) and relatively low leverage (79.9% sustainable loan to value ratio as determined by Fitch). 184 loans are over $1 million, and the largest totals $2.6 million. Fitch considered 100% of the loans in the pool to be fully documented loans. Lastly, 1.9% (13 loans) of the loans in the pool is made up of non-permanent residents. Fitch treats non-permanent residents as investor occupied in its analysis. Approximately 45% of the pool is concentrated in California with moderate MSA concentration. Based on Fitch's analysis, the largest MSA concentration is in San Francisco MSA (16.8%), followed by the Los Angeles MSA (10.3%) and the Denver MSA (6.4%). The top three MSAs account for 33.6% of the pool. There was no adjustment made for geographic concentration. Shifting-Interest Structure and Full Advancing(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. The servicer will provide full advancing for the life of the transaction (the servicer is expected to advance delinquent P&I on loans that enter a coronavirus forbearance plan). Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is not able to. If the master servicer is not able to advance, then the securities administrator (Citibank) will advance. CE Floor (Positive): A CE or senior subordination floor of 1.25% 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 0.80% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Macro or Sector Risk (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicate the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of Covid-19 vaccines, Fitch reconsidered the application of the coronavirus-related 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 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 the 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 market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected MVD, which is 41.9% 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/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 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 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 0.24%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC and 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. OCP CLO 2020-19: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X, A-R, B-R, C-R, D-R and E-R replacement notes from OCP CLO 2020-19 Ltd./OCP CLO 2020-19 LLC, a CLO originally issued in 2020 that is managed by Onex Credit Partners LLC. The preliminary ratings are based on information as of Aug. 19, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 1, 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 target initial par amount will be upsized from $400 million to $500 million. -- The replacement class notes are expected to be issued at a lower weighted average cost of debt than the original notes. -- The stated maturity and reinvestment period will be extended by approximately 3.25 years. -- The non-call period will be extended by approximately 2.00 years. -- The weighted average life test will be extended to 9.50 years from the refinancing date. -- The class X notes will be issued on the refinancing date and are expected to be paid down using interest proceeds during the first eight payment dates in equal installments of $156,250. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Of the identified underlying collateral obligations, 100.00% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 97.94% have recovery ratings assigned by S&P Global Ratings. Replacement And Original Note Issuances Replacement notes Class X, $1.25 million: Three-month LIBOR + 0.70% Class A-R, $305.00 million: Three-month LIBOR + 1.15% Class B-R, $75.00 million: Three-month LIBOR + 1.70% Class C-R (deferrable), $30.00 million: Three-month LIBOR + 2.10% Class D-R (deferrable), $30.00 million: Three-month LIBOR + 3.15% Class E-R (deferrable), $20.00 million: Three-month LIBOR + 6.50% Original notes Class A-1, $222.00 million: Three-month LIBOR + 1.75% Class A-2, $18.00 million: 2.10% Class B, $56.00 million: Three-month LIBOR + 2.50% Class C (deferrable), $24.00 million: Three-month LIBOR + 2.95% Class D (deferrable), $24.00 million: Three-month LIBOR + 4.47% Class E (deferrable), $16.00 million: Three-month LIBOR + 6.11% 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 OCP CLO 2020-19 Ltd./OCP CLO 2020-19 LLC. Class X, $1.25 million: AAA (sf) Class A-R, $305.00 million: AAA (sf) Class B-R, $75.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-R (deferrable), $30.00 million: BBB- (sf) Class E-R (deferrable), $20.00 million: BB- (sf) Subordinated notes, $35.50 million: Not rated OCTAGON INVESTMENT 46: S&P Assigns BB-(sf) Rating on Cl. 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 notes from Octagon Investment Partners 46 Ltd./Octagon Investment Partners 46 LLC, a CLO originally issued in August 2020 that is managed by Octagon Credit Investors LLC. At the same time, we withdrew our ratings on the original class A, B, C, D, and E notes following payment in full on the August 10, 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 were issued on the refinancing date at a lower spread over three-month LIBOR than the corresponding original notes. -- The non-call period was extended by approximately two years to July 15, 2023. -- The reinvestment period was extended by approximately three years to July 15, 2026. -- The legal final maturity date (for the replacement notes and the existing subordinated notes) was extended by three years to July 15, 2036. -- The weighted average life test was extended to 9.50 years from the refinancing date. -- No additional assets were purchased on the first refinancing date, and the target initial par amount remained at $500.00 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing will be Oct. 15, 2021. -- The class X notes were issued on the first refinancing date and are expected to be paid down using interest proceeds on the January 2022 and April 2022 payment dates in equal installments of $1.25 million. -- The required minimum overcollateralization ratios with respect to the class D and E notes, as well as the required minimum for the interest diversion test, were amended. -- No additional subordinated notes were issued on the refinancing date. -- The transaction modified its investment criteria, including certain concentration limitations, and amended provisions related to maturity amendments, as well as amended its ability to purchase certain non-loan and workout related assets. -- In addition, the transaction made updates to conform to current rating agency methodology. New, Replacement, And Original Note Issuances New notes Class X, $2.5 million: Three-month LIBOR + 0.60% Replacement notes Class A-R, $320.00 million: Three-month LIBOR + 1.16% Class B-R, $60.00 million: Three-month LIBOR + 1.65% Class C-R (deferrable), $30.00 million: Three-month LIBOR + 2.20% Class D-R (deferrable), $30.00 million: Three-month LIBOR + 3.30% Class E-R (deferrable), $20.00 million: Three-month LIBOR + 6.60% Subordinated notes, $48.50 million: Not applicable Original notes Class A, $315.00 million: Three-month LIBOR + 1.65% Class B, $65.00 million: Three-month LIBOR + 2.20% Class C (deferrable), $30.00 million: Three-month LIBOR + 3.00% Class D (deferrable), $25.00 million: Three-month LIBOR + 4.60% Class E (deferrable), $17.50 million: Three-month LIBOR + 7.86% Subordinated notes, $48.50 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Octagon Investment Partners 46 Ltd./Octagon Investment Partners 46 LLC Class X, $2.50 million: AAA (sf) Class A-R, $320.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-R (deferrable), $30.00 million: BBB- (sf) Class E-R (deferrable), $20.00 million: BB- (sf) Subordinated notes, $48.50 million: NR Ratings Withdrawn Octagon Investment Partners 46 Ltd./Octagon Investment Partners 46 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. PROVIDENT FUNDING 2021-INV1: Moody's Gives B2 Rating to B-5 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 27 classes of residential mortgage-backed securities (RMBS) issued by Provident Funding Mortgage Trust (PFMT) 2021-INV1. The ratings range from Aaa (sf) to B2 (sf). PFMT 2021-INV1 is the first securitization of GSE-eligible investor (INV) mortgage loans originated and sponsored by Provident Funding Associates, L.P. (Provident Funding) and Colorado Federal Savings Bank (Colorado FSB). Approximately 17.05% of the pool (by balance) is made up of "Appraisal Waiver" (AW) loans, whereby the sponsors obtained an appraisal waiver for each such mortgage loan from Fannie Mae. In each case, Fannie Mae did not require an appraisal of the related mortgaged property as a condition of approving the related mortgage loan for purchase. Borrowers of the mortgage loans backing this transaction have strong credit profiles demonstrated by strong credit scores, high percentage of equity and significant liquid reserves. As of the cut-off date, no borrower under any mortgage loan is in a COVID-19 related forbearance plan with the servicer. Provident Funding will act as the servicer of the mortgage loans. Wells Fargo Bank, N.A. (Wells Fargo, rated Aa1) will be the master servicer, securities administrator, paying agent and certificate registrar and the trustee will be Wilmington Savings Fund Society, FSB. PFMT 2021-INV1 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2021-INV1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.45% at the mean (0.27% at the median) and reaches 3.61% 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 10.0% (7.0% 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 (TPR), and the representations & warranties (R&W) framework of the transaction. Collateral Description As of the cut-off date of July 1, 2021, the pool contains 1,203 mortgage loans with an aggregate principal balance of $296,050,073 secured by first liens on predominantly single family residential properties, planned unit developments and multi-family residential properties. The loans are fully amortizing each with an original term to maturity of up to 30 years. The mortgage loans have principal balances which meet the requirements for purchase by Fannie Mae or Freddie Mac, and were underwritten pursuant to the guidelines of Fannie Mae or Freddie Mac (collectively, GSEs), using Fannie Mae's Desktop Underwriter Program (DU) or Freddie Mac's Loan Product Advisor (LPA) (collectively, GSE-eligible loans), as applicable. However, none of the mortgage loans will be insured or guaranteed by any government agency. None of the mortgage loans have been 30 days or more delinquent since origination. Borrowers of the mortgage loans backing this transaction have strong credit profiles demonstrated by strong credit scores, high percentage of equity and significant liquid reserves. The average stated principal balance is $246,093 and the weighted average (WA) current mortgage rate is 3.11%. The mortgage pool has a WA original term of 355 months. The mortgage pool has a WA seasoning of 2.53 months. The borrowers have a WA credit score of 782, a WA combined loan-to-value ratio (CLTV) of 59.14% and WA debt-to-income ratio (DTI) of 35.55%. Approximately 32.66% (by balance) of the properties are located in California. Third-Party Review One TPR firm verified the accuracy of the loan level information. The TPR firm conducted detailed credit, property valuation, data accuracy and compliance reviews on a random sample of 298 (25% by loan count) of the mortgage loans in the collateral pool. With sampling, there is a risk that loan defects may not be discovered and such loans would remain in the pool. Moreover, vulnerabilities of the R&W framework, such as the lack of an automatic review of R&Ws by independent reviewer and the weaker financial strength of the R&W provider, reduce the likelihood that such defects would be discovered and cured during the transaction's life. Moody's made an adjustment to loss levels to account for this risk. The due diligence results confirm compliance with the originator's underwriting guidelines for the vast majority of loans and no material regulatory compliance issues. Except for two AW loans, there were no material property valuation issues. For the two AW loans, both secondary valuations (AVM and BPO) revealed a variance greater than -10%. Representations & Warranties Moody's assessed Provident Funding Mortgage Trust 2021-INV1's R&W framework as adequate, consistent with that of other prime RMBS transactions. An effective R&W framework protects a transaction against the risk of loss from fraudulent or defective loans. Moody's assessed the R&W framework based on three factors: (a) the financial strength of the R&W provider; (b) the strength of the R&Ws (including qualifiers and sunsets) and (c) the effectiveness of the enforcement mechanisms. Moody's evaluated the impact of these factors collectively on the ratings in conjunction with the transaction's specific details and in some cases, the strengths of some of the factors can mitigate weaknesses in others. However, Moody's applied an adjustment to Moody's losses to account for the following two risks. First, Moody's accounted for the risk that the R&W providers, may be unable to repurchase defective mortgage loans in a stressed economic environment. Moody's tempered this adjustment by taking into account the strong TPR results which suggest a lower probability that poorly performing mortgage loans will be found defective following review by the independent reviewer. Second, Moody's accounted for the risk that while the sponsors have provided R&Ws that are generally consistent with a set of credit neutral R&Ws that Moody's identified in Moody's methodology, the R&W framework in this transaction differs from that of some other prime RMBS transactions Moody's have rated because there is a risk that some loans with R&W defects may not be reviewed because an independent reviewer is not named at closing and there is a possibility that an independent reviewer will not be appointed altogether. Instead, reviews are performed at the option and expense of the controlling holder, or if there is no controlling holder (which is the case at closing, because an affiliate of sponsor will hold the subordinate classes and thus there will be no controlling holder initially), a senior holder group. Origination quality Moody's consider Provident Funding and Colorado FSB an adequate originators of agency-eligible mortgage loans based on the company's staff and processes for underwriting, quality control, risk management and performance. The company sources loans through a nationwide network of independent brokers, correspondent lenders and in-house retail channel. Servicing arrangement Provident Funding will service the mortgage loans pursuant to the pooling and servicing agreement. Moody's consider the overall servicing arrangement for this pool to be adequate given the servicing abilities of the Provident Funding as primary servicer. Moody's also consider the presence of a strong master servicer to be a mitigant against the risk of any servicing disruptions. Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on the servicing arrangement. Other Considerations The servicer has the option to purchase any mortgage loan which is 90 days or more delinquent, which may result in the step-down test used in the calculation of the senior prepayment percentage to be satisfied when otherwise it would not have been. Moreover, because the purchase may occur prior to the breach review trigger of 120 days delinquency, the loan may not be reviewed for breaches of representations and warranties and thus, systemic defects may remain undetected. In Moody's analysis, Moody's considered that the loans will be purchased by the servicer at par and a TPR firm having performed a review on a random sample of approximately 25% (by loan count) of the mortgage loans. Moreover, the reporting for this transaction will list the mortgage loans purchased by the servicer. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 1.00% of the closing pool balance, and a subordination lock-out amount of 1.00% of the closing pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. Transaction Structure The transaction is structured as a one pool shifting interest structure in which the senior bonds benefit from a senior floor and a subordination floor. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next principal payments are made to the senior bonds and then interest and principal payments are paid to the subordinate bonds in sequential order, subject to the subordinate class percentage of the subordinate principal distribution amounts. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balances of the subordinate bonds are written off, losses from the pool begin to write off the principal balances of the senior support bonds until their principal balances are reduced to zero. Next realized losses are allocated to the super senior bonds until their principal balances are written off. As in all transactions with shifting-interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bonds for a specified period of time, and allocates increasing amounts of prepayments to the subordinate bonds thereafter only if loan performance satisfies both delinquency and loss tests. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2021. SANTANDER CONSUMER 2020-B: Fitch Raises Class F Notes to 'BB' ------------------------------------------------------------- Fitch Ratings has affirmed the class A notes and upgraded the class B, C, D, E, and F notes of Santander Consumer Auto Receivables Trust (SCART) 2020-B. Fitch has also revised the Rating Outlooks on the class C, D, E and F notes to Positive from Stable. DEBT RATING PRIOR ---- ------ ----- Santander Consumer Auto Receivables Trust 2020-B A-2 802830AD1 LT AAAsf Affirmed AAAsf A-3 802830AG4 LT AAAsf Affirmed AAAsf A-4 802830AK5 LT AAAsf Affirmed AAAsf B 802830AN9 LT AAAsf Upgrade AAsf C 802830AR0 LT AAsf Upgrade Asf D 802830AU3 LT Asf Upgrade BBBsf E 802830AX7 LT BBBsf Upgrade BBsf F 802830BA6 LT BBsf Upgrade Bsf KEY RATING DRIVERS The rating actions are based on available credit enhancement (CE) and cumulative net losses (CNL) performance to date. The collateral pool continues to perform well within Fitch's initial expectations, and hard CE is building for the notes. The notes are able to withstand stress scenarios consistent with the recommended ratings, and make full payments to investors in accordance with the terms of the documents. The Outlooks of Stable on the class A and B notes reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in credit quality of the portfolio in stress scenarios and that loss coverage will continue to increase as the transactions amortize. The Outlooks of Positive on the class C, D, E and F notes reflect the potential for subsequent upgrades in the next one to two years. The lifetime CNL proxy considers the transaction's remaining pool factor and pool composition. Further, the proxy considers current and future macro-economic conditions which drive loss frequency, along with the state of wholesale vehicle values, which impact recovery rates and ultimately transaction losses. As of the July 2021 servicer report, 61+ day delinquencies total 0.30%, and CNLs are 0.37%, tracking well within Fitch's initial CNL proxy at close of 4.25%. Hard CE (of the current pool balance) has increased to 38.54%, 30.99% 22.18%, 15.23%, 13.52%, and 7.32% for the class A, B, C, D, E and F notes, respectively. Based on transaction specific performance to date and future projections, Fitch lowered the lifetime CNL loss proxy to 2.75% of the initial pool from 4.25% at close. Under the revised lifetime CNL loss proxy of 2.75%, cash flow modelling was able to support multiples in excess of the requisite multiples for all classes. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than projected CNL proxy, the ratings could be upgraded by one or more rating categories. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Conversely, unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxy, and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively impact CE levels. Lower loss coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have some sensitivity to a 1.5x and 2.0x increase of Fitch's base case loss expectation. However, considering the growth in loss coverage, downgrades are unlikely. 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. SOLARCITY LMC 2014-2: S&P Affirms 'BB(sf)' Rating on Class B Notes ------------------------------------------------------------------ S&P Global Ratings affirmed its 'BBB+ (sf)' and 'BB (sf)' ratings on the class A and B notes, respectively, from SolarCity LMC Series III LLC's series 2014-2 issuance, an ABS transaction backed by the rights, title, and interest in a portfolio of solar assets, including customer agreements, solar equipment, permits, manufacturer's warranties, and cash flow associated with the ownership of these assets. The affirmations reflect the transaction's performance, which remains in line with S&P's projections and expectations as of closing. The transaction has been in a debt-service coverage ratio (DSCR) sweep period since the January 2021 determination date, meaning all cash after scheduled and unscheduled principal payments is collected in the interest reserve account. The sweep period commenced because the transaction's DSCR declined to 1.23x, below the 1.25x threshold for cash sweep periods. The decline in the DSCR to 1.23 was caused by the increase in cumulative customer defaults to approximately 3.3% of the closing date aggregate discounted solar asset balance. The defaults resulted in unscheduled principal payments to the class A notes. Because such unscheduled principal payments to the class A notes are paid senior to scheduled principal payments to the class B notes, the class B notes currently have an unpaid portion of current and prior scheduled principal outstanding. That unpaid principal is added to the required debt service amount, which in turn decreases the DSCR level. Despite the low DSCR level, S&P still sees classes A and B receiving timely interest payments and ultimate principal payments before legal final maturity in all our stress scenarios. The cumulative defaults to date of 3.3% are still well below the cumulative defaults S&P's projected for the transaction at the 'BBB+ (sf)' and 'BB (sf)' levels. According to the performance reports from the servicer, while a DSCR sweep has been enacted, there is no manager termination event, and the transaction still has adequate amounts in its two reserve accounts and meets overcollateralization requirements. S&P will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as it deems necessary. TCW CLO 2019-1: S&P Assigns B- (sf) Rating on $4MM Class FR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class XR, ASNR, AJR, AJFR, BR, CR, CFR, DR, ER, and FR replacement notes from TCW CLO 2019-1 AMR Ltd./TCW CLO 2019-1 AMR LLC, a CLO originally issued in February 2019 that is managed by TCW Asset Management Co. LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, D, E, and F notes following payment in full on the August 16, 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 XR, ASNR, BR, and DR notes were issued at a higher spread over three-month LIBOR than the original notes. -- The replacement class ER and FR notes were issued at a lower spread over three-month LIBOR than the original notes. -- The replacement class AJR and AJFR notes were issued at a floating spread over three-month LIBOR and fixed coupon, respectively, replacing the current floating spread over three-month LIBOR. -- The replacement class CR and CFR notes were issued at a floating spread over three-month LIBOR and fixed coupon, respectively, replacing the current floating spread over three-month LIBOR. -- The non-call period was extended by approximately 3.5 years, while the stated maturity and the reinvestment period were extended by approximately 5.5 years. -- There will be no additional Z1, Z2, or subordinated notes issued in connection with this refinancing. However, the stated maturities were amended to match that of the replacement notes. -- The transaction amended its ability to purchase workout-related assets and also conformed to updated rating agency methodology. In addition, the transaction amended the required minimums on the overcollateralization tests as well as added the ability to purchase bonds. -- The class XR notes were issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 15 payment dates, beginning with the payment date in November 2021. -- Of the identified underlying collateral obligations, 100% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 95.68% 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." Ratings Assigned TCW CLO 2019-1 AMR Ltd./TCW CLO 2019-1 AMR LLC Class XR, $4.00 million: AAA (sf) Class ASNR, $241.00 million: AAA (sf) Class AJR, $11.00 million: AAA (sf) Class AJFR, $5.00 million: AAA (sf) Class BR, $48.00 million: AA (sf) Class CR (deferrable), $20.25 million: A (sf) Class CFR (deferrable), $4.00 million: A (sf) Class DR (deferrable), $24.00 million: BBB- (sf) Class ER (deferrable), $14.00 million: BB- (sf) Class FR (deferrable), $4.00 million: B- (sf) Class Z1 (deferrable), $0.40 million: NR Class Z2 (deferrable), $0.40 million: NR Subordinated notes, $30.60 million: NR Ratings Withdrawn TCW CLO 2019-1 AMR Ltd./TCW CLO 2019-1 AMR LLC Class A 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) Class F (deferrable) to NR from B- (sf) NR--Not rated TIAA SEASONED 2007-C4: Fitch Affirms D Rating on 4 Tranches ----------------------------------------------------------- Fitch Ratings has upgraded two classes and affirmed four in TIAA Seasoned Commercial Mortgage Trust 2007-C4. Classes that previously incurred realized losses have been reinstated. DEBT RATING PRIOR ---- ------ ----- TIAA Seasoned Commercial Mortgage Trust 2007-C4 K 87246AAQ1 LT PIFsf Paid In Full Dsf L 87246AAR9 LT AAAsf Upgrade Dsf M 87246AAS7 LT Bsf Upgrade Dsf N 87246AAT5 LT Dsf Affirmed Dsf P 87246AAU2 LT Dsf Affirmed Dsf Q 87246AAV0 LT Dsf Affirmed Dsf S 87246AAW8 LT Dsf Affirmed Dsf KEY RATING DRIVERS Former REO Asset Resolved: Algonquin Commons is two, formerly cross-collateralized and cross-defaulted retail properties located in Algonquin, IL. Phase I is a 418,451-sf retail center; Phase II is a 146,339-sf retail center. The special servicer and former guarantor were involved in litigation that was resolved in the trust's favor; and the asset was sold in May 2021. Payment from the sale, as well as the settlement from the lawsuit, were applied to the trust in June and July 2021. These funds were used to paydown and reinstate classes; those that had previously incurred realized losses in 2019 and 2020 due to the master servicer recouping past advances on the former loan were also fully or partially reinstated. Class Balance Reinstatement: The upgrades are the result of classes L and M being fully reinstated as of the June and July 2021 distribution dates due to the receipt of funds from the former REO asset. Classes J and K were fully reinstated and paid in full, classes L was reinstated and partially paid down, class M was fully reinstated and class N was partially reinstated but remains at 'Dsf' due to realized losses previously incurred. Class L is now fully covered by the largest (74.5%) of the three remaining loans, Colony Place Shopping Center, which is fully defeased. Concentrated Pool: With three remaining loans, Fitch performed an analysis which assumed the defeased loan pays in full and reviewed the repayment likelihood of the two non-defeased loans. The largest of these (10.1%) has been on the master servicer's watchlist due to a decline in performance, high tenant rollover and lack of consistent financial reporting from the borrower. The collateral consists of a 100,662-sf portfolio consisting of two cross collateralized loans consisting of a retail center and a multi-tenant industrial/flex property located in Tampa, FL. The last reported combined occupancy is 76.7% as of July 2020. In addition, the retail property's single tenant, CVS, has a lease expiration Sept. 25, 2021. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Class L is rated 'AAA'; upgrades of class M is considered unlikely given the concentration and the largest non-defeased loan being a Fitch Loans of Concern. However; if occupancy at the properties improves and the CVS tenant renews, an upgrade is possible. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- A downgrade of class M is possible if the non-defeased loans default and losses are considered possible. 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. TICP CLO XII: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to TICP CLO XII Ltd./TICP CLO XII LLC's floating-rate notes. This is a refinancing of the 2018 transaction, which was not rated by S&P Global Ratings. 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 TICP CLO XII Management LLC. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned TICP CLO XII Ltd./TICP CLO XII LLC Class X, $3.30 million: AAA (sf) Class A-R, $248.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-R, $24.00 million (deferrable): A (sf) Class D-R, $24.00 million (deferrable): BBB- (sf) Class E-R, $13.40 million (deferrable): BB- (sf) Subordinated notes, $43.20 million: Not rated TRESTLES CLO IV: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Trestles CLO IV Ltd./Trestles CLO IV 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 ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Trestles CLO IV Ltd./Trestles CLO IV LLC Class A, $244.0 million: AAA (sf) Class B-1, $40.0 million: AA (sf) Class B-2, $20.0 million: AA (sf) Class C (deferrable), $22.0 million: A (sf) Class D (deferrable), $26.0 million: BBB- (sf) Class E (deferrable), $14.0 million: BB- (sf) Subordinated notes, $40.2 million: Not rated VENTURE XIII CLO: Moody's Hikes Rating on $39.5MM E-R Notes to Ba3 ------------------------------------------------------------------ Moody's Investors Service upgrades the ratings on the following notes issued by Venture XIII CLO, Limited: US$61,000,000 Class B-R Senior Secured Floating Rate Notes due 2029 (the "Class B-R Notes"), Upgraded to Aaa (sf); previously on September 12, 2017 Assigned Aa1 (sf) US$34,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Upgraded to Aa2 (sf); previously on September 12, 2017 Assigned A1 (sf) US$34,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Upgraded to A3 (sf); previously on October 2, 2020 Confirmed at Baa2 (sf) US$39,500,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Upgraded to Ba3 (sf); previously on October 2, 2020 Downgraded to B1 (sf) Venture XIII CLO, Limited, originally issued in March 2013 and partially refinanced in March 2020, 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 in September 2021. RATINGS RATIONALE These rating actions reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in September 2021. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to satisfy certain covenant requirements. Furthermore, the transaction's reported collateral quality and OC ratio(s) has improved since the last rating review in October 2020. In particular, Moody's assumed that the deal will benefit from lower WARF levels compared to the last rating review. Moody's modeled a WARF of 2631 compared to 3092 in the last rating review. The overcollateralization (OC) ratios of the rated notes have also improved since the last review . The OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 132.31%, 122.47%, 114.00% and 105.52% [1], respectively, in June 2021 versus September 2020 levels of 130.73%, 121.01%, 112.64% and 104.26% [2], 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, 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: $559,687,420 Defaulted par: $8,707,391 Diversity Score: 100 Weighted Average Rating Factor (WARF): 2631 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.64% Weighted Average Recovery Rate (WARR): 47.22% Weighted Average Life (WAL): 4.6 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios includes, among others, near term defaults by companies facing liquidity pressure, decrease in overall WAS, deteriorating credit quality of the portfolio, and lower recoveries on defaulted assets. Finally, Moody's notes that it also considered the information in the July 2021 trustee report[3] which became available immediately prior to the release of this announcement. 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. [*] S&P Lowers Ratings on 17 Classes from Seven U.S. CMBS Deals --------------------------------------------------------------- S&P Global Ratings lowered its ratings on 17 classes of commercial mortgage pass-through certificates from seven U.S. CMBS transactions. S&P said, "We lowered our ratings on 16 classes to 'D (sf)' due to accumulated interest shortfalls that we expect to remain outstanding for the foreseeable future. At the same time, we also lowered our rating on an interest-only (IO) class based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class." The recurring interest shortfalls for the certificates are primarily due to one or more of the following factors: -- Appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets; -- The lack of servicer advancing for loans or assets where the servicer has made nonrecoverable advance declarations; -- Interest rate modifications or deferrals, or both, related to corrected mortgage loans; -- The recovery of prior servicing advances; and -- Special servicing fees. S&P said, "Our analysis primarily considered the ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. We also considered servicer-nonrecoverable advance declarations and special servicing fees that are likely, in our view, to cause recurring interest shortfalls." The servicer implements ARAs and resulting ASER amounts according to each transaction's terms. Typically, these terms call for an ARA equal to 25% of the loan's stated principal balance to be implemented when it is 60 days past due and an appraisal or other valuation is not available within a specified time frame. S&P primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals. Servicer-nonrecoverable advance declarations can prompt shortfalls due to a lack of debt-service advancing, the recovery of previously made advances after an asset was deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 S&P said, "We lowered our rating to 'D (sf)' on the class B commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that we expect to be outstanding for the foreseeable future. The class B certificates currently have accumulated interest shortfalls outstanding for two consecutive months. We believe that the interest shortfalls will continue and accumulated interest shortfalls will remain outstanding until the resolution of the sole specially serviced asset, The Marriott Houston Westchase." According to the July 2021 trustee remittance report, the current monthly interest shortfalls from the collateral totaled $379,173 and resulted from interest not advanced due to nonrecoverable determination on the specially serviced asset. The current reported interest shortfalls have affected all classes subordinate to and including class B. Credit Suisse First Boston Mortgage Securities Corp. Series 2005-C5 S&P said, "We lowered our rating to 'D (sf)' on the class G commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that we expect to be outstanding for the foreseeable future. The class G certificates currently have accumulated interest shortfalls outstanding for three consecutive months. We believe that the interest shortfalls will continue and accumulated interest shortfalls will remain outstanding until the resolution of the sole real estate owned asset, Gallery at South Dekalb." According to the July 2021 trustee remittance report, the current monthly interest shortfalls from the collateral totaled $176,511 and resulted from interest not advanced due to nonrecoverable determination on the specially serviced asset. The current reported interest shortfalls have affected all classes subordinate to and including class G. Morgan Stanley Capital I Trust 2011-C1 S&P said, "We lowered our rating to 'D (sf)' on the class G, H, J, K, and L certificates to reflect accumulated interest shortfalls that we expect to be outstanding for the foreseeable future and the potential for the classes to experience principal loss upon the ultimate resolution of the sole real estate owned asset in the trust, Hilton Times Square." The class G certificates currently have accumulated interest shortfalls outstanding for five consecutive months, while the class H, J, K, and L certificates currently have accumulated interest shortfalls outstanding for six consecutive months. According to the July 2021 trustee remittance report, the current monthly interest shortfalls from the collateral totaled $313,214 and resulted from interest not advanced due to nonrecoverable determination on the specially serviced asset. COMM 2012-CCRE4 Mortgage Trust S&P lowered its rating to 'D (sf)' on the class D certificates to reflect accumulated interest shortfalls that it expects to be outstanding for the foreseeable future and the potential for the class to experience principal loss upon the ultimate resolution of the specially serviced asset in the trust, Emerald Square Mall ($33.5 million, 4.3% of the trust balance). The class D certificates currently has accumulated interest shortfalls outstanding for five consecutive months. According to the July 2021 trustee remittance report, the current monthly interest shortfalls totaled $54,257 and resulted from an ASER amount of $49,586 and special servicing fees totaling $4,671. The current reported interest shortfalls have affected all classes subordinate to and including class D. COMM 2013-LC13 Mortgage Trust S&P lowered its rating to 'D (sf)' on the class F certificates to reflect accumulated interest shortfalls that it expects to be outstanding for the foreseeable future and the potential for the class to experience principal loss upon the ultimate resolution of the four specially serviced assets in the trust: Countrywood Crossing($27.7 million, 5.0%), Doubletree Midland ($18.4 million, 3.4%), Hampton Inn & Suites--Little Rock ($12.9 million, 2.3%), and Fairfield Inn & Suits Beachwood ($8.6 million, 1.6%). The class D certificates currently has accumulated interest shortfalls outstanding for six consecutive months. According to the July 2021 trustee remittance report, the current monthly interest shortfalls totaled $20,079 and resulted from an ASER amount of $6,492, special servicing fees totaling $14,161, and recovery of interest on advance of $574. The current reported interest shortfalls have affected all classes subordinate to and including class F. UBS Commercial Mortgage Trust 2017-C4 S&P said, "We lowered our rating to 'D (sf)' on the class G commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that we expect to be outstanding for the foreseeable future. We also lowered our rating to 'D (sf)' on the class X-G certificate as per our IO criteria. Class X-G's notional balance references the class G certificates. The class G certificates currently have accumulated interest shortfalls outstanding for 11 consecutive months. We believe that the interest shortfalls will continue and accumulated interest shortfalls will remain outstanding until the resolution of the nine specially serviced assets in the trust ($159.2 million, 20.2%)." According to the July 2021 trustee remittance report, the current monthly interest shortfalls from the collateral totaled $39,828 and resulted from special servicing fees totaling $39,403 and workout fee of $424. The current reported interest shortfalls have affected all classes subordinate to and including class G. Starwood Retail Property Trust 2014-STAR S&P said, "We lowered our rating to 'D (sf)' on the classes A, B, C, D, E, and F certificates to reflect accumulated interest shortfalls that we expect to be outstanding for the foreseeable future and the classes to potentially experience principal loss upon the ultimate resolution of the sole specially serviced asset in the trust, Starwood Mall Portfolio. The class A and B certificates currently have accumulated interest shortfalls outstanding for one month, while the class C, D, E, and F certificates currently have accumulated interest shortfalls outstanding for 13 consecutive months. The interest shortfalls increased recently and started impacting class A and B certificates as a result the servicer increasing the ARA due to updated appraisal values on the properties." According to the July 2021 trustee remittance report, the current monthly interest shortfalls totaled $966,339, which resulted from ASERs. Ratings Lowered Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 Commercial mortgage pass-through certificates series 2007-PWR18 Class B to 'D (sf)' from 'B (sf)' Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C5 Class G to 'D (sf)' from 'CCC (sf)' Morgan Stanley Capital I Trust 2011-C1 Commercial mortgage pass-through certificates series 2011-C1 Class G to 'D (sf)' from 'CCC (sf)' Class H to 'D (sf)' from 'CCC- (sf)' Class J to 'D (sf)' from 'CCC- (sf)' Class K to 'D (sf)' from 'CCC- (sf)' Class L to 'D (sf)' from 'CCC- (sf)' COMM 2012-CCRE4 Mortgage Trust Commercial mortgage pass-through certificates series 2012-CCRE4 Class D to 'D (sf)' from 'CCC- (sf)' COMM 2013-LC13 Mortgage Trust Commercial mortgage pass-through certificates series 2013-L13 Class F to 'D (sf)' from 'CCC- (sf)' UBS Commercial Mortgage Trust 2017-C4 Commercial mortgage pass-through certificates series 2017 C4 Class G to 'D (sf)' from 'CCC- (sf)' Class X-G to 'D (sf)' from 'CCC- (sf)' Starwood Retail Property Trust 2014-STAR Commercial mortgage pass-through certificates series 2014-STAR Class A to 'D (sf)' from 'B (sf)' Class B to 'D (sf)' from 'CCC- (sf)' Class C to 'D (sf)' from 'CCC- (sf)' Class D to 'D (sf)' from 'CCC- (sf)' Class E to 'D (sf)' from 'CCC- (sf)' Class F to 'D (sf)' from 'CCC- (sf)' [*] S&P Takes Various Actions on 24 Classes from Six US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings withdrew its ratings on five classes from two U.S. RMBS transactions and discontinued its ratings on 19 classes from four U.S. RMBS transactions issued between 1997 and 2019. S&P said, "We withdrew our 'D (sf)' ratings on five classes from FirstPlus Home Loan Owner Trust 1997-2 and FirstPlus Home Loan Owner Trust 1998-4 as each of these transactions have a small number of loans remaining. In addition, due to pending litigations affecting the trusts, distributions to bondholders have been suspended since October 2009. We are withdrawing the ratings because we believe once a pool has declined to a de minimis amount there is a high degree of credit instability that is incompatible with any rating level. "We discontinued our 'AA (sf)' rating on class VFN from Home Equity Loan Trust 2006-HSA3 due to its zero balance. This class, which is a variable funding note, started with a zero principal balance that could have increased during a defined revolving period. However, the revolving period ended and class VFN never accrued a principal balance. "We also discontinued 18 ratings from Arroyo Mortgage Trust 2018-1, Deephaven Residential Mortgage Trust 2019-3, and Starwood Mortgage Residential Trust 2019-1, which were all terminated in the July 2021 distribution period." RATINGS WITHDRAWN OR DISCONTINUED Arroyo Mortgage Trust 2018-1 Series 2018-1 Rating Class CUSIP To From A-1 042856AA2 NR AAA A-2 042856AB0 NR AA A-3 042856AC8 NR A M-1 042856AD6 NR BBB B-1 042856AE4 NR BB B-2 042856AG9 NR B Deephaven Residential Mortgage Trust 2019-3 Series 2019-3 Rating Class CUSIP To From A-1 24381NAA6 NR AAA A-2 24381NAB4 NR AA A-3 24381NAC2 NR A M-1 24381NAD0 NR BBB B-1 24381NAE8 NR BB B-2 24381NAF5 NR CCC Starwood Mortgage Residential Trust 2019-1 Series 2019-1 Rating Class CUSIP To From A-1 85571KAA3 NR AAA A-2 85571KAB1 NR AA A-3 85571KAC9 NR A M-1 85571KAD7 NR BBB B-1 85571KAE5 NR BB B-2 85571KAF2 NR B- FirstPlus Home Loan Owner Trust 1997-2 Series 1997-2 Rating Class CUSIP To From B-1 337925BQ3 NR D FirstPlus Home Loan Owner Trust 1998-4 Series 1998-4 Rating Class CUSIP To From A-8 337925EE7 NR D M-1 337925EF4 NR D M-2 337925EG2 NR D B-1 337925EH0 NR D Home Equity Loan Trust 2006-HSA3 Series 2006-HSA3 Rating Class To From VFN NR AA [*] S&P Takes Various Actions on 38 Classes from 16 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 38 ratings from 16 U.S. RMBS transactions issued between 2002 and 2007. The review yielded 10 upgrades, one downgrade, 17 affirmations, and 10 withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3xNGKtu 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, -- Reductions in asset yield due to loan rate modifications, -- Available subordination and/or overcollateralization, and -- Increases in credit support. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, their structural characteristics, and/or the application of specific criteria applicable to these classes. "We raised rating on Citigroup Mortgage Loan Trust Inc.'s class A certificates series 2007-SHL1 five notches to 'BB (sf)' from 'CCC (sf)' due to the class' increased credit support, which rose to 47.98% in June 2021 from 35.98% in May 2018. "We withdrew our ratings on classes M-1 and M-2 from Equity One Mortgage Pass-Through Trust 2002-4 at the issuer's request. "We withdrew our ratings on four classes from Irwin Home Equity Loan Trust 2004-1 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 also withdrew our ratings on CWABS Inc.'s class A-3, M-1, M-2, and M-3 certificates series 2004-S1 due to the lack of sufficient information to maintain our rating. The original expected maturities for the remaining loans in the transaction have expired. However, the loans remain outstanding, likely through modification, and their updated terms are unknown to us. "The affirmations reflect our view that our projected credit support and collateral performance on these classes have remained relatively consistent with our prior projections." [*] S&P Takes Various Actions on 82 Classes from 24 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 82 ratings from 24 U.S. RMBS transactions issued between 2003 and 2007. The review yielded 56 upgrades, one downgrade, and 25 affirmations. A list of Affected Ratings can be viewed at: https://bit.ly/3iSeMZr 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 the COVID-19 pandemic; -- Collateral performance or delinquency trends; -- The erosion of or increases in credit support; -- Historical missed interest payments; and -- Expected duration. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. "The ratings affirmations reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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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 ***