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

              Sunday, October 17, 2021, Vol. 25, No. 289

                            Headlines

ABPCI DIRECT IV: S&P Assigns Prelim BB- Rating on Class E-R Notes
AGL CLO 13: S&P Assigns BB- (sf) Rating on $24MM Class E Notes
AMERICAN CREDIT 2021-4: S&P Assigns Prelim BB- (sf) Rating F Notes
ATLAS SENIOR XVII: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
BAIN CAPITAL 2019-2: S&P Assigns BB- (sf) Rating on Class E-R Notes

CANYON CLO 2020-2: S&P Assigns Prelim BB- (sf) Rating E-R Notes
CIM TRUST 2021-R6: Fitch Assigns B Rating on Class B2 Debt
CITIGROUP MORTGAGE 2021-INV3: Moody's Gives B2 Rating to B-5 Certs
DBUBS 2011-LC1: Moody's Cuts Rating on Class X-B Debt to Caa2
DBUBS 2011-LC2: Moody's Lowers Rating on Cl. X-B Certs to Caa2

DRYDEN 85: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
ELARA HGV 2021-A: Fitch Gives 'BB(EXP)' Rating to Class D Notes
ELARA HGV 2021-A: S&P Assigns Prelim BB (sf) Rating on Cl. D Notes
FORTRESS CREDIT IX: S&P Assigns BB- (sf) Rating on E-R Notes
LENDMARK 2021-2: S&P Assigns Prelim BB- (sf) Rating on D Notes

MIDOCEAN CREDIT X: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
MORGAN STANLEY 2013-C12: Fitch Affirms CCC Rating on 2 Tranches
MP CLO VII: Fitch Raises Class F-RR Notes to 'B-'
NATIONAL COLLEGIATE 2003-1: S&P Raises A-7 Notes Rating to BB (sf)
NATIXIS COMMERCIAL 2021-APPL: Moody's Assigns B3 Rating to F Certs

OBX TRUST 2021-J3: Moody's Assigns B2 Rating to Cl. B-5 Certs
OCEANVIEW MORTGAGE 2021-5: Moody's Gives (P)B3 Rating to B-5 Certs
PROVIDENT FUNDING 2021-J1: Moody's Assigns B2 Rating to B-5 Certs
RATE MORTGAGE 2021-J3: Moody's Assigns B2 Rating to Cl. B-5 Certs
REGATTA XXI: Moody's Assigns (P)Ba3 Rating to $17.6MM Cl. E Notes

SCULPTOR CLO XXIX: Moody's Assigns Ba3 Rating to $16MM Cl. E Notes
SILVERMORE CLO: Moody's Lowers Rating on $5MM Class E Notes to C
SLM STUDENT 2008-3: S&P Cuts Class A-3 Notes Rating to 'CC (sf)'
STACR REMIC 2020-HQA5: Moody's Upgrades 3 Tranches to Ba1
STRATA CLO II: S&P Assigns BB- (sf) Rating on Class E Notes

VOYA CLO 2020-3: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
WELLS FARGO 2021-INV1: S&P Assigns Prelim 'B' Rating on B-5 Certs
ZAIS CLO 17: Moody's Assigns Ba3 Rating to $18MM Class E Notes
[*] Moody's Hikes 11 Bonds From 2 RMBS Deals Issued in 2004
[*] Moody's Hikes Ratings on $125MM of RMBS Deals Issued 2005-2007

[*] S&P Lowers Ratings on 25 Classes from Seven U.S. CMBS Deal
[*] S&P Raises Ratings on 31 Classes from 22 US Cash Flow CLO Notes
[*] S&P Takes Various Actions on 58 Classes from 20 US RMBS Deals

                            *********

ABPCI DIRECT IV: S&P Assigns Prelim BB- Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the proposed
class A-1-R, A-1L-R, A-2-R, B-R, C-R, D-R, and E-R notes notes from
ABPCI Direct Lending Fund CLO IV Ltd./ABPCI Direct Lending Fund CLO
IV LLC, a CLO originally issued in January 2018 managed by AB
Private Credit Investors LLC.

The preliminary ratings are based on information as of Oct. 13,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Oct. 20, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes 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."

Based on provisions in the transaction documents and portfolio
characteristics:

-- The replacement class B-R notes are expected to be issued at a
lower spread than the original notes.

-- The replacement class C-R and D-R notes are expected to be
issued at a higher spread than the original notes.

-- The replacement class A-1-R notes are expected to be issued
entirely at a floating spread, replacing the existing fixed-rate
notes.

-- New class D-R and E-R notes are expected to be issued.

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

-- The non-call period will be extended by two years.

-- The first and second static dates will be extended by
approximately three years.

-- Of the identified underlying collateral obligations, 96.36%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 4.27% have
recovery ratings assigned by S&P Global Ratings.

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

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

  Preliminary Ratings Assigned

  ABPCI Direct Lending Fund CLO IV Ltd./
  ABPCI Direct Lending Fund CLO IV LLC

  Class A-1-R, $171.20 mil.: AAA (sf)

  Class A-1L-R, $30.00 mil.: AAA (sf)

  Class A-2-R, $17.70 mil.: AAA (sf)

  Class B-R, $21.20 mil.: AA (sf)

  Class C-R (deferrable), $28.30 mil.: A (sf)

  Class D-R (deferrable), $23.00 mil.: BBB- (sf)

  Class E-R (deferrable), $7.00 mil.: BB-

  Sub notes, $56.80 mil.: Not rated



AGL CLO 13: S&P Assigns BB- (sf) Rating on $24MM Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to AGL CLO 13 Ltd./AGL CLO
13 LLC's fixed- and 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 AGL CLO Credit 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

  AGL CLO 13 Ltd./AGL CLO 13 LLC

  Class A-1, $362.00 million: AAA (sf)
  Class A-2, $10.00 million: AAA (sf)
  Class B, $84.00 million: AA (sf)
  Class C (deferrable), $36.00 million: A (sf)
  Class D (deferrable), $36.00 million: BBB- (sf)
  Class E (deferrable), $24.00 million: BB- (sf)
  Subordinated notes, $49.68 million: Not rated



AMERICAN CREDIT 2021-4: S&P Assigns Prelim BB- (sf) Rating F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to American
Credit Acceptance Receivables Trust 2021-4's asset-backed notes.

The note issuance is an ABS securitization backed by subprime auto
loan receivables.

The preliminary ratings are based on information as of Oct. 13,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The availability of approximately 62.11%, 57.39%, 48.13%,
41.49%, 36.18%, and 33.79% credit support, including excess spread,
for the class A, B, C, D, E, and F notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
more than 2.35x, 2.10x, 1.70x, 1.48x, 1.29x, and 1.20x coverage of
our expected net loss range of 25.50%-26.50% for the class A, B, C,
D, E, and F notes, 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
(1.37x S&P's expected loss level), all else being equal, its
preliminary ratings on the class A, B, C, D, E, and F notes, will
be within the credit stability limits specified by section A.4 of
the Appendix of "S&P Global Ratings Definitions," published Jan. 5,
2021.

-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios that we believe are appropriate for the assigned
preliminary ratings.

-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.

-- The backup servicing arrangement with Wells Fargo Bank N.A.
(Wells Fargo).

-- The transaction's payment and legal structure.

  Preliminary Ratings Assigned

  American Credit Acceptance Receivables Trust 2021-4(i)

  Class A, $205.00 million: AAA (sf)
  Class B, $34.31 million: AA (sf)
  Class C, $81.82 million: A (sf)
  Class D, $50.00 million: BBB+ (sf)
  Class E, $42.50 million: BB+ (sf)
  Class F, $15.91 million: BB- (sf)

(i)The actual size of these tranches will be determined on the
pricing date.



ATLAS SENIOR XVII: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Atlas Senior
Loan Fund XVII Ltd./Atlas Senior Loan Fund XVII LLC's fixed- and
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 Crescent Capital Group L.P.

The preliminary ratings are based on information as of Oct. 11,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Preliminary Ratings Assigned

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

  Class A, $252.00 million: AAA (sf)
  Class B-1, $26.38 million: AA (sf)
  Class B-2, $25.63 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D (deferrable), $24.00 million: BBB- (sf)
  Class E (deferrable), $16.00 million: BB- (sf)
  Subordinated notes, $36.90 million: Not rated



BAIN CAPITAL 2019-2: S&P Assigns BB- (sf) Rating on Class E-R Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes from Bain Capital Credit CLO 2019-2
Ltd./Bain Capital Credit CLO 2019-2 LLC, a CLO originally issued in
2019 that is managed by Bain Capital Credit U.S. CLO Manager LLC.
At the same time, S&P withdrew its ratings on the original class A,
B, C, D, and E notes following payment in full on the Oct. 7, 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 non-call period will be extended to Sept. 10, 2022.

-- The transaction is adding the ability to purchase bonds.

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

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $320.0 million: Three-month LIBOR + 1.10%
  Class B-R, $60.0 million: Three-month LIBOR + 1.60%
  Class C-R, $30.0 million: Three-month LIBOR + 2.10%
  Class D-R, $27.5 million: Three-month LIBOR + 3.15%
  Class E-R, $22.5 million: Three-month LIBOR + 6.32%

  Original notes

  Class A, $320.0 million: Three-month LIBOR + 1.31%
  Class B, $60.0 million: Three-month LIBOR + 1.93%
  Class C, $30.0 million: Three-month LIBOR + 2.75%
  Class D, $27.5 million: Three-month LIBOR + 3.90%
  Class E, $22.5 million: Three-month LIBOR + 6.75%

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.

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

  Ratings Assigned

  Bain Capital Credit CLO 2019-2 Ltd./
  Bain Capital Credit CLO 2019-2 LLC

  ClassA-R, $320.0 million: AAA (sf)
  Class B-R, $60.0 million: AA (sf)
  Class C-R (deferrable), $30.0 million: A (sf)
  Class D-R (deferrable), $27.5 million: BBB- (sf)
  Class E-R (deferrable), $22.5 million: BB- (sf)
  
  Ratings Withdrawn

  Bain Capital Credit CLO 2019-2 Ltd./
  Bain Capital Credit CLO 2019-2 LLC

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

  Other Outstanding Ratings

  Bain Capital Credit CLO 2019-2 Ltd./
  Bain Capital Credit CLO 2019-, LLC

  Subordinated notes: Not rated



CANYON CLO 2020-2: S&P Assigns Prelim BB- (sf) Rating E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from Canyon CLO
2020-2 Ltd./Canyon CLO 2020-2 LLC, a CLO originally issued in
October 2020 that is managed by Canyon CLO Advisors LLC.

The preliminary ratings are based on information as of Oct. 7,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

S&P said, "On the Oct. 15, 2021, refinancing date, the proceeds
from the replacement notes will be used to redeem the original
notes. At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

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

-- The current floating spread class B-1 notes and the fixed
coupon class B-2 notes are expected to be replaced by the floating
spread new class B-R notes.

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

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

-- The weighted average life test date will be extended to 10
years from the refinance date.

-- A concentration limitation was added to allow the purchase of
up to a 5% limit for permitted non-loan assets (i.e., bonds).

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

-- Of the identified underlying collateral obligations, 95.12%
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

  Canyon CLO 2020-2 Ltd./Canyon CLO 2020-2 LLC

  Class A-R, $283.50 million: AAA (sf)
  Class B-R, $58.50 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), $18.00 million: BB- (sf)
  Subordinated notes, $44.50 million: Not rated



CIM TRUST 2021-R6: Fitch Assigns B Rating on Class B2 Debt
----------------------------------------------------------
Fitch Ratings has assigned ratings to CIM Trust 2021-R6 (CIM
2021-R6).

DEBT           RATING               PRIOR
----           ------               -----
CIM 2021-R6

A1        LT AAAsf  New Rating    AAA(EXP)sf
A1-A      LT AAAsf  New Rating    AAA(EXP)sf
A1-B      LT AAAsf  New Rating    AAA(EXP)sf
M1        LT AAsf   New Rating    AA(EXP)sf
M2        LT Asf    New Rating    A(EXP)sf
M3        LT BBBsf  New Rating    BBB(EXP)sf
B1        LT BBsf   New Rating    BB(EXP)sf
B2        LT Bsf    New Rating    B(EXP)sf
B3        LT NRsf   New Rating    NR(EXP)sf
A-IO-S    LT NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch has rated the residential mortgage-backed notes to be issued
by CIM Trust 2021-R6 (CIM 2021-R6) as indicated above. The
transaction closed on Oct. 8, 2021. The notes are supported by one
collateral group that consists of 1,226 seasoned performing loans
(SPLs) and re-performing loans (RPLs) with a total balance of
approximately $353.8 million, which includes $2.84 million, or
0.8%, of the aggregate pool balance in non-interest-bearing
deferred principal amounts, as of the cut-off date.

Distributions of principal and interest (P&I) and loss allocations
are based on a traditional senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicers will not be advancing delinquent monthly
payments of P&I.

KEY RATING DRIVERS

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage, seasoned performing and RPLs.
Of the pool, 1.8% was 30 days delinquent as of the cut-off date and
26.6% of loans are current but have had recent delinquencies or
incomplete pay strings. Approximately 72% of the loans have been
paying on time for at least the most recent 24 months. Roughly 29%
have been modified.

Low Leverage (Positive): The pool consists of loans with a weighted
average (WA) original combined loan to value (CLTV) of 72.9%. All
loans received an updated BPO valuation, which translate to a WA
sustainable LTV (sLTV) of 55.3% at the base case. This is
representative of low leverage borrowers, and is stronger than
recently rated RPL transactions.

No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduce
liquidity to the trust. P&I advances made on behalf of loans that
become delinquent and eventually liquidate reduce liquidation
proceeds to the trust. Due to the lack of P&I advancing, the
loan-level loss severity (LS) is less for this transaction than for
those where the servicer is obligated to advance P&I. Structural
provisions and cash flow priorities, together with increased
subordination, provide for timely payments of interest to the
'AAAsf' and 'AAsf' rated classes.

Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
that class in the absence of servicer advancing.

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

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

RATING SENSITIVITIES

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

-- The defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model projected 42.6% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence review was
completed on 100% of the loans in this transaction. The scope of
the due diligence review was consistent with Fitch criteria for RPL
collateral, and also included a property valuation review in
addition to the regulatory compliance and pay history review. All
loans also received an updated tax and title search and review of
servicing comments.

Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustments to its analysis: increased the
loss severity due to HUD-1 issues, increased liquidation timelines
for loans missing modification agreements, and increased the loss
severity due to outstanding delinquent property taxes or liens.
These adjustments resulted in an increase in the 'AAAsf' expected
loss of approximately 0.24%.

ESG CONSIDERATIONS

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


CITIGROUP MORTGAGE 2021-INV3: Moody's Gives B2 Rating to B-5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 96
classes of residential mortgage-backed securities (RMBS) issued by
Citigroup Mortgage Loan Trust (CMLTI) 2021-INV3. The ratings range
from Aaa (sf) to B2 (sf).

CMLTI 2021-INV3 securitization is backed by a pool of prime
conforming, investment property mortgage loans acquired by
Citigroup Global Markets Realty Corp. (CGMRC), the sponsor of this
transaction. CGMRC acquired the loans in the pool from one seller.
100.0% of the mortgage loans (by UPB) were acquired by the mortgage
loan seller from PennyMac Corp. (PennyMac). This deal represents
the sixth CMLTI securitization of prime jumbo or conforming
residential mortgage loans in 2021 and the ninth rated issue from
the shelf since its inception in 2019. All the loans are
underwritten in accordance with Freddie Mac or Fannie Mae
guidelines, which take into consideration, among other factors, the
income, assets, employment and credit score of the borrower as well
as loan-to-value (LTV). These loans were run through one of the
government sponsored enterprises' (GSE) automated underwriting
systems (AUS) and received an "Approve" or "Accept" recommendation.
Each mortgage loan is either 1) an extension of credit primarily
for a business purpose and is not a "covered transaction" as
defined in Section 1026.43(b)(1) of Regulation Z, or 2) for
purposes of the ATR Rules, relies on the exception for eligible
loan contained in 12 C.F.R. 1026.43(e)(4) (ie, the "QM patch"). As
of the closing date, the sponsor or a majority- owned affiliate of
the sponsor will retain at least 5% of the initial certificate
principal balance or notional amount of each class of certificates
issued by the trust to satisfy U.S. risk retention rules.

PennyMac Corp. (PennyMac) will be primary servicer on the deal,
servicing 100% of the loans. There is no master servicer in this
transaction. PennyMac is the servicer and will be responsible for
making P&I advances. U.S. Bank National Association (U.S. Bank,
long term senior unsecured 'A1') will be the trust administrator
and U.S. Bank Trust National Association will be the trustee, and
will act as the backup advancing party.

One third-party review (TPR) firm verified the accuracy of the loan
level information that Moody's received from the sponsor. The firm
conducted detailed credit, property valuation, data accuracy and
compliance reviews on 100% of the mortgage loans in the collateral
pool. The TPR results indicate that there are no material
compliance, credit, or data issues and no appraisal defects.
Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model.

In this transaction, the Class A-11 coupons are indexed to SOFR.
However, based on the transaction's structure, the particular
choice of benchmark has no credit impact. First, interest payments
to the notes, including the floating rate notes, are subject to the
net WAC cap, which prevents the floating rate notes from incurring
interest shortfalls as a result of increases in the benchmark index
above the fixed rates at which the assets bear interest. Second,
the shifting-interest structure pays all interest generated on the
assets to the bonds and does not provide for any excess spread.

The complete rating action are as follows.

Issuer: Citigroup Mortgage Loan Trust 2021-INV3

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

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

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

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

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

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

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

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

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

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

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

Cl. A-2B, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

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

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

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

Cl. A-3B, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

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

Cl. A-4, Definitive Rating Assigned Aa1 (sf)

Cl. A-4A, Definitive Rating Assigned Aa1 (sf)

Cl. A-4B, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IO1*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IO1W*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IO2*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IO2W*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IO3*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4-IOX*, Definitive Rating Assigned Aa1 (sf)

Cl. A-4W, Definitive Rating Assigned Aa1 (sf)

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

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

Cl. A-5-IO1*, Definitive Rating Assigned Aa1 (sf)

Cl. A-5-IO1W*, Definitive Rating Assigned Aa1 (sf)

Cl. A-5-IO2*, Definitive Rating Assigned Aa1 (sf)

Cl. A-5-IO2W*, Definitive Rating Assigned Aa1 (sf)

Cl. A-5-IO3*, Definitive Rating Assigned Aa1 (sf)

Cl. A-5-IOX*, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-7B, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-11, Definitive Rating Assigned Aaa (sf)

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

Cl. A-12, Definitive Rating Assigned Aaa (sf)

Cl. B-1, Definitive Rating Assigned Aa3 (sf)

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

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

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

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

Cl. B-2, Definitive Rating Assigned A2 (sf)

Cl. B-2-IO*, Definitive Rating Assigned A2 (sf)

Cl. B-2-IOW*, Definitive Rating Assigned A2 (sf)

Cl. B-2-IOX*, Definitive Rating Assigned A2 (sf)

Cl. B-2W, Definitive Rating Assigned A2 (sf)

Cl. B-3, Definitive Rating Assigned Baa2 (sf)

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

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

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

Cl. B-3W, 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-mean is
1.14%, in a baseline scenario-median is 0.85%, and reaches 7.00% at
a stress level consistent with Moody's Aaa ratings.

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

Moody's increased its model-derived median expected losses by
10.00% (7.8% for the mean) and Moody's Aaa loss by 2.50% to reflect
the likely performance deterioration resulting from the slowdown in
US economic activity due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated mortgage loans, post-COVID
underwriting takes into account the impact of the pandemic on a
borrower's ability to repay the mortgage. For seasoned mortgage
loans, as time passes, the likelihood that borrowers who have
continued to make payments throughout the pandemic will now become
non-cash flowing due to COVID-19 continues to decline.

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

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

Collateral Description

As of the cut-off date, the mortgage loans will consist of 764
conforming mortgage loans with an aggregate stated principal
balance of approximately $236,660,840. The mortgage loans will
consist of conventional, fixed-rate, fully amortizing mortgage
loans, which will have original terms to maturity of up to 30
years. All of the mortgage loans will be secured by first liens on
single-or two-to-four family residential properties, planned unit
developments, Multi-Family, condominiums, or townhouse. All loans
are current as of the cut-off date. Overall, the credit quality of
the mortgage loans backing this transaction is in-line with
recently issued prime jumbo transactions Moody's have rated, with
average length of employment of 8.6 years, average monthly primary
and all borrower wage income of $9,575 and $12,285, respectively.
Furthermore, the average liquid/cash reserves is $218,191 with
approximately 24 months of liquid/cash reserves. The average
monthly residual income is approximately $11,677.

pool has clean pay history and weighted average (WA) seasoning of
approximately 6 months. No borrower under any mortgage loan is
currently in an active COVID-19 related forbearance plan with the
servicer. All mortgage loans are current as of the cut-off date.
The weighted average (WA) FICO for the aggregate pool is 770 with a
WA original LTV of 66.0% and WA original CLTV of 66.0%.

Approximately 16.1% of the mortgage loans by count are "Appraisal
Waiver" (AW) loans, whereby the sponsor obtained an AW for each
such mortgage loan from Fannie Mae or Freddie Mac through their
respective programs. In each case, neither Fannie Mae nor Freddie
Mac required an appraisal of the related mortgaged property as a
condition of approving the related mortgage loan for purchase by
Fannie Mae or Freddie Mac, as applicable.

Aggregation and Origination Quality

Citigroup Global Markets Realty Corp. (CGMRC) aggregated 100% of
the pool. Based on the available information related to CGMRC's
valuation and risk management practices, the 100% TPR, and the
transparent R&W framework in this transaction, Moody's did not make
any adjustments to Moody's losses based on Moody's review of
CGMRC's aggregation quality.

PennyMac Financial Services Inc. (PennyMac) originated 100% of the
pool. Moody's consider PennyMac to have an adequate origination
quality of conforming mortgages. As a result, Moody's did not make
any adjustments to Moody's base case and Aaa stress loss
assumptions based on Moody's review of PennyMac's loan performance
and origination practices.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool as
adequate, and as a result Moody's did not make any adjustments to
Moody's base case and Aaa stress loss assumptions. Moody's did not
apply any adjustment to Moody's expected losses for the lack of
master servicer due to the following: (i) PennyMac was established
in 2008 and is an experienced servicer of residential mortgage
loans.

PennyMac is an approved servicer for both Fannie Mae and Freddie
Mac; (ii) PennyMac had no instances of non-compliance for its 2020
Regulation AB or Uniformed Single Audit Program (USAP) independent
servicer reviews; (iii) Although not directly related to this
transaction, there is still third party oversight of PennyMac from
the GSEs, the CFPB, the accounting firms and state regulators; (iv)
The complexity of the loan product is relatively low, reducing the
complexity of servicing and reporting; and (v) U.S. Bank, as the
trust administrator, will not only be responsible for aggregating
the reports from the servicers and reporting to investors, but also
for acting as the backup advancing party, and appointing a
replacement servicer at the direction of the controlling holder.

Third-Party Review

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

Representations & Warranties

An effective R&W framework protects a transaction against the risk
of loss from fraudulent or defective loans. Moody's assessed CMLTI
2021-INV3's R&W framework for this transaction as adequate,
consistent with that of other private label transactions for which
the breach review process is thorough, transparent and objective,
and the costs and manner of review are clearly outlined at
issuance.

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

Transaction Structure

CMLTI 2021-INV3 has one pool with a shifting interest structure
that benefits from a subordination floor. Funds collected,
including principal, are first used to make interest payments and
then principal payments to the senior bonds, and then interest and
principal payments to each subordinate bond. As in all transactions
with shifting interest structures, the senior bonds benefit from a
cash flow waterfall that allocates all prepayments to the senior
bond for a specified period of time, and increasing amounts of
prepayments to the subordinate bonds thereafter, but only if loan
performance satisfies delinquency and loss tests.

Tail Risk & Subordination Floor

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

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.


DBUBS 2011-LC1: Moody's Cuts Rating on Class X-B Debt to Caa2
-------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class,
affirmed the rating on one class, and downgraded the rating on one
class in DBUBS 2011-LC1 Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2011-LC1 as follows:

Cl. F, Affirmed Ba1 (sf); previously on Jul 29, 2020 Affirmed Ba1
(sf)

Cl. G, Upgraded to B1 (sf); previously on Jul 29, 2020 Affirmed B2
(sf)

Cl. X-B*, Downgraded to Caa2 (sf); previously on Jul 29, 2020
Affirmed Ba3 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

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

The rating on one P&I class was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 81% since Moody's last
review.

The rating on the IO Class (Class X-B) was downgraded due to a
decline in the credit quality of its referenced classes due
primarily to paydowns of higher rated classes. The IO Class
references all P&I classes including Class H, which is not rated by
Moody's.

Moody's rating action reflects a base expected loss of 17.6% of the
current pooled balance, compared to 3.3% at Moody's last review.
Moody's base expected loss plus realized losses is now 0.9% of the
original pooled balance, the same as at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in September
2020.

DEAL PERFORMANCE

As of the September 13, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $115 million
from $2.18 billion at securitization. The certificates are
collateralized by two mortgage loans ranging in size from 31% to
69% of the pool.

One loan, constituting 31% of the pool, is currently in special
servicing. The specially serviced loan is the Westgate I Corporate
Center Loan ($36.1 million -- 31.5% of the pool), which is secured
by a 230,518 square foot (SF) office building located in Basking
Ridge, New Jersey. The property is currently vacant after former
tenant Everest Reinsurance vacated upon lease expiration in
December 2020. The borrower has agreed to a receivership order and
the servicer has engaged counsel and filed for foreclosure on May
5, 2021.

The largest loan is the Marriott Crystal Gateway Loan ($78.6
million -- 68.5% of the pool), which is secured by a 697-room, full
service hotel located in the Crystal City area of Arlington County,
Virginia. Hotel amenities include 11 meeting rooms containing
approximately 33,355 SF, indoor/outdoor heated pools, fitness
center, business center, and concierge lounge. The loan transferred
to special servicing in June 2020 due to payment default as a
result of the coronavirus outbreak and returned from special
servicing as a corrected loan effective March 2021. The loan was
modified effective November 2020 with a maturity date extension
through November 2021 as well as $9 million of principal paydown.
Moody's LTV and stressed DSCR are 96% and 1.24X, respectively,
compared to 110% and 1.08X at the last review.


DBUBS 2011-LC2: Moody's Lowers Rating on Cl. X-B Certs to Caa2
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
and downgraded the rating on one class in DBUBS 2011-LC2 Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2011-LC2:

Cl. F, Affirmed Caa1 (sf); previously on Jul 14, 2020 Downgraded to
Caa1 (sf)

Cl. FX*, Affirmed Caa1 (sf); previously on Jul 14, 2020 Downgraded
to Caa1 (sf)

Cl. X-B*, Downgraded to Caa2 (sf); previously on Jul 14, 2020
Downgraded to B2 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

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

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

The rating on the IO class X-B was downgraded due to a decline in
the credit quality of its referenced classes resulting from
principal paydowns of higher quality reference classes. The IO
Class references all P&I classes including Class G, which is not
rated by Moody's.

Moody's rating action reflects a base expected loss of 24.2% of the
current pooled balance, compared to 3.5% at Moody's last review.
Moody's base expected loss plus realized losses is now 1.1% of the
original pooled balance, compared to 2.3% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in September
2020.

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced to the most junior class(es) and the
recovery as a pay down of principal to the most senior class(es).

DEAL PERFORMANCE

As of the September 13, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $65 million
from $2.14 billion at securitization. The certificates are
collateralized by three mortgage loans ranging in size from 20% to
52% of the pool.

The largest specially serviced loan is the Magnolia Hotel Houston
Loan ($33.6 million -- 51.6% of the pool), which is secured by a
full service hotel located in downtown Houston, Texas. The borrower
had requested relief in June 2020 as a result of the disruptions in
relation to the coronavirus pandemic. The loan transferred to
special servicing in July 2020 due to imminent monetary default.
The special servicer and the borrower have completed negotiations
regarding a possible modification and extension of the loan term.
The most recent appraisal in September 2020 was $46.6 million, down
from $63.7 million at securitization.

The second largest specially serviced loan is The Tower Loan ($18.8
million -- 28.8% of the pool), which is secured by a 181,285 square
foot (SF) mixed-use retail and office condominium in downtown Fort
Worth, Texas. The largest office tenant (formerly 38% of the NRA)
vacated in January 2021. The loan transferred to special servicing
in June 2021. The lender has approved a lease with Dollar General.
The loan is paid through September 6, 2021.

The third largest specially serviced loan is the Louisiana Tower
Loan ($12.8 million -- 19.6% of the pool), which is secured by a
343,356 SF office building located in downtown Shreveport,
Louisiana. Occupancy has declined to 68% as of June 2021 from 72%
in December 2017, 79% in December 2016, and 92% at securitization.
The loan transferred to special servicing in January 2021 due to
imminent monetary default related to the loan maturity in May 2021.
The most recent appraisal is $10.7 million as of March 2021
compared to $26 million at securitization.


DRYDEN 85: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from Dryden 85 CLO
Ltd./Dryden 85 CLO LLC, a CLO that is managed by PGIM Inc. This is
a proposed refinancing of its October 2020 transaction.

The preliminary ratings are based on information as of Oct. 12,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Oct. 15, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

-- The replacement class A-R, B-R, C-R, D-R, and E-R notes are
expected to be issued at lower spreads over three-month LIBOR than
the original notes, reducing the transaction's overall cost of
funding.

-- The replacement class A-R notes are expected to be issued at a
floating spread, replacing the current floating-rate class A-1
notes and fixed-rate class A-2 notes.

-- The reinvestment period will be extended by three years, the
non-call period by two years, and the weighted average life test
date by two-and-a-half years.

-- The stated maturity for the secured notes will extended by
three years to October 2035. The stated maturity for the
subordinated notes will be extended to October 2049.

-- The class E principal coverage test and the interest diversion
test will be amended.

-- The target initial par amount will be upsized by 12.50% and
additional assets will be purchased after the Oct. 15, 2021,
refinancing date, using the additional par amount available after
payment of the refinanced notes. No additional effective date and
ramp-up period will be established, while the first payment date
following the refinancing will be Jan. 15, 2022.

-- Certain provisions for workout-related assets will be amended.

-- Additional subordinated notes will be issued on the refinancing
date, increasing their par amount to $36.0 million from $34.4
million.

-- Of the identified underlying collateral obligations, 99.70%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 93.59%
have recovery ratings assigned by S&P Global Ratings.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $288 million: Three-month LIBOR + 1.15%
  Class B-R, $54 million: Three-month LIBOR + 1.60%
  Class C-R (deferrable), $27 million: Three-month LIBOR + 2.05%
  Class D-R (deferrable), $27 million: Three-month LIBOR + 3.20%
  Class E-R (deferrable), $18 million: Three-month LIBOR + 6.50%
  Subordinated notes, $36 million: Not applicable

  Notes to be redeemed on the refinancing date

  Class A-1, $181 million: Three-month LIBOR + 1.35%
  Class A-2, $75 million: 1.63%
  Class B, $48.00 million: Three-month LIBOR + 1.80%
  Class C (deferrable), $24 million: Three-month LIBOR + 2.50%
  Class D (deferrable), $24 million: Three-month LIBOR + 3.90%
  Class E (deferrable), $12 million: Three-month LIBOR + 7.75%

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.

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

  Preliminary Ratings Assigned

  Dryden 85 CLO Ltd./Dryden 85 CLO LLC

  Class A-R, $288 million: AAA (sf)
  Class B-R, $54 million: AA (sf)
  Class C-R (deferrable), $27 million: A (sf)
  Class D-R (deferrable), $27 million: BBB- (sf)
  Class E-R (deferrable), $18 million: BB- (sf)
  Subordinated notes, $36 million: Not rated



ELARA HGV 2021-A: Fitch Gives 'BB(EXP)' Rating to Class D Notes
----------------------------------------------------------------
Fitch Ratings expects to assign ratings and Outlooks to Elara HGV
Timeshare Issuer 2021-A LLC (2021-A) notes.

DEBT                 RATING
----                 ------
Elara HGV Timeshare Issuer, 2021-A LLC

Class A    LT AAA(EXP)sf  Expected Rating
Class B    LT A(EXP)sf    Expected Rating
Class C    LT BBB(EXP)sf  Expected Rating
Class D    LT BB(EXP)sf   Expected Rating

KEY RATING DRIVERS

Borrower Risk - Marginally Stronger Collateral: The 2021-A pool has
a weighted average (WA) Fair Isaac Corp. (FICO) score of 741, which
is consistent with 2019-A, as well as the 2014-A and 2016-A
transactions. The WA seasoning is 21 months, up notably from 13
months in 2019-A. Overall, Fitch considers the pool's credit
quality stable. Furthermore, the concentration of large original
balance (greater than $100,000) loans increased to 11.8% from 6.7%
in 2019-A. However, the share of upgrade loans increased to 68.0%
from 58.0% in 2019-A.

Forward-Looking Approach on CGD Proxy — Weakening Performance:
Despite the stable collateral pool, the outstanding ABS
transactions and more recent vintages on the Elara managed
portfolio have experienced higher defaults. Given these factors,
Fitch's initial base case cumulative gross default (CGD) proxy for
2021-A is 17.5%, up from 14.4% for the prior transaction.

Coronavirus Stress Easing: Fitch has made assumptions about the
spread of coronavirus and the economic impact of the related
containment measures. While the pandemic is ongoing, the
introduction of vaccines and increased travel have led to an easing
of expected negative impacts of the pandemic on the timeshare
sector. The CGD proxy accounts for this, as Fitch's initial base
case CGD proxy was derived using weaker performing 2016-2019
vintages.

Single Timeshare Site: The loans are associated with a single
resort, Elara, in Las Vegas. However, these owners have the same
usage and exchange rights as other HRC timeshare owners and become
club members within HRC's system. As such, the risk associated with
a single-site property is mitigated.

Structural Analysis - Higher CE: Initial hard credit enhancement
(CE) is expected to be 52.40%, 26.80%, 12.90% and 3.80% for class
A, B, C and D notes, respectively. CE is higher for class A through
C notes, from 37.40%, 17.00% and 4.50%, respectively. Soft CE is
also provided by excess spread and is expected to be 10.18% per
annum. Available CE is sufficient to support stressed multiples of
3.50x, 2.50x, 1.75x and 1.25x at 'AAAsf', 'Asf', 'BBBsf' and 'BBsf'
for class A, B C and D notes, respectively.

Originator Seller/Servicer - Quality of Origination/Servicing: LV
Tower and HRC have demonstrated sufficient abilities as an
originator and servicer of timeshare loans, respectively. This is
evidenced by the historical delinquency and loss performance of
HRC's managed portfolio and previous transactions.

RATING SENSITIVITIES

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

-- Unanticipated increases in the frequency of defaults could
    produce CGD levels higher than the base case and would likely
    result in declines of CE and remaining default coverage levels
    available to the notes. Additionally, unanticipated increases
    in prepayment activity could also result in a decline in
    coverage. Decreased default coverage may make certain note
    ratings susceptible to potential negative rating actions,
    depending on the extent of the decline in coverage.

-- Hence, Fitch conducts sensitivity analyses by stressing both a
    transaction's initial base case CGD and prepayment assumptions
    and examining the rating implications on all classes of issued
    notes. The CGD sensitivity stresses the CGD proxy to the level
    necessary to reduce each rating by one full category, to non
    investment grade (BBsf) and to 'CCCsf' based on the break-even
    loss coverage provided by the CE structure. The prepayment
    sensitivity includes 1.5x and 2.0x increases to the prepayment
    assumptions, representing moderate and severe stresses,
    respectively. These analyses are intended to provide an
    indication of the rating sensitivity of notes to unexpected
    deterioration of a trust's performance.

-- The greatest risk of defaults to a timeshare ABS transaction
    is early in the transaction's life, before it has benefited
    from delevering. Therefore, Fitch has stressed each class of
    notes prior to any amortization to its first dollar of default
    to examine the structure's ability to withstand the
    aforementioned stressed default scenarios.

-- Fitch utilizes the break-even loss coverage to solve for the
    CGD level required to reduce each rating by one full category,
    to non-investment grade ('BBsf') and to 'CCCsf'. The implied
    CGD proxy necessary to reduce the ratings as stated above will
    vary by class based on the break-even loss coverage provided
    by the CE structure.

-- Under this analysis, all assumptions from the analysis are
    unchanged, with total loss coverage available to the class A
    notes at 61.04%. Therefore, as shown in the table below, the
    implied CGD proxy would have to increase to 20.35% for the
    class A notes to be downgraded one rating category or 3.0x
    multiple (61.04%/20.35% = 3.0x). Applying the same approach
    but increasing defaults to levels commensurate with rating
    downgrades to 'BBsf' and 'CCCsf' suggests defaults would have
    to increase to 48.83% and 101.73% for rating multiples to
    decline to 1.5x and 0.60x, respectively.

-- During the prepayment sensitivity analysis, Fitch examines the
    magnitude of the multiple compression under prepayment
    scenarios higher than the base assumption while holding
    constant all other modeling assumptions. This analysis yields
    loss coverage levels and multiples under the base, 1.5x and
    2.0x prepayment scenarios.

Rating Sensitivity for Class A Notes

Under the 1.5x prepayment stress, multiple compression for class A
notes is relatively minimal, as the multiple declines to 3.22x.
Such a decline in coverage would likely result in a two notch
downgrade. The 2.0x prepayment stress has a greater impact, as the
multiple drops to 2.99x. Such a decline in coverage would likely
result in class A notes being considered for a potential downgrade
to the 'A-sf' rating category.

Rating Sensitivity for Class B Notes

Under the 1.5x prepayment stress, multiple compression for class B
notes is relatively minimal, as the multiple declines to 2.22x.
Such a decline in coverage would likely result in a one notch
downgrade. The 2.0x prepayment stress has a greater impact, as the
multiple drops to 1.99x. Such a decline in coverage would likely
result in class B notes being considered for a potential downgrade
to the 'BBBsf' rating category.

Rating Sensitivity for Class C Notes

Under the 1.5x prepayment stress, multiple compression for class C
notes is relatively minimal, as the multiple declines to 1.66x.
Such a decline in coverage would result in a one notch downgrade.
The 2.0x prepayment stress has a greater impact, as the multiple
drops to 1.44x. Such a decline in coverage would likely result in
class C notes being considered for a potential downgrade to
'BB+sf'.

Rating Sensitivity for Class D Notes

Under the 1.5x prepayment stress, multiple compression for class D
notes is relatively minimal, as the multiple declines to 1.28x.
Such a decline in coverage would likely not result in a downgrade.
The 2.0x prepayment stress has a greater impact, as the multiple
drops to 1.08x. Such a decline in coverage would likely result in
class D notes being considered for a potential downgrade to the
'Bsf' rating category.

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 the projected proxy, the expected ratings would be
    maintained for the class A note at a stronger rating multiple.
    For the class B, C and D notes, the multiples would increase
    resulting in potential upgrade of one rating category, two
    notches and one rating category, respectively.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and recomputation of
certain characteristics with respect to 100 sample loans. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.

ESG CONSIDERATIONS

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


ELARA HGV 2021-A: S&P Assigns Prelim BB (sf) Rating on Cl. D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Elara HGV
Timeshare Issuer 2021-A LLC's vacation timeshare loan-backed
notes.

The note issuance is an asset-backed securities (ABS) transaction
backed by vacation ownership interval (timeshare) loans.

S&P said, "To reflect the uncertain and weakened U.S. economic and
sector outlook, early in 2020 we increased our base-case default
assumption by 1.25x to stress defaults from 'B' to 'BB' rating
scenarios.

"The preliminary ratings reflect our opinion of the transaction's
credit enhancement available in the form of overcollateralization,
the subordination for the class A, B, C, and D notes, the reserve
account, and available excess spread, among other factors."

The preliminary ratings are based on information as of Oct. 8,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

Although the travel sector has started showing signs of recovery,
and while travel habits may eventually return to pre-pandemic
levels, it will not happen with the same speed with which the
industry shut down in March 2020. A modest recovery is likely to
commence in the second half of 2021, and a full recovery may
stretch until 2023. U.S. lodging is one of the hardest-hit sectors
with unprecedented declines in revenue due to the containment
measures to slow the spread of COVID-19. Within lodging, S&P
believes the performance of timeshare loan securitizations will
likely deteriorate due to travel restraints (including the
government-mandated closure of resorts), the projected increase in
unemployment, the resulting increase in bankruptcy filings, and the
potential shift in consumer behavior, including payment priority on
various loan obligations. This has put an enormous strain on global
economic activity, which S&P Global Ratings expects will continue
as long as there are bans and restrictions on travel.

  Ratings Assigned

  Elara HGV Timeshare Issuer 2021-A LLC

  Class A, $90.191 million: AAA (sf)
  Class B, $47.507 million: A (sf)
  Class C, $25.795 million: BBB (sf)
  Class D, $16.887 million: BB (sf)



FORTRESS CREDIT IX: S&P Assigns BB- (sf) Rating on E-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1RR, A-1LR, A-1TR, A-1FR, B-R, C-R, D-R, and E-R replacement
notes and proposed new class A-2TR notes from Fortress Credit
Opportunities IX CLO Ltd./Fortress Credit Opportunities IX CLO LLC,
a CLO that is managed by FCOD CLO Management LLC. This is a
proposed second refinancing of its November 2017 transaction.

The preliminary ratings are based on information as of Oct. 11,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Oct. 12, 2021, second refinancing date, the proceeds from
the replacement notes will be used to redeem the original notes. At
that time, S&P expects to assign ratings to the replacement notes.
However, if the refinancing doesn't occur, S&P may withdraw its
preliminary ratings on the replacement notes.

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

-- The replacement class A-1RR note is a variable-funding note
(VFN) that can be drawn on to fund revolver or delayed draw loans
and to purchase new loans during the reinvestment period. The class
A-1RR note is initially held by Versailles Assets LLC, which is
obligated to fund the VFN. If the rating on the class A-1RR
noteholder falls below 'A-1 (sf)', it must fully fund its
obligation in a separate trust account held for the CLO's benefit.
S&P modeled the revolver as fully funded since this is the most
conservative assumption.

-- There is no limit on 'CCC' rated assets, but a haircut is taken
in the overcollateralization test if they exceed 30% of the pool.
The structure passed S&P's cash flow analysis, assuming a
sensitivity of 92.5% exposure to 'CCC' rated assets.

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

-- The replacement class A-1FR notes are expected to be issued at
a fixed coupon, replacing the current floating-rate class A-1F-R2
notes and fixed-rate class A-1F-R2 notes.

-- New class A-2TR notes are expected to be issued at a floating
spread and subordinate in payment priority to the replacement class
A-1RR, A-1LR, A-1TR, and A-1FR notes but senior in priority to the
replacement class B-R, C-R, D-R, and E-R notes.

-- The target initial par amount will be upsized by 18.07% and
additional assets will be purchased after the Oct. 12, 2021, second
refinancing date, using the additional par amount available after
payment of the refinanced notes. An additional effective date and
ramp-up period will be established, and the first payment date
following the refinancing will be April 15, 2022.

-- The stated maturity and reinvestment period will each be
extended by approximately four years, and the non-call period will
be extended to October 2023.

-- Of the identified underlying collateral obligations, 97.13%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 31.14%
have recovery ratings assigned by S&P Global Ratings.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1RR, $160.00 million: Commercial paper rate (capped at
three-month LIBOR + 0.25%) + 1.55%

  Class A-1LR, $75.00 million: Three-month LIBOR + 1.55%

  Class A-1TR, $488.80 million: Three-month LIBOR + 1.55%

  Class A-1FR, $75.00 million: 2.49%

  Class A-2TR, $116.70 million: Three-month LIBOR + 1.80%

  Class B-R, $173.20 million: Three-month LIBOR + 1.95%

  Class C-R (deferrable), $169.70 million: Three-month LIBOR +
2.80%

  Class D-R (deferrable), $122.00 million: Three-month LIBOR +
3.95%

  Class E-R (deferrable), $35.10 million: Three-month LIBOR +
8.06%

  Subordinated notes, $350.00 million: Not applicable

  Notes to be redeemed on the second refinancing date

  Class A-1R, $137.50 million: Commercial paper rate (capped at
three-month LIBOR + 0.25%) + 1.55%
  Class A-1L, $30.00 million: Three-month LIBOR + 1.55%
  Class A-1T, $451.90 million: Three-month LIBOR + 1.55%
  Class A-1F-R1, $11.00 million: Three-month LIBOR + 2.35%
  Class A-1F-R2, $89.00 million: 2.53%
  Class B, $198.50 million: Three-month LIBOR + 1.95%
  Class C (deferrable), $145.40 million: Three-month LIBOR + 2.65%
  Class D (deferrable), $104.60 million: Three-month LIBOR + 3.75%
  Class E (deferrable), $30.10 million: Three-month LIBOR + 7.25%

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

  Fortress Credit Opportunities IX CLO Ltd./
  Fortress Credit Opportunities IX CLO LLC

  Class A-1RR, $160.00 million: AAA (sf)
  Class A-1LR, $75.00 million: AAA (sf)
  Class A-1TR, $488.80 million: AAA (sf)
  Class A-1FR, $75.00 million: AAA (sf)
  Class A-2TR, $116.70 million: AAA (sf)
  Class B-R, $173.20 million: AA (sf)
  Class C-R (deferrable), $169.70 million: A- (sf)
  Class D-R (deferrable), $122.00 million: BBB- (sf)
  Class E-R (deferrable), $35.10 million: BB- (sf)
  Subordinated notes, $350.00 million: Not rated



LENDMARK 2021-2: S&P Assigns Prelim BB- (sf) Rating on D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Lendmark
Funding Trust 2021-2's personal consumer loan-backed notes.

The note issuance is an ABS transaction backed by personal consumer
loan receivables.

The preliminary ratings are based on information as of Oct. 12,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The availability of approximately 56.0%, 49.0%, 42.8%, and
34.5% credit support to the class A, B, C, and D notes,
respectively, in the form of subordination, overcollateralization,
a reserve account, and excess spread. These credit support levels
are sufficient to withstand stresses commensurate with the notes'
preliminary ratings, based on S&P's stressed cash flow scenarios.

-- Lendmark Financial Services LLC's tightened underwriting and
enhanced servicing procedures for its portfolio in response to the
COVID-19 pandemic. Lendmark selectively eliminated loans to
lower-credit-grade new borrowers, and reduced advances to existing
lower-credit-grade existing borrowers. Since the third quarter of
2020, Lendmark has gradually been relaxing these policies.

-- The implementation of payment deferral options to borrowers
negatively affected by the COVID-19 pandemic. While deferment
levels rose through March and peaked in April 2020, they have since
decreased to historic trend levels.

-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, the assigned preliminary ratings
will be within the limits specified in the credit stability section
of "S&P Global Ratings Definitions," published Jan. 5, 2021.

-- The timely interest and full principal payments expected to be
made under stressed cash flow modeling scenarios appropriate to the
assigned preliminary ratings.

-- The characteristics of the pool being securitized and the
receivables expected to be purchased during the revolving period.

-- The operational risks associated with Lendmark's decentralized
business model. Lendmark has the capacity to shift branch employees
to other branches as needed, and the company's technology
infrastructure allows employees at any location to service loans
across the entire branch network.

-- The transaction's payment and legal structures.

  Preliminary Ratings Assigned

  Lendmark Funding Trust 2021-2(i)

  Class A, $283.16 million: AA (sf)
  Class B, $38.32 million: A- (sf)
  Class C, $32.00 million: BBB- (sf)
  Class D, $46.52 million: BB- (sf)

(i)The actual size of these tranches will be determined on the
pricing date.



MIDOCEAN CREDIT X: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement notes
from MidOcean Credit CLO X/MidOcean Credit CLO X LLC, a CLO
originally issued in November 2019 that is managed by MidOcean
Credit Fund Management L.P.

The preliminary ratings are based on information as of Oct. 13,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Oct. 25, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

-- The replacement notes are expected to be issued at a lower
weighted average cost of debt than the original notes.

-- The class D notes are being split into two sequential classes,
class D-1-R and D-2-R notes.

-- The stated maturity, reinvestment period and non-call period
will be extended two years.

-- There will be no additional collateral purchased in connection
with this refinancing. The target initial par amount is remaining
at $400.00 million. The first payment date following the first
refinancing date is expected to be Jan. 23, 2022.

-- There will be no additional subordinated notes issued in
connection with this refinancing. However, the stated maturity date
will be amended to match that of the replacement notes.

-- The transaction is amending its ability to purchase
workout-related assets and is also conforming to updated rating
agency methodology. In addition, the transaction is amending the
required minimums on the overcollateralization tests.

-- The transaction is amending its ability to purchase bonds up
with a cap of 5% of the collateral principal amount.

-- Of the identified underlying collateral obligations, 99.56%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 92.82%
have recovery ratings assigned by S&P Global Ratings.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1-R, $240.00 million: Three-month LIBOR + 1.23%
  Class A-2-R, $15.00 million: Three-month LIBOR + 1.60%
  Class B-R, $49.00 million: Three-month LIBOR + 1.90%
  Class C-R (deferrable), $24.00 million: Three-month LIBOR +
2.60%
  Class D-1-R (deferrable), $16.00 million: Three-month LIBOR +
3.40%
  Class D-2-R (deferrable), $8.00 million: Three-month LIBOR +
4.87%
  Class E-R (deferrable), $15.20 million: Three-month LIBOR +
7.16%

  Original notes

  Class A-1, $246.00 million: Three-month LIBOR + 1.39%
  Class A-2-1, $4.00 million: Three-month LIBOR + 1.75%
  Class A-2-2, $10.00 million: 3.33%
  Class B, $44.00 million: Three-month LIBOR + 2.40%
  Class C (deferrable), $24.00 million: Three-month LIBOR + 3.00%
  Class D (deferrable), $18.00 million: Three-month LIBOR + 4.50%
  Class E (deferrable), $20.80 million: Three-month LIBOR + 7.44%

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

  MidOcean Credit CLO X/MidOcean Credit CLO X LLC

  Class A-1-R, $240.00 million: AAA (sf)
  Class A-2-R, $15.00 million: AAA (sf)
  Class B-R, $49.00 million: AA (sf)
  Class C-R (deferrable), $24.00 million: A (sf)
  Class D-1-R (deferrable), $16.00 million: BBB+ (sf)
  Class D-2-R (deferrable), $8.00 million: BBB- (sf)
  Class E-R (deferrable), $15.20 million: BB- (sf)
  Subordinated notes, $35.85 million: Not rated



MORGAN STANLEY 2013-C12: Fitch Affirms CCC Rating on 2 Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of Morgan Stanley Bank of
America Merrill Lynch Trust, Commercial Mortgage Pass-Through
Certificates, series 2013-C12 (MSBAM 2013-C12). Fitch has revised
the Rating Outlooks on three classes to Stable from Negative. The
Outlooks on two classes remain Negative.

    DEBT              RATING            PRIOR
    ----              ------            -----
MSBAM 2013-C12

A-3 61762XAT4     LT AAAsf  Affirmed    AAAsf
A-4 61762XAU1     LT AAAsf  Affirmed    AAAsf
A-S 61762XAW7     LT AAAsf  Affirmed    AAAsf
A-SB 61762XAS6    LT AAAsf  Affirmed    AAAsf
B 61762XAX5       LT AA-sf  Affirmed    AA-sf
C 61762XAZ0       LT A-sf   Affirmed    A-sf
D 61762XAC1       LT BBsf   Affirmed    BBsf
E 61762XAE7       LT Bsf    Affirmed    Bsf
F 61762XAG2       LT CCCsf  Affirmed    CCCsf
G 61762XAJ6       LT CCCsf  Affirmed    CCCsf
PST 61762XAY3     LT A-sf   Affirmed    A-sf
X-A 61762XAV9     LT AAAsf  Affirmed    AAAsf

KEY RATING DRIVERS

Improved Loss Expectations: Fitch's base case expected loss has
declined since the prior rating action due to better than expected
performance of the collateral through 2020. Fitch has identified
nine loans (30.0%) as Fitch Loans of Concern (FLOCs), including
five (25.5%) among the top 15 loans and four (16.0%) in special
servicing.

Fitch's ratings reflect a base case loss of 8.60%. The Negative
Outlooks reflect a sensitivity scenario where losses could reach
10.3%. The sensitivity applied higher losses on the mall and retail
properties in special servicing to reflect the potential for
prolonged challenges to resolution.

Largest Drivers to Loss: The largest contributor to loss is the
specially serviced Westfield Countryside (6%), which is secured by
a 464,836-sf collateral portion of a 1.26 million sf regional mall
located in Clearwater, FL. The special servicer is pursuing
foreclosure as the sponsor (a joint venture between Westfield and
O'Connor Capital Partners) will no longer support the asset. A
receiver was installed in January 2021. As of the June 2021 rent
roll, collateral occupancy increased to 90% from 88% at YE 2020.

The mall is anchored by Macy's, Dillard's, and JC Penney. Sears, a
non-collateral anchor, closed in July 2018 after downsizing its
space to accommodate a 37,000-sf Whole Foods, leaving a significant
portion of the remaining Sears space as vacant. Fitch modeled a 52%
loss in its base case which implies a 14% cap rate to YE 2020 NOI.
Due to potential further volatility, an additional sensitivity was
performed, which assumed a potential outsized loss of 70% on the
loan's current balance. This additional sensitivity implies a 20%
cap rate off the YE 2020 NOI.

Deer Springs Town Center (3.0%), which is secured by a 184,403-sf
anchored retail center located in North Las Vegas, NV transferred
to special servicing in October 2018 following the bankruptcy and
closure of Toys "R" Us (35.6% of NRA) and has been delinquent since
June 2019. Per the servicer, several retailers have expressed
interest in leasing portions of the vacant Toys "R" Us space, but
nothing has been finalized to date. Occupancy was 64% as of the
June 2021 rent roll. Fitch's loss estimate of 56% reflects
recoveries of $80 psf. An additional sensitivity was performed,
which assumed a potential outsized loss of 70% on the loan's
current balance to reflect longer-term concerns related to
performance and stabilization.

The Marriott Chicago River North Hotel (7.9%) is a 523-key extended
stay property consisting of two hotels (Springhill Suites and
Residence Inn). The loan transferred to special servicing in July
2020 for payment default. The special servicer is in discussion
with the borrower in bringing the loan current. As of the August
2021 STR reports, the Residence Inn reported running three-month
RevPAR of $111 and RevPAR penetration of 118.2%, and the Fairfield
Inn reported RevPAR of $107 and RevPAR penetration of 109.3%,
indicating strong competitive set outperformance. Fitch's analysis
is based on a stress to the updated appraisal valuation and equates
to a per room value of $188,900.

Change in Credit Enhancement: As of the September 2021 distribution
date, the pool's aggregate principal balance has been paid down by
30.1% to $891.6 million from $1.276 billion at issuance. Fourteen
loans (13.8% of current pool) are fully defeased. Seventeen loans
(19.1% of original pool balance) have paid off since issuance.
There have been no realized losses since issuance. Loan maturities
are concentrated in 2023 when 99.6% of the pool matures.

Alternative Loss Considerations: Fitch performed an additional
sensitivity scenario that assumed potential outsized losses on the
current balances of the Westfield Countryside, Deer Springs Town
Center and Winter Haven Citi Centre Loans. Each of these retail
assets have the potential for sustained underperformance
contributing to prolonged timeframes until resolution and higher
losses.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool level losses
    from underperforming or specially serviced loans. Downgrades
    of the 'AA-sf' and 'AAAsf' categories are not likely due to
    the position in the capital structure and the relatively
    stable performance of the pool, but may occur should interest
    shortfalls affect these classes.

-- Downgrades of the 'A-sf' and 'BBsf' categories could occur if
    expected losses increase significantly or the performance of
    the FLOCs continue to decline further and/or fail to
    stabilize. Downgrades to the 'CCCsf' and 'Bsf' categories
    would occur should loss expectations increase due to
    performance declines or as losses are realized.

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

-- Upgrades would occur with stable to improved asset performance
    coupled with paydown and/or defeasance. Upgrades of the 'Asf'
    and 'AAsf' categories would likely occur with significant
    improvement in credit enhancement (CE) and/or defeasance;
    however, adverse selection, increased concentrations and
    further underperformance of the FLOCs and/or loans considered
    to be negatively impacted by the coronavirus pandemic could
    cause this trend to reverse.

-- An upgrade to the 'BBsf' category is 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 there is
    sufficient CE to the classes.

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

MSBAM 2013-C12 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to a mall that is underperforming as a result of
changing consumer preferences to shopping, which has a negative
impact on the credit profile, and is relevant to the ratings in
conjunction with other factors.

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


MP CLO VII: Fitch Raises Class F-RR Notes to 'B-'
-------------------------------------------------
Fitch Ratings has upgraded the class F-RR notes in MP CLO VII, Ltd.
(MP VII) and removed the tranche from Under Criteria Observation.
The Rating Outlook remains Stable.

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

F-RR 55320TAD5    LT Bsf  Upgrade    B-sf

TRANSACTION SUMMARY

MP VII is a broadly syndicated collateralized loan obligation (CLO)
that is managed by MP CLO Management LLC. The transaction
originally closed in May 2015 and was reset in Sep 2018. The
transaction exited its reinvestment period in October 2020 and also
refinanced its senior-most tranche in June 2021. The notes are
secured primarily by first-lien, senior secured leveraged loans.

KEY RATING DRIVERS

CLO Criteria Update and Portfolio Management

The analysis was based on the current portfolio and evaluated the
impact of the recently updated Fitch CLOs and Corporate CDOs Rating
Criteria (including, among others, a change in the underlying
default assumptions). The assigned rating is in line with the
model-implied rating (MIR) produced in a scenario that assumes a
one-notch downgrade on the Fitch Issuer Default Rating Equivalency
Rating for assets with a Negative Outlook on the driving rating of
the obligor.

Approximately 3% of the senior tranche has amortized since the end
of the reinvestment period. The CLO continues to make some limited
purchases and sales, as well as execute maturity amendments.
Reinvestments are subject to certain investment criteria after the
end of the reinvestment period, which include, among others,
satisfying all collateral quality tests (CQTs) except the Diversity
Test, or if failing, maintaining or improving them. Maturity
amendments also require the satisfaction of the weighted average
life (WAL) test, or if failing, maintaining or improving. As of the
latest available trustee report, the CLO continues to satisfy all
CQTs except for the Diversity Test. However, Fitch expects
reinvestment activity and maturity extensions to decrease in the
future as the maximum WAL test continues to decline.

The Stable Outlook reflects Fitch's expectation that the class has
sufficient levels of credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with the class' rating.

Asset Credit Quality, Asset Security, and Portfolio Composition

The Fitch calculated weighted average rating factor of the
portfolio is 26.3, equivalent to the 'B'/'B-' category, after
applying the recently updated CLOs and Corporate CDOs Rating
Criteria. The portfolio consists of 97.6% first lien senior secured
loans, and weighted average recovery rate of the portfolio is 75%.
The portfolio is composed of 184 obligors and the top 10 obligors
comprise 11.6% of the portfolio. There are no defaults in the
portfolio and exposure to assets considered 'CCC' or lower by Fitch
(excluding non-rated assets) has decreased to 7.4% from 8.5% at the
last review. In addition, issuers with a Fitch-derived rating with
a Negative Outlook decreased to 17% from 23% since last review.

All overcollateralization and interest coverage tests are passing.
The CLO has no excess 'CCC' or discount obligation haircuts applied
in the most recent trustee report available.

RATING SENSITIVITIES

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

-- A 25% increase of the mean default rate across all ratings,
    along with a 25% decrease of the recovery rate at all rating
    levels, would lead to a downgrade (based on the MIR) of at
    least one rating category for the class F-RR notes;

-- Downgrades may occur if realized and projected losses of the
    portfolio are higher than what was assumed at closing and the
    notes' credit enhancement (CE) do not compensate for the
    higher loss expectation than initially anticipated.

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

-- A 25% reduction of the mean default rate across all ratings,
    along with a 25% increase of the recovery rate at all rating
    levels, would lead to an upgrade (based on the MIR) of four
    notches for the class F-RR notes;

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.


NATIONAL COLLEGIATE 2003-1: S&P Raises A-7 Notes Rating to BB (sf)
------------------------------------------------------------------
S&P Global Ratings raised its ratings on eight classes from seven
National Collegiate Student Loan Trusts (six discrete trusts and
one grantor trust), all collateralized by private student loans
issued between 2003 and 2007.

S&P said, "At the same time, we removed the ratings from
CreditWatch, where they were placed with positive implications on
July 12, 2021. The rating actions reflect our views regarding
collateral performance and credit enhancement levels. The rating
actions also reflect the results of cash flow analyses and each
trust's relevant structural features--in particular, cost of funds,
capital structure, payment waterfalls, available credit
enhancement, and operational risk provisions.

"We have received notices that litigation between the transaction
parties is still ongoing. In our view, the servicer and special
servicer for these transactions are key transaction parties
performing roles that affect the collateral's performance. At this
time, there is uncertainty as to how the resolution of the
litigation will affect the transactions and the roles of their
related servicers. In applying our operational risk criteria
framework, this uncertainty had an impact on our assessment of the
maximum potential rating. We have assessed the maximum rating on
the notes to be limited to the 'BB' category (which includes the
'BB+' rating level)."

Trust Performance

The historical impact of poor collateral performance, as measured
by high levels of realized cumulative net losses (CNLs), has led to
significant under-collateralization for all of the trusts. Based on
the information in the latest servicer report, total parity for all
trusts is in the range of 49%-80%. However, the classes in this
review have experienced increases in hard credit enhancement due to
their senior position in the capital structure.

Since S&P's last review, the pace of increase in cumulative
defaults for all seven trusts has continued to slow. Additionally,
the percentage of loans in repayment that are currently making
payments have increased. The performance, in terms of the pace of
defaults and the percentage of loans in repayment, indicates that
the trusts are likely past their peak default periods.

Structural Features

The reserve accounts for each of the trusts are currently at their
respective floors or are amortizing toward their floors. The
reserve accounts are available to pay note interest (except for the
interest on subordinate classes that have been reprioritized) and
fees, as well as principal at final maturity.

In addition to subordination of the lower classes of notes in each
trust, all of the trusts, except series 2003-1, are supported by
interest reprioritization triggers. The triggers are generally
based on a cumulative default threshold or parity levels. When a
class' interest reprioritization trigger is breached, the interest
payment to that class becomes subordinate to principal payments of
the most senior classes until targeted parity levels are reached.

Break-Even Cash Flow Modeling Assumptions

S&P ran break-even cash flow scenarios that maximized CNLs under
various interest rate assumptions. The following are some of the
major assumptions we modeled:

-- A three- to five-year flat default curve depending on the
remaining life of the collateral;

-- Recovery rates ranging from 15%-20%, taken evenly over 10
years;

-- Constant prepayment speeds for the deal's life at 9%;

-- Deferment and forbearance as a percentage of the loan pool of
1% each (2% total in nonpaying status) for five years;

-- Two interest rate scenarios for the stress levels commensurate
to the ratings of the liabilities created by a credit rating model
based on the Cox-Ingersoll-Ross framework (the CIR model): (1)
rising then falling interest rates (up/down curve) and (2) falling
then rising interest rates (down/up curve);

-- For series 2003-1, auction-rate coupons based on maximum rate
definitions in the indentures and the current ratings assigned to
the notes.

Rationale

The grantor trusts are pass-through structures, and the ratings on
the certificates issued out of the related grantor trusts are
linked to the credit quality of the underlying notes repackaged
from the discrete trust.

S&P said, "Our rating actions reflect our review of the remaining
available credit enhancement, the expected trend in hard credit
enhancement based on recent performance, and the results of our
cash flow analysis, which compares break-even CNLs to our expected
remaining net loss estimates. The ratings are also constrained to
the 'BB' category due to our assessment of operational risk
discussed earlier. The rating action on class B from series 2004-2
reflects its comparatively weaker credit position to the class A
notes given the transaction's sequential payment priority. The
rating action on class A-7 from series 2003-1 reflects the
transaction's sensitivity to an increase in interest rates, as this
transaction does not reprioritize interest to the class B notes.

"We will continue to monitor the ongoing performance of these
trusts. In particular, we will continue to review available credit
enhancement, which is primarily a function of the pace of defaults,
principal amortization, excess spread, and the ongoing disputes
between the transaction parties."


  Ratings Raised; Off CreditWatch

  National Collegiate Student Loan Trust 2003-1 (The)

   Class A-7, To: BB (sf); From: B- (sf)/Watch Pos

  National Collegiate Student Loan Trust 2004-2 (The)

   Class B, To: BB (sf); From: C+ (sf)/Watch Pos

  National Collegiate Student Loan Trust 2006-1 (The)

   Class A-5, To: BB+ (sf); From: B (sf)/Watch Pos

  National Collegiate Student Loan Trust 2006-4 (The)

   Class A-4, To: BB+ (sf); From: B+ (sf)/Watch Pos

  National Collegiate Student Loan Trust 2007-1 (The)

   Class A-4, To: BB+ (sf); From: B- (sf)/Watch Pos

  National Collegiate Student Loan Trust 2007-2 (The)

   Class A-4, To: B- (sf); From: CCC (sf)/Watch Pos

  NCF Grantor Trust 2005-2

   Class A-5-1, To: BB- (sf); From: B (sf)/Watch Pos
   Class A-5-2, To: BB- (sf); From: B (sf)/Watch Pos



NATIXIS COMMERCIAL 2021-APPL: Moody's Assigns B3 Rating to F Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of CMBS securities, issued by Natixis Commercial Mortgage
Securities Trust 2021-APPL, Commercial Mortgage Pass Through
Certificates, Series 2021-APPL.

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. X-CP*, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa3 (sf)

Cl. E, Definitive Rating Assigned Ba3 (sf)

Cl. F, Definitive Rating Assigned B3 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by a single floating-rate loan
backed by the fee simple interest in an office complex comprised of
three office buildings located in Sunnyvale, CA. Moody's ratings
are based on the credit quality of the loan and the strength of the
securitization structure.

Moody's approach to rating this transaction involved the
application of both Moody's Large Loan and Single Asset/Single
Borrower CMBS methodology and Moody's IO Rating methodology. The
rating approach for securities backed by a single loan compares the
credit risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.

The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile. The MLTV reported in this publication
reflects the MLTV before the adjustments described in the
methodology.

The Moody's first-mortgage DSCR is 2.70x and Moody's first-mortgage
stressed DSCR at a 9.25% constant is 0.70x. Moody's DSCR is based
on Moody's stabilized net cash flow.

The Moody's LTV ratio for the first-mortgage balance is 132.9%. The
Moody's LTV ratio is based on Moody's value.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property quality
grade for the property is 0.75.

Notable strengths of the transaction include: asset location and
accessibility, tenancy, strong office market, appraised land value,
and strong sponsorship.

Notable concerns of the transaction include: high Moody's LTV,
single-tenant exposure, uncertainty regarding future office usage
in Silicon Valley, and full-term interest-only and floating-rate
loan profile.

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating Large Loan
and Single Asset/Single Borrower CMBS" published in September
2020.

Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.

Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.

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

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.


OBX TRUST 2021-J3: Moody's Assigns B2 Rating to Cl. B-5 Certs
-------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
fifty-eight classes of residential mortgage-backed securities
(RMBS) issued by OBX 2021-J3 Trust. The ratings range from Aaa (sf)
to B2 (sf).

This transaction represents the third prime jumbo issuance by
Onslow Bay Financial LLC (the sponsor). The transaction includes
465 fixed rate, first lien mortgages with an aggregate loan balance
of approximately $453,649,616. The pool consists of 100%
non-conforming mortgage loans. The mortgage loans for this
transaction have been acquired by the sponsor and the seller,
Onslow Bay Financial LLC, from Bank of America, National
Association (BANA). BANA acquired the mortgage loans through its
whole loan purchase program from various originators.
Approximately, 87.9% of the loans in the pool were underwritten to
the OBX 2021-J3 Trust acquisition criteria, and the remaining loans
were underwritten to MAXEX's guidelines (6.3%) or loanDepot's
guidelines (5.8%). All the loans are designated as safe harbor
qualified mortgages (QM) and meet Appendix Q to the QM rules.
NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
service the loans and Wells Fargo Bank, N.A. (Wells Fargo) (Aa2)
will be the master servicer. Shellpoint will be responsible for
advancing principal and interest and other corporate advances, with
the master servicer backing up Shellpoint's advancing obligations
if Shellpoint cannot fulfill them.

Four third-party review (TPR) firms verified the accuracy of the
loan level information that Moody's received from the sponsor.
These firms conducted detailed credit, property valuation, data
accuracy and compliance reviews on 100% of the mortgage loans in
the collateral pool. The TPR results indicate that there are no
material compliance, credit, valuation, or data issues. Moody's did
not make any adjustments to Moody's base case and Aaa loss
expectations for TPR given the nature of the identified exceptions
and the presence of documented compensating factors.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's also compared the
collateral pool to other prime jumbo securitizations. In addition,
Moody's adjusted its expected losses based on qualitative
attributes, including the financial strength of the representation
and warranties (R&W) providers.

OBX 2021-J3 Trust has a shifting interest structure in which
subordinates will receive no unscheduled principal payment
(prepayment) during the first five years, which protects and
accelerates the pay-down of the senior classes and therefore
protects the senior classes from losses. The transaction also has a
senior subordination floor and a subordination lockout percentage,
which accelerates the pay-down of the senior and senior subordinate
classes if losses exceed certain thresholds.

The complete rating actions are as follows:

Issuer: OBX 2021-J3 Trust

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-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-4*, Definitive Rating Assigned Aaa (sf)

Cl. A-X-5*, 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-10*, 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-13*, 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-16*, Definitive Rating Assigned Aaa (sf)

Cl. A-X-17*, 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-20*, 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-23*, Definitive Rating Assigned Aaa (sf)

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

Cl. A-X-25*, 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 A3 (sf)

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

Cl. B-X-2*, Definitive Rating Assigned A3 (sf)

Cl. B-3, Definitive Rating Assigned Baa3 (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 0.32%
at the mean, 0.19% at the median, and reaches 2.38% 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%
(6.75% for the mean) and Moody's Aaa losses by 2.5% to reflect the
likely performance deterioration resulting from a slowdown in US
economic activity in 2020 due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated loans, post-COVID underwriting takes
into account the impact of the pandemic on a borrower's ability to
repay the mortgage. For seasoned loans, as time passes, the
likelihood that borrowers who have continued to make payments
throughout the pandemic will now become non-cash flowing due to
COVID-19 continues to decline.

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

Collateral Description

Moody's assessed the collateral pool as of the cut-off date of
September 1, 2021. OBX 2021-J3 Trust is a securitization of 465
prime residential mortgage loans with an aggregate principal
balance of approximately $453,649,616. The pool comprises 465
30-year fixed rate mortgages.

Overall, the credit quality of the mortgage loans backing this
transaction is similar to recently-issued prime jumbo transactions.
The WA FICO for the aggregate pool is 781 with a WA LTV of 63.8%
and WA CLTV of 64.0%. Approximately 17.1% (by loan balance) of the
pool has an LTV ratio greater than 75%. High LTV loans generally
have a higher probability of default and higher loss severity
compared to lower LTV loans. There is no loan in the pool having
LTV greater than 80%.

Loans with delinquency and forbearance history: As of the cut-off
date, no borrower under any mortgage loan is currently in an active
COVID-19 related forbearance plan. None of the borrowers have
previously entered into a COVID-19 related forbearance plan. In the
event that after the cut-off date a borrower enters into or
requests an active COVID-19 related forbearance plan, such loan
will remain in the mortgage pool and the servicer will be required
to make advances in respect of delinquent interest and principal
(as well as other servicing advances) on such mortgage loan during
the forbearance period (to the extent such advances are deemed
recoverable) and the loan will be considered delinquent for all
purposes under the transaction documents. There were five borrowers
reported with recent 30-day delinquency, which were in certain
cases due to borrower confusion under servicing transfer.

Origination Quality and Underwriting Guidelines

There are 15 originators in the transaction. The largest
originators in the pool with more than 10% by loan balance are
Fairway Independent Mortgage Corporation (26.2%) and Guaranteed
Rate, Inc., Guaranteed Rate Affinity, LLC, and Proper Rate, LLC
(24.2%).

The seller, Onslow Bay Financial LLC, acquired the mortgage loans
from Bank of America, National Association (BANA). As of the
cut-off date, approximately 87.9% of the mortgage loans (by loan
balance) were acquired by BANA from various mortgage loan
originators or sellers through Bank of America's whole loan
purchase program. These mortgage loans have principal balances in
excess of the requirements for purchase by Fannie Mae and Freddie
Mac (i.e. 100% of the loans in the pool are prime jumbo loans) and
were generally acquired pursuant to the OBX 2021-J3 Trust
acquisition criteria. The remaining loans were acquired by BANA but
originated pursuant to the guidelines of MAXEX (6.3%) or loanDepot
(5.8%). The OBX 2021-J3 Trust acquisition criteria does not apply
to the eligibility criteria, underwriting, origination or
acquisition for these mortgage loans.

Moody's increased its base case and Aaa loss expectations for all
loans underwritten to the OBX 2021-J3 Trust acquisition criteria,
which include loans originated by Fairway Independent Mortgage
Corporation and Guaranteed Rate, Inc., Guaranteed Rate Affinity,
LLC, and Proper Rate, LLC, because Moody's do not have performance
available for the jumbo loans underwritten to OBX 2021-J3 Trust
acquisition criteria and securitized through OBX platform, and
Moody's have been considering such mortgage loans to have been
acquired to slightly less conservative prime jumbo underwriting
standards. Moody's did not make any adjustments to Moody's loss
levels for loans originated by loanDepot as these loans were
underwritten to its own guidelines. Moody's considered loanDepot's
performance history and risk management as adequate.

Servicing arrangement

Shellpoint will service all the mortgage loans in the transaction.
Wells Fargo will serve as the master servicer.

Shellpoint is generally obligated to fund monthly advances of cash
(to the extent such advances are deemed recoverable) and to make
interest payments to compensate in part for any shortfall in
interest payments due to prepayment of the mortgage loans. The
master servicer will monitor the performance of the servicer and
will be obligated to fund any required advance and interest
shortfall payments if a servicer fails in its obligation to do so.

As of the cut-off date, no borrower under any mortgage loan is
currently in an active COVID-19 related forbearance plan with the
servicer. None of the borrowers of the mortgage loans (by aggregate
loan balance as of the cut-off date) have previously entered into a
COVID-19 related forbearance plan with the servicer. In the event
that after the cut-off date a borrower enters into or requests an
active COVID-19 related forbearance plan, such mortgage loan will
remain in the mortgage pool and the servicer will be required to
make advances in respect of delinquent interest and principal (as
well as other servicing advances) on such mortgage loan during the
forbearance period (to the extent such advances are deemed
recoverable) and the mortgage loan will be considered delinquent
for all purposes under the transaction documents. At the end of the
forbearance period, as with any other modification, to the extent
the related borrower is not able to make a lump sum payment of the
forborne amount, the servicer may, subject to the servicing matrix,
offer the borrower a repayment plan, enter into a modification with
the borrower (including a modification to defer the forborne
amounts) or utilize any other loss mitigation option permitted
under the pooling and servicing agreement.

Wells Fargo provides oversight of the servicer. Moody's consider
the presence of a strong master servicer to be a mitigant for any
servicing disruptions. Moody's evaluation of Wells Fargo as a
master servicer takes into account the bank's strong reporting and
remittance procedures, servicer compliance and monitoring
capabilities and servicing stability. Wells Fargo's oversight
encompasses loan administration, default administration, compliance
and cash management.

Third Party Review

Four independent third party review (TPR) firms, Clayton Services
LLC (Clayton), Wipro Opus Risk Solutions, LLC (Opus), AMC
Diligence, LLC (AMC) and Consolidated Analytics, Inc. (Consolidated
Analytics), reviewed 100% of the loans in this transaction for
credit, regulatory compliance, appraisal, and data integrity. The
TPR results indicate that the majority of reviewed loans were in
compliance with respective originators' underwriting guidelines, no
material compliance or data issues, and no appraisal defects.

For property valuation, the TPR firms identified all loans as
either A or B level grades. There were two loans with B grades for
appraisal review because either their second appraisal is missing
or the property is located in a natural disaster area with no
subsequent inspection. Moody's did not make any adjustments because
these loans represent a small portion of the overall pool and the
issues are relatively minor.

For credit review, the TPR firms applied A and B level grades in
their review, with no C or D level grades. The credit exceptions
had documented compensating factors such as high FICOs, low LTVs,
low DTIs, high reserves, and long stable employment history.

For compliance review, the TPR firms applied A and B level grades
in their review, with no C or D level grades. The identified
compliance exceptions were related to issues such as missing
affiliated business disclosures or non-compliant lists of
homeowners counseling organizations. Moody's did not make any
adjustments to Moody's credit enhancement due to regulatory
compliance issues because Moody's did not view the compliance
exceptions as material.

Representations and Warranties Framework

Each originator will provide comprehensive loan level reps and
warranties for their respective loans. BANA will assign each
originator's R&W to the seller, who will in turn assign to the
depositor, which will assign to the trust. Onslow Bay Financial LLC
will provide the gap reps. Moody's considered the R&W framework in
Moody's analysis and found it to be adequate. However, Moody's have
increased its loss levels to account for the risk that the R&W
providers may not have financial wherewithal to purchase defective
loans.

The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give us a clear
indication that the loans do not breach the R&Ws the originators
have made and that the originators are unlikely to face any
material repurchase requests in the future. The loan-level R&Ws are
strong and, in general, either meet or exceed the baseline set of
credit-neutral R&Ws Moody's identified for US RMBS. Among other
considerations, the R&Ws address property valuation, underwriting,
fraud, data accuracy, regulatory compliance, the presence of title
and hazard insurance, the absence of material property damage, and
the enforceability of the mortgage.

In a continued effort to focus breach reviews on loans that are
more likely to contain origination defects that led to or
contributed to the delinquency of the loan, an additional carve out
has been in recent transactions Moody's have rated from other
issuers relating to the delinquency review trigger. Similarly, in
this transaction, exceptions exist for certain excluded disaster
mortgage loans that trip the delinquency trigger. These excluded
disaster loans include COVID-19 forbearance loans.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.15% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 1.15% of the cut-off pool
balance.

Other Considerations

In OBX 2021-J3 Trust, the controlling holder has the option to hire
at its own expense the independent reviewer upon the occurrence of
a review event. If there is no controlling holder (no single entity
holds a majority of the Class Principal Amount of the most
subordinate class of certificates outstanding), the trustee shall,
upon receipt of a direction of the certificate holders of more than
25% of the aggregate voting interest of all certificates and upon
receipt of the deposit, appoint an independent reviewer at a cost
to the trust. However, if the controlling holder does not hire the
independent reviewer, the holders of more than 50% of the aggregate
voting interests of all outstanding certificates may direct (at
their expense) the trustee to appoint an independent reviewer. In
this transaction, the controlling holder can be the depositor or a
seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, seller or Sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.

The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five business days in advance of the foreclosure
and the controlling holder has not objected to such action. If the
controlling holder objects, the servicer has to obtain three
appraisals from the appraisal firms as listed in the pooling and
servicing agreement. The cost of the appraisals is borne by the
controlling holder. The controlling holder will be required to
purchase such mortgage loan at a price equal to the highest of the
three appraisals plus accrued and unpaid interest on such mortgage
loan as of the purchase date. If the servicer cannot obtain three
appraisals there are alternate methods for determining the purchase
price. If the controlling holder fails to purchase the mortgage
loan within the time frame, the controlling holder forfeits any
foreclosure rights thereafter. Moody's consider this credit neutral
because a) the appraiser is chosen by the servicer from the
approved list of appraisers, b) the fair value of the property is
decided by the servicer, based on third party appraisals, and c)
the controlling holder will pay the fair price and accrued
interest.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.


OCEANVIEW MORTGAGE 2021-5: Moody's Gives (P)B3 Rating to B-5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
fifty-six classes of residential mortgage-backed securities (RMBS)
issued by Oceanview Mortgage Trust (OCMT) 2021-5. The ratings range
from (P)Aaa (sf) to (P)B3 (sf).

Oceanview Asset Selector, LLC is the sponsor of OCMT 2021-5, a
fifth securitization of performing prime jumbo mortgage loans
backed by 551 first lien, fully amortizing, fixed-rate qualified
mortgage (QM) loans, with an aggregate unpaid principal balance
(UPB) of $496,656,284. The transaction benefits from a collateral
pool that is of high credit quality, and is further supported by an
unambiguous representations & warranties (R&Ws) framework, 100%
third-party review (TPR) and a shifting interest structure that
incorporates a subordination floor. As of the cut-off date, no
borrower under any mortgage loan has entered into a COVID-19
related forbearance plan with the servicer.

The seller, Oceanview Acquisitions I, LLC (also the servicing
administrator), indirectly acquired the mortgage loans from various
third-party sellers. Both the seller and the sponsor are
wholly-owned subsidiaries of Oceanview U.S. Holdings Corp.
Community Loan Servicing, LLC (CLS) (f/k/a Bayview Loan Servicing,
LLC) will service 100% of the mortgage loans. There is no master
servicer in this transaction. The servicing administrator will
generally be required to fund principal and interest (P&I) advances
and servicing advances unless such advances are deemed
non-recoverable. If the servicing administrator fails in its
obligation to fund any required P&I advance, U.S. Bank National
Association (rated A1, senior unsecured), paying agent and trustee,
will be obligated to do so, unless such advances are deemed
non-recoverable.

Five TPR firms verified the accuracy of the loan level information.
The firms conducted detailed credit, property valuation, data
accuracy and compliance reviews on 100% of the mortgage loans in
the collateral pool.

Transaction credit strengths include the high credit quality of the
collateral pool, the strong TPR results for credit, compliance and
valuations, and the unambiguous R&Ws framework. Transaction credit
weaknesses include having no master servicer to oversee the primary
servicer, unlike typical prime jumbo transactions Moody's have
rated.

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

The complete rating action is as follows.

Issuer: Oceanview Mortgage Trust 2021-5

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

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

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

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

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

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

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

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

Cl. A-9, Assigned (P)Aaa (sf)

Cl. A-10, Assigned (P)Aaa (sf)

Cl. A-11, Assigned (P)Aaa (sf)

Cl. A-12, Assigned (P)Aaa (sf)

Cl. A-13, Assigned (P)Aaa (sf)

Cl. A-14, Assigned (P)Aaa (sf)

Cl. A-15, Assigned (P)Aaa (sf)

Cl. A-16, Assigned (P)Aaa (sf)

Cl. A-17, Assigned (P)Aaa (sf)

Cl. A-18, Assigned (P)Aaa (sf)

Cl. A-19, Assigned (P)Aaa (sf)

Cl. A-20, Assigned (P)Aaa (sf)

Cl. A-21, Assigned (P)Aaa (sf)

Cl. A-22, Assigned (P)Aaa (sf)

Cl. A-23, Assigned (P)Aaa (sf)

Cl. A-24, Assigned (P)Aaa (sf)

Cl. A-25, Assigned (P)Aaa (sf)

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

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

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

Cl. A-IO4*, Assigned (P)Aaa (sf)

Cl. A-IO5*, Assigned (P)Aaa (sf)

Cl. A-IO6*, Assigned (P)Aaa (sf)

Cl. A-IO7*, Assigned (P)Aaa (sf)

Cl. A-IO8*, Assigned (P)Aaa (sf)

Cl. A-IO9*, Assigned (P)Aaa (sf)

Cl. A-IO10*, Assigned (P)Aaa (sf)

Cl. A-IO11*, Assigned (P)Aaa (sf)

Cl. A-IO12*, Assigned (P)Aaa (sf)

Cl. A-IO13*, Assigned (P)Aaa (sf)

Cl. A-IO14*, Assigned (P)Aaa (sf)

Cl. A-IO15*, Assigned (P)Aaa (sf)

Cl. A-IO16*, Assigned (P)Aaa (sf)

Cl. A-IO17*, Assigned (P)Aaa (sf)

Cl. A-IO18*, Assigned (P)Aaa (sf)

Cl. A-IO19*, Assigned (P)Aaa (sf)

Cl. A-IO20*, Assigned (P)Aaa (sf)

Cl. A-IO21*, Assigned (P)Aaa (sf)

Cl. A-IO22*, Assigned (P)Aaa (sf)

Cl. A-IO23*, Assigned (P)Aaa (sf)

Cl. A-IO24*, Assigned (P)Aaa (sf)

Cl. A-IO25*, Assigned (P)Aaa (sf)

Cl. A-IO26*, Assigned (P)Aaa (sf)

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

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

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

Cl. B-4, Assigned (P)Ba3 (sf)

Cl. B-5, Assigned (P)B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary credit analysis and rating rationale

Moody's expected loss for this pool in a baseline scenario-mean is
0.38%, in a baseline scenario-median is 0.24%, and reaches 2.69% at
stress level consistent with Moody's Aaa rating.

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

Collateral Description

The pool characteristics are based on the October 1, 2021 cut-off
tape. This transaction consists of 551 first lien, fully
amortizing, fixed-rate QM loans, all of which have original terms
to maturity of 20 or 30 years, with an aggregate unpaid principal
balance of $496,656,284. All of the mortgage loans are secured by
first liens on single-family residential properties, planned unit
developments and condominiums. The mortgage loans are approximately
3 months seasoned and are backed by full documentation.

Geographic concentration is relatively low where the three largest
states in the transaction, California, Texas and Washington account
for 27.2%, 11.3%, and 8.8%, by UPB, respectively. Overall, the
credit quality of the mortgage loans backing this transaction is
similar to that of transactions issued by other prime issuers. The
WA original FICO for the pool is 782 and the WA CLTV is 68.6%.

None of the mortgage loans as of the cut-off date have an original
principal balance that conformed to the guidelines of Fannie Mae
and Freddie Mac at the time of origination, including mortgage
loans with original loan amounts meeting the high-cost area loan
limits established by the Federal Housing Finance Agency and were
eligible to be purchased by Fannie Mae or Freddie Mac. As of the
cut-off date, all of the mortgage loans were contractually current
under the MBA method with respect to payments of P&I.

The Consumer Financial Protection Bureau (CFPB) recently issued a
final rule amending Regulation Z ability to repay rule/QM
requirements to replace the strict 43% debt-to-income (DTI) ratio
basis for the general QM with an annual percentage rate (APR)
limit, while still requiring the consideration of the DTI ratio or
residual income (the new general QM rule). The loans originated
pursuant to the new general QM rule represent approximately 16.8%
(by UPB) of the pool, of which approximately 93.8% are originated
by Quicken Loans, LLC. These loans were underwritten and documented
pursuant to the QM rule's verification safe harbor via a mix of the
GSE Seller/Servicer Guide, and Bayview's Jumbo AUS program
overlays.

As part of the origination quality review and in consideration of
the detailed loan-level TPR reports, which included supplemental
information with the specific documentation received for such
loans, Moody's concluded that these mortgage loans were fully
documented loans, and that the underwriting of the mortgage loans
is conservative, taking into account the considerable overlays
imposed on such loans by the Jumbo AUS program. Therefore, Moody's
ran these loans as "full documentation" mortgage loans in Moody's
MILAN model and did not make any additional qualitative origination
related adjustments.

As of the cut-off date, none of the borrowers of the mortgage loans
are currently subject to a forbearance plan or are in the process
of being subject to a forbearance plan, including as a result of
COVID-19. In the event a borrower enters into a forbearance plan,
including as a result of COVID-19, after the cut-off date, but
prior to the closing date, such mortgage loan will be removed from
the pool.
Overall, the credit quality of the mortgage loans backing this
transaction is similar to transactions issued by other prime
issuers.

Origination Quality

Oceanview Acquisitions I, LLC is the seller, servicing
administrator and R&Ws provider for this securitization and is a
wholly owned subsidiary of Oceanview Holdings Ltd. (together with
its affiliates and subsidiaries Oceanview). Oceanview is a wholly
owned subsidiary of Bayview Opportunity V Oceanview L.P., a pooled
investment vehicle managed by Bayview Asset Management (Bayview or
BAM).

The seller does not originate residential mortgage loans or fund
the origination of residential mortgage loans. Instead, the seller
acquired the mortgage loans directly from Bayview Acquisitions LLC,
an affiliate of the seller (affiliated loan purchaser), which in
turn acquired the mortgage loans directly from third parties. The
affiliated loan purchaser maintains eligibility criteria for use in
the process of acquiring third-party originated loans and provides
these criteria to third parties that sell mortgage loans to the
affiliated loan purchaser to enable those third parties to
determine whether mortgage loans they consider selling to the
affiliated loan purchaser will meet such criteria.

This transaction, the acquisition criteria includes the affiliated
loan purchaser's standard QM prime jumbo program and the Jumbo AUS
program (specifically tailored for the new general QM rule). The
mortgage loans acquired under these programs do not meet the
eligibility standards for purchase by GSEs primarily due to loan
size. All mortgage loans originated under this program are eligible
for safe harbor protection under the ATR rules and a QM designation
is in the loan file.

Oceanview is managed by a seasoned group of mortgage veterans with
industry tenure that averages over two decades. BAM is a fully
integrated investment platform focused on investments in mortgage
and consumer- related credit. Overall, Oceanview's non-agency
originations team benefits from a connection to other parts of the
Bayview organization.

However, because the non-agency program offered by Oceanview has
been established only recently, and performance and quality control
and audit information is fairly limited, more time is needed to
assess Oceanview's ability to consistently produce high-quality
mortgage loans.

Servicing Arrangement

Moody's assess the overall servicing arrangement for this pool as
adequate, given the ability, scale and experience of CLS as a
servicer. However, compared to other prime jumbo transactions which
typically have a master servicer, servicer oversight for this
transaction is relatively weaker. While third-party reviews of CLS'
servicing operations will be conducted periodically by the GSEs,
the CFPB and state regulators, such oversight may lack the depth
and frequency that a master servicer would ordinarily provide.
However, Moody's did not adjust its expected losses for the weaker
servicing arrangement due to the following: (1) CLS was established
in 1999 and is an experienced primary and special servicer of
residential mortgage loans, (2) CLS is an approved servicer for
both Fannie Mae and Freddie Mac, (3) CLS had no instances of
non-compliance for its 2019 Regulation AB or Uniformed Single Audit
Program (USAP) independent servicer reviews, (4) CLS has an
experienced management team and uses Black Knight's MSP servicing
platform, the largest and most highly utilized mortgage servicing
system, and (5) the R&Ws framework mandates reviews of poorly
performing mortgage loans by a third-party if a threshold event
occurs.

Third-Party Review

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

Representations & Warranties

Moody's assessed the R&Ws framework based on three factors: (a) the
financial strength of the remedy provider; (b) the strength of the
R&Ws (including qualifiers and sunsets) and (c) the effectiveness
of the enforcement mechanisms. Moody's evaluated the impact of
these factors collectively on the ratings in conjunction with the
transaction's specific details and in some cases, the strengths of
some of the factors can mitigate weaknesses in others. Moody's also
considered the R&Ws framework in conjunction with other transaction
features, such as the independent due diligence, custodial receipt,
and property valuations, as well as any sponsor alignment of
interest, to evaluate the overall exposure to loan defects and
inaccurate information.

The seller makes the loan level R&Ws for the mortgage loans. The
loan-level R&Ws meet or exceed the baseline set of credit-neutral
R&Ws Moody's have identified for US RMBS. R&Ws breaches are
evaluated by an independent third-party using a set of objective
criteria. The transaction requires mandatory independent reviews of
loans that become 120 days delinquent and those that liquidate at a
loss to determine if any of the R&Ws are breached.

However, Moody's applied an adjustment in itts model analysis to
account for the risk that the R&Ws provider (unrated) may be unable
to repurchase defective loans in a stressed economic environment
(similar to the economic experience in 2008-2009 when a steep
decline in house prices triggered a financial crisis), given that
it is a non-bank entity whose monoline business of mortgage
origination and servicing is highly correlated with the economy.

Transaction Structure

OCMT 2021-5 has one pool with a shifting interest structure that
benefits from a subordination floor. Funds collected, including
principal, are first used to make interest payments and then
principal payments to the senior bonds, and then interest and
principal payments to each subordinate bond. As in all transactions
with shifting interest structures, the senior bonds benefit from a
cash flow waterfall that allocates all prepayments to the senior
bond for a specified period of time, and increasing amounts of
prepayments to the subordinate bonds thereafter, but only if loan
performance satisfies delinquency and loss tests.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.05% of the cut-off date pool
balance, and as subordination lock-out amount of 1.05% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.


PROVIDENT FUNDING 2021-J1: Moody's Assigns 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-J1. The ratings range
from Aaa (sf) to B2 (sf).

PFMT 2021-J1 will be the first jumbo transaction originated and
sponsored by Provident Funding Associates, L.P. (Provident Funding)
and Colorado Federal Savings Bank (Colorado FSB) and the sixth
overall for which Provident Funding is the originator and servicer.
As of the cut-off date of September 1, 2021, the pool contains of
629 performing mortgage loans with an aggregate principal balance
of $461,698,976. There are 369 GSE-eligible high balance (46.9% by
balance) and 260 non-agency jumbo loans (53.1% by loan balance)
mortgage loans in the pool.

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.

Approximately 14.04% 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.

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-J1 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-J1

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aaa (sf)

Cl. A-4, Assigned Aaa (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

Cl. A-8, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aa1 (sf)

Cl. A-15, Assigned Aa1 (sf)

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

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

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

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

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

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

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

Cl. A-X-15*, Assigned Aa1 (sf)

Cl. B-1, Assigned Aa3 (sf)

Cl. B-2, Assigned A2 (sf)

Cl. B-3, Assigned Baa2 (sf)

Cl. B-4, Assigned Ba2 (sf)

Cl. B-5, Assigned B2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.24%
at the mean (0.11% at the median) and reaches 2.98% 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 (TPR),
and the representations & warranties (R&W) framework of the
transaction.

Collateral Description

As of the cut-off date of September 1, 2021, the pool contains 629
mortgage loans with an aggregate principal balance of $461,698,976
secured by first liens on single family residential properties,
planned unit developments, condominiums and multi-family
residential properties. The loans are fully amortizing, and are
fixed-rate Qualified Mortgages (QM) loans, each with an original
term to maturity of up to 30 years. Of the 629 mortgage loans, 329
or 46.9% (by UPB) 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's Desktop
Underwriter Program (DU) or Freddie Mac's Loan Product Advisor
(LPA) (collectively, GSE-eligible loans), as applicable. The rest
of the pool is composed of prime jumbo loans. The jumbo non-agency
loans were originated in accordance with the sponsor's underwriting
guidelines in effect at the time the related non-agency loan was
originated. 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 $734,021 and the weighted average (WA)
current mortgage rate is 2.92%. The mortgage pool has a WA original
term of 357 months. The mortgage pool has a WA seasoning of 2.90
months. The borrowers have a WA credit score of 782, a WA combined
loan-to-value ratio (CLTV) of 63.03% and WA debt-to-income ratio
(DTI) of 33.79%. Approximately 52.77% (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 201 (32% 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. The TPR assigned a
regulatory compliance "C" grade to two reviewed mortgage loans for
failure to adhere to the interpretive rule that the CFPB issued on
August 5, 2021 relating to the effect of the new Juneteenth
National Independence Day on the TRID and rescission disclosure
waiting period timeframes under Regulation Z. However, Moody's did
not make an adjustment to Moody's Aaa loss and EL for these two
loans after considering all of the facts and circumstances related
to these findings.

Representations & Warranties

Moody's assessed Provident Funding Mortgage Trust 2021-J1'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 and prime jumbo non-agency mortgage
8loans based on the company's staff and processes for underwriting,
quality control, risk management and performance. Similar to prior
PFMT transactions, the GSE-eligible loans were originated in
accordance with the underwriting guidelines of Fannie Mae or
Freddie Mac, as applicable, while the non-agency jumbo loans were
originated in accordance with the sponsor's underwriting
guidelines. The company's non-agency jumbo underwriting guidelines
are comparable with those of other prime jumbo originators and
generally adhere to the UW guidelines established by Fannie Mae and
QM Appendix Q, with overlays for various factors such as loan
amount, certain underwriting ratios, certain documentation
requirements, etc. Each borrower is required to complete an
application which includes detailed information about the
borrower's assets, liabilities, income, credit history, employment
history among other related items.

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 32%
(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.


RATE MORTGAGE 2021-J3: Moody's Assigns B2 Rating to Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 82
classes of residential mortgage-backed securities (RMBS) issued by
RATE Mortgage Trust (RATE) 2021-J3. The ratings range from Aaa (sf)
to B2 (sf).

RATE 2021-J3 is the third issue from Guaranteed Rate, Inc.
(Guaranteed Rate or GRI), the sponsor of the transaction. RATE
2021-J3 is a securitization of first-lien prime jumbo and agency
eligible mortgage loans.

The transaction is backed by 324 (82.0% by unpaid principal
balance) and 102 (18.0% by unpaid principal balance) mostly 30-year
fixed rate non-agency eligible and agency eligible mortgage loans,
respectively, with an aggregate stated principal balance of
$391,265,956. All the loans in the pool are originated by
Guaranteed Rate and are designated as Qualified Mortgages (QM)
either under the QM safe harbor or the GSE temporary exemption
under the Ability-to-Repay (ATR) rules. Borrowers of the mortgage
loans backing this transaction have strong credit profiles
demonstrated by strong credit scores and low loan-to-value (LTV)
ratios. No borrower under any mortgage loan is currently in an
active COVID-19 related forbearance plan with the servicer. All
mortgage loans are current as of the cut-off date.

Similar to RATE 2021-J2 transaction, RATE 2021-J3 contains a
structural deal mechanism according to which the servicing
administrator will not advance principal and interest (P&I) to
mortgage loans that are 120 days or more delinquent. Here, the
servicing administrator will be responsible for funding any advance
of delinquent monthly payments of principal and interest due but
not received by the servicer on the mortgage loans. The sponsor and
the servicing administrator are the same party, GRI.

One TPR firm verified the accuracy of the loan level information
that Moody's received from the sponsor. This firm conducted
detailed credit, property valuation, data accuracy and compliance
reviews on 426 (100%) mortgage loans in the collateral pool.
ServiceMac, LLC (ServiceMac) will service all of the Mortgage Loans
as of the cut-off Date. Wells Fargo Bank, N.A. (Wells Fargo) will
be the master servicer. Moody's consider the presence of a strong
master servicer to be a mitigant against the risk of any servicing
disruptions.

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

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

The complete rating actions are as follows:

Issuer: RATE Mortgage Trust 2021-J3

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aaa (sf)

Cl. A-4, Assigned Aaa (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

Cl. A-8, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. A-11, Assigned Aaa (sf)

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aaa (sf)

Cl. A-15, Assigned Aaa (sf)

Cl. A-16, Assigned Aaa (sf)

Cl. A-17, Assigned Aaa (sf)

Cl. A-18, Assigned Aaa (sf)

Cl. A-19, Assigned Aaa (sf)

Cl. A-20, Assigned Aaa (sf)

Cl. A-21, Assigned Aaa (sf)

Cl. A-22, Assigned Aaa (sf)

Cl. A-23, Assigned Aaa (sf)

Cl. A-24, Assigned Aaa (sf)

Cl. A-25, Assigned Aaa (sf)

Cl. A-26, Assigned Aaa (sf)

Cl. A-27, Assigned Aaa (sf)

Cl. A-28, Assigned Aaa (sf)

Cl. A-29, Assigned Aaa (sf)

Cl. A-30, Assigned Aaa (sf)

Cl. A-31, Assigned Aa1 (sf)

Cl. A-32, Assigned Aa1 (sf)

Cl. A-33, Assigned Aa1 (sf)

Cl. A-34, Assigned Aa1 (sf)

Cl. A-35, Assigned Aa1 (sf)

Cl. A-36, Assigned Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-X-35*, Assigned Aa1 (sf)

Cl. A-X-36*, Assigned Aa1 (sf)

Cl. A-X-37*, Assigned Aa1 (sf)

Cl. B-1, Assigned Aa3 (sf)

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

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

Cl. B-2, Assigned A3 (sf)

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

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

Cl. B-3, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba3 (sf)

Cl. B-5, Assigned 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
0.30%, in a baseline scenario-median is 0.15%, and reaches 3.21% at
a stress level consistent with Moody's Aaa ratings.

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

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

Moody's increased its model-derived median expected losses by 10%
and Moody's Aaa loss by 2.50% to reflect the likely performance
deterioration resulting from the slowdown in US economic activity
due to the coronavirus outbreak. These adjustments are lower than
the 15% median expected loss and 5% Aaa loss adjustments Moody's
made on pools from deals issued after the onset of the pandemic
until February 2021. Moody's reduced adjustments reflect the fact
that the loan pool in this deal does not contain any loans to
borrowers who are not currently making payments. For newly
originated mortgage loans, post-COVID underwriting takes into
account the impact of the pandemic on a borrower's ability to repay
the mortgage. For seasoned mortgage loans, as time passes, the
likelihood that borrowers who have continued to make payments
throughout the pandemic will now become non-cash flowing due to
COVID-19 continues to decline.

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

Collateral Description

In general, the borrowers have high FICO scores, high income,
significant liquid assets and a stable employment history, all of
which have been verified as part of the underwriting process and
reviewed by the TPR firm. All the loans were originated through the
retail channel. The borrowers have a high weighted average total
monthly income of $27,835, significant weighted average liquid cash
reserves of $269,540 (approximately 61.0% of the pool has more than
24 months of mortgage payments in reserve), and sizeable equity in
their properties (weighted average LTV of 71.9%, CLTV of 72.5%).
The pool has approximately 1.2 months of seasoning as of September
1, 2021, and all loans have been current since origination. All of
the mortgages loans in RATE 2021-J3 are qualified mortgages (QM)
meeting the requirements of the safe harbor provision under the QM
safe harbor (per the original (old) QM rule) or the GSE temporary
exemption under the Ability-to-Repay (ATR) rules.

Origination Quality

Guaranteed Rate has originated 100% of the loan pool. Moody's
consider Guaranteed Rate to be an acceptable originator of agency
eligible and prime jumbo loans following a detailed review of its
underwriting guidelines, quality control processes, policies and
procedures, technology infrastructure, disaster recovery plan, and
historical performance information relative to its peers.
Therefore, Moody's did not apply a separate adjustment for
origination quality.

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

Servicing Arrangement

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

Third-Party Review

The transaction benefits from a TPR on 100% of the loans for
regulatory compliance, credit and property valuation. The due
diligence results confirm compliance with the originator's
underwriting guidelines for the vast majority of loans, no material
regulatory compliance issues, and no material property valuation
issues. The loans that had exceptions to the originator's
underwriting guidelines had significant compensating factors that
were documented. The TPR identified 37 level B grades in its review
of the original 426 loans, no level C grades and no level D
grades.

Representations & Warranties

Moody's evaluate the R&W framework based on three factors: (a) the
financial strength of the remedy provider; (b) the strength of the
R&Ws (including qualifiers and sunsets) and (c) the effectiveness
of the enforcement mechanisms. Moody's evaluated the impact of
these factors collectively on the ratings in conjunction with the
transaction's specific details and in some cases, the strengths of
some of the factors can mitigate weaknesses in others. Moody's also
considered the R&W framework in conjunction with other transaction
features, such as the independent due diligence, custodial receipt,
and property valuations, as well as any sponsor alignment of
interest, to evaluate the overall exposure to loan defects and
inaccurate information. Overall, Moody's consider the R&W framework
for this transaction to be adequate, generally consistent with that
of other prime jumbo transactions which Moody's rated. However,
Moody's applied an adjustment to Moody's losses to account for the
risk that the R&W provider (unrated) may be unable to repurchase
defective loans in a stressed economic environment.

Transaction Structure

RATE 2021-J3 has one pool with a shifting interest structure that
benefits from a subordination floor. Funds collected, including
principal, are first used to make interest payments and then
principal payments to the senior bonds, and then interest and
principal payments to each subordinate bond. As in all transactions
with shifting interest structures, the senior bonds benefit from a
cash flow waterfall that allocates all prepayments to the senior
bond for a specified period of time, and increasing amounts of
prepayments to the subordinate bonds thereafter, but only if loan
performance satisfies delinquency and loss tests.

Similar to the recently rated RATE 2021-J2 transaction, RATE
2021-J3 contains a structural deal mechanism according to which the
servicing administrator will not advance principal and interest to
loans that are 120 days or more delinquent. Although this feature
lowers the risk of high advances that may negatively affect the
recoveries on liquidated loans, the reduction in interest
distribution amount is credit negative to the subordinate
certificates.

The balance and the interest accrued on these "Stop Advance
Mortgage Loans (SAML)" will be removed from the calculation of the
principal and interest distribution amounts with respect to the
seniors and subordinate bonds. The interest distribution amount
will be reduced by the interest accrued on the SAML loans. This
reduction will be allocated first to the subordinate certificates
and then to the senior certificates in the reverse order of payment
priority. In the case of the senior certificates, such reduction in
distribution amounts, are allocated (i) first to the senior support
(including the linked interest-only classes) and (ii) then to the
super senior classes (including the linked interest-only classes),
on a pro rata basis.

Once a SAML is liquidated, the net recovery from that loan's
liquidation is included in available funds and thus follows the
transaction's priority of payment. However, the reimbursement of
stop advance shortfalls happens only after liquidation or curing of
SAML. As a result, higher delinquencies could lead to higher
shortfalls especially for the subordinate bonds as compared to a
transaction without the stop advance feature.

While the transaction is backed by collateral with strong credit
characteristics, Moody's considered scenarios in which the
delinquency pipeline rises, especially due to the current
coronavirus environment, and results in higher shortfalls for the
certificates outstanding. In Moody's analysis, Moody's have
considered the additional interest shortfall that the certificates
may incur due to the transaction's stop-advance feature.

Tail Risk & Subordination Floor

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

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.


REGATTA XXI: Moody's Assigns (P)Ba3 Rating to $17.6MM Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Regatta XXI Funding Ltd. (the
"Issuer" or "Regatta XXI").

Moody's rating action is as follows:

US$252,000,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)

US$52,000,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aa2 (sf)

US$22,800,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)

US$23,600,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

US$17,600,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)Ba3 (sf)

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

RATINGS RATIONALE

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

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

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

In addition to the Rated Notes, the Issuer will issue subordinated
notes.

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

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

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

Par amount: $400,000,000

Diversity Score: 85

Weighted Average Rating Factor (WARF): 2865

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 46.5%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


SCULPTOR CLO XXIX: Moody's Assigns Ba3 Rating to $16MM Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Sculptor CLO XXIX, Ltd.(the "Issuer" or "Sculptor
XXIX").

Moody's rating action is as follows:

US$248,000,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$14,000,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$41,600,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned Aa2 (sf)

US$19,800,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned A2 (sf)

US$16,600,000 Class D-1 Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa2 (sf)

US$12,000,000 Class D-2 Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned Ba1 (sf)

US$16,000,000 Class E Secured Deferrable Floating Rate Notes due
2034, Assigned Ba3 (sf)

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

RATINGS RATIONALE

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

Sculptor XXIX is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 85% of the portfolio must consist of
first-lien senior secured loans and eligible investments, up to 5%
of the portfolio may consist of senior secured bonds, and up to 10%
of the portfolio may consist of second-lien loans, unsecured loans
and bonds that are not senior secured bonds. The portfolio is
approximately 95% ramped as of the closing date.

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

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

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

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

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

Par amount: $400,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2856

Weighted Average Spread (WAS): 3.4%

Weighted Average Coupon (WAC): 6.5%

Weighted Average Recovery Rate (WARR): 46.5%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

The performance of the 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.


SILVERMORE CLO: Moody's Lowers Rating on $5MM Class E Notes to C
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Silvermore CLO Ltd.:

US$29,700,000 Class B Senior Secured Deferrable Floating Rate Notes
due May 15, 2026, Upgraded to Aaa (sf); previously on January 20,
2021 Upgraded to Aa1 (sf)

US$26,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due May 15, 2026, Upgraded to Baa1 (sf); previously on July 30,
2020 Confirmed at Ba1 (sf)

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

US$5,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due May 15, 2026 (current outstanding balance of $5,652,106.81),
Downgraded to C (sf); previously on July 30, 2020 Downgraded to Ca
(sf)

Silvermore CLO Ltd., originally issued in May 2014 and partially
refinanced in July 2017, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in May 2018.

RATINGS RATIONALE

The upgrade actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since January 2021. The Class
A-1-R notes have been paid down in full and the Class A-2-R have
been paid down by approximately 47.8% or $27.6 million since then.
Based on the trustee's September 2021 report [1], the OC ratios for
the Class A, Class B, and Class C notes are reported at 367.84%,
185.31%, and 129.19%, respectively, versus January 2021 levels of
165.20%, 132.65%, and 113.14%, respectively.

The downgrade rating action on the Class E notes reflects the par
loss observed in the underlying CLO portfolio. Based on Moody's
calculation, the OC ratio for the Class E notes is currently at
93.27% versus January 2021 Moody's calculated level of 95.86%. The
Class E notes has been deferring the interest payments, and the
outstanding deferred interest balance is currently $652,110.

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: $107,140,081

Defaulted par: $5,303,959

Diversity Score: 34

Weighted Average Rating Factor (WARF): 2810

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
2.91%

Weighted Average Recovery Rate (WARR): 47.12%

Weighted Average Life (WAL): 3.04 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, near term defaults by companies facing
liquidity pressure, decrease in overall WAS, 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. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.


SLM STUDENT 2008-3: S&P Cuts Class A-3 Notes Rating to 'CC (sf)'
----------------------------------------------------------------
S&P Global Ratings lowered its rating on the class A-3 and B notes
from SLM Student Loan Trust 2008-3 to 'CC (sf)' from 'B (sf)' and
at the same time placed the class A-3 notes on CreditWatch with
negative implications and the class B notes on CreditWatch with
developing implications. SLM Student Loan Trust 2008-3 is a student
loan ABS transaction backed by the U.S. Department of Education's
(ED's) Federal Family Education Loan Program (FFELP) loans.

CreditWatch with negative implications indicates that a rating may
be lowered. CreditWatch with developing implications indicates that
a rating may be raised, lowered, or affirmed. A developing
designation is used for situations where potential future events
are unpredictable and differ so significantly that the rating could
be raised or lowered.

Rationale

The rating actions primarily reflect the liquidity pressure the
senior class is experiencing, not the credit enhancement levels
available to the classes for ultimate principal repayment. The pace
of note principal payment has slowed, and the senior class is at
risk of not being repaid by its legal final maturity date. As such,
the rating on the class A-3 note reflects the risk that this class
may be repaid after its respective maturity date of Oct. 25, 2021,
and the rating on the class B note reflects the risk that the
subordinate note will not receive timely interest payments upon an
event of default on the class A-3, which would cause a
reprioritization of the class B interest. Accordingly, S&P's rating
on the class B note is not higher than the rating of the senior
note.

S&P said, "These classes were affected by the application of our
criteria for assigning 'CCC' and 'CC' ratings. The criteria state
that we rate an issue 'CC' when we expect default to be a virtual
certainty, regardless of the time to default. Accordingly, the 'CC
(sf)' ratings reflect that, even under optimistic collateral
performance scenarios, we believe class A-3 will default on
principal repayment at legal final maturity and class B will
default on timely interest subsequently to the class A-3 default.

"We primarily considered the transaction's asset and note payment
rates relative to the notes' legal final maturity date, expected
future collateral performance, transaction payment priority, and
current credit enhancement level in our review."

Payment Priority/Credit Enhancement

Principal payments are currently allocated sequentially to the
class A-3 note until fully repaid and then to the class B note. If
the class A-3 note does not receive full principal by its
respective legal final maturity date, the payment priority will
change, causing the class A-3 note principal payments to be
prioritized ahead of the class B note interest payments.
Accordingly, the risk of a missed interest payment on the class B
note is directly linked to the risk that the principal on class A-3
will not be paid by its respective legal final maturity date.

The credit enhancement for the notes consists of
overcollateralization (as measured by parity), subordination (for
the class A-3), excess spread, and a reserve account. The reserve
account may be used to make payment on a note's legal final
maturity date. The reserve account, measured as a percentage of the
current pool balance, decreases as the pool amortizes until it
reaches its floor of $1,000,020.

Asset/Note Payment Rates

Over the past year, note principal paydown has continued to
decline. Using the average note principal payment over the past
year, we calculated a note principal payment haircut, which
indicates the percentage decline in payments that a note can
immediately withstand but still be repaid in full by its legal
final maturity date. A lower haircut indicates that a note can
withstand a smaller decline in principal payment amount than a note
with a higher haircut. A negative haircut implies that a note will
need to experience a sustained increase in principal payments to
fully repay by legal final maturity. Such an increase could occur
as a result of an increase in loan prepayments or defaults (which
act as a prepayment due to the government guarantee) or from a
decrease in the amount of loans in income-based repayment plans or
loans in other non-paying statuses, such as in-school/grace,
deferment, and forbearance.

As of the most recent servicer report, the haircut for the senior
class is approximately -3,879%, indicating that the senior class
will not be repaid by its legal final maturity date.

Collateral

This transaction is backed by student loans originated through ED's
FFELP. The loan pool consists predominantly of seasoned Stafford
loans originated under FFELP guidelines. ED reinsures at least 97%
of the principal and accrued interest on defaulted loans serviced
according to the FFELP guidelines. Due to the high level of
recoveries from ED on defaulted loans, defaults effectively
function similarly to prepayments. S&P said, "Thus, we expect net
losses to be minimal. Currently, a large percentage of loans in the
trust are in a nonpaying loan status. Generally, we expect these
loans to be repaid or to default and be reimbursed by ED. Navient
Solutions LLC is the administrator and servicer in this
transaction."

S&P will continue to monitor the ongoing performance of this trust
and in particular, monitor the pace of the note principal paydown.

CreditWatch

Once a course of action is determined by the trustee and/or
noteholders subsequent to the event of default, S&P will determine
whether the class B rating will be raised, lowered, or affirmed.



STACR REMIC 2020-HQA5: Moody's Upgrades 3 Tranches to Ba1
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 28 classes of
credit risk transfer notes issued by Freddie Mac STACR REMIC Trust
2020-HQA5 (STACR 2020-HQA5).

STACR 2020-HQA5 is a high-LTV transaction that benefits from
mortgage insurance. In addition, the credit risk exposure of the
notes depends on the actual realized losses and modification losses
incurred by the reference pool.

A List of Affected Credit Ratings is available at
https://bit.ly/3mz6jec

Issuer: Freddie Mac STACR REMIC Trust 2020-HQA5

Cl. B-1, Upgraded to Ba3 (sf); previously on Nov 20, 2020
Definitive Rating Assigned B2 (sf)

Cl. B-1B, Upgraded to B1 (sf); previously on Nov 20, 2020
Definitive Rating Assigned B3 (sf)

Cl. B-1AI*, Upgraded to Ba1 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba3 (sf)

Cl. B-1A, Upgraded to Ba1 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba3 (sf)

Cl. B-1AR, Upgraded to Ba1 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba3 (sf)

Cl. M-1, Upgraded to A1 (sf); previously on Nov 20, 2020 Definitive
Rating Assigned Baa1 (sf)

Cl. M-2, Upgraded to Baa1 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2A, Upgraded to A3 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2B, Upgraded to Baa2 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2R, Upgraded to Baa1 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2S, Upgraded to Baa1 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2T, Upgraded to Baa1 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2U, Upgraded to Baa1 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2AR, Upgraded to A3 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AS, Upgraded to A3 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AT, Upgraded to A3 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AU, Upgraded to A3 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2BR, Upgraded to Baa2 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2BS, Upgraded to Baa2 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2BT, Upgraded to Baa2 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2BU, Upgraded to Baa2 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2I*, Upgraded to Baa1 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2BI*, Upgraded to Baa2 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2AI*, Upgraded to A3 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2RB, Upgraded to Baa2 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2SB, Upgraded to Baa2 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2TB, Upgraded to Baa2 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

Cl. M-2UB, Upgraded to Baa2 (sf); previously on Nov 20, 2020
Definitive Rating Assigned Ba1 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool. In this
transaction, high prepayment rates have averaged around 22%-37%
over the last six months, driven by the low interest rate
environment. This has benefited the bonds by increasing the paydown
and building credit enhancement. The transaction is structured with
sequential principal distributions amongst the subordinate bonds.

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

Moody's identified loans granted payment relief based on a review
of loan level cashflows over the last few months. In Moody's
analysis, Moody's considered loans that: (1) were not liquidated
but took a loss in the reporting period (to capture loans with
monthly deferrals that were reported as current) or (2) have actual
balances that increased or were unchanged in the reporting period,
excluding interest-only loans and pay-ahead loans, to be loans
under a payment relief program. Based on Moody's analysis, the
proportion of borrowers that are enrolled in payment relief plans
in the underlying pool ranged around 0.9%-1.3% over the last six
months.

In response to the COVID-19-spurred economic shock, the GSEs have
enacted temporary policies that allow servicers to offer payment
forbearance to borrowers impacted by COVID-19. The GSEs report
these loans that are granted forbearance as delinquent for purposes
of CRT transactions despite suspension of reporting borrowers to
the credit bureaus. Additionally, delinquencies caused by COVID-19
qualify for "natural disaster" treatment, and the transaction
provide a grace period for such loans before they are recognized as
a Credit Event Reference Obligation (when the loans become 180 day
or more delinquent). The losses are allocated based on actual
losses incurred upon liquidation of defaulted mortgage loans in the
reference pool (i.e., "actual loss" transaction) and these losses
are allocated to bondholders, reverse sequentially.

Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicer.

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

Principal Methodologies

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2021.

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

Up

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

Down

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


STRATA CLO II: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Strata CLO II
Ltd./Strata CLO II LLC's floating-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool;

-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;

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

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

  Ratings Assigned

  Strata CLO II Ltd./Strata CLO II LLC

  Class A-1, $200.0 million: AAA (sf)
  Class A-2, $20.0 million: AAA (sf)
  Class B, $52.0 million: AA (sf)
  Class C (deferrable), $39.0 million: A (sf)
  Class D (deferrable), $26.0 million: BBB- (sf)
  Class E (deferrable), $16.0 million: BB- (sf)
  Subordinated notes, $55.6 million: Not rated



VOYA CLO 2020-3: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, A-R, B-R, C-R, D-R, and E-R replacement notes from Voya CLO
2020-3 Ltd./Voya CLO 2020-3 LLC, a CLO originally issued in
November 2020 that is managed by Voya Alternative Asset Management
LLC.

The preliminary ratings are based on information as of Oct. 8,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Oct. 20, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes 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 reinvestment period will be by extended approximately three
years.

-- The stated maturity period will be extended by approximately
three years.

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

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

-- The replacement class A-R notes are expected to be issued at a
floating-rate spread, replacing the current class A-1 floating-rate
spread and class A-2 fixed-rate coupon notes.

-- The class X-R notes will be issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during the first eight payment dates beginning
with the payment date in January 2022.

-- No additional subordinated notes will be issued on the
refinancing date.

  Replacement And Original Note Issuances

  Replacement notes

  Class X-R, $4.00 million: Three-month LIBOR + 0.65%
  Class A-R, $248.00 million: Three-month LIBOR + 1.15%
  Class B-R, $56.00 million: Three-month LIBOR + 1.60%
  Class C-R, $24.00 million: Three-month LIBOR + 2.00%
  Class D-R, $24.00 million: Three-month LIBOR + 3.25%
  Class E-R, $16.00 million: Three-month LIBOR + 6.40%
  Subordinated notes, $32.70 million: Residual

  Original notes

  Class X, $4.00 million: Three-month LIBOR + 0.65%
  Class A-1, $221.00 million: Three-month LIBOR + 1.30%
  Class A-2, $31.00 million: 1.592%
  Class B, $52.00 million: Three-month LIBOR + 1.70%
  Class C, $24.00 million: Three-month LIBOR + 2.40%
  Class D, $24.00 million: Three-month LIBOR + 3.95%
  Class E, $12.00 million: Three-month LIBOR + 6.28%
  Subordinated notes, $32.70 million: Residual

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.

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

  Preliminary Ratings Assigned

  Voya CLO 2020-3 Ltd./Voya CLO 2020-3 LLC

  Class X-R, $4.00 million: AAA (sf)
  Class A-R, $248.00 million: AAA (sf)
  Class B-R, $56.00 million: AA (sf)
  Class C-R, $24.00 million: A (sf)
  Class D-R, $24.00 million: BBB- (sf)
  Class E-R, $16.00 million: BB- (sf)
  Subordinated notes, $32.70 million: Not rated



WELLS FARGO 2021-INV1: S&P Assigns Prelim 'B' Rating on B-5 Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Wells Fargo
Mortgage Backed Securities 2021-INV1 Trust's mortgage pass-through
certificates.

The certificate issuance is an RMBS transaction backed by
residential mortgage loans.

The preliminary ratings are based on information as of Oct. 13,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The high-quality collateral in the pool;

-- The available credit enhancement;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework;

-- The geographic concentration;

-- The experienced originator;

-- The due diligence results, on a 27.1% significant random
sample, consistent with represented loan characteristics; and

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

  Preliminary Ratings Assigned

  Wells Fargo Mortgage Backed Securities 2021-INV1 Trust

  Class A-1, $424,240,000: AAA (sf)
  Class A-2, $424,240,000: AAA (sf)
  Class A-3, $318,180,000: AAA (sf)
  Class A-4, $318,180,000: AAA (sf)
  Class A-5, $106,060,000: AAA (sf)
  Class A-6, $106,060,000: AAA (sf)
  Class A-7, $254,544,000: AAA (sf)
  Class A-8, $254,544,000: AAA (sf)
  Class A-9, $169,696,000: AAA (sf)
  Class A-10, $169,696,000: AAA (sf)
  Class A-11, $63,636,000: AAA (sf)
  Class A-12, $63,636,000: AAA (sf)
  Class A-13, $68,939,000: AAA (sf)
  Class A-14, $68,939,000: AAA (sf)
  Class A-15, $37,121,000: AAA (sf)
  Class A-16, $37,121,000: AAA (sf)
  Class A-17, $31,755,000: AAA (sf)
  Class A-18, $31,755,000: AAA (sf)
  Class A-19, $455,995,000: AAA (sf)
  Class A-20, $455,995,000: AAA (sf)
  Class A-IO1, $455,995,000(i): AAA (sf)
  Class A-IO2, $424,240,000(i): AAA (sf)
  Class A-IO3, $318,180,000(i): AAA (sf)
  Class A-IO4, $106,060,000(i): AAA (sf)
  Class A-IO5, $254,544,000(i): AAA (sf)
  Class A-IO6, $169,696,000(i): AAA (sf)
  Class A-IO7, $63,636,000(i): AAA (sf)
  Class A-IO8, $68,939,000(i): AAA (sf)
  Class A-IO9, $37,121,000(i): AAA (sf)
  Class A-IO10, $31,755,000(i): AAA (sf)
  Class A-IO11, $455,995,000(i): AAA (sf)
  Class B-1, $10,482,000: AA (sf)
  Class B-2, $10,982,000: A (sf)
  Class B-3, $7,986,000: BBB (sf)
  Class B-4, $5,741,000: BB (sf)
  Class B-5, $4,492,000: B (sf)
  Class B-6, $3,495,543: Not rated
  Class R: Not rated
  RR Interest: $26,272,292: Not rated

  (i)Notional balance.



ZAIS CLO 17: Moody's Assigns Ba3 Rating to $18MM Class E Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to ten classes of
notes issued by ZAIS CLO 17, Limited (the "Issuer").

Moody's rating action is as follows:

US$119,000,000 Class A-1-A Senior Secured Floating Rate Notes due
2033, Assigned Aaa (sf)

US$49,000,000 Class A-1-F Senior Secured Fixed Rate Notes due 2033,
Assigned Aaa (sf)

US$60,000,000 Class A-1-Y Senior Secured Floating Rate Notes due
2033, Assigned Aaa (sf)

US$12,000,000 Class A-1-Z Senior Secured Floating Rate Notes due
2033, Assigned Aaa (sf)

US$16,000,000 Class A-2 Senior Secured Floating Rate Notes due
2033, Assigned Aaa (sf)

US$17,000,000 Class B-1 Senior Secured Floating Rate Notes due
2033, Assigned Aa2 (sf)

US$31,000,000 Class B-F Senior Secured Fixed Rate Notes due 2033,
Assigned Aa2 (sf)

US$20,000,000 Class C Deferrable Mezzanine Floating Rate Notes due
2033, Assigned A2 (sf)

US$22,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2033, Assigned Baa3 (sf)

US$18,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2033, Assigned Ba3 (sf)

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

RATINGS RATIONALE

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

ZAIS CLO 17, Limited is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second-lien loans,
unsecured loans, and permitted non-loan assets. The portfolio is
approximately 90% ramped as of the closing date.

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

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

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

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

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

Par amount: $400,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2727

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 45.0%

Weighted Average Life (WAL): 7.0 years

Methodology Underlying the Rating Action:

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

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

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


[*] Moody's Hikes 11 Bonds From 2 RMBS Deals Issued in 2004
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 11 bonds from
two US residential mortgage backed securities (RMBS), backed by
subprime and Alt-A mortgages issued by multiple issuers.

A list of Affected Credit Ratings is available at
https://bit.ly/3aoV7uQ

Issuer: Accredited Mortgage Loan Trust 2004-2, Asset-Backed Notes,
Series 2004-2

Cl. A-1, Upgraded to Ba1 (sf); previously on Feb 18, 2020 Upgraded
to Ba3 (sf)

Underlying Rating: Upgraded to Ba1 (sf); previously on Feb 18, 2020
Upgraded to Ba3 (sf)

Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)

Cl. A-2, Upgraded to Ba1 (sf); previously on Feb 18, 2020 Upgraded
to Ba3 (sf)

Underlying Rating: Upgraded to Ba1 (sf); previously on Feb 18, 2020
Upgraded to Ba3 (sf)

Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)

Issuer: Impac CMB Trust Series 2004-6 Collateralized Asset-Backed
Bonds, Series 2004-6

Cl. 1-A-1, Upgraded to A2 (sf); previously on Jan 30, 2017 Upgraded
to Baa1 (sf)

Cl. 1-A-2, Upgraded to A1 (sf); previously on Jan 30, 2017 Upgraded
to A2 (sf)

Cl. 1-A-3, Upgraded to A3 (sf); previously on Dec 12, 2018 Upgraded
to Baa2 (sf)

Cl. M-1, Upgraded to Ba1 (sf); previously on Jan 17, 2018 Upgraded
to Ba2 (sf)

Cl. M-2, Upgraded to Ba2 (sf); previously on Jan 17, 2018 Upgraded
to B1 (sf)

Cl. M-3, Upgraded to Ba3 (sf); previously on Dec 12, 2018 Upgraded
to B2 (sf)

Cl. M-4, Upgraded to B1 (sf); previously on Dec 12, 2018 Upgraded
to B3 (sf)

Cl. M-5, Upgraded to B1 (sf); previously on Dec 12, 2018 Upgraded
to B3 (sf)

Cl. M-6, Upgraded to B2 (sf); previously on Dec 12, 2018 Upgraded
to Caa1 (sf)

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools and / or an increase in credit enhancement available
to the bonds. In light of the current macroeconomic environment,
Moody's revised loss expectations based on the extent of
performance deterioration of the underlying mortgage loans,
resulting from a slowdown in economic activity and increased
unemployment due to the coronavirus outbreak. Specifically, Moody's
have observed an increase in delinquencies, payment forbearance,
and payment deferrals since the start of pandemic, which could
result in higher realized losses.

Moody's analysis considers the current proportion of loans granted
payment relief in each individual transaction. Moody's identified
these loans based on a review of loan level cashflows over the last
few months. Based on Moody's analysis, the proportion of borrowers
that are currently enrolled in payment relief plans varied greatly,
ranging between approximately 5% and 7% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative, which could
incur write-downs on bonds when missed payments are deferred.

Moody's rating actions also take into consideration the buildup in
credit enhancement of the bonds, especially in an environment of
elevated prepayment rates. The increase in credit enhancement,
driven by elevated prepayment rates, has helped offset the impact
of the increase in expected losses spurred by the pandemic.

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

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

Principal Methodologies

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2020.

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

Up

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

Down

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


[*] Moody's Hikes Ratings on $125MM of RMBS Deals Issued 2005-2007
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 14 bonds from
three US residential mortgage backed transactions (RMBS), backed by
subprime mortgages issued by multiple issuers.

The complete rating action is as follows:

Issuer: RASC Series 2007-KS2 Trust

Cl. A-I-3, Upgraded to B2 (sf); previously on Dec 20, 2018 Upgraded
to Caa2 (sf)

Cl. A-I-4, Upgraded to Caa2 (sf); previously on Dec 20, 2018
Upgraded to Ca (sf)

Cl. A-II, Upgraded to B2 (sf); previously on Dec 20, 2018 Upgraded
to Caa1 (sf)

Issuer: Structured Asset Securities Corp Trust 2005-WF1

Cl. M1, Upgraded to Aa1 (sf); previously on Feb 24, 2020 Upgraded
to Aa3 (sf)

Cl. M2, Upgraded to Baa1 (sf); previously on Feb 24, 2020 Upgraded
to Baa3 (sf)

Cl. M3, Upgraded to Baa3 (sf); previously on Feb 24, 2020 Upgraded
to Ba2 (sf)

Cl. M4, Upgraded to B2 (sf); previously on Sep 12, 2018 Upgraded to
Caa1 (sf)

Cl. M5, Upgraded to Caa2 (sf); previously on Sep 12, 2018 Upgraded
to Ca (sf)

Issuer: Structured Asset Securities Corp Trust 2005-WF2

Cl. M1, Upgraded to Aaa (sf); previously on Feb 24, 2020 Upgraded
to Aa2 (sf)

Cl. M2, Upgraded to A1 (sf); previously on Feb 24, 2020 Upgraded to
A3 (sf)

Cl. M3, Upgraded to Baa1 (sf); previously on Feb 24, 2020 Upgraded
to Baa3 (sf)

Cl. M4, Upgraded to Baa3 (sf); previously on Feb 24, 2020 Upgraded
to Ba2 (sf)

Cl. M5, Upgraded to B2 (sf); previously on Sep 12, 2018 Upgraded to
Caa1 (sf)

Cl. M6, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)

A List of Affected Credit Ratings is available at
https://bit.ly/3v6mqE3

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the build up in subordination and
credit enhancement available due to higher than expected
prepayments and/or sequential paydown within these transactions.

In light of the current macroeconomic environment, Moody's revised
loss expectations based on the extent of performance deterioration
of the underlying mortgage loans, resulting from a slowdown in
economic activity and increased unemployment due to the coronavirus
outbreak. Specifically, Moody's have observed an increase in
delinquencies, payment forbearance, and payment deferrals since the
start of pandemic, which could result in higher realized losses.

Moody's analysis considers the current proportion of loans granted
payment relief in each individual transaction. Moody's identified
these loans based on a review of loan level cashflows over the last
few months. In cases where loan level data is not available,
Moody's assumed that the proportion of borrowers enrolled in
payment relief programs would be equal to levels observed in
transactions of comparable asset quality. Based on Moody's
analysis, the proportion of borrowers that are currently enrolled
in payment relief plans varied greatly, ranging between
approximately 2% and 15% among RMBS transactions issued before
2009. In Moody's analysis, Moody's assume these loans to experience
lifetime default rates that are 50% higher than default rates on
the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative, which could
incur write-downs on bonds when missed payments are deferred.

Moody's rating actions also take into consideration the buildup in
credit enhancement of the bonds, especially in an environment of
elevated prepayment rates. The increase in credit enhancement,
driven by elevated prepayment rates, has helped offset the impact
of the increase in expected losses spurred by the pandemic.

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.

Principal Methodologies

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2020.

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

Up

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

Down

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

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


[*] S&P Lowers Ratings on 25 Classes from Seven U.S. CMBS Deal
--------------------------------------------------------------
S&P Global Ratings lowered its ratings on 25 classes of commercial
mortgage pass-through certificates from seven U.S. CMBS
transactions.

S&P lowered its ratings on nine classes to 'D (sf)' due to
accumulated interest shortfalls that it expects to remain
outstanding for the foreseeable future.

S&P said, "At the same time, we lowered our ratings on five
interest-only (IO) classes from four of these transactions to 'D
(sf)' 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. Lastly, we lowered our ratings on 11
exchangeable/replacement classes to 'D (sf)' to reflect the ratings
of the certificates for which they can be exchanged."

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;

-- 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.

J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL6

S&P said, "We lowered our rating to 'D (sf)' on the class D
commercial mortgage pass-through certificates to reflect
accumulated interest shortfalls that we expect to remain
outstanding for the foreseeable future. The accumulated interest
shortfalls have been outstanding for 57 consecutive months.

"We also lowered our rating to 'D (sf)' on the class X-EXT IO
certificates based on our criteria for rating IO securities. Class
X-EXT's notional amount references classes A, B, C, and D."

While class D is not currently shorting, accumulated interest
shortfalls totaling $48,825 due to ASER and other expenses are
outstanding as of the September 2021 trustee remittance report.

J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-FL7

S&P said, "We lowered our ratings to 'D (sf)' on the class BLU1 and
BLU2 commercial mortgage pass-through certificates to reflect
accumulated interest shortfalls that we expect to be outstanding
for the foreseeable future. Both classes had accumulated interest
shortfalls totaling $73,076 and $301,665, respectively, outstanding
for 10 consecutive months.

"We also lowered our ratings to 'D (sf)' on the class BL1A, BL1E,
BL1B, BL2A, BL2E, and BL2B replacement certificates to reflect the
ratings of the certificates for which they can be exchanged. The
class BLU1 exchangeable certificates can be exchanged for a
combination of the class BL1A replacement principal and interest
(P&I) and BL1X or BL1E replacement IO certificates, or the class
BL1B replacement P&I and BL1Y or BL1E replacement IO certificates.
The class BLU2 exchangeable certificates can be exchanged for a
combination of the class BL2A replacement P&I and BL2X or BL2E
replacement IO certificates, or the class BL2B replacement P&I and
BL2Y or BL2E replacement IO certificates."

According to the September 2021 trustee remittance report, the
transaction incurred $37,615 of monthly shortfalls due to ASERs on
the sole remaining loan, the BlueMountain Lodging Portfolio loan.
The shortfalls affected classes BLU1 and BLU2.

CG-CCRE Commercial Mortgage Trust 2014-FL1

S&P lowered its rating to 'D (sf)' on the class YTC3 commercial
mortgage pass-through certificates to reflect accumulated interest
shortfalls that it expects to remain outstanding for the
foreseeable future. The accumulated interest shortfalls had been
outstanding for 13 consecutive months.

According to the September 2021 trustee remittance report, while
class YTC3 is not currently shorting, an accumulated interest
shortfall balance of $1,751 is outstanding due primarily from
accrued unpaid interest advanced on the previously specially
serviced Yorktown Center loan.

CG-CCRE Commercial Mortgage Trust 2014-FL2

S&P said, "We lowered our rating to 'D (sf)' on the class E
commercial mortgage pass-through certificates to reflect
accumulated interest shortfalls that we expect to remain
outstanding for the foreseeable future. The accumulated interest
shortfalls had been outstanding for 11 consecutive months.

"We also lowered our rating to 'D (sf)' on the class X-EXT IO
certificates based on our criteria for rating IO securities. Class
X-EXT's notional amount references classes A, B, C, D, and E."

According to the September 2021 trustee remittance report, class E
had accumulated interest shortfalls outstanding totaling $12,223,
which resulted from cumulative accrued unpaid interest advanced on
the specially serviced loans, South Towne Center and Colonie
Center.

HMH Trust 2017-NSS

S&P said, "We lowered our rating to 'D (sf)' on the class F
commercial mortgage pass-through certificates to reflect
accumulated interest shortfalls that we believe will remain
outstanding for the foreseeable future. The accumulated interest
shortfalls had been outstanding for 12 consecutive months."

According to the September 2021 trustee remittance report, while
class F is not currently shorting, $1.6 million in accumulated
interest shortfalls due to ASERs on the specially serviced
Shidler/NSSP- Hospitality Portfolio loan is outstanding.

Natixis Commercial Mortgage Securities Trust 2018-FL1

S&P said, "We lowered our ratings to 'D (sf)' on the class D and
NHP2 commercial mortgage pass-through certificates to reflect
accumulated interest shortfalls that we expect to remain
outstanding for the foreseeable future. Class NHP2 derives 100% of
its cash flow from a subordinate component of The National Select
Service Hotel Portfolio whole loan. Classes D and NHP2 had
accumulated interest shortfalls outstanding for 11 and five
consecutive months, respectively.

"We also lowered our ratings to 'D (sf)' on the class X-EXT, X-F,
and X-FNH certificates based on our criteria for rating IO
securities. Classes X-F's and X-EXT's notional amounts reference
classes A, B, C, and D. Class X-FNH's notional amount references
classes NHP1 and NHP2.

"Lastly, we lowered our ratings to 'D (sf)' on the exchangeable
certificates V-P, V-XF, V-FNH, and V-NHP to reflect the ratings of
the certificates for which they can be exchanged. Class V-P can be
exchanged for classes A, X-CP, X-EXT, B, C, and D. Class V-XF can
be exchanged for class X-F. Class V-FNH can be exchanged for class
X-FNH. Class V-NHP can be exchanged for classes NHP1 and NHP2."

According to the September 2021 trustee remittance report, the
current monthly interest shortfalls totaled $58,019 due primarily
from ASERs totaling $39,721 on the Promenade Shops at Centerra loan
and special servicing fees totaling $18,299 for the Promenade Shops
at Centerra and Olathe Retail Portfolio loans.

J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-FL11

S&P siad, "We lowered our rating to 'D (sf)' on the class F
commercial mortgage pass-through certificates to reflect
accumulated interest shortfalls that we expect to remain
outstanding for the foreseeable future. Class F had accumulated
interest shortfalls outstanding for nine consecutive months.

"We also lowered our rating to 'D (sf)' on the class X-EXT IO
certificates based on our criteria for rating IO securities. Class
X-EXT's notional amount references the class A, B, C, D, E, and F
certificates."

According to the September 2021 trustee remittance report while
class F is not currently shorting, accumulated interest shortfalls
totaling $27,302 is outstanding due to special servicing fees and
other expenses.

  Ratings Lowered

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL6

  Class D to D (sf) from CCC- (sf)
  Class X-EXT to D (sf) from CCC- (sf)

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-FL7

  Class BLU1 to D (sf) from CCC (sf)
  Class BLU2 to D (sf) from CCC (sf)
  Class BL1A to D (sf) from CCC (sf)
  Class BL1E to D (sf) from CCC (sf)
  Class BL1B to D (sf) from CCC (sf)
  Class BL2A to D (sf) from CCC (sf)
  Class BL2E to D (sf) from CCC (sf)
  Class BL2B to D (sf) from CCC (sf)

  CG-CCRE Commercial Mortgage Trust 2014-FL1
  Class YTC3 to D (sf) from CCC (sf)

  CG-CCRE Commercial Mortgage Trust 2014-FL2

  Class E to D (sf) from CCC (sf)
  Class X-EXT to D (sf) from CCC (sf)

   HMH Trust 2017-NSS

  Class F to D (sf) from CCC (sf)

  Natixis Commercial Mortgage Securities Trust 2018-FL1

  Class D to D (sf) from CCC (sf)
  Class X-EXT to D (sf) from CCC (sf)
  Class X-F to D (sf) from CCC (sf)
  Class NHP-2 to D (sf) from CCC (sf)
  Class X-FNH to D (sf) from CCC (sf)
  Class V-NHP to D (sf) from CCC (sf)
  Class V-P to D (sf) from CCC (sf)
  Class V-XF to D (sf) from CCC (sf)
  Class V-FNH to D (sf) from CCC (sf)

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-FL11

  Class F to D (sf) from CCC (sf)
  Class X-EXT to D (sf) from CCC (sf)



[*] S&P Raises Ratings on 31 Classes from 22 US Cash Flow CLO Notes
-------------------------------------------------------------------
S&P Global Ratings raised its ratings on 31 classes of notes from
22 U.S. cash flow CLO transactions and affirmed its ratings on 107
classes. Thirty-five of these ratings were removed from
CreditWatch, where they were placed with positive implications on
Aug. 20, 2021.

A list of Affected Ratings can be viewed at:

             https://bit.ly/3DyATM1

S&P said, "The rating actions followed the application of our
global corporate CLO criteria and our credit and cash flow analysis
of each transaction. Our analysis of the transactions entailed a
review of their performance, and the ratings list below highlights
key performance metrics behind specific rating changes.

"Nearly all the CLOs in today's actions are still in their
reinvestment period. Most had one or more tranche ratings lowered
during the pandemic last year. Since then, credit conditions in the
leveraged finance market have improved markedly, and a significant
number of corporate loan issuers have seen their ratings raised out
of the 'CCC' range. The reduction in exposure to 'CCC' assets
benefited our quantitative analysis for many of the tranches and
was one of the primary factors for the upgrades.

"For CLO tranches with ratings of 'B-' or lower, we rely primarily
on our 'CCC' criteria and guidance. If, in our view, payment of
principal or interest when due is dependent on favorable business,
financial, or economic conditions, we will generally assign a
rating in the 'CCC' category. If, on the other hand, we believe a
tranche can withstand a steady-state scenario without being
dependent on such favorable conditions to meet its financial
commitments, we will generally raise the rating to 'B- (sf)' even
if our CDO Evaluator and S&P Cash Flow Evaluator models would
indicate a lower rating. In assessing how a CLO tranche might
perform under a steady-state scenario, we considered the
speculative-grade nonfinancial corporate default rate (the default
rate of nonfinancial corporations rated 'BB+' or lower) over the
decade prior to the 2020 pandemic and determined whether the
tranche currently has sufficient credit enhancement, in our view,
to withstand the average corporate default rate from this time
frame."

The upgrades of tranches rated 'B (sf)' and higher primarily
reflect improvement in the credit quality of the portfolio,
improvement in overcollateralization levels, and passing cash flow
results at higher ratings.

S&P said, "The affirmations indicate that the current credit
enhancement available to those classes is still commensurate, in
our view, with the current ratings. Although our cash flow analysis
indicated higher ratings for some classes of notes, our
affirmations of these ratings allow for volatility in the
underlying portfolios given that the transactions are still within
their reinvestment periods.

"In line with our criteria, our cash flow analysis applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries under various interest rate scenarios. This
was done to assess the transactions' ability to pay timely interest
and/or ultimate principal to each of the rated classes under the
stresses outlined in our criteria. The results of the cash flow
analysis, along with qualitative factors as applicable,
demonstrated to us that the rated outstanding classes have adequate
credit enhancement available at the current rating levels following
the rating actions.

"While each class' indicative cash flow results were a primary
factor in our rating decisions, we also incorporate other
qualitative considerations when reviewing the indicative ratings
suggested by our projected cash flows." These considerations
typically include:

-- Existing subordination or overcollateralization and recent
trends;

-- The cushion available for coverage ratios and comparative
analysis with other CLO classes with similar ratings;

-- Forward-looking scenarios for 'CCC' and 'CCC-' rated
collateral, as well as collateral with stressed market values;

-- Current obligor and industry concentration levels; and

-- Additional sensitivity runs (if applicable) to account for any
of the above.

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


[*] S&P Takes Various Actions on 58 Classes from 20 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 58 ratings from 20 U.S.
RMBS transactions issued between 2002 and 2007. The review yielded
21 upgrades, two downgrades, and 35 affirmations.

A list of Affected Ratings can be viewed at:

            https://bit.ly/3azrerS

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;
-- An increase or decrease in available credit support;
-- Historical missed interest payments;
-- Reduced interest payments due to loan modifications; 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, and/or reflect the application of
specific criteria applicable to these classes. See the ratings list
below for the specific rationales associated with each of the
classes with rating transitions.

"The rating affirmations reflect our opinion that our projected
credit support 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
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S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
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Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
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
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                   *** End of Transmission ***