/raid1/www/Hosts/bankrupt/TCR_Public/211024.mbx          T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, October 24, 2021, Vol. 25, No. 296

                            Headlines

20 TIMES 2018-20TS: DBRS Confirms B(low) Rating on 2 Classes
ABPCI DIRECT IV: S&P Assigns 'BB-' Rating on Class E-R Notes
ACREC 2021-FL1: DBRS Gives Prov. B(low) Rating on Class G Notes
AGL CLO I: Moody's Assigns Ba3 Rating to $25.25MM Class E-R Notes
AIMCO CLO 2015-A: Moody's Assigns Ba3 Rating to $23.2MM E-R2 Notes

AMSR 2020-SFR4: DBRS Confirms B(low) Rating on Class G-2 Trust
AMSR 2021-SFR3: DBRS Finalizes B(low) Rating on Class G Certs
ANGEL OAK 2021-6: Fitch Assigns Final B Rating on Class B-2 Debt
ANTARES CLO 2017-2: S&P Assigns BB- (sf) Rating on Class E-R Notes
APIDOS CLO XXI: Moody's Ups Rating on $25MM Class D-R Notes to Ba2

ARBOR REALTY 2021-FL3: DBRS Finalizes B(low) Rating on Cl. G Notes
ARES CLO XXVII: Moody's Assigns Ba3 Rating to $26.5MM E-R2 Notes
ASHFORD HOSPITALITY 2018-ASHF: DBRS Confirms BB Rating on E Certs
ATLAS SENIOR XVII: S&P Assigns BB- (sf) Rating on Class E Notes
AVANT CREDIT 2021-1: DBRS Finalizes BB(low) Rating on Class D Notes

BABSON CLO 2014-I: Moody's Ups Rating on $29.125MM D Notes to Ba1
BAIN CAPITAL 2021-5: Moody's Assigns (P)Ba3 Rating to Cl. E Notes
BALLYROCK CLO 2020-2: S&P Assigns BB- (sf) Rating on D-R Notes
BANK 2018-BNK15: Fitch Affirms B- Rating on 2 Tranches
BARINGS CLO 2020-I: Moody's Gives Ba3 Rating to $15.75MM E-R Notes

BATTALION CLO 18: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
BBCMS 2020-BID: DBRS Confirms BB Rating on Class HRR Certs
BBCMS MORTGAGE 2017-C1: Fitch Lowers 2 Tranches to 'CCC'
BBCMS TRUST 2018-CBM: DBRS Confirms B(high) Rating on Class F Certs
BDS 2020-FL6: DBRS Confirms B(low) Rating on Class G Notes

BELLEMEADE RE 2021-3: DBRS Finalizes B(high) Rating on B-1 Notes
BENCHMARK 2018-B2: Fitch Affirms B Rating on G-RR Certs
BENCHMARK MORTGAGE 2018-B8: Fitch Affirms B- Rating on G-RR Debt
BENEFIT STREET XII: Moody's Hikes Rating on $42MM C Notes From Ba1
BLACKROCK DLF 2019: DBRS Hikes Class E Notes Rating to B(high)

BRAEMAR HOTELS: DBRS Confirms BB Rating on Class E Certs
BSPDF 2021-FL1: DBRS Gives Prov. B(low) Rating on Class H Notes
BX COMMERCIAL 2021-VOLT: DBRS Finalizes BB Rating on Class G Trust
BX TRUST 2021-SDMF: DBRS Finalizes B(low) Rating on Class G Certs
CANYON CLO 2020-2: S&P Assigns BB- (sf) Rating on Class E-R Notes

CD 2017-CD6: Fitch Affirms B- Rating on Class G-RR Debt
CEDAR FUNDING X: S&P Assigns BB- (sf) Rating on Class E-R Notes
CHT 2017-COSMO: DBRS Confirms BB(high) Rating on Class F Certs
CIFC FUNDING 2019-IV: Moody's Assigns Ba3 Rating to Cl. D-R Notes
CIFC FUNDING 2021-VI: S&P Assigns Prelim BB-(sf) Rating on E Notes

CIM TRUST 2021-R6: DBRS Gives Prov. B Rating on Class B2 Notes
CITIGROUP COMMERCIAL 2021-KEYS: DBRS Gives (P) B(low) on G Certs
CITIGROUP MORTGAGE 2021-INV3: DBRS Gives Prov. BB(low) on B5 Certs
COLONNADE PROGRAMME 2018-5: DBRS Confirms BB (high) on K Tranche
COLT 2021-4: Fitch Assigns Final B Rating on Class B-2 Certs

COMM 2014-CCRE15: DBRS Confirms B Rating on Class F Certs
COMM 2020-CX: DBRS Confirms BB Rating on 2 Classes
CONNECTICUT 2021-R01: S&P Assigns Prelim 'B+' Rating on 1B-1 Notes
CONTINENTAL CREDIT: DBRS Confirms BB(low) on Class C Notes
CROWN POINT 8: Moody's Assigns Ba3 Rating to $19.125MM E-R Notes

CROWN POINT 8: Moody's Gives (P)Ba3 Rating to $19.125MM E-R Notes
DRYDEN 85: S&P Assigns BB- (sf) Rating on $18MM Class E-R Notes
ELARA HGV 2021-A: Fitch Assigns Final BB Rating on Class D Notes
ELMWOOD CLO III: Moody's Assigns B3 Rating to $10MM Cl. F-R Notes
ELMWOOD CLO VI: S&P Assigns B- (sf) Rating on Class F-R Notes

EXANTAS CAPITAL 2020-RSO9: DBRS Confirms B(low) Rating on F Notes
FORT WASHINGTON 2019-1: S&P Assigns BB- (sf) Rating Class E-R Notes
FREDDIE MAC 2021-HQA3: DBRS Gives Prov. BB Rating on 16 Classes
GOLDENTREE LOAN 5: S&P Affirms 'B- (sf)' Rating on Class E-R Notes
GOLDMAN SACHS 2011-GC5: Fitch Lowers Class E Certs Rating to 'C'

GOODLEAP 2021-5: S&P Assigns Prelim BB (sf) Rating on C Notes
GOODLEAP SUSTAINABLE 2021-5: Fitch Gives BB(EXP) Rating to C Notes
GS MORTGAGE 2012-GC6: Fitch Affirms CCC Rating on Class F Debt
GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Certs
GS MORTGAGE 2017-STAY: DBRS Confirms B Rating on Class HRR Certs

GS MORTGAGE 2021-IP: DBRS Gives Prov. BB Rating on Class F Certs
GS MORTGAGE 2021-PJ10: Moody's Assigns (P)B3 Rating to B-5 Certs
GS MORTGAGE 2021-PJ9: DBRS Finalizes B Rating on Class B-5 Certs
GUARDIA 1 LTD: Moody's Assigns Ba2 Rating to $17.5MM Class D Notes
GUGGENHEIM CLO 2019-1: S&P Assigns BB- (sf) Rating on D-2-R Notes

HGI CRE CLO 2021-FL2: DBRS Finalizes B(low) Rating on G Notes
HONO 2021-LULU: DBRS Gives Prov. B(low) Rating on Class F Certs
HOUSTON GALLERIA 2015-HGLR: DBRS Confirms BB Rating on Cl. E Certs
IMPERIAL 2021-NQM3: S&P Assigns Prelim B(sf) Rating on B-2 Certs
JAMESTOWN CLO XIV: Moody's Assigns Ba3 Rating to $24.5MM D-R Notes

JP MORGAN 2018-ASH8: DBRS Confirms B(low) Rating on Cl. F Certs
JP MORGAN 2020-1: Moody's Hikes Rating on 2 Tranches to Ba3
JP MORGAN 2021-12: DBRS Confirms B(high) Rating on Cl. B5 Certs
JP MORGAN 2021-12: DBRS Finalizes B(high) Rating on B-5 Certs
JP MORGAN 2021-1MEM: DBRS Gives Prov. B Rating on HRR Certs

JPMBB COMMERCIAL 2015-C28: DBRS Confirms B Rating on X-F Certs
LOANCORE 2021-CRE4: DBRS Confirms B(low) Rating on Class G Notes
LUXE TRUST 2021-TRIP: DBRS Gives Prov. B(low) Rating on 2 Classes
MF1 2019-FL2: DBRS Hikes Class G Notes Rating to B(high)
MF1 2021-FL7: DBRS Finalizes B(low) Rating on Class H Notes

MFA TRUST 2021-AEINV1: Moody's Assigns B2 Rating to Cl. B-5 Certs
MILL CITY 2021-RS1: Fitch Assigns BB- Rating on Class A2 Debt
ML-CFC COMMERCIAL 2007-5: Moody's Lowers Rating on 2 Tranches to Ca
MOUNTAIN VIEW XIV: Moody's Assigns B3 Rating to $3MM Cl. F-R Notes
NATIONSTAR HECM 2020-1: DBRS Confirms BB Rating on Class M5 Debt

NATIXIS COMMERCIAL 2018-RIVA: DBRS Confirms BB(low) on 6 Classes
NEUBERGER BERMAN 33: S&P Assigns Prelim 'BB-' Rating on E-R Notes
NEUBERGER BERMAN 38: S&P Assigns BB- (sf) Rating on Class E-R Notes
NPC FUNDING IX: DBRS Gives Prov. BB(low) Rating on 2 Classes
NYACK PARK: S&P Assigns BB- (sf) Rating on $18.50MM Class E Notes

OBX 2021-J3: DBRS Gives Prov. B Rating on Class B-5 Notes
OCEAN TRAILS IX: Moody's Assigns Ba3 Rating to $19.5MM E-R Notes
OCEANVIEW MORTGAGE 2021-5: Moody's Assigns B3 Rating to B-5 Certs
OCTAGON INVESTMENT 41: Moody's Gives Ba3 Rating to $28MM E-R Notes
OHA CREDIT 4: S&P Assigns Prelim BB-(sf) Rating on Class E-R Notes

OPG TRUST 2021-PORT: DBRS Gives Prov. B(low) Rating on G Certs
PARK AVENUE 2019-2: S&P Assigns BB- (sf) Rating on Class D-R Notes
PFP 2021-8: DBRS Finalizes B(low) Rating on Class G Notes
PMT LOAN 2021-INV1: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs
PPM CLO 4: Moody's Assigns Ba3 Rating to $14.875MM Cl. E-R Notes

PRKCM 2021-AFC1: DBRS Gives Prov. B(low) Rating on Class B-2 Notes
RATE MORTGAGE 2021-J3: DBRS Gives Prov. B Rating on B-5 Certs
RCKT MORTGAGE 2020-1: Moody's Ups Rating on Cl. B-4 Certs From Ba2
REGATTA XII: S&P Assigns BB-(sf) Rating on $13.85MM Class E-R Notes
REGIONAL MANAGEMENT 2021-1: DBRS Confirms BB on Class D Debt

ROMARK CLO III: Moody's Assigns Ba3 Rating to $19.25MM D-R Notes
SEQUOIA MORTGAGE 2021-7: Fitch Rates Class B-4 Certs 'BB-'
SHELTER GROWTH 2021-FL3: DBRS Finalizes B(low) Rating on H Notes
SIERRA TIMESHARE 2021-2: Fitch Gives BB(EXP) Rating to Cl. D Debt
SIERRA TIMESHARE 2021-2: S&P Assigns Prelim 'BB' Rating on D Notes

SIXTH STREET XX: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
SOUND POINT XXVII: S&P Assigns Prelims BB-(sf) Rating on E-R Notes
TCP DLF 2018: DBRS Hikes Class D Notes Rating to BB(high)
TCW CLO 2017-1: S&P Assigns Prelim BB-(sf) Rating on Cl. ERR Notes
TOWD POINT 2018-SL1: DBRS Confirms Ratings on All Trust Classes

TRALEE CLO V: S&P Assigns Prelim B- (sf) Rating on Class F-R Notes
VERUS SECURITIZATION 2021-5: DBRS Finalizes B Rating on B-2 Notes
VERUS SECURITIZATION 2021-6: S&P Assigns Prelim B (sf) on B-2 Notes
VOYA CLO 2020-3: S&P Assigns BB- (sf) Rating on Class E-R Notes
WELLS FARGO 2011-C4: Fitch Affirms CC Rating on Class G Certs

WELLS FARGO 2016-C34: Fitch Lowers Rating on 2 Tranches to 'CC'
WELLS FARGO 2018-C48: Fitch Affirms B- Rating on G-RR Certs
WELLS FARGO 2021-2: DBRS Finalizes B Rating on Class B-5 Certs
WHETSTONE PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
WIND RIVER 2016-1K: Moody's Assigns B3 Rating to $5MM F-R2 Notes

WOODMONT 2017-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
[*] DBRS Reviews 717 Classes from 66 U.S. RMBS Transactions
[*] DBRS Reviews 855 Classes from 56 U.S. RMBS Transactions
[*] S&P Takes Various Actions on 68 Classes from 8 US RMBS Deals

                            *********

20 TIMES 2018-20TS: DBRS Confirms B(low) Rating on 2 Classes
-------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-20TS issued by 20 Times
Square Trust 2018-20TS as follows:

-- Class A at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class D at AA (low) (sf)
-- Class E at A (low) (sf)
-- Class F at BBB (low) (sf)
-- Class G at B (high) (sf)
-- Class H at B (low) (sf)
-- Class V at B (low) (sf)

All trends are Negative because the underlying collateral continues
to face performance challenges associated with the Coronavirus
Disease (COVID-19) global pandemic. Additionally, there remains
uncertainty surrounding the workout strategy of the defaulted
noncollateral leasehold interest, which is also owned by the
sponsor, Maefield Development.

The subject of this rating action is the financing (leased-fee
mortgage) of $750.0 million, backed by a mixed-use property in
Manhattan. The property's ground lease and the leased-fee financing
are senior to the leasehold interest and leasehold financing. In
addition to the leased-fee mortgage, there is additional leased-fee
financing in the form of a $150.0 million mezzanine note. The total
leased-fee financing is $900.0 million. In addition to the
leased-fee financing, there is a leasehold mortgage with an
estimated balance of $1.1 billion. This mortgage is reported to be
in default; however, the leased-fee financing (which is the subject
of this rating action) remains current as of the September 2021
remittance.

The noncollateral leasehold interest went into default in December
2019 after the lender claimed that there were numerous undischarged
mechanics liens against the property as well as a missed deadline
to lease up the retail space by September 2019. News articles from
July 2021 report that the foreclosure action is still ongoing and
is making its way through the courts.

The underlying collateral is 20 Times Square, a mixed-use property
comprising a 452-key Marriott Edition luxury hotel; 74,820 square
feet (sf) of retail space (5,500 sf of which is
non-revenue-generating storage space); and 18,000 sf of digital
billboards. Because of the coronavirus pandemic's effects and a
dispute with the property owner related to the delinquent leasehold
mortgage, the hotel was temporarily closed after only 10 months of
operation but was re-opened in the fall of 2020. A significant
amount of the retail space remains vacant as the NFL Experience,
which occupied 43,130 sf, closed after only a few months of
operation in 2019. At present, the only retail in place is the
8,440-sf Hershey's Chocolate World flagship store; the remaining
66,380 sf is vacant.

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



ABPCI DIRECT IV: S&P Assigns 'BB-' Rating on Class E-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R, A-1L-R, A-2-R, B-R, C-R, D-R, and E-R notes from ABPCI
Direct Lending Fund CLO IV Ltd./ABPCI Direct Lending Fund CLO IV
LLC, a CLO originally issued in January 2018 that is managed by AB
Private Credit Investors LLC. At the same time, S&P withdrew its
ratings on the original class A-1A, A-1B, A-1L, A-2, B, and C notes
following payment in full on the Oct. 20, 2021, refinancing date.

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

-- The replacement class B-R notes were issued at a lower spread
than the original notes.

-- The replacement class C-R and D-R notes were issued at a higher
spread than the original notes.

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

-- New class A-2-R and E-R notes were issued.

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

-- The non-call period was extended by two years.

-- The first and second static dates were 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."

  Ratings Assigned

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

  Class A-1-R, $171.20 million: AAA (sf)
  Class A-1L-R, $30.00 million: AAA (sf)
  Class A-2-R, $17.70 million: AAA (sf)
  Class B-R, $21.20 million: AA (sf)
  Class C-R (deferrable), $28.30 million: A (sf)
  Class D-R (deferrable), $23.00 million: BBB- (sf)
  Class E-R (deferrable), $7.00 million: BB-
  Subordinated notes, $56.80 million: Not rated

  Ratings Withdrawn

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

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

  NR--Not rated.



ACREC 2021-FL1: DBRS Gives Prov. B(low) Rating on Class G Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by ACREC 2021-FL1, Ltd:

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

All trends are Stable.

Coronavirus Overview

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remain highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, feeling
more immediate effects. Accordingly, DBRS Morningstar may apply
additional short-term stresses to its rating analysis. For example,
DBRS Morningstar may front-load default expectations and/or assess
the liquidity position of a structured finance transaction with
more stressful operational risk and/or cash flow timing
considerations.

The initial collateral consists of 23 floating-rate mortgage loans
secured by 23 transitional multifamily properties. The pool totals
$875.6 million (98.0% of the fully funded balance), excluding $18.4
million of remaining future funding commitments. Each collateral
interest is secured by a mortgage on a multifamily property or a
portfolio of multifamily properties. The transaction is a managed
vehicle, which includes an 18-month reinvestment period. During the
reinvestment period, so long as the note protection tests are
satisfied and no event of default (EOD) has occurred or is
continuing, the collateral manager may direct the reinvestment of
principal proceeds to acquire reinvestment collateral interests,
including funded companion participations, that meet the
eligibility criteria. The eligibility criteria, among other things,
have minimum debt service coverage ratio (DSCR), loan-to-value
ratio (LTV), and loan size limitations. In addition, mortgages
exclusively secured by multifamily properties are allowed as
collateral interests during the reinvestment period. Lastly, the
eligibility criteria stipulate a rating agency confirmation (RAC)
on reinvestment loans, and pari passu participation acquisitions
above $500,000 if a portion of the underlying loan is already
included in the pool, thereby allowing DBRS Morningstar the ability
to review the new collateral interest and any potential impacts on
the overall ratings. Of the 23 loans, there are three unclosed,
delayed-close loans as of September 21, 2021 (Crawford at Grand
Morton (Prospectus ID#6), Yardz at West Cheyenne (Prospectus
ID#15), and Serene at Woodlake (Prospectus ID#22) (together, the
Delayed Close Mortgage Assets), representing a total initial pool
balance of 11.3%. The Issuer has 45 days after closing to acquire
the Delayed Close Mortgage Assets. If the Delayed Close Mortgage
Assets are not acquired within 45 days of the closing date, up to
$5.0 million will be deposited into the Reinvestment Account and
any amount in excess of $5.0 million will be applied as principal
proceeds in accordance with the priority of payments.

The loans are mostly secured by cash flowing assets, many of which
are in a period of transition with plans to stabilize and improve
the asset value. In total, nine loans, representing 39.6% of the
pool, have remaining future funding participations totaling $18.4
million, which the Issuer may acquire in the future.

All loans in the pool are secured by multifamily properties across
13 states. Multifamily properties have historically seen lower
probability of default (PODs) and typically see lower Expected
Losses within the DBRS Morningstar model. Multifamily properties
benefit from staggered lease rollover and generally low expense
ratios compared with other property types. While revenue is quick
to decline in a downturn because of the short-term nature of the
leases, it is also quick to respond when the market improves.
Additionally, most loans in the pool are secured by traditional
multifamily properties, such as garden-style communities or
mid-rise/high-rise buildings, with no independent
living/assisted-living/memory care facilities or student housing
properties included in this pool. Furthermore, during the
transaction's reinvestment period, only multifamily properties
(excluding senior housing and student housing properties) are
eligible to be brought into the trust.

The loan collateral was generally in very good physical condition
as evidenced by two loans, representing 14.0% of the initial pool
balance, are secured by properties that DBRS Morningstar deemed to
be Above Average in quality. An additional 10 loans, representing
53.1% of the initial pool balance, are secured by properties with
Average + quality. Furthermore, no loans in the pool are backed by
a property that DBRS Morningstar considered to be of Average – or
Below Average quality.

The DBRS Morningstar Business Plan Score (BPS) for the loans DBRS
Morningstar analyzed was between 1.3 and 3.3, with an average of
2.02. On a scale of 1 to 5, a higher DBRS Morningstar BPS indicates
more risk in the sponsor's business plan. DBRS Morningstar
considers the anticipated lift at the property from current
performance, planned property improvements, sponsor experience,
projected time horizon, and overall complexity. Compared with
similar transactions, this pool has a lower average DBRS
Morningstar BPS, which is indicative of lower risk.

The weighted-average (WA) DBRS Morningstar Stabilized LTV is lower
than commercial real estate (CRE) collateralized loan obligation
(CLO) transactions recently rated by DBRS Morningstar. Nine loans,
representing 41.4% of the total trust balance, have a DBRS
Morningstar Stabilized LTV less than 70.0%, which decreases
refinance risk at maturity. Four of these loans are in the top 10
largest loans in the pool, including City Club Apartments – CBD
Cincinnati (Prospectus ID#2), Millenium Hometown (Prospectus ID#3),
Tessa at Katy (Prospectus ID#4), and Crawford at Grand Morton
(Prospectus ID#6). Additionally, there are no loans in the pool
with a DBRS Morningstar Stabilized LTV of 80.0% or greater.

Twenty loans, representing 76.4% of the pool, were originated in
2021, with the earliest loan in the pool having a note date of
August 2020. The loan files are recent, including third-party
reports that consider impacts from the coronavirus pandemic.

The ongoing coronavirus pandemic continues to pose challenges and
risks to the CRE sector and, while DBRS Morningstar expects
multifamily (100.0% of the pool) to fare better than most other
property types, its long-term effects on the general economy and
consumer sentiment are still unclear. All loans in the pool were
originated after March 2020, i.e., at the beginning of the pandemic
in the U.S. Loans originated after the pandemic include timely
property performance reports and recently completed third-party
reports, including appraisals.

The Sponsor for the transaction, ACREC REIT, is a new CRE CLO
issuer and collateral manager, and the subject transaction is its
first securitization. ACREC REIT will purchase and retain the most
subordinate portion of the capital structure totaling 17.625%,
including Notes F and G; in addition to the Preferred Shares. This
provides protection to the Offered Notes, as the Issuer will incur
first losses up to 17.625%. DBRS Morningstar met with the Sponsor
and evaluated its investment strategy, organization structure, and
origination practices. Based on this meeting, DBRS Morningstar
found that ACREC REIT met its issuer standards. Furthermore, as of
August 4, 2021, Asia Capital Real Estate (ACRE) had $2.9 billion of
assets under management with strong institutional support.

The transaction is managed and includes three delayed-close loans
and a reinvestment period, which could result in negative credit
migration and/or an increased concentration profile over the life
of the transaction. Eligibility criteria for reinvestment assets
partially offsets the risk of negative credit migration. The
criteria outlines DSCR, LTV, 14 HERF minimum, and property type
limitations. However, a No Downgrade Confirmation RAC is required
from DBRS Morningstar for reinvestment loans and companion
participations above $500,000. Before loans are acquired and
brought into the pool, DBRS Morningstar will analyze them for any
potential ratings impact.

The eligibility criteria allow for a maximum Stabilized LTV of
80.0% and a minimum DSCR of 1.15x. This is considerably more
aggressive than the current pool's Issuer Stabilized WA LTV of
70.6% and DSCR of 1.83x. Furthermore, the stabilized maximum LTV
and minimum DSCR allowed for in the eligibility criteria are
generally more aggressive than recent CRE CLO transactions. Before
the collateral manager can acquire new loans, the loans will be
subject to a No Downgrade Confirmation by DBRS Morningstar.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the as-is cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. A
sponsor's failure to execute the business plan could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan rational and the loan structure sufficient to execute
such plans. In addition, DBRS Morningstar analyzed LGD based on the
as-is credit metrics, assuming the loan was fully funded with no
NCF or value upside.

The pool has seven related borrower groups, which represent 69.1%
of the initial pool balance across 14 loans. The largest sponsor
concentration is 17.4% and consists of City Club Apartments – CBD
Detroit (Prospectus ID#1) and City Club Apartments – CBD
Cincinnati (Prospectus ID#2), followed by the second largest
concentration of 16.6% (Prospectus ID#4 Tessa at Katy, Prospectus
ID#6 Crawford at Grand Morton, and Prospectus ID#9 Verso). The
sponsors for these loans are repeat ACRE borrowers that are
experienced in multifamily investment in their respective markets
and both own more than 2,500 multifamily units worth more than
$500.0 million each.

Because of the ongoing coronavirus pandemic, DBRS Morningstar was
able to perform site inspections on only two loans in the pool: The
Duncan (Prospectus ID#5) and The Otis (Prospectus ID#18). As a
result, DBRS Morningstar relied more heavily on third-party
reports, online data sources, and information from the Issuer to
determine the overall DBRS Morningstar property quality score for
each loan. DBRS Morningstar made relatively conservative property
quality adjustments with 11 loans, comprising 32.9% of the pool,
having Average property quality.

All loans have floating interest rates and are IO during the
initial term, which ranges from 24 months to 49 months, creating
interest rate risk. The borrowers of all 23 loans have purchased
Libor rate caps, ranging between 0.50% and 3.50%, to protect
against rising interest rates over the term of the loan.

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



AGL CLO I: Moody's Assigns Ba3 Rating to $25.25MM Class E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by AGL CLO I Ltd. (the "Issuer").

Moody's rating action is as follows:

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

US$59,500,000 Class B-R Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

US$23,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

US$32,250,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

US$25,250,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2034, Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
92.5% of the portfolio must consist of first lien senior secured
loans, cash, and eligible investments, and up to 7.5% of the
portfolio may consist of second lien loans, unsecured loans, senior
secured bonds or senior secured notes; provided no more than 5.0%
of the portfolio may consist of senior secured bonds or senior
secured notes.

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

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the revision of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Adjusted Weighted Average Rating Factor" and changes to the base
matrix and modifiers.

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

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

Performing par and principal proceeds balance: $499,783,941

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2922

Weighted Average Spread (WAS): 3.45%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 46.5%

Weighted Average Life (WAL): 9.5 years

Methodology Underlying the Rating Action:

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

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

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


AIMCO CLO 2015-A: Moody's Assigns Ba3 Rating to $23.2MM E-R2 Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by AIMCO CLO, Series 2015-A (the
"Issuer").

Moody's rating action is as follows:

US$4,000,000 Class X Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$256,000,000 Class A-R2 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$42,200,000 Class B-R2 Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

US$20,200,000 Class C-R2 Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

US$25,600,000 Class D-R2 Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

US$23,200,000 Class E-R2 Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of senior secured loans and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans, unsecured loans and permitted non-loan assets; provided
that not more than 5% of the portfolio may consist of permitted
non-loan assets.

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

In addition to the issuance of the Refinancing Notes and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and changes to the overcollateralization test
levels; the inclusion of Libor replacement provisions; additions to
the CLO's ability to hold workout and restructured assets; changes
to the definition of "Adjusted Weighted Average Rating Factor" and
changes to the base matrix and modifiers.

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

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

Portfolio par and recovery: $400,000,000

Defaulted par: $2,106,367

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2958

Weighted Average Spread (WAS): 3.25%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 47.75%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


AMSR 2020-SFR4: DBRS Confirms B(low) Rating on Class G-2 Trust
--------------------------------------------------------------
DBRS, Inc. confirmed 17 classes from two U.S. single-family rental
transactions as follows:

AMSR 2020-SFR4 Trust
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (high) (sf)
-- Class C confirmed at A (high) (sf)
-- Class D confirmed at A (low) (sf)
-- Class E-1 confirmed at BBB (high) (sf)
-- Class E-2 confirmed at BBB (low) (sf)
-- Class F confirmed at BB (low) (sf)
-- Class G-1 confirmed at B (high) (sf)
-- Class G-2 confirmed at B (low) (sf)

AMSR 2020-SFR5 Trust
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AAA (sf)
-- Class C confirmed at AA (high) (sf)
-- Class D confirmed at A (high) (sf)
-- Class E-1 confirmed at BBB (high) (sf)
-- Class E-2 confirmed at BBB (low) (sf)
-- Class F confirmed at BB (low) (sf)
-- Class G confirmed at B (low) (sf)

The rating confirmations reflect asset performance and
credit-support levels that are consistent with the current
ratings.

DBRS Morningstar's rating actions are based on the following
analytical consideration:

-- Key performance measures as reflected in month-over-month
changes in vacancy and delinquency, quarterly analysis of the
actual expenses, credit enhancement increases since deal inception,
and bond paydown factors.

Notes: The principal methodology is U.S. Single-Family Rental
Securitization Ratings Methodology (May 28, 2020), which can be
found on dbrsmorningstar.com under Methodologies & Criteria.



AMSR 2021-SFR3: DBRS Finalizes B(low) Rating on Class G Certs
-------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Single-Family Rental Pass-Through Certificates issued by AMSR
2021-SFR3 Trust (AMSR 2021-SFR3):

-- $109.4 million Class A at AAA (sf)
-- $44.1 million Class B at AAA (sf)
-- $14.7 million Class C at AAA (sf)
-- $19.3 million Class D at AA (high) (sf)
-- $36.8 million Class E-1 at A (low) (sf)
-- $40.5 million Class E-2 at BBB (low) (sf)
-- $38.6 million Class F at BB (low) (sf)
-- $34.0 million Class G at B (low) (sf)

The AAA (sf) rating on the Class A, B, and C Certificates reflects
69.9%, 57.8%, and 53.8% of credit enhancement provided by
subordinated notes in the pool. The AA (high) (sf), A (low) (sf),
BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect
48.5%, 38.4%, 27.3%, 16.7%, and 7.3% credit enhancement,
respectively.

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

The AMSR 2021-SFR3 certificates are supported by the income streams
and values from 1,730 rental properties. The properties are
distributed across 14 states and 35 MSAs in the United States. DBRS
Morningstar maps an MSA based on the ZIP code provided in the data
tape, which may result in different MSA stratifications than those
provided in offering documents. As measured by BPO value, 55.8% of
the portfolio is concentrated in three states: Missouri (19.6%),
Georgia (18.7%), and Florida (17.5%). The average value is
$213,728. The average age of the properties is roughly 33 years.
The majority of the properties have three or more bedrooms. The
certificates represent a beneficial ownership in an approximately
five-year, fixed-rate, interest-only loan with an initial aggregate
principal balance of approximately $364.1 million.

DBRS Morningstar assigned the provisional ratings for each class of
certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses DBRS
Morningstar's single-family rental subordination model and is based
on DBRS Morningstar's published criteria. DBRS Morningstar
developed property-level stresses for the analysis of single-family
rental assets. DBRS Morningstar assigned the provisional ratings to
each class based on the level of stresses each class can withstand
and whether such stresses are commensurate with the applicable
rating level. DBRS Morningstar's analysis includes estimated
base-case net cash flows (NCFs) by evaluating the gross rent,
concession, vacancy, operating expenses, and capital expenditure
data. The DBRS Morningstar NCF analysis resulted in a minimum debt
service coverage ratio of higher than 1.0 times.

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



ANGEL OAK 2021-6: Fitch Assigns Final B Rating on Class B-2 Debt
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to Angel Oak Mortgage
Trust 2021-6 (AOMT 2021-6).

DEBT           RATING                PRIOR
----           ------                -----
AOMT 2021-6

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

TRANSACTION SUMMARY

Fitch rates the residential mortgage-backed certificates issued by
Angel Oak Mortgage Trust 2021-6, Mortgage-Backed Certificates,
Series 2021-6 (AOMT 2021-6), as indicated above. The certificates
are supported by 1176 loans with a balance of $590.85 million as of
the cutoff date. This will be the 18th Fitch-rated AOMT transaction
and the sixth Fitch-rated AOMT transaction in 2021.

The certificates are secured by mortgage loans that were originated
by Angel Oak Home Loans LLC, Angel Oak Mortgage Solutions LLC
(referred to as Angel Oak originators) and various other
third-party originators each contributing less than 10% each. Of
the loans, 73.9% are designated as non-qualified mortgage (Non-QM)
and 26.1% are investment properties not subject to the Ability to
Repay (ATR) Rule. No loans are designated as QM in the pool.

There is LIBOR exposure in this transaction. Of the pool, three
loans comprise adjustable-rate mortgage (ARM) loans that reference
one-year LIBOR. The offered certificates are fixed-rate and capped
at the net weighted average coupon (WAC).

KEY RATING DRIVERS

Non-QM Credit Quality (Mixed): The collateral consists of 1176
loans, totaling $591 million, and seasoned approximately six months
in aggregate. The borrowers have a strong credit profile (743 FICO
and 37% debt to income ratio [DTI], as determined by Fitch) and
relatively moderate leverage with an original combined loan to
value ratio (CLTV) of 70.0% that translates to a Fitch-calculated
sustainable LTV (sLTV) of 76.7%. Of the pool, 68.2% comprises loans
where the borrower maintains a primary residence, while 31.8%
comprise an investor property or second home based on Fitch's
analysis; 10.1% of the loans were originated through a retail
channel. Additionally, 73.9% are designated as Non-QM, while the
remaining 26.1% are exempt from QM since they are investor loans.

The pool contains 137 loans over $1 million, with the largest
amounting to $3.8 million.

Loans on investor properties (7.5% underwritten to the borrowers'
credit profile and 18.6% comprising investor cash flow loans)
comprise 26.1% of the pool. There are no second lien loans, and
0.1% of borrowers were viewed by Fitch as having a prior credit
event in the past seven years. Of the borrowers, 0.9% have
subordinate financing in Fitch's analysis since Fitch included the
deferred amounts in the junior lien amount (per the transaction
documents there are only two loans with subordinate financing).
Eight loans in the pool had a deferred balance, totaling $46,479.
These deferred balances were treated as a junior lien amount in
Fitch's analysis which resulted in an increased CLTV.

Two loans in the pool are to foreign nationals/non-permanent
residents. Fitch treated these borrowers as investor occupied,
coded as ASF1 (no documentation) for employment and income
documentation, if a credit score was not available Fitch used a
credit score of 650 for these borrowers and removed the liquid
reserves.

Although the credit quality of the borrowers is higher than that of
the prior AOMT transactions securitized in 2020 and 2019, the pool
characteristics resemble non-prime collateral, and therefore, the
pool was analyzed using Fitch's non-prime model.

Loan Documentation (Negative): Fitch determined that 87% of the
loans in the pool were underwritten to borrowers with less than
full documentation. Of this amount, 63.9% were underwritten to a
12- or 24-month bank statement program for verifying income, which
is not consistent with Appendix Q standards and Fitch's view of a
full documentation program. To reflect the additional risk, Fitch
increases the probability of default (PD) by 1.5x on the bank
statement loans. Besides loans underwritten to a bank statement
program, 3.5% are an asset depletion product and 18.6% comprise a
debt service coverage ratio product. The pool does not have any
loans underwritten to a CPA or PnL product, which Fitch viewed as a
positive.

Two loans to foreign nationals/non-permanent residents were
underwritten to a full documentation program; however, in Fitch's
analysis, these loans were treated as no documentation loans for
income and employment.

Geographic Concentration (Negative): The largest concentration of
loans is in California (40.3%), followed by Florida and Georgia.
The largest MSA is Los Angeles MSA (19.6%) followed by Miami MSA
(11.4%) and San Diego MSA (5.4%). The top three MSAs account for
36.4% of the pool. As a result, a 1.01x PD penalty applied which
increased the 'AAAsf' expected loss by 0.13% due to geographic
concentration.

Limited Advancing (Mixed): The deal is structured to six months of
servicer advances for delinquent principal and interest (P&I). The
limited advancing reduces loss severities as a lower amount is
repaid to the servicer when a loan liquidates and liquidation
proceeds are prioritized to cover principal repayment over accrued
but unpaid interest. The downside is the additional stress on the
structure as liquidity is limited in the event of large and
extended delinquencies.

Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes
while excluding the subordinate bonds from principal until all
three classes are reduced to zero. To the extent that either a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
the class A-1, A-2 and A-3 bonds until they are reduced to zero.

RATING SENSITIVITIES

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

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

-- This 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 43.2% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics, Inc., Digital Risk, LLC,
Clayton Services LLC, Infinity IPS, Covius Real Estate Services,
LLC, AMC Diligence, LLC, Selene Diligence LLC, and Edgemac. The
third-party due diligence described in Form 15E focused on three
areas: compliance review, credit review, and valuation review.
Fitch considered this information in its analysis and, as a result,
Fitch did not make any adjustment(s) to its analysis due to the due
diligence findings. Based on the results of the 100% due diligence
performed on the pool, the overall expected loss was reduced by
0.43%.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor,
Angel Oak Real Estate Investment Trust II, engaged Consolidated
Analytics, Inc., Digital Risk, LLC, Clayton Services LLC, Infinity
IPS, Covius Real Estate Services, LLC, AMC Diligence, LLC, Selene
Diligence LLC, and Edgemac to perform the review. Loans reviewed
under these engagements were given compliance, credit and valuation
grades and assigned initial grades for each subcategory.

An exception and waiver report was provided to Fitch, indicating
the pool of reviewed loans has a number of exceptions and waivers.
Fitch determined that the exceptions and waivers do not materially
affect the overall credit risk of the loans due to the presence of
compensating factors such as having liquid reserves or FICO above
guideline requirements or LTV or DTI lower than guideline
requirement. Therefore, no adjustments were needed to compensate
for these occurrences.

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

ESG CONSIDERATIONS

AOMT 2021-6 has an ESG Relevance Score of '4+' for Transaction
Parties & Operational Risk due to strong transaction due diligence
and a 'RPS1-' Fitch-rated servicer, which resulted in a reduction
in expected losses, and is relevant to the rating 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.


ANTARES CLO 2017-2: 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 Antares CLO 2017-2 Ltd./Antares
CLO 2017-2 LLC, a CLO originally issued in December 2017 that is
managed by Antares Capital Advisers LLC.

On the Oct. 20, 2021, refinancing date, the proceeds from the
replacement notes were used to redeem the original notes. S&P
withdrew its ratings on the original notes and assigned ratings to
the replacement notes.

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

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

-- The stated maturity, reinvestment period, and non-call period
were extended by 3.75 years.

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

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

  Ratings Assigned

  Antares CLO 2017-2 Ltd./Antares CLO 2017-2 LLC

  Class A-R, $789.600 million: AAA (sf)
  Class B-R, $157.900 million: AA (sf)
  Class C-R (deferrable), $103.000 million: A (sf)
  Class D-R (deferrable), $89.262 million: BBB- (sf)
  Class E-R (deferrable), $75.530 million: BB- (sf)
  Subordinated notes, $146.750 million: Not rated

  Ratings Withdrawn

  Antares CLO 2017-2 Ltd./Antares CLO 2017-2 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)'



APIDOS CLO XXI: Moody's Ups Rating on $25MM Class D-R Notes to Ba2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Apidos CLO XXI:

US$64,800,000 Class A-2-R Senior Secured Floating Rate Notes due
2027, Upgraded to Aaa (sf); previously on February 9, 2021 Upgraded
to Aa1 (sf)

US$24,000,00 Class B-R Mezzanine Deferrable Floating Rate Notes due
2027, Upgraded to Aa1 (sf); previously on February 9, 2021 Upgraded
to Aa3 (sf)

US$32,200,000 Class C-R Mezzanine Deferrable Floating Rate Notes
due 2027, Upgraded to A3 (sf); previously on February 9, 2021
Upgraded to Baa2 (sf)

US$25,000,000 Class D-R Mezzanine Deferrable Floating Rate Notes
due 2027, Upgraded to Ba2 (sf); previously on August 17, 2020
Confirmed at Ba3 (sf)

US$9,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes due
2027, Upgraded to Caa1 (sf); previously on August 17, 2020
Downgraded to Caa2 (sf)

Apidos CLO XXI, originally issued in June 2015 and refinanced in
July 2018, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period ended in
July 2020.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since February 2021. The Class
A-1-R notes have been paid down by approximately 38% or $102.4
million since then. Based on the trustee's September 2021
report[1], the OC ratios for the Class A, Class B, Class C, Class D
and Class E notes are reported at 146.36%, 132.62%, 117.78%,
108.37% and 105.34%, respectively, versus February 2021[2] levels
of 132.59%, 123.70%, 113.49%, 106.66% and 104.40%, respectively.

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

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

Performing par and principal proceeds balance: $338,355,871

Defaulted par: $2,246,590

Diversity Score: 63

Weighted Average Rating Factor (WARF): 2883

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.34%

Weighted Average Recovery Rate (WARR): 47.89%

Weighted Average Life (WAL): 4.01 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, include near term
defaults by companies facing liquidity pressure, deteriorating
credit quality of the portfolio, 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.


ARBOR REALTY 2021-FL3: DBRS Finalizes B(low) Rating on Cl. G Notes
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings to the following
classes of notes issued by Arbor Realty Commercial Real Estate
Notes 2021-FL3 Ltd:

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

All trends are Stable.

The initial collateral consists of 36 floating-rate mortgage loans
and senior participations secured by 50 mostly transitional
properties, with an initial cut-off date balance totaling
approximately $1.19 billion. Each collateral interest is secured by
a mortgage on a multifamily property or a portfolio of multifamily
properties. The transaction is a managed vehicle, which includes an
180-day ramp-up acquisition period and 30-month reinvestment
period. The ramp-up acquisition period will be used to increase the
trust balance by $352.2 million to a total target collateral
principal balance of $1.5 billion. DBRS Morningstar assessed the
$352.2 million ramp component using a conservative pool construct,
and, as a result, the ramp loans have expected losses above the
pool WA loan expected loss. During the reinvestment period, so long
as the note protection tests are satisfied and no EOD has occurred
and is continuing, the collateral manager may direct the
reinvestment of principal proceeds to acquire reinvestment
collateral interest, including funded companion participations,
meeting the eligibility criteria. The eligibility criteria, among
other things, has minimum DSCR, LTV, and loan size limitations. In
addition, mortgages exclusively secured by multifamily properties
are allowed as ramp-up collateral interests, with a small portion
of student housing properties (7.5% of total pool balance) allowed
during the reinvestment period. Lastly, the eligibility criteria
stipulates a rating agency confirmation (RAC) on ramp loans,
reinvestment loans, and pari passu participation acquisitions above
$500,000 if a portion of the underlying loan is already included in
the pool, thereby allowing DBRS Morningstar the ability to review
the new collateral interest and any potential impacts to the
overall ratings.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the cut-off
balances were measured against the DBRS Morningstar As-Is NCF, 21
loans, representing 51.9% of the initial pool balance, had a DBRS
Morningstar As-Is DSCR of 1.00x or below, a threshold indicative of
default risk. The properties are often transitioning with potential
upside in cash flow; however, DBRS Morningstar does not give full
credit to the stabilization if there are no holdbacks or if other
loan structural features in place are insufficient to support such
treatment. Furthermore, even with the structure provided, DBRS
Morningstar generally does not assume the assets will stabilize to
above-market levels. The transaction will have a sequential-pay
structure.

The sponsor for the transaction, Arbor Realty SR, Inc., is a
majority-owned subsidiary of Arbor Realty Trust, Inc. (Arbor; NYSE:
ABR) and an experienced commercial real estate (CRE) collateralized
loan obligation (CLO) issuer and collateral manager. The ARCREN
2021-FL3 transaction will be Arbor's 16th post-crisis CRE CLO
securitization, and the firm has six outstanding transactions
representing approximately $4 billion in investment-grade proceeds.
In total, Arbor has been an issuer and manager of 15 CRE CLO
securitizations totaling roughly $7.2 billion. Additionally, Arbor
will purchase and retain 100.0% of the Class F Notes, the Class G
Notes, and the Preferred Shares, which total $262,500,000, or 17.5%
of the transaction total.

The transaction's initial collateral composition consists entirely
of multifamily properties, which benefit from staggered lease
rollover and generally low expense ratios compared with other
property types. While revenue is quick to decline in a downturn
because of the short-term nature of the leases, it is also quick to
respond when the market improves. The subject pool includes
garden-style communities and midrise/high-rise buildings. After
closing, as part of the ramp-up and reinvestment period, the
collateral manager may only acquire loans secured by multifamily
properties. The prior ARCREN 2021-FL2 transaction allowed the
collateral manager to also acquire industrial and office
properties. Compared to the ARCREN 2021-FL2 transaction, the
subject pool has more favorable property type requirements during
the reinvestment period.

Thirty-three loans, representing 88.0% of the pool balance,
represent acquisition financing. Acquisition financing generally
requires the respective sponsor(s) to contribute material cash
equity as a source of funding in conjunction with the mortgage
loan, which results in a higher sponsor cost basis in the
underlying collateral and aligns the financial interests between
the sponsor and lender.

The WA DBRS Morningstar Stabilized LTV is lower than recently rated
Arbor transactions. Eleven loans, representing 25.8% of the total
trust balance, have a DBRS Morningstar Stabilized LTV less than
70.0%, which decreases refinance risk at maturity. Two of these
loans are in the top 10 largest loans in the pool, including Bevel
LIC (#2) and Commons at White Marsh (#8). Additionally, there are
no loans in the pool with a DBRS Morningstar Stabilized LTV of
80.0% or greater.

The initial collateral pool is diversified across 15 states and has
a loan Herfindahl score of approximately 30.1. The loan Herfindahl
score is similar to recent Arbor CRE CLO transactions. Three of the
loans, representing 15.1% of the initial pool balance, are
portfolio loans that benefit from multiple property pooling.
Mortgages backed by cross-collateralized cash flow streams from
multiple properties typically exhibit lower cash flow volatility.

The eligibility criteria has degraded from prior transactions, and
now allows for higher LTV and lower DSCR's when compared to the two
prior ARCREN 2021 transactions. The collateral manager has the
option to acquire multifamily loans with an As-Stabilized LTV of
80.0% and a minimum DSCR of 1.15x. This compares to 75.0% LTV and
1.25x DSCR in ARCREN 2021-FL1 and ACREN 2021-FL2. DBRS Morningstar
modeled the hypothetical ramp-up loans with the maximum LTV of
80.0% and DSCR minimum of 1.15x, which results in higher POD and
LGD adjustments compared to the prior 2021 ARCREN transactions.
Before the collateral manager can acquire new loans, the loans will
be subject to a No Downgrade Confirmation by DBRS Morningstar. The
business plan score is an input into the DBRS Morningstar model and
drives the blended POD used for the loan's expected loss. A riskier
business plan drives a higher POD.

The transaction is managed and includes both a ramp-up and
reinvestment period, which could result in negative credit
migration and/or an increased concentration profile over the life
of the transaction. The deal's initial collateral composition is
100.0% multifamily. During the ramp-up period, only loan secured by
multifamily properties can be added. However, during the
reinvestment period, student housing loans can be added as well, as
long as they do not exceed 7.5% of the total pool balance. Future
loans cannot be secured by office, hospitality, industrial, retail,
or healthcare-type facilities, such as assisted living and memory
care. The risk of negative credit migration is also partially
offset by eligibility criteria that outline DSCR, LTV, property
type, and loan size limitations for ramp and reinvestment assets.
Before ramp loans, reinvestment loans and companion participations
above $500,000 can be acquired by the Collateral manager, a No
Downgrade Confirmation is required from DBRS Morningstar. DBRS
Morningstar accounted for the uncertainty introduced by the 180-day
ramp-up period by running a ramp scenario that simulates the
potential negative credit migration in the transaction based on the
eligibility criteria.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. A
sponsor's failure to execute the business plan could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan to be rational and the loan structure to be
sufficient to execute such plans. In addition, DBRS Morningstar
analyzes LGD based on its As-Is LTV, assuming the loan is fully
funded.

All loans in the pool have floating interest rates and are IO
during the initial loan term, as well as during all extension
terms, creating interest rate risk and lack of principal
amortization. DBRS Morningstar stresses interest rates based on the
loan terms and applicable floors or caps. The DBRS Morningstar
adjusted DSCR is a model input and drives loan level POD's and
LGD's. All loans have extension options, and to qualify for these
options, the loans must meet minimum DSCR and LTV requirements. All
loans are short term and, even with extension options, have a fully
extended loan term of five years maximum.

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



ARES CLO XXVII: Moody's Assigns Ba3 Rating to $26.5MM E-R2 Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Ares XXVII CLO, Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$5,000,000 Class X-R2 Senior Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$320,000,000 Class A-R2 Senior Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$55,000,000 Class B-R2 Senior Floating Rate Notes due 2034,
Assigned Aa2 (sf)

US$25,500,000 Class C-R2 Mezzanine Deferrable Floating Rate Notes
due 2034, Assigned A2 (sf)

US$33,000,000 Class D-R2 Mezzanine Deferrable Floating Rate Notes
due 2034, Assigned Baa3 (sf)

US$26,500,000 Class E-R2 Mezzanine Deferrable Floating Rate Notes
due 2034, Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of senior secured loans and eligible
investments, and up to 10% of the portfolio may consist of loans
that are not senior secured loans.

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

In addition to the issuance of the Refinancing Notes and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and changes to the overcollateralization test
levels; the inclusion of Libor replacement provisions; additions to
the CLO's ability to hold workout and restructured assets; changes
to the definition of "Adjusted Weighted Average Rating Factor" and
changes to the base matrix and modifiers.

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

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

Portfolio par: $500,000,000

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2995

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 5.40%

Weighted Average Recovery Rate (WARR): 47.00%

Weighted Average Life (WAL): 9.024 years

Methodology Underlying the Rating Action:

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

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

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


ASHFORD HOSPITALITY 2018-ASHF: DBRS Confirms BB Rating on E Certs
-----------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-ASHF issued by Ashford
Hospitality Trust 2018-ASHF as follows:

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

With this review, DBRS Morningstar removed Classes D, E, F, and
X-EXT from Under Review with Negative Implications, where they were
placed on September 24, 2020. DBRS Morningstar also changed the
trends on Classes A, B, and C to Stable from Negative. Classes D
and X-EXT were assigned Stable trends and Classes E and F were
assigned Negative trends.

The Negative trends reflect DBRS Morningstar's concerns with the
portfolio, which continues to face performance challenges as it
begins to rebound after the relaxation of travel restrictions
related to the Coronavirus Disease (COVID-19) global pandemic.

The transaction benefits from the sponsor's stability and long-term
commitment to the underlying hotel portfolio, as displayed by the
raising of additional capital to fund cash shortfalls throughout
the pandemic and continued reinvestment in the collateral. Although
cash flow remains depressed amid the pandemic, the portfolio is
reporting revenue per available room (RevPAR) penetration rates
exceeding 100% on a trailing 12 month (T-12) basis as of June
2021.

The loan is currently being monitored on the servicer's watchlist
for low net cash flow (NCF), which was reported at -$374,000 for
the T-12 period ended June 2021 and $8.3 million as of year-end
(YE) 2020, representing an 90.86% decline from the previous year.
According to the T-12 month ended June 2021 STR reports, the
portfolio reported aggregate occupancy, average daily rate (ADR),
and RevPAR of 38%, $134.51, and $46.21, respectively. In
comparison, the competitive set reported occupancy, ADR, and RevPAR
of 34%, $124.13, and $41.31, respectively. The current top six
hotels (by allocated loan amount (ALA)) in the portfolio are
outperforming their individual competitive set with the exception
of the Melrose Georgetown Hotel and Hilton Garden Inn Austin
Downtown, which are performing slightly below their competitive
sets. The corresponding RevPAR penetration rates relative to the
competitive set also reflects above-average performance as these
figures were reported near or above 100%.

The loan had been transferred to special servicing in April 2020
for monetary default and the borrower had requested coronavirus
relief. A Standstill Agreement was executed in July 2020 that,
among other things, deferred debt service and reserve payments
through October 2020, after which regular payments would resume in
addition to a moratorium reserve deposit. The moratorium deposits,
along with current interest payments, are applied to the oldest
outstanding interest receivables. Additionally, the borrower also
settled on an agreement with its mezzanine lenders which entailed
waiving mezzanine loan payments while the payment accommodations
for the senior debt are in effect. The loan returned to the master
servicer and was added to the watchlist in May 2021 as a result of
ongoing cash flow issues, although the borrower has continued to
make payments during the pandemic and abiding by the July 2020
Standstill Agreement. The servicer expects the loans to be brought
fully current from an interest receivable perspective in the next
two months.

The original collateral for Ashford Hospitality Trust 2018-ASHF was
a $782.7 million first mortgage, floating-rate loan originated to
refinance existing debt of $977.0 million on a portfolio of one
luxury hotel and 22 full-service, select-service, and
limited-service extended-stay hotels located in 12 states and the
District of Columbia. The largest state concentration was Texas
with four properties, 1,296 rooms, and 22.4% of the ALA. A total of
5,785 rooms comprised the hotels, which were a mix of 17 fee-simple
properties representing 67.8% of the ALA, four combined fee and
leasehold properties representing 27.0% of the ALA, and one
ground-leased property representing 5.3% of the ALA. The sponsor
for this loan is Ashford Hospitality Trust, Inc. (Ashford), a
publicly-traded real estate investment trust which focuses on
investing in upper-upscale, full-service hotels in the top 25
metropolitan statistical areas. Per Ashford's Q2 2021 earnings
call, hotels are exhibiting positive EBITDA, and RevPAR for all
hotels in the portfolio increased approximately 372% compared with
Q2 2020. Additionally, across their portfolio of 100 hotels (22,286
net rooms), the company foresees strong momentum in Q3 2021 as July
2021 numbers looked likely to outperform June numbers, particularly
in regards to RevPAR.

The loan, originated in April 2018, had an initial two-year term
followed by five successive one-year extension options. Additional
senior and junior mezzanine financing totalling $202.3 million is
held outside the trust and is co-terminus with the trust financing.
The refinancing required additional borrower's equity investment of
$33.3 million. A $24.7 million capital expenditure reserve was
established at closing for future capital requirements at various
hotels, including $14.7 million for property improvement plans at
three hotels that had not recently been renovated. The sponsor had
previously invested $227.5 million ($39,328 per room) in the
portfolio hotels since acquisition in 2013.

The original 22 hotel portfolio comprised hotels operating under
nine different franchise flags representing three major brands:
Marriott for 11 hotels and 52.9% of 2017 NCF, Hilton for six hotels
and 21.9% of 2017 NCF, and Hyatt with two hotels and 12.8% of 2017
NCF. In 2019, three hotels were sold and released from the security
portfolio. The Residence Inn in Tampa, Courtyard in Savannah, and
the Marriott Plaza in San Antonio were released with a 115% paydown
of the ALA for each hotel bringing the outstanding balance of the
pooled trust mortgage down to $720.7 million.

The DBRS Morningstar ratings assigned to Classes D, E, and F each
had a variance that was higher than those results implied by the
LTV Sizing Benchmarks from the September 24, 2020, review, when
market value declines were assumed under the Coronavirus Impact
Analysis. The DBRS Morningstar ratings did not have any variances
than those results implied by LTV Sizing Benchmarks considered with
this year's review, when a baseline valuation scenario was used.
For additional information on these scenarios, please see the DBRS
Morningstar press release dated September 24, 2020, in respect of
the subject transaction. DBRS Morningstar maintains Negative trends
on certain classes as outlined in this press release as a
reflection of our ongoing concerns with the coronavirus impact to
the subject transaction.

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



ATLAS SENIOR XVII: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its 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 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

  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



AVANT CREDIT 2021-1: DBRS Finalizes BB(low) Rating on Class D Notes
-------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Series 2021-1 notes issued by Avant Credit Card Master
Trust as follows:

-- $111,970,000 Class A Notes at AA (low) (sf)
-- $10,160,000 Class B Notes at A (sf)
-- $13,320,000 Class C Notes at BBB (low) (sf)
-- $14,550,000 Class D Notes at BB (low) (sf)

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

(1) The analysis incorporating the impact of the coronavirus
pandemic.

-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary Baseline Macroeconomic Scenarios For
Rated Sovereigns, published on September 8, 2021. These baseline
macroeconomic scenarios replace DBRS Morningstar's moderate and
adverse COVID-19 pandemic scenarios, which were first published in
April 2020. The baseline macroeconomic scenarios reflect the view
that, although COVID-19 remains a risk to the outlook, uncertainty
around the macroeconomic effects of the pandemic has gradually
receded. Current median forecasts considered in the baseline
macroeconomic scenarios incorporate some risks associated with
further outbreaks, but remain fairly positive on recovery prospects
given expectations of continued fiscal and monetary policy support.
The policy response to COVID-19 may nonetheless bring other risks
to the forefront in coming months and years.

-- DBRS Morningstar's projected losses include the assessment of
the impact of the coronavirus. The DBRS Morningstar's expected net
charge off rate is 17.0%.

(2) The transaction's capital structure and sufficiency of
available credit enhancement.

-- Overcollateralization in the form of excess collateral amount,
reserve account requirement, excess spread, and subordination. The
transaction capital structure withstands stressed cash flow
assumptions and repays investors according to the terms under which
they have invest. The rating address the payment of timely interest
and ultimate principal by the Series Maturity Date.

-- The Reserve Account has been funded at closing with an amount
equal to 0.25% of the Initial Series 2021-1 Collateral Amount. The
Required Reserve Account Amount is at least 0.25% of the Initial
Series 2021-1 Collateral Amount and, on and after the January 2022
Payment Date, will be funded up to 3.0% of the Series 2021-1
Collateral Amount based on the level of the Three-Month Average
Excess Spread Percentage.

(3) Avant's (the Company) experience as an originator and a
servicer in revolving credit card receivables.

(4) The Company's limited historical performance data and DBRS
Morningstar's expected collateral performance.

-- In order to account for the limited historical in performance
data, DBRS Morningstar applied higher charge-off multiples and
yield and principal payment rate reduction stresses for each rating
level scenario. DBRS Morningstar's base case net loss rate,
principal payment rate, and yield rate are 17.0%, 11.0%, and 35.0%,
respectively.

(5) Future receivables additions.

-- With an absence of concentration limits in the transaction, the
credit quality of the underlying receivables could deteriorate
during the revolving period, if Avant decides to add receivables
from less credit worthy accounts relative to those of the Company's
managed portfolio. However, an Early Amortization Event as well as
the Required Reserve Account Amount based on the Three-Month
Average Excess Spread Percentage will help mitigate the risk of
deterioration of the underlying collateral pool performance.

(6) Bank partnership lending model.

-- Avant has a strategic partnership with WebBank, whereby
WebBank, a Utah chartered industrial bank, originates loans through
the Avant Platform. WebBank as the account owner, retains the right
to change the program guidelines and materials related to Avant
Program or to terminate the Receivables Purchase Agreement under
certain circumstances. Avant is unable to originate credit card
receivables without a partner bank, so such unexpected changes by
WebBank, with no alternative partner bank present, may result in
payment disruptions to noteholders.

(7) Regulatory Environment

-- The interest rates that are charged to the borrowers in the
collateral pool are based on WebBank's ability under federal law to
export the interest rates permitted by Utah law. As an assignee of
credit card receivables originated by WebBank, the Issuer could be
subject to the risks of litigation and regulatory actions.

-- Unlike the facts in issue in Madden, in this transaction,
WebBank, an FDIC-insured state-chartered bank located in Utah, will
continue to own the credit card accounts it originates after the
sale of the transferred credit card receivables.

(8) The legal structure and legal opinions that address the true
sale of the assets to the Issuer, the non-consolidation of the
special-purpose vehicle with Avant and that the trust has a valid,
perfected first-priority security interest in the assets, and
consistency with DBRS Morningstar's "Legal Criteria for U.S.
Structured Finance."

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



BABSON CLO 2014-I: Moody's Ups Rating on $29.125MM D Notes to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Babson CLO, Ltd. 2014-I (the "CLO" or "Issuer"):

Issuer: Babson CLO Ltd. 2014-I

US$33,000,000 Class C Senior Secured Deferrable Floating Rate
Notes, Upgraded to Aaa (sf); previously on Jan 12, 2021 Upgraded to
Aa2 (sf)

US$29,125,000 Class D Senior Secured Deferrable Floating Rate
Notes, Upgraded to Ba1 (sf); previously on Jan 12, 2021 Upgraded to
Ba3 (sf)

US$5,525,000 Class E Senior Secured Deferrable Floating Rate Notes,
Upgraded to Caa1 (sf); previously on Jul 1, 2020 Downgraded to Caa3
(sf)

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

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since January 2021. The Class
A-2-R notes have been paid down by approximately 99% or $63.5
million since January 2021. Based on the trustee's September,
2021[1] report, the OC ratios for the Class C, Class D and Class E
notes are reported at 172.5%, 115.5% and 108.7%, respectively,
versus December 2020[2] levels of 132.8%, 108.0% and 104.3%,
respectively.

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

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

Performing par and principal proceeds balance: $102,335,313

Defaulted par: $110,051

Diversity Score: 27

Weighted Average Rating Factor (WARF): 3037

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.38%

Weighted Average Recovery Rate (WARR): 46.5%

Weighted Average Life (WAL): 2.9 years

Par haircut in OC tests and interest diversion test: 0.56%

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, 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.


BAIN CAPITAL 2021-5: Moody's Assigns (P)Ba3 Rating to Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued and one class of loans to be incurred
by Bain Capital Credit CLO 2021-5, Limited (the "Issuer" or "Bain
Capital Credit 2021-5").

Moody's rating action is as follows:

US$172,000,000 Class A-1 Loans maturing 2034, Assigned (P)Aaa (sf)

Up to US$252,000,000 Class A-1 Senior Secured Floating Rate Notes
due 2034, Assigned (P)Aaa (sf)

US$8,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)

US$44,000,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aa2 (sf)

US$20,000,000 Class C Secured Deferrable Floating Rate Notes due
2034, Assigned (P)A2 (sf)

US$24,400,000 Class D Secured Deferrable Floating Rate Notes due
2034, Assigned (P)Baa3 (sf)

US$19,600,000 Class E Secured Deferrable Floating Rate Notes due
2034, Assigned (P)Ba3 (sf)

The notes and loans listed are referred to herein, collectively, as
the "Rated Debt."

On the closing date, the Class A-1 Loans and the Class A-1 Notes
have a principal balance of $172,000,000 and $80,000,000,
respectively. At any time, the Class A-1 Loans may be converted in
whole or in part to Class A-1 Notes, thereby decreasing the
principal balance of the Class A-1 Loans and increasing, by the
corresponding amount, the principal balance of the Class A-1 Notes.
The aggregate principal balance of the Class A-1 Loans and Class
A-1 Notes will not exceed $252,000,000, less the amount of any
principal repayments.

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.

Bain Capital Credit 2021-5 is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans, and up to 10.0% of the portfolio
may consist of second lien loans, senior unsecured loans and
permitted non-loan assets, provided that not more than 5.0% of the
portfolio may consist of permitted non-loan assets. Moody's expect
the portfolio to be approximately 96% ramped as of the closing
date.

Bain Capital Credit U.S. CLO 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 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 Debt, 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: 80

Weighted Average Rating Factor (WARF): 2918

Weighted Average Spread (WAS): 3.25%

Weighted Average Coupon (WAC): 5.0%

Weighted Average Recovery Rate (WARR): 47.25%

Weighted Average Life (WAL): 9.25 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 Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.


BALLYROCK CLO 2020-2: S&P Assigns BB- (sf) Rating on D-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, and D-R replacement notes from Ballyrock CLO 2020-2
Ltd./Ballyrock CLO 2020-2 LLC, a CLO originally issued in 2020
managed by Ballyrock Investment Advisors LLC. At the same time, S&P
withdrew its ratings on the class A-1, A-2, B, C, and D notes
following payment in full on the Oct. 20, 2021, refinancing date.

The replacement notes were issued via a supplemental indenture,
which outlined the terms of the replacement notes. According to the
supplemental indenture, the non-call period will be extended to
Oct. 20, 2022.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1-R, $240 million: Three-month LIBOR + 1.01%
  Class A-2-R, $64 million: Three-month LIBOR + 1.55%
  Class B-R, $24 million: Three-month LIBOR + 1.95%
  Class C-R, $24 million: Three-month LIBOR + 2.95%
  Class D-R, $12 million: Three-month LIBOR + 6.15%

  Original notes

  Class A-1, $240 million: Three-month LIBOR + 1.32%
  Class A-2, $64 million: Three-month LIBOR + 1.80%
  Class B, $24 million: Three-month LIBOR + 2.55%
  Class C, $24 million: Three-month LIBOR + 3.77%
  Class D, $12 million: Three-month LIBOR + 7.63%

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. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether the ratings assigned to the
notes remain consistent with the credit enhancement available to
support them, and will take rating actions as we deem necessary."

  Ratings Assigned

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

  Class A-1-R, $240 million: AAA (sf)
  Class A-2-R, $64 million: AA (sf)
  Class B-R, $24 million: A (sf)
  Class C-R, $24 million: BBB- (sf)
  Class D-R, $12 million: BB- (sf)

  Ratings Withdrawn

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

  Class A-1 to not rated from 'AAA (sf)'
  Class A-2 to not rated from 'AA (sf)'
  Class B to not rated from 'A (sf)'
  Class C to not rated from 'BBB- (sf)'
  Class D to not rated from 'BB- (sf)'

  Other Outstanding Ratings

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

  Subordinated notes: Not rated



BANK 2018-BNK15: Fitch Affirms B- Rating on 2 Tranches
------------------------------------------------------
Fitch Ratings has affirmed 16 classes of BANK 2018-BNK15,
commercial mortgage pass-through certificates, series 2018-BNK15
(BANK 2018-BNK15). Class A-1 is paid in full. Additionally, the
Rating Outlooks on classes E, X-D, F and X-F have been revised to
Stable from Negative.

    DEBT               RATING                PRIOR
    ----               ------                -----
BANK 2018-BNK15

A-1 06036FAY7     LT PIFsf   Paid In Full    AAAsf
A-2 06036FAZ4     LT AAAsf   Affirmed        AAAsf
A-3 06036FBB6     LT AAAsf   Affirmed        AAAsf
A-4 06036FBC4     LT AAAsf   Affirmed        AAAsf
A-S 06036FBF7     LT AAAsf   Affirmed        AAAsf
A-SB 06036FBA8    LT AAAsf   Affirmed        AAAsf
B 06036FBG5       LT AA-sf   Affirmed        AA-sf
C 06036FBH3       LT A-sf    Affirmed        A-sf
D 06036FAJ0       LT BBBsf   Affirmed        BBBsf
E 06036FAL5       LT BBB-sf  Affirmed        BBB-sf
F 06036FAN1       LT BB-sf   Affirmed        BB-sf
G 06036FAQ4       LT B-sf    Affirmed        B-sf
X-A 06036FBD2     LT AAAsf   Affirmed        AAAsf
X-B 06036FBE0     LT AAAsf   Affirmed        AAAsf
X-D 06036FAA9     LT BBB-sf  Affirmed        BBB-sf
X-F 06036FAE1     LT BB-sf   Affirmed        BB-sf
X-G 06036FAG6     LT B-sf    Affirmed        B-sf

KEY RATING DRIVERS

Lower Loss Expectations: The Outlook revisions on classes E, X-D, F
and X-F to Stable from Negative reflect better than expected
performance of loans affected by the pandemic since Fitch's prior
review. Fifteen loans (21.2% of pool), including two (2.9%) in
special servicing, were designated Fitch Loans of Concern (FLOCs).

Fitch's current ratings reflect a base case loss of 3.10%. The
Negative Outlooks on classes G and X-G reflect losses that could
reach 3.90% after factoring in additional pandemic-related stresses
to the pool. The Stable Outlooks on all other classes reflect
sufficient credit enhancement (CE) and the expectation of paydown
from continued amortization.

Fitch Loans of Concern: The largest FLOC, Starwood Hotel Portfolio
(9.7%), is secured by a portfolio of 22 hotels located in 12
states. The loan, which is sponsored by SCG Hotel Investors
Holdings, was designated a FLOC due the impact of the pandemic on
performance. Portfolio occupancy and servicer-reported NOI debt
service coverage ratio (DSCR) were 42% and 0.30x as of the TTM
ended March 2021 down from 72% and 2.68x, respectively, at YE
2019.

Fitch's base case scenario reflects an 11.25% cap rate and 10%
total haircut to the YE 2019 NOI. No loss was modeled. Fitch also
applied a pandemic-related stress, which reflects a 6% loss and is
based on a 26% total haircut to the YE 2019 NOI.

The second largest FLOC, Embassy Suites St. Louis (2.3%), is
secured by a 212-key full service hotel in Saint Louis, MO. The
loan, which is sponsored by Spinnaker Real Estate Partners,
transferred to special servicing for imminent default in November
2020 and has been affected by the pandemic. Per servicer updates,
the borrower proposed a modification, but refused to agree to
certain non-negotiable conditions, so the servicer is currently
proceeding with enforcement of remedies. Occupancy and
servicer-reported NOI DSCR were 34% and -0.33x as of the YTD March
2021, down from 64% and 0.43x as of the TTM ended June 2020 and 76%
and 1.62x at YE 2019. Per STR and as of the TTM ended July 2021,
the hotel was outperforming its competitive set with a RevPAR
penetration rate of 136.1%.

Fitch's base case loss of 19% reflects a discount to the recent
servicer provided valuation. Fitch's stressed value is
approximately $101,000 per key, which equates to a 12.5% cap rate
off the YE 2019 NOI.

Exposure to Coronavirus Pandemic: Twenty-four loans (43.3%) are
secured by retail properties, of which twenty-two (42.6%) were
modeled using the YE 2020 NOI. Seven loans (16.8%) are secured by
hotels. Fitch applied additional pandemic-related stresses to three
(12.2%) of these hotels. These additional stresses contributed to
the Negative Outlooks.

Minimal Change to Credit Enhancement: As of the October 2021
distribution date, the pool's aggregate balance has been paid down
by 4.9% to $1.032 billion from $1.085 billion at issuance. One loan
with a $26 million balance at Fitch's prior review paid in full
with yield maintenance. No loans are defeased. Twenty-seven loans
(60.2% of pool) are full-term, interest-only and 14 loans (15.6%)
have a partial-term, interest-only component. Cumulative interest
shortfalls of $298,752 are currently affecting the non-rated
classes H and RRI.

Pool Concentration: The top 10 loans comprise 54.5% of the pool.
Loan maturities are concentrated in 2028 (97.7%). Based on property
type, the largest concentrations are retail at 43.3%, hotel at
16.8% office at 11.6. Five loans (29.8%) received stand-alone
investment grade credit opinions at issuance: Aventura Mall (9.7%;
Asf), Millennium Partners Portfolio (7.3%; A-sf), 685 Fifth Avenue
Retail (5.8%; BBB-sf), Moffett Towers - Buildings E, F, G (5.5%;
BBB-sf) and Pfizer Building (1.5%; A-sf).

RATING SENSITIVITIES

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

-- Downgrades of classes rated in the 'AAAsf' and 'AAsf'
    categories are not likely due to sufficient CE and the
    expected receipt of continued amortization but could occur if
    interest shortfalls affect the class. Classes C, D, E, X-D, F
    and X-F would be downgraded if additional loans become FLOCs
    or if performance of the FLOCs deteriorates further. Classes G
    and X-G would be downgraded if loss expectations increase,
    additional loans transfer to special servicing or losses are
    realized.

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

-- Upgrades of classes B, C, D, E and X-D may occur with
    significant improvement in CE and/or defeasance, but would be
    limited based on sensitivity to concentrations or the
    potential for future concentration. The Negative Outlooks on
    classes G and X-G will be revised to Stable if loans affected
    by the pandemic stabilize and return to their pre-pandemic
    performance.

-- Classes would not be upgraded above 'Asf' if there is a
    likelihood for interest shortfalls. Upgrades of classes F, X-
    F, G and X-G could occur if performance of the FLOCs improves
    significantly and/or if there is sufficient CE, which would
    likely occur if the non-rated class is not eroded and the
    senior classes pay-off.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


BARINGS CLO 2020-I: Moody's Gives Ba3 Rating to $15.75MM E-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Barings CLO Ltd. 2020-I (the
"Issuer").

Moody's rating action is as follows:

US$1,000,000 Class X Senior Secured Floating Rate Notes due 2036,
Assigned Aaa (sf)

US$224,000,000 Class A-R Senior Secured Floating Rate Notes due
2036, Assigned Aaa (sf)

US$42,000,000 Class B-R Senior Secured Floating Rate Notes due
2036, Assigned Aa2 (sf)

US$19,250,000 Class C-R Secured Deferrable Mezzanine Floating Rate
Notes due 2036, Assigned A2 (sf)

US$21,000,000 Class D-R Secured Deferrable Mezzanine Floating Rate
Notes due 2036, Assigned Baa3 (sf)

US$15,750,000 Class E-R Secured Deferrable Mezzanine Floating Rate
Notes due 2036, Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of first lien senior secured loans,
cash, and eligible investments, and up to 10% of the portfolio may
consist of second lien loans, unsecured loans and bonds.

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

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; and changes to the base matrix and
modifiers.

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

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

Portfolio par: $350,000,000

Weighted Average Rating Factor (WARF): 2631

Weighted Average Spread (WAS): 3.20%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


BATTALION CLO 18: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes and proposed new
class X notes and class A loans from Battalion CLO 18 Ltd., a CLO
originally issued in October 2020 that is managed by Brigade
Capital 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. 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 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 replacement class A-R, B-R, C-R, D-R, and E-R notes are
expected to be issued at a floating spread, replacing the current
fixed coupon and floating spread notes.

-- The stated maturity will be extended by approximately four
years. The reinvestment period will be extended by approximately
three years. The non-call period will be extended by approximately
two years.

-- New class A loans are expected to be issued. The class A loans
will have the same spread as the class A-R notes. The class A loans
are not convertible into notes.

-- There will be class X notes issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during the first two payment dates beginning with
the payment date on Jan. 15, 2022.

-- There will be no additional collateral purchased in connection
with this refinancing. The target initial par amount is remaining
at $400 million. The first payment date following the first
refinancing date is expected to be Jan. 15, 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 with
a cap of 7.5% of the collateral principal amount.

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

  Battalion CLO 18 Ltd./Battalion CLO 18 LLC

  Class X, $1.0 million: AAA (sf)
  Class A-R, $34.0 million: AAA (sf)
  Class A loans, $218.0 million: AAA (sf)
  Class B-R, $52.0 million: AA (sf)
  Class C-R (deferrable), $24.00 million: A (sf)
  Class D-R (deferrable), $24.00 million: BBB- (sf)
  Class E-R (deferrable), $16.00 million: BB- (sf)
  Subordinated notes, $36.60 million: Not rated



BBCMS 2020-BID: DBRS Confirms BB Rating on Class HRR Certs
----------------------------------------------------------
DBRS, Inc. confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2020-BID issued by BBCMS
2020-BID Mortgage Trust as follows:

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

All trends are Stable.

The rating confirmations are reflective of the generally stable
performance since the October 2020 close date. The servicer reports
no delinquencies or other defaults and there have been no
Coronavirus Disease (COVID-19)-related relief requests submitted by
the borrower.

The underlying mortgage loan for the subject transaction is
collateralized by the borrower's fee-simple interest in a Class A
office building in the Upper East Side submarket of Manhattan, New
York. The building benefits from the long-term tenancy of
Sotheby's, which executed a new 15-year triple net lease with three
10-year extension options in concurrence with the closing of the
mortgage loan. In addition to having been at the property since
1980, Sotheby's was also reported to have invested more than $50
million in its space in 2018 and 2019 alone. At closing, DBRS
Morningstar noted the subject property is also well positioned to
capture space demands in the area in the event that the Sotheby's
space needs change, as the subject is well located in close
proximity to a cluster of major medical office space users,
including New York-Presbyterian/Weill Cornell Hospital and the
Hospital for Special Surgery.

DBRS Morningstar also notes that the property benefits from a
substantial floor value based on its desirable location on the
Upper East Side. The appraiser's concluded land value was
approximately $485 million, or at least $1,100 per square foot,
which covers the entire whole loan balance, including the $60
million mezzanine loan, and provides additional downside
protection. The transaction also benefits from an upfront interest
reserve of approximately $16.7 million, which was funded by the
borrower at close.

Despite its long history and prominent position in the global
auction industry, Sotheby's raised significant doubt regarding its
ability to operate as a going concern in its 2019 annual report and
reported a loss of $71.2 million for YE2019. Furthermore, according
to published reports, the company's live and/or online auctions,
which accounted for $3.5 billion of its total revenue, were down
nearly 30% compared with 2019 while private sales of $1.5 billion
were up 50% year over year. The company was taken private in 2019,
and updated information on the company's revenues since then has
been limited, but news reports in late 2020 and early 2021 stated
that Sotheby's 2020 sales of $5.0 billion edged out 2019 global
sales of $4.8 billion and bested competing auction house Christie's
2020 sales of $4.4 billion, thanks in part to Sotheby's more
advanced online auction presence.

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



BBCMS MORTGAGE 2017-C1: Fitch Lowers 2 Tranches to 'CCC'
--------------------------------------------------------
Fitch Ratings has downgraded four classes, affirmed 11 classes, and
revised four Rating Outlooks to Stable from Negative of BBCMS
Mortgage Trust 2017-C1 commercial mortgage pass-through
certificates, series 2017-C1.

    DEBT                RATING            PRIOR
    ----                ------            -----
BBCMS 2017-C1

A-2 07332VBA2     LT AAAsf   Affirmed     AAAsf
A-3 07332VBC8     LT AAAsf   Affirmed     AAAsf
A-4 07332VBD6     LT AAAsf   Affirmed     AAAsf
A-S 07332VBE4     LT AAAsf   Affirmed     AAAsf
A-SB 07332VBB0    LT AAAsf   Affirmed     AAAsf
B 07332VBF1       LT AA-sf   Affirmed     AA-sf
C 07332VBG9       LT A-sf    Affirmed     A-sf
D 07332VAA3       LT BBB-sf  Affirmed     BBB-sf
E 07332VAC9       LT B-sf    Downgrade    BB-sf
F 07332VAE5       LT CCCsf   Downgrade    B-sf
X-A 07332VBJ3     LT AAAsf   Affirmed     AAAsf
X-B 07332VBH7     LT AA-sf   Affirmed     AA-sf
X-D 07332VAL9     LT BBB-sf  Affirmed     BBB-sf
X-E 07332VAN5     LT B-sf    Downgrade    BB-sf
X-F 07332VAQ8     LT CCCsf   Downgrade    B-sf

KEY RATING DRIVERS

Concerns Remain Despite Overall Stable to Improved Performance:
Fitch's loss expectations have decreased since the last rating
action. Fitch's ratings incorporate a base case loss of 5.8%; Fitch
also ran additional sensitivities that stressed nine hotel loans
and one regional mall loan indicating losses could reach as high as
6.3%. There are 11 Fitch Loans of Concern (FLOC) representing 32.7%
of the pool, including three loans in special servicing (4.8% of
the pool).

Alhambra Towers (7.5%), the largest loan in the pool, is designated
as a FLOC given upcoming scheduled tenant in 2021 and 2022. The
loan is secured by a 174,250 square foot office property located in
Coral Gables, FL and built in 2002. Major tenants with upcoming
scheduled rollover include AerSale, Inc. (15.7% of NRA) with a
lease expiration date in November 2021; The Allen Morris Company
(6.1% of NRA) with a lease expiration date in July 2022; and Becker
& Poliakoff PA (12.9% of NRA) with a lease expiration date in
December 2022. Fitch applied an additional 15% NOI haircut to
reflect the risk associated with upcoming rollover.

The second largest FLOC is 1000 Denny Way (6.9% of the pool). It is
the third largest loan, and is secured by a 262,565-sf office
building located in downtown Seattle, WA. The loan is designated as
a FLOC due to its occupancy decline coupled with upcoming scheduled
tenant rollover. In February 2021, upon lease expiration, major
tenant Seattle Times downsized to 47,424 SF (18% of NRA) from
155,985 sf (59% of NRA).

Base rent for Seattle Times has more than doubled mitigating a
significant portion of the income loss attributable to the size
reduction. Upcoming scheduled tenant rollover includes Verizon
(8.1% of NRA) with a lease scheduled to expire in September 2022.
Fitch modeled an additional 10% NOI haircut to account for cash
flow disruption related to the downsizing and risks associated with
upcoming lease expirations.

The third largest FLOC is Anaheim Marriott Suites (3.7% of the
pool), a 371-room full service hotel. The property was built in
2002, later renovated in 2016, and is well located in Garden Grove,
CA within three miles of Disneyland and 1.5 miles of Anaheim
Convention Center. The loan transferred to special servicing for
imminent default in June 2020. The borrower has requested debt
service payment relief, expressing hardship due to the coronavirus
pandemic. There is no workout strategy listed at this time, and the
loan has missed the June 2020 and all subsequent debt service
payments.

Improved Credit Enhancement: As of the October 2021 remittance, the
pool's aggregate principal balance has been reduced by 4.9% to $815
million from $856 million at issuance. Three loans (2.4% of the
pool balance at issuance) have repaid prior to maturity, two loans
(0.89% of the pool) have defeased, and there have been no losses to
date. Cumulative interest shortfalls totaling $431,148 are
affecting the non-rated class H. Fourteen loans (51.3%) are
interest-only for the full term. An additional 14 loans (26.4%)
were structured with partial interest-only periods; four of which
(8.5) have not yet begun amortizing. Two loans (3.8%) are scheduled
to mature in 2022; the remaining are scheduled to mature in 2026
and 2027.

Loans Impacted by the Pandemic: Nine non-Specially Serviced loans
(10.8% of the pool) are secured by lodging properties, one of which
is flagged as a FLOC. The hotels experienced significant
performance challenges in 2020 due to reduced reservations and/or
temporary property closures related to the pandemic. In addition to
the base case, these loans were modeled with stresses to the YE
2019 NOI ranging from 15% to 26%. In the sensitivity, Fitch also
applied a 50% loan level loss to Wolfchase Galleria (1.2% of the
pool), a regional mall loan previously in Special Servicing. The
sensitivity contributes to the Negative Outlooks.

RATING SENSITIVITIES

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

-- Downgrades to the classes rated 'AAAsf' are not considered
    likely due to position in the capital structure, but may occur
    at 'AAAsf' or 'AA-sf' should interest shortfalls occur.
    Downgrades to classes B and C may occur if overall pool
    performance declines or loss expectations increase.

-- Downgrades to classes D and E may occur if loans in special
    servicing remain unresolved, or if performance of the FLOCs
    fails to stabilize. Downgrades to classes F may occur if
    additional loans default or transfer to the special servicer,
    pool performance declines, and/or FLOCs experience losses
    greater than expected.

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

-- An upgrade to classes B and C could occur with stabilization
    of the FLOCs, but would be limited as concentrations increase.
    Classes would not be upgraded above 'Asf' if there is
    likelihood of interest shortfalls. Upgrades of classes D and E
    would only occur with significant improvement in credit
    enhancement and stabilization of the FLOCs. An upgrade to
    class F is not likely unless performance of the FLOCs
    improves, and if performance of the remaining pool is stable.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


BBCMS TRUST 2018-CBM: DBRS Confirms B(high) Rating on Class F Certs
-------------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-CBM issued by BBCMS Trust
2018-CBM as follows:

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

With this review, DBRS Morningstar changed the trends on Classes A,
B, C, and D to Stable from Negative. Classes E and F continue to
carry Negative trends. The rating confirmations and the trend
changes on four classes to Stable from Negative reflect DBRS
Morningstar's generally stable outlook for this transaction, given
the loan modification and return to master servicer, as well as the
recent transfer of ownership, as further outlined below. The
Negative trends on Classes E and F were maintained as a reflection
of the potential lasting residual effects of the Coronavirus
Disease (COVID-19) pandemic, particularly for hotel property types
such as those that back the underlying loan.

The $415,000,000 mortgage loan that was contributed to the subject
transaction is backed by a portfolio of 30 Courtyard by Marriott
select-service hotels. Additional financing includes two mezzanine
loans totaling $135.0 million, which are both held outside the
trust. The mortgage loan had an initial two-year term with five
one-year extension options. The floating-rate loan pays interest
only throughout the fully extended loan term.

The loan transferred to special servicing in April 2020 following
the borrower's request for relief as a result of the decreased
revenue caused by the coronavirus pandemic. The borrower failed to
make the loan payments due between April 2020 and June 2020, and a
notice of default was issued. In addition, the initial maturity
date of July 7, 2020, was looming when the default notice was
issued. Ultimately, the special servicer and borrower agreed to a
loan modification that extended the maturity date to July 9, 2022
(exercising the first two extension options simultaneously), and
the loan was returned to the master servicer as of March 30, 2021,
as a corrected loan. Other terms of the modification included a
deferral of debt service between April 2020 and September 2020; an
abatement of contributions to the furniture, fixture, and equipment
(FF&E) reserves for nine months; and a deferral of interest
payments on the mezzanine loans until the senior loan was brought
current. A cash sweep will remain in place until the trust loan is
repaid.

The servicer has reported new valuations for all of the underlying
properties as of July 1, 2020. On a weighted-average (WA) basis,
the updated appraisals show that valuations were down 20.9% from
the issuance appraisals. The issuance appraised value for the
portfolio as a whole was $675.0 million, compared with the July
2020 portfolio value of $533.7 million. At issuance, the
loan-to-value (LTV) ratio on the senior loan was 61.5%, and the
July 2020 appraisals obtained by the servicer imply that the LTV
has increased to 77.8% on the trust loan. The DBRS Morningstar
value derived at issuance of $524.9 million resulted in an LTV of
79.1%.

DBRS Morningstar also notes that the original loan sponsor, Colony
Capital, Inc. (Colony), transferred 100% of its interests in the
borrowers to a joint venture (JV) between Highgate Capital
Investments, L.P. (Highgate) and Cerberus Real Estate Capital
Management, LLC (Cerberus) in March 2021. As part of the transfer,
the guarantor was changed from Colony Capital Operating Company,
LLC to CRE Credit Holdco II, LP. The transfer was part of a larger
sale of six select-service hotel portfolios that Colony agreed to
sell to the JV between Highgate and Cerberus. The sale included 197
properties, which were reportedly valued at more than $2.7 billion,
for an aggregate sale price of $67.5 million and the assumption of
the outstanding mortgage debt of $2.7 billion. There was no
breakdown provided of the sale price by portfolio, or ultimately by
individual asset.

The reporting shows an outstanding interest shortfall on Class F,
which was a nominal amount of $0.02 prior to January 2021, when it
increased to $705.81, and it increased again to $2,950.16 in April
2021. As of the most recent August 2021 remittance, the figure
stood at $2,961.96. The servicer attributed the shortfall to
Libor-related work in response to a DBRS Morningstar inquiry as to
the source of the charge. Although the amount has increased
significantly in the last nine months, the figure remains very
small in comparison with the size of the bond in question.

The servicer provided Smith Travel Research (STR) reports as of
June 2021 for 24 of the 30 collateral properties, which represent
68.6% of the pool by allocated loan amount. STR reports were not
provided for the six largest properties. For the properties
included in the provided reports, the trailing-three-month WA
occupancy, average daily rate (ADR), and revenue per available room
(RevPAR) were 60.8%, $102.64, and $63.25, respectively. The
aggregate figures for the portfolio have all been trending upward
but still remain below the servicer's reported YE2019 occupancy
rate, ADR, and RevPAR of 68.6%, $133.14, and $91.68, respectively,
and the issuer's figures of 73.5%, $134.64, and $99.70,
respectively. Despite the decline in performance, relative to the
competitive sets, RevPAR penetration rates have remained over 100%
for each of the reported periods, including the trailing 12 months
ended June 30, 2021, indicating that the subject properties are
outperforming their competitors.

The servicer has not provided an updated operating statement
analysis report since YE2019, which showed a consolidated portfolio
net cash flow and debt service coverage ratio (DSCR) of $32.7
million and 2.79 times (x), respectively; however, commentary on
the servicer's watchlist notes that the analysis of the YE2020
reporting resulted in a DSCR of -0.78x.

DBRS Morningstar's rating on Class C had a variance that was
generally lower than the results implied by LTV Sizing Benchmarks,
which were based on a baseline valuation scenario. Given the low
in-place cash flows and uncertain timeline for the collateral
hotels' stabilization, the variances were warranted.

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



BDS 2020-FL6: DBRS Confirms B(low) Rating on Class G Notes
----------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
notes issued by BDS 2020-FL6 Ltd.:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
transaction, which has remained in line with DBRS Morningstar's
expectations since issuance in September 2020. In conjunction with
this press release, DBRS Morningstar has published a Surveillance
Performance Update rating report with in-depth analysis and credit
metrics for the transaction and with business plan updates on
select loans. To access this report, please click on the link under
Related Documents below or by contacting us at
info@dbrsmorningstar.com.

The initial collateral for this pool consisted of 19 mortgage
assets (including one whole loan and 18 funded pari passu
participations of whole loans) secured by 25 mostly transitional
properties. At issuance, the mortgage loan cut-off date balance of
$489.4 million consisted of the cut-off date balance of $440.9
million and the companion participation cut-off date balance of
$48.4 million. The holder of the future funding companion
participation has full responsibility to fund the future funding
companion participations.

Most loans are in a period of transition with plans to stabilize
performance and improve the asset value. The collateral pool for
the transaction is static with no ramp-up or reinvestment period;
however, the Issuer has the right to acquire fully funded future
funding participations subject to stated criteria during the
replenishment period, which ends on or about September 15, 2022
(subject to a 60-day extension for binding commitments entered
during the replenishment period). As of the September 2021
reporting, the Replenishment Account had a balance of $4.4 million.
The transaction has a sequential-pay structure. Interest can be
deferred for Classes C, D, E, F, and G, and interest deferral will
not result in an event of default.

All the loans in the pool have floating interest rates initial
indexed to Libor and are interest-only through their initial terms.
As such, DBRS Morningstar used the one-month Libor index, which was
the lower of DBRS Morningstar's stressed rates that corresponded to
the remaining fully extended term of the loans and the strike price
of the interest rate cap with the respective contractual loan
spread added, to determine a stressed interest rate over the loan
term.

At issuance, when measuring the cut-off date balances against the
DBRS Morningstar As-Is Net Cash Flow, 15 loans, representing 77.2%
of the mortgage loan cut-off date balance, had a DBRS Morningstar
As-Is Debt Service Coverage Ratio (DSCR) below 1.00 times (x), a
threshold indicative of default risk. However, in the DBRS
Morningstar Stabilized DSCR analysis, no loans were below 1.00x.
The properties are often transitioning with potential upside in
cash flow; however, DBRS Morningstar does not give full credit to
the stabilization if there are no holdbacks or if the other loan
structural features are insufficient to support such treatment.
Furthermore, even if the structure is acceptable, DBRS Morningstar
generally does not assume the assets will stabilize above market
levels.

As of the September 2021 remittance report, 15 loans remain in the
pool. Tompkins Cove (formerly 2.7% of the pool), Harmony
Multifamily Portfolio (formerly 2.5% of the pool), Colter Park
Apartments (formerly 9.5% of the pool), and Chapel View Apartments
(formerly 4.4% of the pool) have been repaid in full. At present,
the top 10 loans represent 78.6% of the pool. Six loans are
currently on the servicer's watchlist, representing 46.9% of the
current trust balance. These loans are on the watchlist because of
low occupancy, subpar performance, and/or extreme weather events.
Although the watchlist concentration is high, DBRS Morningstar
notes that it is typical for a transaction that includes loans
secured by transitional assets such as the subject transaction. The
two largest loans on the watchlist are The Everly (14.1% of the
current pool) and The Emerson (8.9% of the current pool); for
additional information on these loans, please see the Surveillance
Performance Update report released in conjunction with this press
release.

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




BELLEMEADE RE 2021-3: DBRS Finalizes B(high) Rating on B-1 Notes
----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Insurance-Linked Notes, Series 2021-3 issued by Bellemeade
Re 2021-3 Ltd. (BMIR 2021-3):

-- $104.9 million Class M-1A at A (low) (sf)
-- $64.3 million Class M-1B at BBB (high) (sf)
-- $81.4 million Class M-1C at BBB (low) (sf)
-- $115.3 million Class M-2 at BB (low) (sf)
-- $19.0 million Class B-1 at B (high) (sf)

The A (low) (sf), BBB (high) (sf), BBB (low) (sf), BB (low) (sf),
and B (high) (sf) ratings reflect 7.00%, 5.85%, 4.40%, 2.55%, and
2.25% of credit enhancement, respectively.

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

BMIR 2021-3 is Arch Mortgage Insurance Company's (Arch MI's) and
United Guaranty Residential Insurance Company's (UGRIC's;
collectively the ceding insurer) 15th rated MI-linked note
transaction. The Notes are backed by reinsurance premiums, eligible
investments, and related account investment earnings, in each case
relating to a pool of MI policies linked to residential loans. The
Notes are exposed to the risk arising from losses the ceding
insurer pays to settle claims on the underlying MI policies. As of
the cut-off date, the pool of insured mortgage loans consists of
93,138 fully amortizing first-lien fixed- and variable-rate
mortgages. They all have been underwritten to a full documentation
standard, have original loan-to-value ratios (LTVs) less than or
equal to 100%, and have never been reported to the ceding insurer
as 60 or more days delinquent. As of the Cut-Off Date, these loans
have not been reported to be in payment forbearance plan. The
mortgage loans have MI policies effective on or after January 2020
and on or before June 2021.

In this transaction, there could be loans located in counties
designated by the Federal Emergency Management Agency (FEMA) as
having been affected by a non-coronavirus-related natural disaster.
Mortgage insurance policies generally exclude physical damage in
excess of $5,000. None of the mortgage loans are likely to be
dropped from the transaction. Please reference the offering
circular for additional details.

On March 1, 2020, a new master policy was introduced to conform to
government-sponsored enterprises' revised rescission relief
principles under the Private Mortgage Insurer Eligibility
Requirements (PMIERs) guidelines (see the Representations and
Warranties section in the related report for more details).
Approximately 99.97% of the mortgage loans (by Cut-Off Date) are
insured under the new master policy.

On the Closing Date, the Issuer will enter into the Reinsurance
Agreement with the ceding insurer. As per the agreement, the ceding
insurer will get protection for the funded portion of the MI
losses. In exchange for this protection, the ceding insurer will
make premium payments related to the underlying insured mortgage
loans to the Issuer.

The Issuer is expected to use the proceeds from the sale of the
Notes to purchase certain eligible investments that will be held in
the reinsurance trust account. The eligible investments are
restricted to AAA or equivalent rated U.S. Treasury money-market
funds and securities. Unlike other residential mortgage-backed
security (RMBS) transactions, cash flow from the underlying loans
will not be used to make any payments; rather, in mortgage
insurance-linked Notes (MILN) transactions, a portion of the
eligible investments held in the reinsurance trust account will be
liquidated to make principal payments to the noteholders and to
make loss payments to the ceding insurer when claims are settled
with respect to the MI policy.

The Issuer will use the investment earnings on the eligible
investments, together with the ceding insurer's premium payments,
to pay interest to the noteholders.

Notable Changes

This transaction incorporates below notable changes:

1. Senior Coverage Level A will be split into Coverage Level A-1
and Coverage Level A-2. Class A-2 Notes, corresponding to Coverage
Level A-2, will be offered. Class A-2 Notes will be locked out for
principal payments until certain conditions are met. This may lead
to some erosion of credit support for Class A-2 Notes in certain
scenarios where subordinate Notes receive principal payment while
Class A-2 Notes are locked out.

2. The threshold for the delinquency test (one of the performance
tests), that locks out subordinate Notes from receiving principal
payment, is reduced to 60% of the subordinate percentage, instead
of 75% in prior deals.

The calculation of principal payments to the Notes will be based on
the reduction in aggregate exposed principal balance on the
underlying MI policy that is allocated to the Notes. Class A-2
Notes will be locked out from receiving principal payments until
the following conditions are met:

1. Payment Date is on or after April 2025,

2. A-1 credit enhancement is at least 10.0%, and

3. Three-month average of 60+ days delinquency percentage is below
75% of the subordinate percentage.

The subordinate Notes will receive their pro rata share of
available principal funds if the minimum credit enhancement test
and the delinquency test are satisfied. The minimum credit
enhancement test has been set to fail at the Closing Date, thus
locking out the rated classes from initially receiving any
principal payments until the subordinate percentage grows to 10.00%
from 9.00%. The delinquency test will be satisfied if the
three-month average of 60+ days delinquency percentage is below 60%
of the subordinate percentage (see the Cash Flow Structure and
Features section of the related report for more details).

The coupon rates for the Notes are based on the Secured Overnight
Financing Rate (SOFR). There are replacement provisions in place in
the event that SOFR is no longer available, please see the Offering
Circular for more details. DBRS Morningstar did not run interest
rate stresses for this transaction, as the interest is not linked
to the performance of the underlying loans. Instead, interest
payments are funded via (1) premium payments that the ceding
insurer must make under the reinsurance agreement and (2) earnings
on eligible investments.

On the Closing Date, the ceding insurer will establish a cash and
securities account, the premium deposit account. In case of the
ceding insurer's default in paying coverage premium payments to the
Issuer, the amount available in this account will be used to make
interest payments to the noteholders. The premium deposit account
will not be funded at closing. The ceding insurer will make a
deposit into this account up to the applicable target balance only
when one of the Premium Deposit Events occur. Please refer to the
related report and/or offering circular for more details.

The Notes are scheduled to mature on September 25, 2031 but will be
subject to early redemption at the option of the ceding insurer (1)
for a 10% clean-up call or (2) on or following the payment date in
September 2027, among others. The Notes are also subject to
mandatory redemption before the scheduled maturity date upon the
termination of the Reinsurance Agreement.

Arch MI and UGRIC, together, act as the ceding insurers. The Bank
of New York Mellon (rated AA (high) with a Stable trend by DBRS
Morningstar) will act as the Indenture Trustee, Paying Agent, Note
Registrar, and Reinsurance Trustee.

Coronavirus Disease (COVID-19) Impact

The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. Shortly after the onset of the
coronavirus, DBRS Morningstar saw an increase in the delinquencies
for many RMBS asset classes.

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term periods of payment relief, that may
perform differently from traditional delinquencies. At the onset of
coronavirus, the option to forebear mortgage payments was widely
available, droving forbearances to an elevated level. When the dust
settled, loans with coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid and
acceptable underwriting in the mortgage market in general. Across
nearly all RMBS asset classes in recent months, delinquencies have
been gradually trending downward, as forbearance periods come to an
end for many borrowers.

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



BENCHMARK 2018-B2: Fitch Affirms B Rating on G-RR Certs
-------------------------------------------------------
Fitch Ratings has affirmed the ratings on 15 classes and revised
the Rating Outlooks on four classes of Benchmark 2018-B2 Mortgage
Trust commercial mortgage pass-through certificates, series 2018-B2
(BMARK 2018-B2).

    DEBT               RATING            PRIOR
    ----               ------            -----
Benchmark 2018-B2

A-1 08161CAA9     LT AAAsf   Affirmed    AAAsf
A-2 08161CAB7     LT AAAsf   Affirmed    AAAsf
A-3 08161CAC5     LT AAAsf   Affirmed    AAAsf
A-4 08161CAD3     LT AAAsf   Affirmed    AAAsf
A-5 08161CAE1     LT AAAsf   Affirmed    AAAsf
A-S 08161CAJ0     LT AAAsf   Affirmed    AAAsf
A-SB 08161CAF8    LT AAAsf   Affirmed    AAAsf
B 08161CAK7       LT AA-sf   Affirmed    AA-sf
C 08161CAL5       LT A-sf    Affirmed    A-sf
D 08161CAP6       LT BBB+sf  Affirmed    BBB+sf
E-RR 08161CAR2    LT BBB-sf  Affirmed    BBB-sf
F-RR 08161CAT8    LT BBsf    Affirmed    BBsf
G-RR 08161CAV3    LT Bsf     Affirmed    Bsf
X-A 08161CAG6     LT AAAsf   Affirmed    AAAsf
X-D 08161CAM3     LT BBB+sf  Affirmed    BBB+sf

KEY RATING DRIVERS

Improved Loss Expectations: Loss expectations for the pool have
improved since Fitch's prior rating action due to better than
expected performance on the Fitch Loans of Concern (FLOCs) and
specially serviced loans. Three loans which were previously in
special servicing at the prior rating action were returned to the
master servicer after receiving forbearance/debt relief. There are
seven FLOCs (17.7% of the pool), including two specially serviced
loans (2.1%). Fitch's current ratings reflect a base case loss of
3.75%. The Negative Outlooks reflect losses that could reach 4.30%
when applying additional pandemic-related stresses to seven hotel
loans and a potential outsized loss on the Lehigh Valley Mall
loan.

Specially Serviced Loans: Both specially serviced loans have either
been brought current or is less than 30 days delinquent. The
specially serviced Hilton Garden Inn Atlanta Airport loan (1.3%) is
secured by a 174-key hotel located in East Point, GA, near the
Atlanta, GA airport. The loan transferred to special servicing in
April 2020 due to hardships caused by the pandemic. Per the special
servicer, the borrower and special servicer had agreed to a
forbearance agreement; however, upon documentation, the borrower
requested additional relief. The borrower and special servicer are
still discussing modification terms. Fitch's base case loss of 11%
incorporates a stress to the most recent appraisal and reflects a
stressed value of $97,011 per key.

The specially serviced Holiday Inn Express New Orleans loan (0.8%)
is secured by a 129-key limited service hotel located in downtown
New Orleans, near the Superdome Stadium and the French Quarter. The
loan transferred to special servicing in April 2020 due to the
ongoing pandemic and occupancy declining to the single digits. Per
the special servicer, the borrower and special servicer had agreed
to a forbearance agreement; however, upon documentation, the
borrower requested additional relief. The special servicer and
borrower are now reviewing potential loan modification terms.
Fitch's base case loss of 14% incorporates a stress to the most
recent appraisal and reflects a stressed value of $91,163 per key.

Limited Change to Credit Enhancement: As of the September 2021
remittance reporting, the pool's aggregate principal balance has
been paid down by 1.4% to $1.49 billion from $1.51 billion at
issuance. Twenty-four loans (55.4% of the pool) have interest only
payments for the full loan term, including ten loans (37.4% of the
pool) within the top 15. Seventeen loans (25.5% of the pool) have
partial interest only payments, of which only three (5.2% of the
pool) have begun amortizing. The remainder of the pool is
amortizing. One loan (2.0% of the pool) is defeased. The pool has
not experienced any losses to date, but interest shortfalls
totaling $122k are currently impacting the class NR-RR
certificates, which are not rated by Fitch.

Anticipated Repayment Date Loans: Two loans, Apple Campus (4.6% of
the pool) and Marina Heights State Farm (2.8% of the pool), have
anticipated repayments dates (ARD) in 2027 and 2028, respectively.
Should Apple Campus 3 not pay off by its ARD date, then the
interest rate will increase by 150 bps, with all cash flow swept
and applied to the hyperamortization of the loan.

Additional Loss Considerations: Fitch's sensitivity analysis
applied an additional stress to the pre-pandemic cash flows for
seven hotel loans (10.3%) given the significant 2020 NOI declines
related to the pandemic, as well as a potential outsized loss of
22% to the Lehigh Valley Mall loan, which is based on a 15% cap
rate and a 20% haircut to the YE 2020 NOI, to reflect sponsorship
concerns and the potential for sustained underperformance. These
additional stresses contributed to the Negative Outlooks.

The Lehigh Valley Mall loan (2.2%) is secured by a 549,531-sf
portion of a regional mall located in the Lehigh Valley, PA. The
loan is sponsored by Simon Property Group and Pennsylvania Real
Estate Investment Trust. Anchors include Macy's (ground lessee),
Boscov's (non-collateral) and JC Penney (non-collateral); all three
anchors have been at the property since 1957. The collateral is
anchored by Bob's Discount Furniture (5.5% of NRA; lease expiry in
February 2028) and Barnes & Noble (5.4%; January 2023).

As of March 2021, occupancy declined to 77% from 89.5% at YE 2020,
90.7% at YE 2019 and 91.7% at YE 2018. The declines are primarily
due to multiple tenants vacating upon lease expiration or upon
filing for bankruptcy. The largest tenant to vacate was Modell's
(previously 2.6% of the NRA), which filed for bankruptcy ahead of
its 2022 lease expiration. As of TTM September 2020, inline sales
for tenants under 10,000 sf (excluding Apple) were $435 psf,
compared with $461 psf at YE19 and $451 psf at issuance. Fitch's
base case loss of 10.5% reflects a cap rate of 12% and a 10%
haircut to the YE 2020 NOI, which were applied to address the
recent occupancy declines and near-term lease rollover concerns.

Investment-Grade Credit Opinion Loans: Ten loans (18.1% of the
pool) received investment-grade credit opinions at issuance,
including three loans in the top 15. Apple Campus (4.6% of the
pool), the Woods (3.9% of the pool) and Worldwide Plaza (3.4% of
the pool) received 'BBB-sf', 'Asf' and 'BBB+sf' investment-grade
opinions, respectively, at issuance.

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
    to classes A-1, A-2, A-3, A-4, A-5, A-SB, A-S and X-A are not
    likely due to the position in the capital structure, but may
    occur should interest shortfalls affect these classes.
    Downgrades to classes B, C, D, E-RR and X-D may occur should
    expected pool losses increase significantly and/or the FLOCs
    and/or loans susceptible to the pandemic suffer losses.

-- Downgrades to classes F-RR and G-RR are possible should loss
    expectations increase from continued performance decline on
    FLOCs, loans susceptible to the pandemic not stabilize and/or
    deteriorate further, additional loans default or transfer to
    special servicing, an outsized loss occurs on Lehigh Valley
    Mall and/or higher realized losses than expected on the
    specially serviced loans.

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

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

-- Upgrades of the 'BBBsf' category rated classes are considered
    unlikely, but may occur as the number of FLOCs are reduced,
    properties vulnerable to the pandemic return to pre-pandemic
    levels and there is sufficient CE to the classes, and would be
    limited based on the sensitivity to concentrations or the
    potential for future concentrations. Classes would not be
    upgraded above 'Asf' if there is a likelihood of interest
    shortfalls.

-- An upgrade to the 'BBsf' and 'Bsf' rated classes is not likely
    unless the performance of the remaining pool stabilizes and
    the senior classes pay off. The Negative Outlooks on classes
    F-RR and G-RR may be revised back to Stable should the
    performance of the specially serviced loans and/or FLOCs
    improve, property valuations improve and recoveries are better
    than expected, or workout plans of the specially serviced
    loans and/or properties impacted by the coronavirus stabilize
    once the pandemic is over.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

Benchmark 2018-B2 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to higher exposure to retail properties,
including a regional retail mall, which has a negative impact on
the credit profile, and is relevant to the rating[s] in conjunction
with other factors.

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


BENCHMARK MORTGAGE 2018-B8: Fitch Affirms B- Rating on G-RR Debt
----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Benchmark 2018-B8 Mortgage
Trust. The Rating Outlooks for classes D, E-RR and X-D have been
revised to Stable from Negative.

    DEBT               RATING            PRIOR
    ----               ------            -----
BMARK 2018-B8

A-2 08162UAT7     LT AAAsf   Affirmed    AAAsf
A-3 08162UAU4     LT AAAsf   Affirmed    AAAsf
A-4 08162UAV2     LT AAAsf   Affirmed    AAAsf
A-5 08162UAW0     LT AAAsf   Affirmed    AAAsf
A-S 08162UBA7     LT AAAsf   Affirmed    AAAsf
A-SB 08162UAX8    LT AAAsf   Affirmed    AAAsf
B 08162UBB5       LT AA-sf   Affirmed    AA-sf
C 08162UBC3       LT A-sf    Affirmed    A-sf
D 08162UAC4       LT BBBsf   Affirmed    BBBsf
E-RR 08162UAE0    LT BBB-sf  Affirmed    BBB-sf
F-RR 08162UAG5    LT BB-sf   Affirmed    BB-sf
G-RR 08162UAJ9    LT B-sf    Affirmed    B-sf
X-A 08162UAY6     LT AAAsf   Affirmed    AAAsf
X-B 08162UAZ3     LT AA-sf   Affirmed    AA-sf
X-D 08162UAA8     LT BBBsf   Affirmed    BBBsf

KEY RATING DRIVERS

Improved Loss Expectations Since Last Rating Action: Overall
performance and base case and sensitivity loss expectations for the
overall pool have improved since the last rating action primarily
the result of better than expected performance through the pandemic
in 2020 and performance stabilization in 2021. There are six Fitch
Loans of Concern (FLOCs; 19.3% of pool), including one specially
serviced loan (5.5%) that is still performing.

Fitch's current ratings incorporate a base case loss of 4%. Fitch's
analysis also included additional stresses on four loans that
indicate losses could reach 5.8%. The Outlook revisions to Stable
reflect the lower loss expectations in this sensitivity analysis
compared to the last rating action.

Largest Contributor to Loss: The largest contributor to loss is the
Saint Louis Galleria loan (5.4%) which is secured by a 466,000sf
portion of a 1.18 million sf regional mall located in Saint Louis,
MO. The non-collateral anchors are Dillard's, Macy's, and
Nordstrom. The largest collateral tenants are Galleria 6 Cinemas
and H&M.

Per the March 2020 rent roll, upcoming tenant roll is as follows:
2020 - 10.8% NRA, 2021 - 24.3% NRA, 2022 - 3.4% NRA, and 2023 -
10.8% NRA. J.Crew closed in April 2020 and Amazon re-leased their
space beginning in August 2020 for an Amazon 4-Star store. Since
January 2019, leases accounting for 12.3% NRA have been
signed/renewed.

At issuance, Fitch noted that the non-collateral anchors
(Dillard's, Macy's, and Nordstrom) had all experienced declining
sales since 2013, when the loan was last securitized. Inline sales
have also declined over that same time frame. Fitch has an
outstanding request for a recent sales report but has not received
sales data since issuance.

Fitch's loss expectation of approximately 12% reflects a 12% cap
rate applied to the YE 2020 NOI.

The second largest contributor to loss is the 590 East Middlefield
(4.8%) loan, which is secured by a 100,000sf suburban office
located in Mountain View, CA, 15 miles NW of San Jose. The loan is
on the watchlist due to the single-tenant Omnicell failing to renew
by the April 2021 deadline date. A cash flow sweep has been
activated. The servicer reported YE 2020 NOI DSCR was 1.53x, which
is inline with prior years.

In the base case scenario, Fitch's expected loss of approximately
10% reflects a value of $440 psf. In the sensitivity scenario,
Fitch applied a 25% loss to the loan to reflect concerns that the
single tenant Omnicell does not renew, which reflects a value of
$366 psf.

The next largest contributor to loss is the Crowne Plaza Melbourne
loan (3.7%), which is secured by a 290-key full service hotel
located in Melbourne, FL. The hotel's performance struggled as a
result of the coronavirus pandemic, especially given the property's
location in Florida and its heavy reliance upon tourism. The
occupancy, ADR, and RevPAR penetration rates as of the trailing six
June 2021 period were 88%, 102%, and 90%, respectively.

According to the servicer, Covid relief was granted and the
modification terms included a deferral of FF&E reserve deposits for
six months. The repayment period commenced in March 2021 and covers
a total of 12 months.

The servicer reported YE 2020 NOI DSCR was 0.52x compared with
1.25x at YE 2019. In the base case, Fitch modeled a loss of
approximately 13% which reflects a value of $112,500 per key. In
the sensitivity scenario, Fitch modeled a loss of approximately 30%
which reflects a value of $95,500 per key.

Alternative Loss Consideration: Fitch performed an additional
sensitivity scenario that assumed potential outsized losses of 25%
on current balance of 590 E Middlefield loan, a 20% loss on the
Saint Louis Galleria loan, a 15% loss on the current balance of
Trip Advisors HQ loan and an additional coronavirus-related stress
to the Crown Plaza Melbourne. These stresses contribute to the
Negative Outlooks.

Minimal Change to Credit Enhancement (CE): As of the September 2021
distribution date, the pool's aggregate principal balance was
reduced by 3% to $1.02 billion from $1.05 billion at issuance.
There has been no realized losses to date to and interest
shortfalls are currently affecting only class G-RR.

Twenty-three loans (57.5%) are full-term IO, and nine loans (14.9%)
remain in their partial IO periods.

RATING SENSITIVITIES

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

-- An increase in pool level losses from underperforming or
    specially serviced loans. Downgrades to the senior classes,
    along with class B, are not expected given the overall stable
    performance of the pool, their position in the capital
    structure and sufficient CE but may occur if interest
    shortfalls occur or losses increase considerably.

-- A downgrade to classes C, D, and E-RR would occur should
    several loans transfer to special servicing and/or as pool
    losses significantly increase.

-- A downgrade to classes F-RR and G-RR is likely should the
    performance of the FLOCs fail to stabilize and/or as losses
    materialize and CE becomes eroded.

-- In addition to its baseline scenario, Fitch also envisions a
    downside scenario where the health crisis is prolonged beyond
    2021; should this scenario play out, Fitch expects that a
    greater percentage of classes may be assigned a Negative
    Outlook or those with Negative Outlooks will be downgraded one
    or more categories.

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

-- Stable to improved asset performance coupled with paydown
    and/or defeasance.

-- Upgrades to classes B and C would likely occur with
    significant improvement in CE and/or defeasance. However,
    adverse selection, increased concentrations or the
    underperformance of a particular loan(s) may limit the
    potential for future upgrades.

-- An upgrade to classes D and E-RR are considered unlikely and
    would be limited based on the sensitivity to concentrations or
    the potential for future concentrations. Classes would not be
    upgraded above 'Asf' if there were a likelihood for interest
    shortfalls.

-- Upgrades to classes F-RR and G-RR are not likely until the
    later years of the transaction, and only if the performance of
    the remaining pool is stable and/or properties vulnerable to
    the coronavirus return to pre-pandemic levels, and there is
    sufficient CE to the class.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


BENEFIT STREET XII: Moody's Hikes Rating on $42MM C Notes From Ba1
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
CLO refinancing notes issued by Benefit Street Partners CLO XII,
Ltd. (the "Issuer").

Moody's rating action is as follows:

US$451,500,000 Class A-1-R Senior Secured Floating Rate Notes Due
2030 (the "Class A-1-R Notes"), Assigned Aaa (sf)

US$80,500,000 Class A-2-R Senior Secured Floating Rate Notes Due
2030 (the "Class A-2-R Notes"), Assigned Aa1 (sf)

Additionally, Moody's has taken rating action on the following
outstanding notes originally issued by the Issuer on October 19,
2017 (the "Original Closing Date"):

US$42,000,000 Class C Senior Secured Deferrable Floating Rate Notes
Due 2030 (the "Class C Notes"), Upgraded to Baa3 (sf); previously
on September 9, 2020 Downgraded to Ba1 (sf)

RATINGS RATIONALE

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

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

Benefit Street Partners L.L.C. (the "Manager") will continue to
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining
reinvestment period.

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

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

Moody's rating action on the Class C Notes is primarily a result of
the refinancing, which increases excess spread available as credit
enhancement to the rated notes.

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: $688,081,260

Defaulted par: $0

Diversity Score: 85

Weighted Average Rating Factor (WARF): 2884

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.40%

Weighted Average Recovery Rate (WARR): 47.64%

Weighted Average Life (WAL): 5.01 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, near term defaults by
companies facing liquidity pressure, decrease in overall WAS and
lower recoveries on defaulted assets.

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.


BLACKROCK DLF 2019: DBRS Hikes Class E Notes Rating to B(high)
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings of AAA (sf) on the
Class A-1 Notes and BBB (low) (sf) on the Combination Notes issued
by BlackRock DLF IX 2019 CLO, LLC (BlackRock IX CLO or the Issuer).
DBRS Morningstar also upgraded the ratings on the Class A-2 Notes
to AA (high) (sf) from AA (sf), Class B Notes to A (high) (sf) from
A (sf), Class C Notes to BBB (high) (sf) from BBB (sf), Class D
Notes to BB (high) (sf) from BB (sf), and Class E Notes to B (high)
(sf) from B (sf) (together, with the Class A-1 Notes, the Notes).
The Notes and Combination Notes were issued by BlackRock IX CLO,
pursuant to the Note Purchase and Security Agreement (NPSA) dated
as of August 30, 2019, among the Issuer; U.S. Bank National
Association (rated AA (high) with a Stable trend by DBRS
Morningstar) as the Collateral Agent, Custodian, Document
Custodian, Collateral Administrator, Information Agent, and Note
Agent; and the Purchasers referred to therein. DBRS Morningstar
subsequently discontinued and withdrew the BBB (low) (sf) rating on
the Combination Notes at the request of the Issuer.

The rating on the Class A-1 Notes and the rating on the Class A-2
Notes address the timely payment of interest (excluding the
additional interest payable at the Post-Default Rate, as defined in
the NPSA referred to above) and the ultimate payment of principal
on or before the Stated Maturity (as defined in the NPSA). The
ratings on the Class B, C, D, and E Notes address the ultimate
payment of interest (excluding the additional interest payable at
the Post-Default Rate, as defined in the NPSA referred to above)
and the ultimate payment of principal on or before the Stated
Maturity of August 30, 2029. The Class A-2 Notes, Class B Notes,
Class C Notes, Class D Notes, and Class E Notes were upgraded
because of the decreasing weighted-average life and resulting
increased cushion between the Stressed Portfolio Default Rate and
Hurdle Rate for each rating level.

The rating on the Combination Notes addressed the ultimate
repayment of the Combination Note Rated Principal Balance (which is
equal to the Commitment amount for the Combination Notes) on or
before the Stated Maturity. The Combination Notes have no stated
coupon.

The Secured Notes and Combination Notes will be collateralized
primarily by a portfolio of U.S. middle-market corporate loans. The
Issuer will be managed by BlackRock Capital Investment Advisors,
LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc.
DBRS Morningstar considers BCIA to be an acceptable collateralized
loan obligation (CLO) manager.

The Combination Notes consist of a portion of the principal amount
(the Components) of the initial original principal amounts of each
of the Class A-2 Notes, Class B Notes, Class C Notes, Class D
Notes, Class E Notes, and Subordinated Notes (the Underlying
Classes). Each Component of the Combination Notes is treated as
Notes of the respective Underlying Class. Payments on any
Underlying Class shall be allocated to the relevant Combination
Notes in the proportion that the outstanding principal amount of
the applicable Component bears to the outstanding principal amount
of such Underlying Class as a whole (including all related
Components). Each Component of the Combination Notes bears interest
and shall receive payments in the same manner as the related
Underlying Class and each Component mature and be payable on the
Stated Maturity in the same manner as the related Underlying
Class.

All interest and principal amounts paid on the Secured Notes and
any distributions made to the Subordinated Notes are the only
sources of payment for the Combination Notes. All payments made on
the Component Notes (whether interest, principal, or otherwise) to
the Combination Notes shall reduce the Combination Note Rated
Principal Balance. The Combination Notes shall remain outstanding
until the earlier of (1) the payment in full and redemption of each
Component or (2) the Stated Maturity of each Component.

The Combination Notes were rated by applying the methodology
“Rating CLOs and CDOs of Large Corporate Credit” to the loans
securing the Component Notes.

To assess portfolio credit quality, DBRS Morningstar provides a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio that DBRS Morningstar doesn't
already rate. Credit estimates are not ratings; rather, they
represent a model-driven default probability for each obligor that
help when rating a facility.

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



BRAEMAR HOTELS: DBRS Confirms BB Rating on Class E Certs
--------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-PRME
issued by Braemar Hotels & Resorts Trust 2018-PRME:

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

DBRS Morningstar changed the trends on Classes A, B, C, and D to
Stable from Negative. Classes E and F continue to carry Negative
trends, reflecting DBRS Morningstar's concerns with the portfolio,
particularly the Chicago and Philadelphia properties, which have
been slower to rebound after the relaxation of travel restrictions
related to the Coronavirus Disease (COVID-19) global pandemic.

The loan was transferred to the special servicer in April 2020 as
the sponsor was unable to make its April 2020 debt service payment.
In June 2020, the sponsor agreed to a modification that included
the waiver of deposits into the furniture, fixtures, and equipment
(FF&E) reserve account from April 2020 to January 2021.
Additionally, the borrower was granted permission to use FF&E
reserve funds to cover debt service shortfalls. The borrower is
currently in the process of replenishing these reserves as outlined
in the loan modification. As of the September 2021 remittance, the
loan is current and is no longer being monitored on the servicer's
watchlist.

The subject portfolio is secured by four full-service hotels,
managed under two different brands and three different flags in
four different cities: Seattle (361 keys; 31.0% of allocated loan
amount), San Francisco (410 keys; 26.7% of allocated loan amount),
Chicago (415 keys; 22.9% of allocated loan amount), and
Philadelphia (499 keys; 19.4% of allocated loan amount). The $370.0
million subject mortgage loan with $65.0 million of mezzanine debt
refinanced $344.3 million of existing debt, returned approximately
$65.7 million of sponsor equity, and funded escrows and reserves of
$20.0 million. The sponsor for this loan is Braemar Hotels &
Resorts, formerly known as Ashford Hospitality Prime, which is a
publicly-traded real estate investment trust that was spun off from
the larger Ashford Hospitality Trust. The sponsor focuses
investments in full-service luxury hotels and resorts in major
gateway markets.

The portfolio has a combined room count of 1,685 keys with
management provided by Marriott International (Marriott) and
AccorHotel Group. The portfolio operates under three flags:
Courtyard by Marriott (two hotels; 46.2% of the total loan amount),
Marriott (one hotel; 31.0% of the total loan amount), and Sofitel
(one hotel; 22.9% of the total loan amount). Each property was
renovated within the two years prior to issuance. In 2019, the two
Courtyard by Marriott hotels underwent major renovations that
converted them to the Autograph Collection, one of Marriott's
luxury brands. The estimated costs of the conversion were $29.6
million ($72,525 per key) for the Courtyard San Francisco Downtown
and $17.2 million ($34,419 per key) for the Courtyard Philadelphia
Downtown. The renovations focused on improvements to the guest
rooms, meeting rooms, lobby, common areas, restaurant, meeting
space, and exteriors.

According to the June 2021 operating statement analysis report, the
portfolio reported a trailing 12-month ended June 30, 2021,
occupancy of 23.9%; average daily rate of $167; and revenue per
available room (RevPAR) of $46. The portfolio reported YE2019
operating figures of 81.9%, $242, and $201 as well as YE2018
figures of 83.3%, $243, and $203. According to the July 2021 Smith
Travel Research (STR) report, both the Seattle hotel and the San
Francisco hotel reported RevPAR penetration rates greater than 100%
in the trailing three month and trailing six month periods. Both
properties rank either 1 or 2 in RevPAR out of their respective
competitive sets in 2021. The Chicago hotel and Philadelphia hotel
have both struggled in 2021, reporting RevPAR penetration rates
less than 100% and report the lowest RevPAR figures in comparison
with their respective competitive sets.

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



BSPDF 2021-FL1: DBRS Gives Prov. B(low) Rating on Class H Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes issued by BSPDF 2021-FL1 Issuer, Ltd. (BSPDF 2021-FL1 or the
Trust):

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

All trends are Stable.

The initial collateral consists of 21 floating-rate mortgage loans
and participation interest in mortgage loans secured by 49 mostly
transitional properties with a cut-off balance totaling $621.8
million, excluding $67.9 million of remaining future funding
commitments (inclusive of junior participations) and $88.7 million
of pari passu debt. The transaction is a managed vehicle, which
includes a 24-month reinvestment period. As part of the
reinvestment period, the transaction includes a 180-day ramp-up
acquisition period that will be used to increase the trust balance
by $263.2 million to a total target collateral principal balance of
$885.0 million. DBRS Morningstar assessed the $263.2 million ramp
component using a conservative pool construct, and, as a result,
the ramp loans have expected losses above the pool weighted-average
(WA) loan expected loss. During the reinvestment period, so long as
the note protection tests are satisfied and no event of default has
occurred and is continuing, the collateral manager may direct the
reinvestment of principal proceeds to acquire reinvestment
collateral interest, including funded companion participations,
meeting the eligibility criteria. The eligibility criteria have,
among other things, debt service coverage ratio (DSCR),
loan-to-value ratio (LTV), Herfindahl score, and property type
limitations.

Of the 21 loans, one (Bradford Gwinnett Apartments & Townhomes
(Prospectus ID#13), representing a total initial pool balance of
3.6%) is a delayed-close loan, unclosed as of September 28, 2021.
The Issuer has 90 days after closing to acquire the delayed-close
assets. If the Delayed Close Collateral Interest are not acquired
within 90 days of the closing date, the Issuer can use the
allocated balance of the delayed-close loan to acquire additional
ramp loans. In addition, the transaction is structured with a
Replenishment Period, where the collateral manager may acquire up
to $70.0 million of funded companion participations. The
transaction stipulates that any acquisition of any ramp-up
collateral interests, reinvestment collateral interests or
replenishment collateral interests will need a rating agency
confirmation (RAC) regardless of balance size. The loans are mostly
secured by cash flowing assets, many of which are in a period of
transition with plans to stabilize and improve the asset value.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the debt service
payments were measured against the DBRS Morningstar As-Is NCF, 16
loans, comprising 67.3% of the initial pool balance, had a DBRS
Morningstar As-Is DSCR of 1.00 times (x) or below, a threshold
indicative of default risk. However, the DBRS Morningstar
Stabilized DSCR of only two loans, comprising 11.7% of the initial
pool balance, was 1.00x or below, which is indicative of elevated
refinance risk. The properties are often transitioning with
potential upside in cash flow; however, DBRS Morningstar does not
give full credit to the stabilization if there are no holdbacks or
if other structural features in place are insufficient to support
such treatment. Furthermore, even with the structure provided, DBRS
Morningstar generally does not assume the assets to stabilize above
market levels.

The securitization sponsor, BSPDF Operating Partnership, is an
affiliate of Benefit Street Partners Realty Trust, Inc. (BSPRT) and
an experienced commercial real estate (CRE) collateralized loan
obligation (CLO) issuer and collateral manager. As of June 30,
2021, BSPRT managed a commercial mortgage debt portfolio of
approximately $3.1 billion and had issued seven CRE CLO
transactions. Through August 31, 2021, BSPRT had not realized any
losses on any of its CRE bridge loans. Additionally, BSPDF 2021-FL1
Holder, LLC, is an indirect wholly subsidiary of BSP Real Estate
Opportunistic Debt Holdings L.L.C. and a direct wholly-owned
subsidiary of BSPDF Operating Partnership, will purchase and retain
100.0% of the Class F Notes, the Class G Notes, the Class H Notes,
and the Preferred Shares, which total $167.0 million, or 18.9% of
the transaction total.

The majority of the pool comprises primarily multifamily (63.8%)
and industrial (5.2%) properties. These property types have
historically shown lower defaults and losses. Multifamily
properties benefit from staggered lease rollover and generally low
expense ratios compared with other property types. While revenue is
quick to decline in a downturn because of the short-term nature of
the leases, it is also quick to respond when the market improves.
Additionally, all loans were originated in May 2021 or later,
meaning the loan files are recent, including third-party reports
that consider impacts from the Coronavirus Disease (COVID-19)
pandemic.

Nineteen loans, comprising 89.9% of the initial trust balance,
represent acquisition financing wherein sponsors contributed
significant cash equity as a source of funding in conjunction with
the mortgage loan, resulting in a moderately high sponsor cost
basis in the underlying collateral. Cash equity infusions from a
sponsor typically result in the lender and borrower having a
greater alignment of interests, especially compared with a
refinancing scenario where the sponsor may be withdrawing equity
from the transaction. The sponsor for one of the two refinance
loans, representing 2.8% of the initial transaction balance,
contributed material cash equity in conjunction with the mortgage
loan.

Three loans, representing 31.1% of the cut-off date pool balance,
are secured by properties in areas with a DBRS Morningstar Market
Rank of 6, 7, or 8, which are characterized as urbanized locations.
These markets generally benefit from increased liquidity that is
driven by consistently strong investor demand. Such markets
therefore tend to benefit from lower default frequencies than less
dense suburban, tertiary, or rural markets. Areas with a DBRS
Morningstar Market Rank of 7 or 8 are especially densely urbanized
and benefit from significantly elevated liquidity. One loan,
comprising 12.5% of the cut-off date pool balance, is secured by a
property in such an area.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. A
sponsor's failure to execute the business plan could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan to be rational and the future funding amounts to be
sufficient to execute such plans. In addition, DBRS Morningstar
analyzes loss given default (LGD) based on the DBRS Morningstar
As-Is LTV, assuming the loan is fully funded. Given the nature of
the assets, DBRS Morningstar determined an above-average sample
size, representing 81.8% of the cut-off-date pool balance. While
physical site inspections were generally not performed because of
health and safety constraints associated with the ongoing
coronavirus pandemic, DBRS Morningstar notes that, in the future,
when DBRS Morningstar analysts visit the markets, they may actually
visit properties more than once to follow the progress (or lack
thereof) toward stabilization. The servicer is also in constant
contact with the borrowers to track progress.

Based on the initial pool balances, the overall WA DBRS Morningstar
As-Is DSCR of 0.73x and WA As-Is LTV of 78.6% generally reflect
high-leverage financing. Most of the assets are generally well
positioned to stabilize, and any realized cash flow growth would
help to offset a rise in interest rates and improve the overall
debt yield of the loans. DBRS Morningstar associates its LGD based
on the assets' as-is LTV, which does not assume that the
stabilization plan and cash flow growth will ever materialize. The
DBRS Morningstar As-Is DSCR at issuance does not consider the
sponsor's business plan, as the DBRS Morningstar As-Is NCF was
generally based on the most recent annualized period. The sponsor's
business plan could have an immediate impact on the underlying
asset performance that the DBRS Morningstar As-Is NCF is not
accounting for. When measured against the DBRS Morningstar
Stabilized NCF, the WA DBRS Morningstar DSCR is estimated to
improve to 1.29x, suggesting that the properties are likely to have
improved NCFs once the sponsor's business plan has been
implemented.

Six loans, representing 31.0% of the initial pool comprise office
(22.2%), retail (6.0%), and hospitality (2.8%) properties, which
have experienced considerable disruption as a result of the
coronavirus pandemic, with mandatory closures, stay-at-home orders,
retail bankruptcies, and consumer shifts to online purchasing.
Additionally, the two largest loans in the pool, 345 Seventh Avenue
and 5 Post Oak Park, representing 22.2% of the initial pool, are
office properties. The two largest loans, 345 Seventh Avenue and 5
Post Oak Park, are located in DBRS Morningstar Market Ranks of 8
and 6, respectively, which are generally characterized as dense
urbanized areas that benefit from increased liquidity driven by
consistently strong investor demand, even during times of economic
stress. Additionally, 345 Seventh Avenue is located in a DBRS
Morningstar MSA Group 3, which is the best-performing group in
terms of historic commercial mortgage-backed securities default
rates among the top 25 metropolitan statistical areas.

As of the cut-off date, the pool contains 21 loans and is
concentrated by CRE CLO standards with a lower Herfindahl score of
14.94. Furthermore, the top 10 loans represent 73.9% of the pool.
The 21 loans are secured by 49 properties across 25 states, and the
properties are primarily in core markets with the overall pool's WA
DBRS Morningstar Market Rank at 4.6. The cut-off date balance will
increase from a Delayed Close loan and Ramp-Up loans, projected to
occur over 180 days after closing. New loans will increase the loan
count and add broader diversity to the pool, raising the Herfindahl
score.

The transaction is managed and includes a delayed-close loan, a
ramp-up component, a reinvestment period, and a replenishment
period, which could result in negative credit migration and/or an
increased concentration profile over the life of the transaction.
The risk of negative migration is also partially offset by
eligibility criteria that outline minimum DSCR and Herfindahl
score, maximum LTV, and property type and loan size limitations for
ramp and reinvestment assets. DBRS Morningstar accounted for the
uncertainty introduced by the 180-day ramp-up period by running a
ramp scenario that simulates the potential negative credit
migration in the transaction based on the eligibility criteria. As
a result, the ramp component has a higher expected loss than the WA
pre-ramp pool. A No Downgrade Confirmation is required from DBRS
Morningstar for all ramp-up collateral interests, reinvestment
collateral interests or replenishment collateral interests without
regard to balance. Before loans are acquired and brought into the
pool, DBRS Morningstar will analyze them for any potential ratings
impact.

All loans have floating interest rates and 19 loans are interest
only during the entire initial loan term, creating interest rate
risk should interest rates increase. For the floating-rate loans,
DBRS Morningstar used the one-month Libor index, which is based on
the lower of a DBRS Morningstar stressed rate that corresponded to
the remaining fully extended term of the loans or the strike price
of the interest rate cap with the respective contractual loan
spread added to determine a stressed interest rate over the loan
term. Additionally, all loans have extension options, and, in order
to qualify for these options, the loans must meet DSCR, debt yield,
and/or LTV requirements. All loans are short-term and, even with
extension options, have a maximum fully extended loan term of five
years. The borrowers for all loans have purchased Libor rate caps
that range between 1.00% and 3.00% to protect against rising
interest rates over the term of the loan.

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



BX COMMERCIAL 2021-VOLT: DBRS Finalizes BB Rating on Class G Trust
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2021-VOLT issued by BX Commercial Mortgage Trust 2021-VOLT (BX
2021-VOLT):

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

All trends are Stable.

Classes X-CP and X-NCP are interest-only (IO) classes whose
balances are notional.

The BX 2021-VOLT transaction is collateralized by the borrower's
fee-simple interest in a portfolio of 10 data center properties
across six U.S. states. DBRS Morningstar generally takes a positive
view on the credit profile of the overall transaction based on the
portfolio's favorable market position, affordable power rates,
desirable efficiency metrics, and strong tenancy profile. The
subject transaction also represents the first ever multi-tenant
data center portfolio to be financed in the public commercial
mortgage-backed securities market via a stand-alone securitization.
DBRS Morningstar also takes a favorable view on The Blackstone
Group's (Blackstone) broader take-private acquisition of QTS Realty
Trust, Inc. (QTS) (New York Stock Exchange: QTS), of which the
subject portfolio comprises a subset of stabilized assets. The
acquisition represents a strategic long-term thematic investment in
the data center space for Blackstone, financed via a variety of its
permanent capital private equity vehicles.

Data center operators have historically benefited from high
barriers to entry caused by the complexity of their operations
along with the specialized knowledge required to operate the
facilities to extraordinarily demanding uptime and reliability
standards. Furthermore, the high upfront capital costs and
necessary power infrastructure also make speculative development
more difficult than in other industries.

Data center operators benefit from strong clustering and network
effects attributable to the complex IT environments of their
tenants. The contract renewal rate across QTS' platform is
approximately 88%, and larger tenants strongly prefer to scale
within existing environments rather than add capacity at a facility
with a different provider for numerous reasons. Furthermore,
value-add interconnection revenue from tenant and bandwidth
provider cross-connects tends to grow with increasing facility
scale.

The portfolio benefits from its significant concentration in the
Atlanta market, which has one of the most favorable wholesale power
costs in the country. The portfolio's weighted-average (WA)
wholesale power costs are approximately $0.03/kilowatt hour (kWh),
which compares very favorably with other markets, which can be as
high as $0.25/kWh. Furthermore, the portfolio's WA power
utilization efficiency (PUE) ratio is 1.45, which indicates a very
efficient utilization of power. Typical PUE ratios range from 1.2
to 3.0 depending on the facility.

The portfolio stands to benefit from potential cash flow upside
over time attributable to growth in value-add interconnection
revenue, which is relatively new for QTS. Unlike the build-out of
shell space, this revenue line item requires little additional
capital investment and helps contribute to tenant renewal
probability. Additionally, DBRS Morningstar views QTS' ongoing
expansion into the federal segment to be favorable, given the high
barriers to entry attributable to difficult-to-obtain security
clearances and premium power rates typically paid by these
tenants.

QTS is an experienced data center operator with a footprint of more
than 7 million square feet of owned mega-scale data center space
throughout North America and Europe. The company has established
relationships with significant power users across various
industries and has a corporate net promoter score of 88, which is
significantly in excess of its peers. Additionally, QTS has a
demonstrated commitment to sustainability and environmental,
social, and governance (ESG) and is committed to having 100% of the
portfolio powered by renewable energy sources by 2025.

However, data center properties require specialized operational
knowledge and expertise in order to operate to extremely high
uptime and reliability standards set forth in various service level
agreements with tenants. Therefore, the pool of potential buyers
may be more limited than other asset types such as
warehouse/distribution properties. Furthermore, a substantial
component of the portfolio's value is dependent on QTS' client
roster and extensive industry relationships and technical
expertise.

The portfolio has a WA lease term of approximately 2.6 years, which
is significantly shorter than typical lease terms seen in other
traditional asset types such as warehouse/distribution properties.
Despite impressive renewal rates and significant technical barriers
to switching providers, the portfolio does not benefit from the
same term structure of leasing as other asset types, therefore
highlighting the importance of an experienced operator with
knowledgeable sales and leasing staff.

Despite significant upfront capital requirements and other barriers
to entry, the data center market has experienced significant new
supply over the past few years from experienced operators, which
has contributed to an overall decline in rental rates. According to
CBRE research, there is approximately 457.8 megawatts of new
capacity under construction across the nation's primary data center
markets, with the Northern Virginia market accounting for 61% of
projected new supply. However, CBRE estimates that more than half
of this projected new supply has been pre-leased.

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



BX TRUST 2021-SDMF: DBRS Finalizes B(low) Rating on Class G Certs
-----------------------------------------------------------------
DBRS, Inc. finalized the provisional ratings to the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2021-SDMF issued by BX Trust 2021-SDMF (BX 2021-SDMF or the
Trust):

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

All trends are Stable.

The collateral for BX 2021-SDMF includes the borrowers' fee-simple
interest in 32 multifamily properties totaling 4,202 units
throughout various submarkets of the greater San Diego area. The
transaction sponsor is acquiring the properties for a total
purchase price of $1.1 billion ($261,453 per unit). The collateral
is generally characterized as Class B or C product constructed
between 1960 and 1988 with an average vintage of 1975. Despite the
average age of approximately 46 years, DBRS Morningstar generally
considers the properties to be adequately maintained and in average
to good condition. No major renovations have occurred in recent
years, but there was approximately $9.7 million ($2,300 per unit)
of capital expenditures (capex) invested in the properties between
2018 and 2020. While the cost of the recent capex was not
substantial on a per-unit basis, DBRS Morningstar considers it a
sufficient amount to maintain a competitive property quality among
Class B or C assets in the market. The sponsor plans to renovate a
number of the properties following the acquisition, but the capital
improvements will need to be funded out-of-pocket by the sponsor as
there are no reserves in the loan structure. However, DBRS
Morningstar expects there to be no issues funding any renovations
given the sponsor's strong access to capital.

All units in the transaction are market-rate offerings located in
infill, supply-constrained submarkets, providing strong market
fundamentals and enhanced cash flow stability. Specifically, the
San Diego Metro multifamily market has averaged an annual inventory
growth rate of only 1.2% from 2011 to 2020 compared with the
national average of 1.8% according to Reis. As a result, the San
Diego Metro market has maintained tight vacancies as evidenced by
average vacancies of 3.4%, 3.7%, and 3.7% for the 10-year, 20-year,
and 30-year periods ended in 2020. Accordingly, the underlying
collateral has exhibited consistently low vacancies in past years,
including an average vacancy of 2.4% between 2017 and the trailing
12 months (T-12) ended July 31, 2021. Lastly, the strong market
fundamentals have allowed rents to grow organically without
substantial capital improvements. Specifically, the underlying
collateral's average rent increased by nearly 23.0% to $1,590 per
unit as of the August 2021 rent roll from $1,293 per unit in 2017.
DBRS Morningstar has a positive outlook on the collateral going
forward largely because of the strong market fundamentals and
performance in recent years.

The sponsors for the mortgage loan are Blackstone Real Estate
Partners IX L.P. and TruAmerica Multifamily LLC (TruAmerica).
Blackstone Real Estate Partners IX L.P. is an affiliate of The
Blackstone Group, Inc., whose real estate group was founded in 1991
and has approximately $208.0 billion in investor capital under
management. Founded in 2013, TruAmerica is a real estate investment
firm focused on the repositioning of Class B multifamily properties
with a portfolio of 44,780 units valued at approximately $10.6
billion. The sponsors are contributing $230.8 million in cash
equity as a part of the transaction to finance their acquisition of
the properties for a purchase price of $1.1 billion. DBRS
Morningstar generally views acquisition loans with considerable
amounts of cash equity more favorably, given the stronger alignment
of economic incentives when compared with cash-out financings.

The collateral is located within seven strong infill and
supply-constrained submarkets throughout the greater San Diego
area. Specifically, each of the submarkets exhibited an average
vacancy below 5.0% from 2011 to 2020, with average annual growth
rates ranging from 0.1% to 1.9% over the same period. Further, the
four submarkets with the largest concentrations, accounting for 27
properties and 76.7% of total units, had average annual growth
rates below 1.0% from 2011 to 2020, with average vacancies ranging
from 1.7% to 3.6% as of Q2 2021. The collateral demonstrated a very
strong performance with regard to occupancy, averaging 97.6% from
2017 through the T-12 ended July 31, 2021, and was 98.6% occupied
as of the August 2021 rent roll. While maintaining a high
occupancy, the collateral also experienced notable rent growth with
the average rent increasing to $1,590 per unit as of the August
2021 rent roll from $1,293 per unit in 2017. As a result, the
collateral's net operating income increased to $47.9 million over
the T-12 ended July 31, 2021, from $40.3 million in 2017.

The DBRS Morningstar loan-to-value (LTV) ratio on the full debt
load of $890.0 million is substantial at 135.4%. To account for the
high leverage, DBRS Morningstar programmatically reduced its LTV
benchmark targets for the transaction by 2.5% across the capital
structure. DBRS Morningstar also programmatically reduced its LTV
benchmark targets for the transaction by an additional 0.5% to
account for the presence of mezzanine financing. The high leverage
point combined with a lack of scheduled amortization pose
potentially elevated refinance risk at loan maturity. The DBRS
Morningstar LTV ratio of 121.7% on the senior mortgage loan of
$800.0 million is also markedly high, but the DBRS Morningstar LTV
ratio on the last dollar of rated debt is much lower at 99.0%.

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



CANYON CLO 2020-2: S&P Assigns BB- (sf) Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes 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. At the same time, S&P withdrew
its ratings on the original class A, B-1, B-2, C, D, and E notes
following payment in full on the Oct. 15, 2021, refinancing date.

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 were
issued at a lower spread over three-month LIBOR than the original
notes.

-- The floating spread on the new class B-R notes replaced the
floating spread on the class B-1 notes and the fixed coupon on the
class B-2 notes.

-- The stated maturity and reinvestment period was extended three
years.

-- The non-call period was extended to October 2023.

-- The weighted average life test date was 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."

  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

  Ratings Withdrawn

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

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

  NR--Not rated.



CD 2017-CD6: Fitch Affirms B- Rating on Class G-RR Debt
-------------------------------------------------------
Fitch Ratings has affirmed 15 classes of CD 2017-CD6 Mortgage
Trust. Fitch has also revised the Rating Outlooks to Stable from
Negative on classes E-RR and F-RR. The Outlook on class G-RR
remains Negative.

    DEBT               RATING            PRIOR
    ----               ------            -----
CD 2017-CD6

A-2 125039AB3     LT AAAsf   Affirmed    AAAsf
A-3 125039AC1     LT AAAsf   Affirmed    AAAsf
A-4 125039AE7     LT AAAsf   Affirmed    AAAsf
A-5 125039AF4     LT AAAsf   Affirmed    AAAsf
A-M 125039AH0     LT AAAsf   Affirmed    AAAsf
A-SB 125039AD9    LT AAAsf   Affirmed    AAAsf
B 125039AJ6       LT AA-sf   Affirmed    AA-sf
C 125039AK3       LT A-sf    Affirmed    A-sf
D 125039AQ0       LT BBBsf   Affirmed    BBBsf
E-RR 125039AS6    LT BBB-sf  Affirmed    BBB-sf
F-RR 125039AU1    LT BB-sf   Affirmed    BB-sf
G-RR 125039AW7    LT B-sf    Affirmed    B-sf
X-A 125039AG2     LT AAAsf   Affirmed    AAAsf
X-B 125039AL1     LT AA-sf   Affirmed    AA-sf
X-D 125039AN7     LT BBBsf   Affirmed    BBBsf

KEY RATING DRIVERS

Improved Loss Expectations: Fitch's base case loss has decreased
since the last rating action primarily due to a decrease in
specially serviced loans and better than expected 2020 performance
on some of the Fitch Loans of Concern (FLOCs) and larger loans in
the pool. Fitch's ratings incorporate a base case loss of 3.5% and
a sensitivity that reflects losses that could reach 4.7% when
factoring additional stresses to five hotel loans and two retail
loans. There are 11 Fitch Loans of Concern (FLOCs) (31%), including
two loans (11.6%) in special servicing; nine loans (19.4%) have
been flagged for upcoming lease expirations and/or pandemic-related
underperformance.

The Stable Outlooks reflect the stable performance of the majority
of the pool. The Negative Outlook on class G-RR reflects the
concerns over the loans still recovering from the coronavirus
pandemic and the Gurnee Mills (1.4%) loan. The Outlook revisions on
classes E-RR and F-RR to Stable from Negative reflect the
anticipated return to master servicing of the pool's largest loan,
Headquarters Plaza (7.3%), as well as six other loans (7.4%) that
have returned to master servicing since Fitch's prior rating
action.

The largest contributor to losses is Gurnee Mills, which is secured
by a 1.7 million-sf portion of a 1.9 million-sf regional mall
located in Gurnee, IL, approximately 45 miles north of Chicago.
Non-collateral anchors include Burlington Coat Factory, Marcus
Cinema and Value City Furniture. Collateral anchors include Macy's,
Bass Pro Shops, Kohl's and a vacant anchor box previously occupied
by Sears, which left in 2Q18.

Collateral occupancy declined to approximately 74.5% as of the YE
2020 rent roll from 91% at issuance. In-line tenant sales were
reported to be $325 psf as of YE 2019 compared to $332 psf for YE
2018, $313 psf for YE 2017 and $347 psf at issuance (as of TTM July
2016). The sponsor is Simon Property Group. Fitch's base case
analysis was based on a 12% cap rate and YE 2019 NOI, which
resulted in a 31.5% expected loss. The sensitivity scenario which
assumed a 45% loss severity, this loss assumption reflects a 16%
cap rate on YE 2019 NOI.

Alternative Loss Consideration: Fitch performed an additional
sensitivity scenario that assumed potential outsized losses of 45%
on the current balance of Gurnee Mills to address concerns due to
regional mall weakness and declining occupancy and tenant sales.
This scenario contributed to maintaining the Negative Outlook on
class G-RR.

Coronavirus Exposure: Eight loans (17.8%) are secured by lodging
properties, seven of which are flagged as FLOCs. Eighteen (17.4%)
are secured by retail properties, two of which are flagged as a
FLOC. The hotels and retail properties experienced significant
performance challenges in 2020 due to reduced revenues and/or
temporary property closures related to the pandemic. Fitch ran an
additional sensitivity scenario with a 26% stress to the YE 2019
NOI for seven hotels and a 20% stress to YE 2019 NOI for one retail
property to test the durability of the cash flows. The Negative
Outlook on class G-RR is partially attributable to this
sensitivity.

Specially Serviced Loans: Headquarters Plaza (7.3%) is a mixed-use
office, hotel, and retail complex located in Morristown, NJ. This
loan transferred to special servicing in June 2020 for payment
default as a result of coronavirus pandemic related hardship. As of
October 2021, the borrower has nearly completed a $15 million PIP
renovation for the hotel and approximately $4.8 million renovation
for the commercial portion of the property. The loan was brought
current in May 2021 following the execution of a forbearance
agreement and is expected to return to the Master Servicer in
October 2021.

Lightstone Portfolio (3.8%) is a hotel portfolio, including seven
hotels that are cross-collateralized. This loan transferred to
special servicing in May 2020 due to payment default. In July 2021,
a forbearance agreement was executed whereby the borrower would
contribute $4.9 million in equity to reimburse delinquent interest
payments, monthly deposits and special servicing fees. In exchange,
the loan would be granted multiple deferral periods for debt
service payments with the final deferral period ending in December
2022. The Lightstone Portfolio is expected to return to the master
servicer at the end of the final deferral period.

Minimal Change in Credit Enhancement: As of the September 2021
distribution date, the pool's aggregate balance has been reduced by
5.2% to $1.007 billion from $1.062 billion at issuance. There are
five loans comprising 9.6% of the pool balance scheduled to mature
between June and November 2021. Fifteen loans (36%) are classified
as interest only.

RATING SENSITIVITIES

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

-- The Negative Outlook on classes G-RR reflect the potential for
    downgrades due to concerns surrounding the ultimate impact of
    the coronavirus pandemic, the Gurnee Mills mall loan and the
    ultimate outcome of Lightstone Portfolio.

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

-- Downgrades to classes C through E-RR may occur if overall pool
    performance declines or loss expectations increase. Downgrades
    to classes F-RR and G-RR may occur if loans in special
    servicing resolve with higher than anticipated losses, or if
    additional loans exhibit declining performance.

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

-- Upgrades could be triggered by significantly improved
    performance coupled with paydown and/or defeasance. An upgrade
    to classes B and C could occur with stabilization of the
    FLOCs, but would be limited as concentrations increase.
    Classes would not be upgraded above 'Asf' if there is
    likelihood of interest shortfalls.

-- Upgrades of classes C, D and E-RR would only occur with
    significant improvement in credit enhancement and
    stabilization of the FLOCs. An upgrade to classes F-RR and G-
    RR is not likely unless performance of the FLOCs improves, and
    if performance of the remaining pool is stable.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


CEDAR FUNDING X: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned ratings to the replacement class A-R,
B-R, C-R, D-R, and E-R notes from Cedar Funding X CLO Ltd./Cedar
Funding X CLO LLC, a CLO originally issued in 2019 that is managed
by Aegon USA Investment Management. 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. 20, 2021, refinancing date.

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

-- All replacement classes were issued at lower spreads than the
original classes, which reduced the transaction's overall cost of
funding.

-- The non-call period was extended by one year.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $258.00 million: Three-month LIBOR + 1.10%
  Class B-R, $46.00 million: Three-month LIBOR + 1.60%
  Class C-R, $24.00 million: Three-month LIBOR + 2.05%
  Class D-R, $24.00 million: Three-month LIBOR + 3.20%
  Class E-R, $16.00 million: Three-month LIBOR + 6.50%

  Original notes

  Class A, $258.00 million: Three-month LIBOR + 1.34%
  Class B, $46.00 million: Three-month LIBOR + 1.75%
  Class C, $24.00 million: Three-month LIBOR + 2.50%
  Class D, $24.00 million: Three-month LIBOR + 3.85%
  Class E, $16.00 million: Three-month LIBOR + 7.00%

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 will take rating actions as we deem
necessary."

  Ratings Assigned

  Cedar Funding X CLO Ltd./Cedar Funding X CLO LLC

  Class A-R, $258.00 million: AAA (sf)
  Class B-R, $46.00 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, $35.75 million: NR

  Ratings Withdrawn

  Cedar Funding X CLO Ltd./Cedar Funding X CLO LLC

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

  NR--Not rated.



CHT 2017-COSMO: DBRS Confirms BB(high) Rating on Class F Certs
--------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2017-COSMO issued by CHT
2017-COSMO Mortgage Trust as follows:

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

With this review, DBRS Morningstar removed the Under Review with
Negative Implications status on Class F where it was placed on
March 27, 2020. DBRS Morningstar also changed the trends on Classes
A, B, C, D, and E to Stable from Negative. Class F carries a
Negative trend because of sustained underlying pressures and
lasting residual effects of the Coronavirus Disease (COVID-19)
global pandemic. The rating confirmations reflect DBRS
Morningstar's view that, despite a significant interruption of
operations and cash flow in 2020 related to the pandemic, the
property is likely well positioned to rebound and the assigned
ratings adequately reflect the remaining risk resulting from the
pandemic. The loan has paid as expected during the pandemic, with
no delinquencies or defaults reported to date.

The $1.4 billion loan is secured by the Cosmopolitan luxury hotel
and casino in Las Vegas. The property was completed in 2010 and is
in an excellent mid-strip location between Bellagio and CityCenter.
Whole-loan proceeds, along with $420.0 million of mezzanine
financing, were used to refinanced prior debt. The loan was
structured with an initial two-year term with five, one-year
extension options. The borrower has exercised two of its extensions
thus far, extending the maturity date to November 2021. The fully
extended maturity is November 2024.

The coronavirus pandemic resulted in economic strain on the hotel
for most of 2020 as the year-end net cash flow (NCF) was down 67.3%
compared to pre-pandemic levels from 2019. Per the YE2020 operating
statements, the subject reported occupancy, average daily rate
(ADR), and revenue per available room of 61.4%, $358.00, and
$219.84, respectively. In comparison, the subject reported YE2019
figures of 99.0%, $352.22, and $345.33, respectively. Despite its
weak performance in 2020, the Las Vegas hotel market appears to be
showing signs of resiliency and is poised for a strong recovery
fueled by pent-up demand and limited international options. Per the
trailing 12-month period ended June 30, 2021, operating statements,
NCF increased by 95.9% compared to YE2020. The sharp improvement is
the result of revenue increasing 24.1% between reporting periods,
which was driven by higher ADR, food and beverage, and other
department revenue.

According to a September 2021 article in Seeking Alpha, the loan's
sponsor, Blackstone, is marketing the hotel for sale with an asking
price of $5 billion, which is well in excess of the trust debt.

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




CIFC FUNDING 2019-IV: Moody's Assigns Ba3 Rating to Cl. D-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by CIFC Funding 2019-IV, Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$750,000 Class X Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$315,000,000 Class A-1R Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$55,000,000 Class A-2R Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

US$28,000,000 Class B-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

US$29,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

US$22,500,000 Class D-R Junior Secured Deferrable Floating Rate
Notes due 2034, Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of first lien senior secured loans
and eligible investments, and up to 10% of the portfolio may
consist of not senior secured loans or eligible investments.

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

In addition to the issuance of the Refinancing Notes and one other
class of secured notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and changes to the overcollateralization test levels
and changes to the base matrix and modifiers.

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

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

Portfolio par: $500,000,000

Defaulted par: $0

Diversity Score: 87

Weighted Average Rating Factor (WARF): 2925

Weighted Average Spread (WAS): 3.33%

Weighted Average Coupon (WAC): 5.0%

Weighted Average Recovery Rate (WARR): 47.5%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


CIFC FUNDING 2021-VI: S&P Assigns Prelim BB-(sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CIFC Funding
2021-VI Ltd./CIFC Funding 2021-VI LLC's floating-rate debt.

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

The preliminary ratings are based on information as of Oct. 19,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Preliminary Ratings Assigned

  CIFC Funding 2021-VI Ltd./CIFC Funding 2021-VI LLC

  Class A, $92.25 million: AAA (sf)
  Class A-L loans(i), $215.25 million: AAA (sf)
  Class A-N(i), $0.00 million: AAA (sf)
  Class B, $72.50 million: AA (sf)
  Class C, $30.00 million: A (sf)
  Class D, $30.00 million: BBB- (sf)
  Class E, $20.00 million: BB- (sf)
  Subordinated notes, $49.50 million: Not rated

(i)The class A-L loans may be converted to class A-N notes on any
payment date unless either there has not been a prior conversion or
100% of the A-L loans are converted to A-N notes. After a
conversion, the class A-L loans will be reduced with a proportional
increase in the class A-N notes. Class A-L loans can be converted
into class A-N notes, but no notes can be converted into loans.


CIM TRUST 2021-R6: DBRS Gives Prov. B Rating on Class B2 Notes
--------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Notes, Series 2021-R6 to be issued by CIM Trust
2021-R6 (CIM 2021-R6 or the Trust):

-- $303.6 million Class A1 at AAA (sf)
-- $258.0 million Class A1-A at AAA (sf)
-- $45.5 million Class A1-B at AAA (sf)
-- $13.8 million Class M1 at AA (sf)
-- $11.3 million Class M2 at A (sf)
-- $7.6 million Class M3 at BBB (sf)
-- $5.7 million Class B1 at BB (sf)
-- $3.0 million Class B2 at B (sf)

The AAA (sf) rating on the Notes reflects 14.20% of credit
enhancement provided by subordinated Notes in the transaction. The
AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect
10.30%, 7.10%, 4.95%, 3.35%, and 2.50% of credit enhancement,
respectively.

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

This transaction is a securitization of a portfolio of primarily
seasoned performing and reperforming first-lien residential
mortgages funded by the issuance of the Notes. The Notes are backed
by 1,226 loans with a total principal balance of $353,797,267 as of
the Cut-Off Date (August 31, 2021).

The loans are approximately 184 months seasoned. As of the Cut-Off
Date, 97.8% of the pool is current, 1.8% is 30 days delinquent
under the Mortgage Bankers Association (MBA) delinquency method,
and 0.4% is in bankruptcy (all bankruptcy loans are performing or
30 days delinquent). Approximately 80.2% and 71.6% of the mortgage
loans have been zero times (x) 30 days delinquent for the past 12
months and 24 months, respectively, under the MBA delinquency
method.

In the portfolio, 28.8% of the loans are modified. The
modifications happened more than two years ago for 66.2% of the
modified loans. Within the pool, 79 mortgages have
non-interest-bearing deferred amounts, which equate to 0.8% of the
total principal balance. Unless specified otherwise, all statistics
on the mortgage loans in this report are based on the current
balance, including the applicable non-interest-bearing deferred
amounts.

Because of the seasoning of the loans in the pool, none of the
loans in the pool are subject to the Consumer Financial Protection
Bureau's Ability-to-Repay/Qualified Mortgage rules.

Fifth Avenue Trust (the Seller) acquired the mortgage loans prior
to the Cut-Off Date and, through a wholly-owned subsidiary, Funding
Depositor LLC (the Depositor), will contribute the loans to the
Trust. As the Sponsor, Chimera Investment Corporation (Chimera) or
one of its majority-owned affiliates will acquire and retain a 5%
eligible horizontal residual interest in the Notes, consisting of a
portion of the Class B2, and all of the Class B3 and C Notes in the
aggregate, to satisfy the credit risk retention requirements.
Various entities originated and previously serviced the loans
through purchases in the secondary market.

Prior to CIM 2021-R6, Chimera had issued 46 seasoned
securitizations under the CIM shelf since 2014, all of which were
backed by subprime, reperforming, or nonperforming loans. DBRS
Morningstar has rated five of the previously issued CIM
reperforming loan (RPL) deals. In contrast with the previous DBRS
Morningstar-rated CIM RPL deals, this transaction exhibits much
stronger credit characteristics such as prime current FICO scores,
lower current loan-to-value ratios (LTVs), and cleaner payment
histories. DBRS Morningstar reviewed the historical performance of
both the rated and unrated transactions issued under the CIM shelf,
particularly with respect to the reperforming transactions, which
may not have collateral attributes similar to CIM 2021-R6. The
reperforming CIM transactions generally have delinquencies and
losses in line with expectations for previously distressed assets.

The loans will be serviced by Fay Servicing, LLC. There will not be
any advancing of delinquent principal or interest on any mortgages
by the Servicer or any other party to the transaction; however, the
Servicer is obligated to make advances in respect of homeowner's
association fees, taxes, and insurance as well as reasonable costs
and expenses incurred in the course of servicing and disposing of
properties.

On or after the Payment Date when the aggregate note amount of the
offered Notes is reduced to 10% of the Closing Date note amount,
the Call Option Holder (the Depositor or any successor or assignee)
has the option to purchase all of the mortgage loans and any real
estate owned (REO) properties at a certain purchase price equal to
the unpaid principal balance of the mortgage loans, plus the fair
market value of the REO properties and any unpaid expenses and
reimbursement amounts.

The transaction employs a sequential-pay cash flow structure, and
principal proceeds can be used to cover interest shortfalls on the
Class A1 and M1 Notes

Coronavirus Disease (COVID-19) Impact

The coronavirus pandemic and the resulting isolation measures have
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. Shortly after the onset of the pandemic, DBRS
Morningstar saw an increase in the delinquencies for many
residential mortgage-backed securities (RMBS) asset classes.

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the pandemic, the option to forebear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low loan-to-value ratios, and
acceptable underwriting in the mortgage market in general. Across
nearly all RMBS asset classes in recent months delinquencies have
been gradually trending downwards, as forbearance periods come to
an end for many borrowers.

As of the Cut-Off Date, there are seven loans that are subject to
an active coronavirus-related forbearance plan with the Servicer.

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



CITIGROUP COMMERCIAL 2021-KEYS: DBRS Gives (P) B(low) on G Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the classes of Citigroup
Commercial Mortgage Trust 2021-KEYS, Commercial Mortgage
Pass-Through Certificates, as follows:

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

All trends are Stable. Class J, Class K-RR and Class P are not
rated by DBRS Morningstar.

The Citigroup Commercial Mortgage Trust 2021-KEYS transaction is
secured by the fee-simple interest in the Isla Bella Beach Resort
(Isla Bella), a full-service hotel that spans more than 24 acres on
Knights Key, with more than a mile of oceanfront exposure. The
collateral also includes a 30-key, on-site employee housing
structure known as Manatee Bay. Isla Bella is located approximately
two hours south of Miami at the threshold of the Seven Mile Bridge,
halfway between Islamorada and Key West. The property is composed
of 199 keys, 112 of which are one-bedroom units and 87 of which are
two-bedroom units, resulting in 286 total bedrooms that can
accommodate over 800 guests per night. Development of Isla Bella
began in July 2017, and construction was completed in March 2019.
The property is the only resort developed in the Middle Keys in the
past 20 years and represents the newest addition to a historically
supply-constrained submarket with extremely high barriers to entry.
DBRS Morningstar has a positive view of the property based on its
location, quality, and strong amenity offerings.

Isla Bella offers some of the largest rooms in the Florida Keys
with an average room size of greater than 600 sf with each room
offering private balconies and unobstructed views of the Atlantic
Ocean. It is also the only luxury resort in the Keys with both one-
and two-bedroom suites. The property features a substantial set of
modern amenities including five swimming pools (including the
4,500-sf resort pool), a 5,000-sf fitness and spa center, a
5,000-sf retail market place, and a 24-slip marina. The property
offers easy accessibility to numerous outdoor activities including
a kayak rental, jet ski tour, tiki boat rental, scuba diving,
snorkeling, and fishing. The property also features three F&B
outlets, (Il Postino, The Marketplace Cafe, and The Beach Bar) in
addition to a pool bar and offers banquets/catering services in
conjunction with its 20,000 sf of meeting space.

Upon delivery in March 2019, Isla Bella quickly ramped with cash
flow turning positive by June 2019 and occupancy exceeding 89% by
February 2020. Upon the onset of the Coronavirus Disease (COVID-19)
pandemic, the local government imposed a lockdown on the Florida
Keys for April and May 2020, which restricted guests from accessing
the entire archipelago. The property re-opened in June 2020 and
achieved a 50.1% occupancy and positive cash flow in that first
month. Since reopening, Isla Bella has continued to ramp its
performance each month, generating $18.3 million in NCF as of the
T-12 period ended July 2021 at a $383 RevPAR. Based on the
sponsor's 2021 reforecast, the property is projected to achieve a
$22.8 million NCF by YE2021 at a $448 RevPAR.

The property was in the middle of ramping up when the coronavirus
pandemic caused a two-month closure, resulting in a lack of
stabilized historical performance to analyze. However, based on the
STR reports provided for 2019, 2020, and 2021, Isla Bella has
demonstrated strong performance relative to its comp set with
penetration ratios steadily increasing since reopening in June
2020. For the trailing three-month period ended June 2021, the
property exhibited a RevPAR penetration ratio of 126.7% with
occupancy and ADR penetration ratios of 93.7% and 135.3%,
respectively. The strong performance through the pandemic is
further supported over the T-12 with occupancy, ADR, and RevPAR of
66%, $542.79, and $358.51 resulting in penetration rates of 87.1%,
131.2%, and 114.3%, respectively. For June 2021, the property
achieved occupancy, ADR, and RevPAR of 84.9%, $638, and $541.5 and
penetration rates of 94.3%, 135.3%, and 127.0%, respectively. DBRS
Morningstar concluded to a stabilized occupancy, ADR, and RevPAR of
73.4%, $566, and $416, which represent penetration rates of 82.2%,
116.8%, and 96.2%, respectively, versus the trailing three-month
June 2021 comp set and 87.0%, 115.6%, and 100% versus YTD 2021.

Widely considered one of the best hotel markets in the world, the
Florida Keys benefit from favorable supply-demand dynamics that
have historically proved resilient during various cycles of
economic stress. With heavy restrictions to supply, and healthy
demand in the market, the Florida Keys witnessed a RevPAR compound
annual growth rate (CAGR) of approximately 4% for the 30-year
period from 1987 to 2017. During the 2009 financial crisis,
occupancy in the Keys increased by 3% while the rest of the U.S.
declined by 10%. From 1995 to 2019, total supply in the Upper
Florida Keys has increased by just a CAGR of 0.7%. Compared with
the total U.S. growth at 1.7%, the Florida Keys is one of the most
supply-constrained market in the country. With approximately 74% of
visitors arriving to the Keys by car in 2019, demand in the market
is dominated by transient leisure travelers. Since 2016, group
demand has never exceeded 10%, potentially insulating the property
from the projected slow recovery of the group segment following the
coronavirus pandemic.

The property is located in the Florida Keys south of Miami and is
at elevated risk of casualty associated with windstorm and flood
events. The loan requires insurance coverage for these perils in an
amount that is significantly below its outstanding balance of $225
million, which includes $100 million of wind/named storm coverage
and $50 million of flood coverage, per occurrence. However, the
required insurance limits for of $100 million for wind and named
storm insurance are in excess of the probable maximum loss amount
for the 1,000 year return period of approximately $80.2 million
(inclusive of storm surge, business interruption, and loss
amplification) as determined by a study prepared by Risk Management
Solutions. In addition all the buildings at the resort are
constructed in accordance with current Florida hurricane building
codes with impact resistant windows and doors rated for winds over
150 mph. The property has not suffered any storm damage since
construction.

The transaction sponsor is an affiliate of EOS Investors LLC (EOS),
which acquired a 40% controlling common equity interest in the
resort in 2019. Founded in 2017 by Jonathan Wang, EOS is a fully
integrated investment firm operating primarily in the hospitality
sector. EOS' portfolio consists of a number of luxury hotels
including the Viceroy L'Ermitage Beverly Hills, the Hamilton Hotel
in Washington, D.C., and the Hilton Myrtle Beach. EOS also owns
and/or manages two additional hotels in the Florida Keys, the Faro
Blanco Resort & Yacht Club in Marathon and the Oceans Edge Resort &
Marina in Key West. EOS's partner, Singh Investors, the developer
of the property, holds a 60% completely passive common equity
interest.

The sponsor is partially using proceeds from the whole loan to
repatriate approximately $9.2 million of equity. DBRS Morningstar
views cash-out refinancing transactions as less favorable than
acquisition financings because sponsors typically have less
incentive to support a property through times of economic stress if
less of their own cash equity is at risk. Based on the appraiser's
as-is valuation of $331.9 million, the sponsor will have
approximately $107.4 million of unencumbered market equity
remaining in the transaction.

The nonrecourse carveout guarantor is EOS Real Estate Partners I,
L.P., which is only required to maintain a net worth of at least
$25 million with no liquidity minimum, effectively limiting the
recourse back to the sponsor for bad act carveouts. "Bad boy"
guarantees and consequent access to the guarantor help mitigate the
risk and increased loss severity of bankruptcy, additional
encumbrances, unapproved transfers, fraud, misappropriation of
rents, physical waste, and other potential bad acts of the sponsor.
DBRS Morningstar views this threshold as weak in the context of the
size of the mortgage and as a result, applied a penalty to the
transaction's capital structure.

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



CITIGROUP MORTGAGE 2021-INV3: DBRS Gives Prov. BB(low) on B5 Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage
Pass-Through Certificates, Series 2021-INV3 to be issued by
Citigroup Mortgage Loan Trust 2021-INV3 as follows:

-- $120.7 million Class A-1 at AAA (sf)
-- $120.7 million Class A-1-IO1 at AAA (sf)
-- $120.7 million Class A-1-IO2 at AAA (sf)
-- $120.7 million Class A-1-IOX at AAA (sf)
-- $120.7 million Class A-1A at AAA (sf)
-- $120.7 million Class A-1-IO3 at AAA (sf)
-- $120.7 million Class A-1-IO1W at AAA (sf)
-- $120.7 million Class A-1-IO2W at AAA (sf)
-- $120.7 million Class A-1W at AAA (sf)
-- $50.3 million Class A-2 at AAA (sf)
-- $50.3 million Class A-2-IO1 at AAA (sf)
-- $50.3 million Class A-2-IO2 at AAA (sf)
-- $50.3 million Class A-2-IOX at AAA (sf)
-- $50.3 million Class A-2A at AAA (sf)
-- $50.3 million Class A-2B at AAA (sf)
-- $50.3 million Class A-2-IO3 at AAA (sf)
-- $50.3 million Class A-2-IO1W at AAA (sf)
-- $50.3 million Class A-2-IO2W at AAA (sf)
-- $50.3 million Class A-2W at AAA (sf)
-- $201.2 million Class A-3 at AAA (sf)
-- $201.2 million Class A-3-IO1 at AAA (sf)
-- $201.2 million Class A-3-IO2 at AAA (sf)
-- $201.2 million Class A-3-IOX at AAA (sf)
-- $201.2 million Class A-3A at AAA (sf)
-- $201.2 million Class A-3B at AAA (sf)
-- $201.2 million Class A-3-IO3 at AAA (sf)
-- $201.2 million Class A-3-IO1W at AAA (sf)
-- $201.2 million Class A-3-IO2W at AAA (sf)
-- $201.2 million Class A-3W at AAA (sf)
-- $15.7 million Class A-4 at AAA (sf)
-- $15.7 million Class A-4-IO1 at AAA (sf)
-- $15.7 million Class A-4-IO2 at AAA (sf)
-- $15.7 million Class A-4-IOX at AAA (sf)
-- $15.7 million Class A-4A at AAA (sf)
-- $15.7 million Class A-4B at AAA (sf)
-- $15.7 million Class A-4-IO3 at AAA (sf)
-- $15.7 million Class A-4-IO1W at AAA (sf)
-- $15.7 million Class A-4-IO2W at AAA (sf)
-- $15.7 million Class A-4W at AAA (sf)
-- $216.9 million Class A-5 at AAA (sf)
-- $216.9 million Class A-5-IO1 at AAA (sf)
-- $216.9 million Class A-5-IO2 at AAA (sf)
-- $216.9 million Class A-5-IOX at AAA (sf)
-- $216.9 million Class A-5A at AAA (sf)
-- $216.9 million Class A-5-IO3 at AAA (sf)
-- $216.9 million Class A-5-IO1W at AAA (sf)
-- $216.9 million Class A-5-IO2W at AAA (sf)
-- $216.9 million Class A-5W at AAA (sf)
-- $30.2 million Class A-6 at AAA (sf)
-- $30.2 million Class A-6-IO1 at AAA (sf)
-- $30.2 million Class A-6-IO2 at AAA (sf)
-- $30.2 million Class A-6-IOX at AAA (sf)
-- $30.2 million Class A-6A at AAA (sf)
-- $30.2 million Class A-6-IO3 at AAA (sf)
-- $30.2 million Class A-6-IO1W at AAA (sf)
-- $30.2 million Class A-6-IO2W at AAA (sf)
-- $30.2 million Class A-6W at AAA (sf)
-- $150.9 million Class A-7 at AAA (sf)
-- $150.9 million Class A-7-IO1 at AAA (sf)
-- $150.9 million Class A-7-IO2 at AAA (sf)
-- $150.9 million Class A-7-IOX at AAA (sf)
-- $150.9 million Class A-7A at AAA (sf)
-- $150.9 million Class A-7B at AAA (sf)
-- $150.9 million Class A-7-IO3 at AAA (sf)
-- $150.9 million Class A-7-IO1W at AAA (sf)
-- $150.9 million Class A-7-IO2W at AAA (sf)
-- $150.9 million Class A-7W at AAA (sf)
-- $80.5 million Class A-8 at AAA (sf)
-- $80.5 million Class A-8-IO1 at AAA (sf)
-- $80.5 million Class A-8-IO2 at AAA (sf)
-- $80.5 million Class A-8-IOX at AAA (sf)
-- $80.5 million Class A-8A at AAA (sf)
-- $80.5 million Class A-8-IO3 at AAA (sf)
-- $80.5 million Class A-8-IO1W at AAA (sf)
-- $80.5 million Class A-8-IO2W at AAA (sf)
-- $80.5 million Class A-8W at AAA (sf)
-- $40.2 million Class A-11 at AAA (sf)
-- $40.2 million Class A-11-IO at AAA (sf)
-- $40.2 million Class A-12 at AAA (sf)
-- $4.7 million Class B-1 at AA (sf)
-- $4.7 million Class B-1-IO at AA (sf)
-- $4.7 million Class B-1-IOX at AA (sf)
-- $4.7 million Class B-1-IOW at AA (sf)
-- $4.7 million Class B-1W at AA (sf)
-- $3.8 million Class B-2 at A (sf)
-- $3.8 million Class B-2-IO at A (sf)
-- $3.8 million Class B-2-IOX at A (sf)
-- $3.8 million Class B-2-IOW at A (sf)
-- $3.8 million Class B-2W at A (sf)
-- $3.4 million Class B-3 at BBB (high) (sf)
-- $3.4 million Class B-3-IO at BBB (high) (sf)
-- $3.4 million Class B-3-IOX at BBB (high) (sf)
-- $3.4 million Class B-3-IOW at BBB (high) (sf)
-- $3.4 million Class B-3W at BBB (high) (sf)
-- $2.8 million Class B-4 at BB (high) (sf)
-- $1.4 million Class B-5 at BB (low) (sf)

Classes A-1-IO1, A-1-IO2, A-1-IOX, A-1-IO3, A-1-IO1W, A-1-IO2W,
A-2-IO1, A-2-IO2, A-2-IOX, A-2-IO3, A-2-IO1W, A-2-IO2W, A-3-IO1,
A-3-IO2, A-3-IOX, A-3-IO3, A-3-IO1W, A-3-IO2W, A-4-IO1, A-4-IO2,
A-4-IOX, A-4-IO3, A-4-IO1W, A-4-IO2W, A-5-IO1, A-5-IO2, A-5-IOX,
A-5-IO3, A-5-IO1W, A-5-IO2W, A-6-IO1, A-6-IO2, A-6-IOX, A-6-IO3,
A-6-IO1W, A-6-IO2W, A-7-IO1, A-7-IO2, A-7-IOX, A-7-IO3, A-7-IO1W,
A-7-IO2W, A-8-IO1, A-8-IO2, A-8-IOX, A-8-IO3, A-8-IO1W, A-8-IO2W,
A-11-IO, B-1-IO, B-1-IOX, B-1-IOW, B-2-IO, B-2-IOX, B-2-IOW,
B-3-IO, B-3-IOX, and B-3-IOW are interest-only certificates. The
class balances represent notional amounts.

Classes A-1A, A-1-IO3, A-1-IO1W, A-1-IO2W, A-1W, A-2A, A-2B,
A-2-IO3, A-2-IO1W, A-2-IO2W, A-2W, A-3, A-3-IO1, A-3-IO2, A-3-IOX,
A-3A, A-3B, A-3-IO3, A-3-IO1W, A-3-IO2W, A-3W, A-4A, A-4B, A-4-IO3,
A-4-IO1W, A-4-IO2W, A-4W, A-5, A-5-IO1, A-5-IO2, A-5-IOX, A-5A,
A-5-IO3, A-5-IO1W, A-5-IO2W, A-5W, A-6A, A-6-IO3, A-6-IO1W,
A-6-IO2W, A-6W, A-7, A-7-IO1, A-7-IO2, A-7-IOX, A-7A, A-7B,
A-7-IO3, A-7-IO1W, A-7-IO2W, A-7W, A-8, A-8-IO1, A-8-IO2, A-8-IOX,
A-8A, A-8-IO3, A-8-IO1W, A-8-IO2W, A-8W, A-11, A-11-IO, A-12,
B-1-IOW, B-1W, B-2-IOW, B-2W, B-3-IOW, and B-3W are exchangeable
certificates. These classes can be exchanged for combinations of
initial exchangeable certificates as specified in the offering
documents.

Classes A-1, A-2, and A-6 certificates are super-senior
certificates. These classes benefit from additional protection from
the senior support certificates (Class A-4) with respect to loss
allocation.

The AAA (sf) ratings on the Certificates reflect 8.35% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (high) (sf), BB (high) (sf), and BB (low) (sf) ratings
reflect 6.35%, 4.75%, 3.30%, 2.10%, and 1.50% of credit
enhancement, respectively.

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

This deal is a securitization of a portfolio of first-lien,
fixed-rate, prime conventional investment-property residential
mortgages funded by the issuance of the Certificates. The
Certificates are backed by 764 loans with a total principal balance
of $236,660,840 as of the Cut-Off Date (September 1, 2021).

Similar to the prior CMLTI 2021-INV2 deal, this portfolio consists
of conforming mortgages with original terms to maturity of
primarily 30 years, acquired by PennyMac Corp. (PMC). The loans
were underwritten using an automated underwriting system designated
by Fannie Mae or Freddie Mac and were eligible for purchase by such
agencies. In addition, the pool contains a moderate concentration
of loans (15.0%) that were granted appraisal waivers by the
agencies, as well as loans that had exterior-only appraisals at
origination (1.5%). In its analysis, DBRS Morningstar applied
property value haircuts to such loans, which increased the expected
losses on the collateral. Details on the underwriting of conforming
loans can be found in the Key Probability of Default Drivers
section of the presale.

PMC is the Initial Seller and Servicer of the mortgage loans.
Citigroup Global Markets Realty Corp. is the Mortgage Loan Seller
and Sponsor of the transaction. Citigroup Mortgage Loan Trust Inc.
will act as Depositor of the transaction. U.S. Bank National
Association (rated AA (high) with a Stable trend by DBRS
Morningstar) will act as the Trust Administrator. U.S. Bank Trust
National Association will serve as Trustee, and Deutsche Bank
National Trust Company will serve as Custodian.

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

CORONAVIRUS PANDEMIC IMPACT

The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. DBRS Morningstar saw increases in
delinquencies for many residential mortgage-backed securities
(RMBS) asset classes, shortly after the onset of the coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
the coronavirus, because the option to forebear mortgage payments
was so widely available, it drove forbearance to a very high level.
When the dust settled, coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid, low
loan-to-value ratios, and good underwriting in the mortgage market
in general. Across nearly all RMBS asset classes, delinquencies
have been gradually trending down in recent months as the
forbearance period comes to an end for many borrowers.

As of the Cut-Off Date, no borrower within the pool has been
subject to a coronavirus-related forbearance plan with the
Servicer.

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



COLONNADE PROGRAMME 2018-5: DBRS Confirms BB (high) on K Tranche
----------------------------------------------------------------
DBRS Ratings Limited took the following rating actions on its
provisional ratings on 11 tranches of the unexecuted, unfunded
financial guarantee in the Colonnade Programme - Series Global
2018-5 (Colonnade Global 2018-5) portfolio:

-- USD 514,740,000 Tranche A confirmed at AAA (sf)
-- USD 9,240,000 Tranche B confirmed at AA (high) (sf)
-- USD 3,180,000 Tranche C upgraded to AA (high) (sf) from AA
     (sf)
-- USD 3,620,000 Tranche D upgraded to AA (sf) from AA (low) (sf)
-- USD 9,120,000 Tranche E upgraded to A (high) (sf) from A (sf)
-- USD 1,810,000 Tranche F confirmed at A (sf)
-- USD 4,990,000 Tranche G upgraded to A (sf) from A (low) (sf)
-- USD 9,310,000 Tranche H confirmed at BBB (sf)
-- USD 2,120,000 Tranche I upgraded to BBB (sf) from BBB (low)
     (sf)
-- USD 3,060,000 Tranche J upgraded to BBB (sf) from BBB (low)
     (sf)
-- USD 8,809,997 Tranche K confirmed at BB (high) (sf)

The transaction is a synthetic balance-sheet collateralized loan
obligation (CLO) structured in the form of a Guarantee. The
tranches are exposed to the credit risk of a portfolio of corporate
loans and credit facilities (the Guaranteed Portfolio) originated
by Barclays Bank PLC (Barclays or the Beneficiary). The rated
tranches are unfunded and the senior guarantee remains unexecuted.
The junior guarantee was executed in December 2018 with an initial
balance of EUR 55 million and has a duration of eight years.

The ratings address the likelihood of a loss under the guarantee on
the respective tranche resulting from borrower defaults at the
legal final maturity date in December 2026. Borrower default events
are limited to failure to pay, bankruptcy, and restructuring. The
ratings that DBRS Morningstar assigned to each tranche are expected
to remain provisional until the senior guarantee is executed. The
ratings do not address counterparty risk or the likelihood of any
event of default or termination events under the agreement
occurring.

The rating actions follow an annual review of the transaction and
are based on the following analytical considerations:

-- Portfolio performance, in terms of cumulative defaults, and
compliance with portfolio profile tests under the replenishment
period, as of the reporting date of August 2021;

-- Updated default rate, recovery rate, and expected loss
assumptions for the reference portfolio;

-- Current available credit enhancement (CE) to the rated tranches
and capacity to withstand losses under stressed interest scenarios;
and

-- Current economic environment and an assessment of sustainable
performance, as a result of the Coronavirus Disease (COVID-19)
pandemic.

PORTFOLIO PERFORMANCE

The transaction is currently within its three-year replenishment
period, during which time the Beneficiary can add new reference
obligations or increase the notional amount of existing reference
obligations provided that they meet eligibility criteria and
portfolio profile tests, and are made according to replenishment
guidelines. The replenishment period ends in December 2021.

The Guaranteed Portfolio currently stands at USD 621 million, below
the maximum Guaranteed Portfolio notional amount of USD 623
million. The Guaranteed Portfolio is fairly granular, composed
mainly of revolving credit facilities, bears a floating interest
rate, and is mainly unsecured. The facilities are mainly drawn in
the protection currency of the Guarantee, which is U.S. dollars.

The composition of the Guaranteed Portfolio has improved in terms
of DBRS Morningstar's ratings with increased concentration in the A
(sf) and BBB (sf) rating ranges compared with one year ago, while
it has remained stable in terms of DBRS Morningstar's Country Tiers
since closing.

In terms of the DBRS Morningstar Industry concentrations and
borrower group concentrations that are both prescribed by the
portfolio profile tests, the Guaranteed Portfolio is at the limits
prescribed by the Portfolio Profile Tests.

As of August 2021, the cumulative outstanding balance of the
defaulted loans at the time of default represented USD 4.0 million
or 7.2% of the Guarantee initial balance, up from 5.2% a year ago.
Barclays estimates the cumulative loss to date at USD 1.4 million
or 2.6% of the Guarantee initial balance. As of August 2021, the
portfolio profile tests allowing further replenishment of the
Guaranteed Portfolio were all met.

PORTFOLIO ASSUMPTIONS AND KEY RATING DRIVERS

The transaction is subject to interest rate risk as the loans in
the Guaranteed Portfolio bear floating interest rates, which could
lead to higher losses under the Guarantee in an upward interest
scenario. In addition, up to 2% of the Guaranteed Portfolio amount
can be drawn in currencies (Minority Currencies) other than the
U.S. dollar, British pound sterling, euro, Canadian dollar, Swedish
krona, Norwegian krone, Danish krone, Australian dollar, Japanese
yen, and Swiss franc (Eligible Currencies). To mitigate the
interest rate risk, additional covenants on spread and the
weighted-average payment frequency of the portfolio are in place.

Based on its “Interest Rate Stresses for European Structured
Finance Transactions” methodology and incorporating these
covenants, DBRS Morningstar calculated a stressed interest rate
index at each rating level for the obligations denominated in
Eligible Currencies and Minority Currencies. For example, at the
AAA (sf) stress level, the stressed interest rate index for the
obligations denominated in Eligible Currencies is 5.2%, up from
4.6% a year ago, and the stressed interest rate index for the
obligations denominated in Minority Currencies is 26.2%, down from
22.9% a year ago.

DBRS Morningstar calculated the weighted-average recovery rate at
each rating level based on the worst-case concentrations in terms
of DBRS Morningstar Country Tier, security levels permissible under
the portfolio profile tests, borrower group, and DBRS Morningstar
Industry classification and adjusted its assumptions with the
projected loss on the Guarantee under stressed interest rate
scenarios.

DBRS Morningstar used its CLO Asset Model to update its expected
default rates for the portfolio at each rating level.

To determine the credit risk of each underlying reference
obligation, DBRS Morningstar relied on either public ratings or a
mapping from Barclays' internal ratings models to DBRS Morningstar
ratings. DBRS Morningstar completed the mapping in accordance with
its "Mapping Financial Institution Internal Ratings to DBRS
Morningstar Ratings for Global Structured Credit Transactions"
methodology.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and decreased its base case probability of
default (PD) assumption and recovery rate assumptions to 10.6% and
54.9%, respectively, from 13.0% and 55.2% a year ago, respectively.
The decrease in the base case PD is due to a combination of the
decrease in the guarantee coverage time and a lower
weighted-average risk factor of 8.9%, down from 9.8%. DBRS
Morningstar's assumptions incorporates adjustments in the context
of the coronavirus pandemic. DBRS Morningstar estimated that, as of
August 2021, 1.8% and 23.5% of the outstanding portfolio balance
belonged to industries classified in mid-high and high-risk
economic sectors, respectively, and applied a one- and two-notch
downgrade to the borrower's DBRS Morningstar rating, respectively,
down from 2.0% and 24.3% a year ago, respectively.

CREDIT ENHANCEMENT

The CE to each tranche consists of the subordination of the junior
tranches. Given that losses have been recorded, the CE level for
each of the tranches slightly decreased for all tranches since a
year ago, except for Tranche A which is stable at 17.5%:

-- CE decreased to 16.0% from 16.1% for Tranche B
-- CE decreased to 15.5% from 15.6% for Tranche C
-- CE decreased to 14.9% from 15.0% for Tranche D
-- CE decreased to 13.4% from 13.5% for Tranche E
-- CE decreased to 13.1% from 13.2% for Tranche F
-- CE decreased to 12.3% from 12.4% for Tranche G
-- CE decreased to 10.8% from 10.9% for Tranche H
-- CE decreased to 10.5% from 10.6% for Tranche I
-- CE decreased to 10.0% from 10.1% for Tranche J
-- CE decreased to 8.6% from 8.7% for Tranche K

Currency risk is mitigated in this transaction. Although the
obligations in the Guaranteed Portfolio can be drawn in various
currencies, any negative impact from currency movements is overall
neutralized and therefore movements in the foreign exchange rate
should not have a negative impact on the rated tranches.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an immediate economic contraction, leading in
some cases to increases in unemployment rates and income reductions
for many borrowers. DBRS Morningstar anticipates that delinquencies
may continue to increase in the coming months for many CLO
transactions. The ratings are based on additional analysis to
expected performance as a result of the global efforts to contain
the spread of the coronavirus.

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




COLT 2021-4: Fitch Assigns Final B Rating on Class B-2 Certs
------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by COLT 2021-4 Mortgage Loan
Trust.

Since expected ratings were issued, the bond balances were
re-sized, resulting in increased credit enhancement (CE) to the
rated notes. There were no changes to the ratings.

DEBT          RATING              PRIOR
----          ------              -----
COLT 2021-4

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

TRANSACTION SUMMARY

Loans in the pool were originated by multiple originators and
aggregated by Hudson Americas L.P. All loans are currently or will
be serviced by Select Portfolio Servicing, Inc. The certificates
are supported by 667 loans with a total balance of approximately
$377 million as of the cutoff date.

KEY RATING DRIVERS

Non-QM Credit Quality (Mixed): The collateral consists of 667 loans
totaling $377 million and seasoned at approximately one month in
aggregate. The borrowers have a strong credit profile with a 736
model FICO, a 43.5% debt-to-income ratio that includes mapping for
debt service coverage ratio (DSCR) loans. The borrowers also have
moderate leverage with a 79.6% sustainable loan-to-value ratio
(sLTV). The pool consists of 61.0% of loans treated as
owner-occupied, while 39.0% were treated as an investor property
(35.7%) or second home (3.3%). Additionally, 10.7% of the loans
were originated through a retail channel and 1.9% are designated as
a qualified mortgage (QM) loan, while 62.4% are non-QM and for the
remainder the Ability to Repay Rule (ATR) does not apply. There are
currently 10 loans that are 30 days' delinquent as of the data
cutoff date.

Loan Documentation (Negative): Approximately 84.5% of the pool was
underwritten to less than full documentation, and 46.1% was
underwritten to a 12- or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program. A key distinction
between this pool and legacy Alt-A loans is that these loans adhere
to underwriting and documentation standards required under the
Consumer Financial Protections Bureau's ATR, which reduces the risk
of borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigors
of the ATR mandates regarding the underwriting and documentation of
the borrower's ability to repay.

Additionally, 33.2% comprises a DSCR or no ratio product, 3.3% is
an asset depletion product and the remaining is a mixture of other
alternative documentation products. Separately, close to 6.2% of
the loans were originated to foreign nationals or nonpermanent
resident aliens or are unknown.

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 12.7% above a long-term sustainable level (versus
11.7% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 18.6% yoy nationally as of June 2021.

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

Advances of delinquent P&I will be made on the mortgage loans for
the first 180 days of delinquency to the extent such advances are
deemed recoverable. If the P&I advancing party fails to make a
required advance, the master servicer (Wells Fargo) will be
obligated to make such advance. The servicer or master servicer
will not advance delinquent P&I during the forbearance period.

Limited Advancing (Positive): The deal is structured to six months
of servicer advances for delinquent P&I. The limited advancing
reduces loss severities, as there is a lower amount repaid to the
servicer when a loan liquidates and liquidation proceeds are
prioritized to cover principal repayment over accrued but unpaid
interest. The downside to this is the additional stress on the
structure side, as there is limited liquidity in the event of large
and extended delinquencies.

Excess Cash Flow (Positive): The transaction benefits from a
material amount of excess cash flow that provides benefit to the
rated certificates before being paid out to class X certificates.
The excess is available to pay timely interest and protect against
realized losses, resulting in a CE amount that is less than Fitch's
loss expectations for all classes except for class A-1. To the
extent the collateral weighted average coupon (WAC) and
corresponding excess are reduced through a rate modification, Fitch
would view the impact as credit neutral, as the modification would
reduce the borrower's probability of default, resulting in a lower
loss expectation.

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

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

RATING SENSITIVITIES

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

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

-- 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 43.3% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

-- Fitch's incorporates a sensitivity analysis to demonstrate how
    the ratings would react to MVDs than assumed at the MSA level.
    Sensitivity analysis was conducted at the state and national
    level to assess the effect of higher MVDs for the subject pool
    as well as lower MVDs, illustrated by a gain in home prices.

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

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is stressed while holding
others equal. The modeling process uses the estimation and stress
of these variables to reflect asset performance in a stressed
environment. The results below should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. They should not be used as indicators of
possible future performance.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC, Opus, Clayton, Recovco, Evolve, Selene Diligence,
Stonehill and Infinity. The third-party due diligence described in
Form 15E focused on credit, compliance, and property valuation
reviews. Fitch considered this information in its analysis and, as
a result, Fitch made the following adjustment to its analysis: a 5%
default reduction at the loan level. This adjustment resulted in a
48bps reduction to the 'AAAsf' expected loss.

DATA ADEQUACY

Data was provided based on the ASF layout and is sufficiently
robust, relative to its materiality to the rating.

ESG CONSIDERATIONS

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


COMM 2014-CCRE15: DBRS Confirms B Rating on Class F Certs
---------------------------------------------------------
DBRS, Inc. confirmed its ratings of the Commercial Mortgage
Pass-Through Certificates, Series 2014-CCRE15 issued by COMM
2014-CCRE15 Mortgage Trust as follows:

-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class PEZ at A (sf)
-- Class X-B at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BB (high) (sf)
-- Class F at B (sf)

Classes E and F continue to carry Negative trends as a reflection
of the potential for further declines in the outlook for the loans
in the pool in special servicing and on the servicer's watchlist,
as further discussed below. The trends on all other classes are
Stable.

At issuance, the transaction consisted of 49 loans secured by 64
commercial and multifamily properties, with an aggregate trust
balance of $1.0 billion. As of the September 2021 remittance, 33
loans remain in the pool including six loans (11.1% of the pool)
that have fully defeased. The current pool balance of $621.9
million represents a collateral reduction of 38.3% from issuance.
To date, two loans have been liquidated from the pool resulting in
a realized loss to the trust of $13.5 million, which has been
contained to the nonrated Class G certificates. The transaction has
benefited from its concentration of office collateral, as five
loans, representing 42.4% of the current pool (or six loans
representing 56.0% of the pool when the 625 Madison Avenue loan
(Prospectus ID #3, 13.6% of the pool), which is backed by the
leased fee, is included) are secured by office properties, which
have so far shown greater resiliency to cash flow declines during
the course of the Coronavirus Disease (COVID-19) pandemic. This
includes the largest loan in the transaction, which is secured by
two office buildings in Sunnyvale, California (Prospectus ID#1,
Google and Amazon Office Portfolio; 16.8% of the pool). The
transaction also includes eight loans secured by multifamily and
MHC properties, representing a combined 12.3% of the pool balance.

As of the September 2021 reporting, there are four loans in special
servicing, representing 9.3% of the current pool balance, including
one that is real estate owned, the Wyndham Hotel Oklahoma City
Airport (Prospectus ID#32, 1.1% of the current pool balance).
Additionally, there are seven loans, representing 12.5% of the
current pool balance, being monitored on the servicer's watchlist.
The watchlisted loans are being monitored for various reasons
including low debt service coverage ratios (DSCRs), servicer
trigger events, occupancy declines and/or lease rollover, granted
coronavirus-related relief requests, and failure to submit
financials. Three of the watchlisted loans, representing 6.2% of
the current pool balance, are secured by limited-service hotel
properties.

The largest loan in special servicing remains the Spanish Oaks
Apartments loan (Prospectus ID#11; 3.4% of the pool), which is
secured by a Class C, 824-unit multifamily property in
Indianapolis. The loan transferred to special servicing in July
2020 and the special servicer's September 2021 commentary indicates
negotiations for a relief agreement remain ongoing. The loan is
paid through September 2021 but has been flagged as delinquent at
least four times in the past 12 months. The loan has never been
more than 60 days delinquent, which would trigger an updated
appraisal. While updated financials have not been provided since
the onset of the pandemic, cash flow was down even before the
pandemic, with a year-end (YE) 2018 DSCR of 0.95 times (x) and a
YE2019 DSCR of 1.10x. These trends were exacerbated in 2020 with a
high number of delinquent tenants listed in a September 2020 rent
roll provided by the servicer.

In addition to the cash flow declines, the property's condition is
an issue as well, as the servicer's September 2020 site inspection
found the property in general disrepair and identified at least 11
down units, eight of which were the result of multiple fires. At
issuance, the property had an appraised value of $37.0 million
($44,900/unit); however, given the current performance and
condition issues, the market value has likely fallen much closer to
the outstanding loan balance of $23.8 million ($28,800/unit). In
the analysis for this review, DBRS Morningstar liquidated the loan
from the pool using a stressed value figure based on the in-place
cash flow at YE2019 and a stressed cap rate, which resulted in a
loss severity on the loan of 15.2%.

The second-largest loan in special servicing, River Falls Shopping
Center (Prospectus ID#15, 2.2% of the pool), is secured by an
anchored retail center in Clarksville, Indiana, approximately five
miles north of Louisville, Kentucky. The loan transferred to
special servicing in July 2020 after the borrower requested relief
because of cash flow shortfalls caused by the pandemic. The
September 2021 reporting shows the loan 30-59 days delinquent, paid
through July 2021. The servicer's September 2021 commentary notes
the borrower's coronavirus-relief request has been approved and is
pending documentation.

The property is anchored by a noncollateral Bass Pro Shops Outdoor
World and is currently 83.0% leased. The in-place occupancy rate
fell after the loss of Gordmans, with remaining tenants including
Old Time Pottery (30.6% of NRA; expiring October 2026), Dick's
Sporting Goods (Dick's) (17.7% of NRA; expiring January 2021), and
Gabriel Brothers (12.0% of NRA; expiring January 2028). Other
tenant losses for the larger property since issuance include a
noncollateral Toys "R" Us and a noncollateral Regal Cinemas. The
servicer has advised the Dick's lease was extended, but terms have
not been provided. At issuance, the property was valued at $24.0
million, equating to a current loan-to-value ratio of 65.6%. The
value has likely decreased, however, given the occupancy losses for
both the collateral and noncollateral portions of the property and,
as such, DBRS Morningstar liquidated the loan from the pool
assuming a significant haircut to the issuance value, which
resulted in a projected loss severity on the loan in excess of
50.0%.

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



COMM 2020-CX: DBRS Confirms BB Rating on 2 Classes
---------------------------------------------------
DBRS, Inc. confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates issued by COMM 2020-CX Mortgage Trust as
follows:

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

All trends are Stable. The transaction performance remains in line
with DBRS Morningstar's expectations, with no material changes
since last year's issuance. The certificates are backed by $410.0
million portion of a $435.0 million whole loan. The trust loan is
part of a split loan structure and comprises four senior notes with
an aggregate principal balance of $270 million and one subordinate
B note with a principal balance of $140 million. A $25 million
companion loan, which is pari passu with the senior trust notes, is
not part of the collateral for this transaction. The whole loan
features a 10-year term through November 2030 with a four-year
anticipated repayment date period following. The loan proceeds were
used to refinance an existing $320.6 million loan, return $80.0
million of equity to the sponsor, fund upfront reserves of $31.6
million, and pay closing costs.

The loan is secured by the borrower's fee-simple interest in a
Class A life sciences office building in the Kendall Square
submarket of Cambridge, Massachusetts. The building was completed
in 2019 as one of the first components of the larger master-planned
Cambridge Crossing Development (CX), which is currently being
executed by the sponsor, DivcoWest. When fully built out, CX will
consist of approximately 2.1 million square feet (sf) of science
and technology space, 2.4 million sf of residential space, and
100,000 sf of retail space. In total, approximately 1.8 million sf
of office and laboratory space is under construction, the bulk of
which is leased.

The June 2021 rent roll showed an occupancy rate of 97.8%, with the
two largest tenants, Philips Electronics (Philips) and Cerevel
Therapeutics, LLC (Cerevel), accounting for 94.7% of the net
rentable area (NRA). Phillips has made the subject its North
American headquarters, leasing 80.4% of the NRA on various leases,
all expiring in November 2034. Cerevel occupies 14.3% of the NRA on
leases through February 2030. Ultimately, the building benefits
from long-term, institutional-grade tenancy in place on long-term
leases.

The loan is on the servicer's watchlist for a low debt service
coverage ratio (DSCR) stemming from rent abatements granted to
Philips, which were reserved for at issuance. According to the
servicer, the final disbursement from that reserve was made in
April 2021 and the tenant has been paying full rent since May 2021.
As a result of the free rent period for Phillips, the YE2020 net
cash flow and DSCR were reported at $10.6 million and 0.89 times
(x) respectively, compared with the issuer's figures of $32.7
million and 2.75x. respectively.

The borrower sponsor for the transaction is a joint venture
partnership between DivcoWest and the California State Teachers
Retirement System (CalSTRS). DivcoWest, which manages $11.9 billion
in assets, is an experienced developer, owner, and operator of real
estate throughout the United States, with significant expertise in
Boston, having invested in and managed more than 22 commercial
properties in the area, including offices in the Seaport, Financial
District, and East Cambridge submarkets. CalSTRS is the country's
second-largest public pension fund, with assets totaling
approximately $262.5 billion.

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



CONNECTICUT 2021-R01: S&P Assigns Prelim 'B+' Rating on 1B-1 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to FANNIE MAE
CAS Trust 2021-R01's notes.

The note issuance is an RMBS transaction in which the payments are
determined by a reference pool of residential mortgage loans, deeds
of trust, or similar security instruments encumbering mortgaged
properties acquired by Fannie Mae.

The preliminary ratings are based on information as of Oct. 18,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The credit enhancement provided by the subordinated reference
tranches and the associated structural deal mechanics;

-- The REMIC structure, which reduces the counterparty exposure to
Fannie Mae for periodic principal and interest payments but also
pledges the support of Fannie Mae (as a highly rated counterparty)
to cover any shortfalls on interest payments and make up for any
investment losses;

-- The issuer's aggregation experience and the alignment of
interests between the issuer and noteholders in the transaction's
performance, which enhances the notes' strength, in S&P's view;

-- The enhanced credit risk management and quality control (QC)
processes Fannie Mae uses in conjunction with the underlying
representations and warranties (R&Ws) framework;

-- The impact that the economic stress brought on by COVID-19
pandemic may have on the performance of the mortgage borrowers in
the pool and the structural provisions included to address
corresponding forbearance and subsequent defaults; and

-- The further impact that the COVID-19 pandemic is likely to have
on the U.S. economy and housing market and the additional
structural provisions included to address corresponding forbearance
and subsequent defaults.

  Preliminary Ratings Assigned

  CLASS     PRELIMINARY RATING     PRELIMINARY AMOUNT ($)
  1A-H (i)        NR                       70,856
  1M-1            BBB+ (sf)                274.746
  1M-1H (i)       NR                        14.460
  1M-2A (iii)     BBB (sf)                  80.134
  1M-AH (i)       NR                         4.218
  1M-2B (iii)     BBB- (sf)                 80.134
  1M-BH (i)       NR                         4.218
  1M-2C (iii)     BBB- (sf)                 80.134
  1M-CH (i)       NR                         4.218
  1M-2 (iii)      BBB- (sf)                240.402
  1B-1A (iii)     BB (sf)                  188.887
  1B-AH (i)       NR                         9.942
  1B-1B (iii)     B+ (sf)                  188.887
  1B-BH (i)       NR                         9.942
  1B-1 (iii)      B+ (sf)                  377.774
  1B-2            NR                       309.089
  1B-2H (i)       NR                        16.268
  1B-3H (i)       NR                       180.754
  1E-A1 (ii)      BBB (sf)                  80.134
  1A-I1 (ii)      BBB (sf)                  80.134
  1E-A2 (ii)      BBB (sf)                  80.134
  1A-I2 (ii)      BBB (sf)                  80.134
  1E-A3 (ii)      BBB (sf)                  80.134
  1A-I3 (ii)      BBB (sf)                  80.134
  1E-A4 (ii)      BBB (sf)                  80.134
  1A-I4 (ii)      BBB (sf)                  80.134
  1E-B1 (ii)      BBB- (sf)                 80.134
  1B-I1 (ii)      BBB- (sf)                 80.134
  1E-B2 (ii)      BBB- (sf)                 80.134
  1B-I2 (ii)      BBB- (sf)                 80.134
  1E-B3 (ii)      BBB- (sf)                 80.134
  1B-I3 (ii)      BBB- (sf)                 80.134
  1E-B4 (ii)      BBB- (sf)                 80.134
  1B-I4 (ii)      BBB- (sf)                 80.134
  1E-C1 (ii)      BBB- (sf)                 80.134
  1C-I1 (ii)      BBB- (sf)                 80.134
  1E-C2 (ii)      BBB- (sf)                 80.134
  1C-I2 (ii)      BBB- (sf)                 80.134
  1E-C3 (ii)      BBB- (sf)                 80.134
  1C-I3 (ii)      BBB- (sf)                 80.134
  1E-C4 (ii)      BBB- (sf)                 80.134
  1C-I4 (ii)      BBB- (sf)                 80.134
  1E-D1 (ii)      BBB- (sf)                160.268
  1E-D2 (ii)      BBB- (sf)                160.268
  1E-D3 (ii)      BBB- (sf)                160.268
  1E-D4 (ii)      BBB- (sf)                160.268
  1E-D5 (ii)      BBB- (sf)                160.268
  1E-F1 (ii)      BBB- (sf)                160.268
  1E-F2 (ii)      BBB- (sf)                160.268
  1E-F3 (ii)      BBB- (sf)                160.268
  1E-F4 (ii)      BBB- (sf)                160.268
  1E-F5 (ii)      BBB- (sf)                160.268
  1-X1 (ii)       BBB- (sf)                160.268
  1-X2 (ii)       BBB- (sf)                160.268
  1-X3 (ii)       BBB- (sf)                160.268
  1-X4 (ii)       BBB- (sf)                160.268
  1-Y1 (ii)       BBB- (sf)                160.268
  1-Y2 (ii)       BBB- (sf)                160.268
  1-Y3 (ii)       BBB- (sf)                160.268
  1-Y4 (ii)       BBB- (sf)                160.268
  1-J1 (ii)       BBB- (sf)                 80.134
  1-J2 (ii)       BBB- (sf)                 80.134
  1-J3 (ii)       BBB- (sf)                 80.134
  1-J4 (ii)       BBB- (sf)                 80.134
  1-K1 (ii)       BBB- (sf)                160.268
  1-K2 (ii)       BBB- (sf)                160.268
  1-K3 (ii)       BBB- (sf)                160.268
  1-K4 (ii)       BBB- (sf)                160.268
  1M-2Y (ii)      BBB- (sf)                240.402
  1M-2X (ii)      BBB- (sf)                240.402
  1B-1Y (ii)      B+ (sf)                  377.774
  1B-1X (ii)      B+ (sf)                  377.774
  1B-2Y (ii)      NR                       309.089
  1B-2X (ii)      NR                       309.089

(i) Reference tranche only and will not have corresponding notes.
Fannie Mae retains the risk of these tranches.

(ii) RCR notes.

(iii) The holders of the class 1M-2 notes may exchange all or part
of that class for proportionate interests in the class 1M-2A, class
1M-2B, and class 1M-2C notes, and vice versa. The holders of the
class 1B-1 notes may exchange all or part of that
class for proportionate interests in the class 1B-1A and class
1B-1B notes, and vice versa.

NR--Not rated.



CONTINENTAL CREDIT: DBRS Confirms BB(low) on Class C Notes
----------------------------------------------------------
DBRS, Inc. upgraded its ratings on Continental Credit Card ABS
2017-1, LLC and confirmed its ratings on Continental Credit Card
ABS 2019-1, LLC.

Debt Rated        Action     Rating
----------        ------     ------

Continental Credit Card ABS 2017-1, LLC

Class B Notes     Upgraded   AA(sf)
Class C Notes     Upgraded   BB(sf)

Continental Credit Card ABS 2019-1, LLC

Class A Notes     Confirmed  A(sf)
Class B Notes     Confirmed  BBB(sf)
Class C Notes     Confirmed  BB(low)(sf)

The rating actions are based on the following analytical
considerations:

-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary titled "Baseline Macroeconomic
Scenarios For Rated Sovereigns," published on September 8, 2021.
These baseline macroeconomic scenarios replace DBRS Morningstar's
moderate and adverse Coronavirus Disease (COVID-19) pandemic
scenarios, which were first published in April 2020. The baseline
macroeconomic scenarios reflect the view that, although the
pandemic remains a risk to the outlook, uncertainty around the
macroeconomic effects of the pandemic has gradually receded.
Current median forecasts considered in the baseline macroeconomic
scenarios incorporate some risks associated with further outbreaks
but remain fairly positive on recovery prospects given expectations
of continued fiscal and monetary policy support. The policy
response to the coronavirus may nonetheless bring other risks to
the forefront in the coming months and years.

-- The currently available hard credit enhancement in the form of
overcollateralization, subordination (as applicable), and amounts
of deposit in the reserve account, as well as the change in the
level of protection afforded by each form of credit enhancement
since the closing of each transaction.

-- Both transactions have ended their revolving periods and are
amortizing.

-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.


CROWN POINT 8: Moody's Assigns Ba3 Rating to $19.125MM E-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by Crown Point CLO 8 LTD. (the
"Issuer").

Moody's rating action is as follows:

US$288,000,000 Class A-R Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aaa (sf)

US$54,000,000 Class B-R Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

US$24,750,000 Class C-R Secured Deferrable Mezzanine Floating Rate
Notes due 2034, Definitive Rating Assigned A2 (sf)

US$27,000,000 Class D-R Secured Deferrable Mezzanine Floating Rate
Notes due 2034, Definitive Rating Assigned Baa3 (sf)

US$19,125,000 Class E-R Secured Deferrable Junior Floating Rate
Notes due 2034, Definitive Rating Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
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 and unsecured loans provided that not
more than 5.0% of the portfolio may consist of permitted non loan
assets.

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

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Moody's Outlook/Review Rules" and changes to the base matrix and
modifiers.

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

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

Portfolio par: $450,000,000

Defaulted par: $0

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2787

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


CROWN POINT 8: Moody's Gives (P)Ba3 Rating to $19.125MM E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of CLO refinancing notes to be issued by Crown Point CLO 8
LTD. (the "Issuer").

Moody's rating action is as follows:

US$288,000,000 Class A-R Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

US$54,000,000 Class B-R Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)

US$24,750,000 Class C-R Secured Deferrable Mezzanine Floating Rate
Notes due 2034, Assigned (P)A2 (sf)

US$27,000,000 Class D-R Secured Deferrable Mezzanine Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

US$19,125,000 Class E-R Secured Deferrable Junior Floating Rate
Notes due 2034, Assigned (P)Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of first lien senior secured loans,
cash, and eligible investments, and up to 10% of the portfolio may
consist of second lien loans and unsecured loans provided that not
more than 5.0% of the portfolio may consist of permitted non loan
assets.

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

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Moody's Outlook/Review Rules" and changes to the base matrix and
modifiers.

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

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

Portfolio par: $450,000,000

Defaulted par: $0

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2787

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


DRYDEN 85: S&P Assigns BB- (sf) Rating on $18MM 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 Dryden 85 CLO Ltd./Dryden 85
CLO LLC, a CLO that is managed by PGIM Inc. At the same time, S&P
withdrew its ratings on the original class A-1, A-2, B, C, D, and E
notes following payment in full on the Oct. 15, 2021, refinancing
date. This is a refinancing of its October 2020 transaction.

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

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

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

-- The reinvestment period was extended by three years, the
non-call period by two years, and the weighted average life test
date by 2.5 years.

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

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

-- The target initial par amount was 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 has been established, while the first payment date
following the refinancing will be Jan. 15, 2022.

-- Certain provisions for workout-related assets were amended.

-- Additional subordinated notes were 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 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 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."

  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: NR

  Ratings Withdrawn

  Dryden 85 CLO Ltd./Dryden 85 CLO LLC
  
  Class A-1, to NR from AAA (sf)
  Class A-2 to NR from AAA (sf)
  Class B, to NR from AA (sf)
  Class C (deferrable), to NR from A (sf)
  Class D (deferrable), to NR from BBB- (sf)
  Class E (deferrable), to NR from BB- (sf)

  NR--Not rated.



ELARA HGV 2021-A: Fitch Assigns Final BB Rating on Class D Notes
----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Outlooks to Elara HGV
Timeshare Issuer 2021-A LLC (2021-A) notes.

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

Class A 28416LAA0    LT AAAsf  New Rating    AAA(EXP)sf
Class B 28416LAB8    LT Asf    New Rating    A(EXP)sf
Class C 28416LAC6    LT BBBsf  New Rating    BBB(EXP)sf
Class D 28416LAD4    LT BBsf   New Rating    BB(EXP)sf

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 22 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 12.1% from 6.7%
in 2019-A. However, the share of upgrade loans increased to 68.5%
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 10.54% 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 61.35%. Therefore, the implied CGD proxy would have
    to increase to 20.45% for the class A notes to be downgraded
    one rating category or 3.0x multiple (61.35%/20.45% = 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 49.08% and 102.25%
    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 3.23x.
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 3.00x. Such a decline in coverage would likely
result in class A notes being considered for a potential downgrade
to the 'AAsf' 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 2.25x.
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 2.02x. Such a decline in coverage would likely
result in class B notes being considered for a potential downgrade
to 'BBB+sf'.

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 1.69x.
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 1.47x. 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 1.32x.
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 1.11x. Such a decline in coverage would likely result in
class D notes being considered for a potential downgrade to
'B+sf'.

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.


ELMWOOD CLO III: Moody's Assigns B3 Rating to $10MM Cl. F-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Elmwood CLO III Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$320,000,000 Class A-R Floating Rate Notes Due 2034, Assigned Aaa
(sf)

US$60,000,000 Class B-R Floating Rate Notes Due 2034, Assigned Aa2
(sf)

US$28,000,000 Class C-R Deferrable Floating Rate Notes Due 2034,
Assigned A2 (sf)

US$30,250,000 Class D-R Deferrable Floating Rate Notes Due 2034,
Assigned Baa3 (sf)

US$21,750,000 Class E-R Deferrable Floating Rate Notes Due 2034,
Assigned Ba3 (sf)

US$10,000,000 Class F-R Deferrable Floating Rate Notes Due 2034,
Assigned B3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
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, senior unsecured loans or bonds.

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

A variety of other changes to transaction features will occur in
connection with the refinancing. These include: extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; and changes to
the overcollateralization test levels; the revision of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Moody's Adjusted Weighted Average Rating Factor" and changes to
the base matrix and modifiers.

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

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

Performing par and principal proceeds balance: $498,798,561

Defaulted par: $2,402,877

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2810

Weighted Average Spread (WAS): 3.20%

Weighted Average Recovery Rate (WARR): 47.5%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


ELMWOOD CLO VI: S&P Assigns B- (sf) Rating on Class F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, E-R, and F-R replacement notes from Elmwood CLO VI
Ltd./Elmwood CLO VI LLC, a CLO originally issued in 2020 that is
managed by Elmwood Asset Management LLC.

On the Oct. 15, 2021 refinancing date, the proceeds from the
replacement notes were used to redeem the original notes. At that
time, S&P withdrew its ratings on the original notes and assigned
ratings to the replacement notes.

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

-- The target initial par amount was upsized from $450 million to
$600 million.

-- The replacement class notes were issued at a lower weighted
average cost of debt than the original notes.

-- The stated maturity and reinvestment period were extended by
approximately three years.

-- The non-call period was extended by approximately two years.

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

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

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $378.0 million: Three-month LIBOR + 1.16%
  Class B-R, $78.0 million: Three-month LIBOR + 1.65%
  Class C-R (deferrable), $36.0 million: Three-month LIBOR + 2.05%
  Class D-R (deferrable), $36.0 million: Three-month LIBOR + 3.10%
  Class E-R (deferrable), $24.0 million: Three-month LIBOR + 6.50%
  Class F-R (deferrable), $9.0 million: Three-month LIBOR + 7.75%

  Original notes

  Class A, $283.5 million: Three-month LIBOR + 1.32%
  Class B-1, $45.0 million: Three-month LIBOR + 1.70%
  Class B-2, $13.5 million: 2.1108%
  Class C (deferrable), $25.8 million: Three-month LIBOR + 2.35%
  Class D (deferrable), $24.8 million: Three-month LIBOR + 3.65%
  Class E (deferrable), $18.0 million: Three-month LIBOR + 7.60%

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

  Elmwood CLO VI Ltd./Elmwood CLO VI LLC

  Class A-R, $378 million: AAA (sf)
  Class B-R, $78 million: AA (sf)
  Class C-R (deferrable), $36 million: A (sf)
  Class D-R (deferrable), $36 million: BBB- (sf)
  Class E-R (deferrable), $24 million: BB- (sf)
  Class F-R (deferrable), $9 million: B- (sf)
  Subordinated notes, $47 million: Not rated

  Ratings Withdrawn

  Elmwood CLO VI Ltd./Elmwood CLO VI LLC

  Class A to not rated from 'AAA (sf)'
  Class B-1 to not rated from 'AA (sf)'
  Class B-2 to not rated from 'AA (sf)'
  Class C (deferrable) to not rated from 'A (sf)'
  Class D (deferrable) to not rated from 'BBB (sf)'
  Class E (deferrable) to not rated from 'BB- (sf)'



EXANTAS CAPITAL 2020-RSO9: DBRS Confirms B(low) Rating on F Notes
-----------------------------------------------------------------
DBRS Limited upgraded its ratings on four classes of notes issued
by Exantas Capital Corp. 2020-RSO9, Ltd. as follows:

-- Class B to AA (sf) from AA (low) (sf)
-- Class C to A (sf) from A (low) (sf)
-- Class D to BBB (sf) from BBB (low) (sf)
-- Class E to BB (sf) from BB (low) (sf)

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

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class F at B (low) (sf)

All trends are Stable.

The rating upgrades reflect the strengthened credit profile of the
transaction, largely the result of the significant paydown in the
principal balance of the deal since issuance. The Stable trends
reflect DBRS Morningstar's general view on the performance outlook
for the remaining collateral. At issuance, the transaction, which
has a static composition structure, consisted of 32 loans secured
by 34 commercial properties, with a cut-off balance of $297.0
million and aggregate future funding commitments of $21.6 million
held in a reserve account. As of the August 2021 remittance, 14
loans remain in the pool with an aggregate loan balance of $171.2
million, with $8.1 million held in reserve, representing a
collateral reduction of 39.6% since issuance. The remaining loans
are concentrated in multifamily, office, and retail property types,
representing 48.1%, 20.4%, and 14.6% of the pool, respectively.

As noted at issuance, the transaction has a sequential-pay
structure, and interest can be deferred for the Class C, D, E, and
F notes. Such interest deferral will not result in an event of
default. The paydown since issuance has significantly reduced the
risks of this structure for the more senior notes, but it is still
a noteworthy factor for the lowest rated note in Class F. Given
this factor and the note's position in the transaction's waterfall,
DBRS Morningstar elected to confirm the B (low) (sf) rating for
that class despite the sizable increase in credit support since
issuance.

There are no delinquent loans and no loans in special servicing;
however, there are three loans, representing 9.9% of the current
pool balance, on the servicer's watchlist. All three on the
watchlist are because of upcoming loan maturities. Two of the
smaller loans are likely to finalize loan extension requests in the
near to moderate term.

The largest loan on the servicer's watchlist, Village at Sandhill
Town Center Phase I, representing 5.7% of the current pool balance,
was added to the watchlist in June 2021 ahead of the scheduled
August 2021 loan maturity. The loan is currently cash managed, with
the borrower and servicer working on a short-term maturity
extension. As of the collateral manager's June 2021 update, the
borrower was in the process of finalizing a replacement loan, but
that ultimately fell through and the loan remains past due for the
August 2021 maturity date. The loan collateral is a
189,485-square-foot (sf) anchored retail lifestyle center in
Columbia, South Carolina. The property consists of 13 buildings,
built between 2005 and 2007, and is part of a larger master-planned
mixed-use development called Village at Sandhill, which has a
multifamily component, open air retail, dining, and entertainment.
There are two, noncollateral tenants at the subject, JCPenney and
Regal Sandhill movie theatre, both of which are open for business
as of September 2021.

The borrower's business plan focused on a plan to lease the
property up to stabilized levels; however, the May 2021 rent roll
provided to DBRS Morningstar showed an occupancy rate of 62.3%,
down from the issuance occupancy rate of 71.2%. The largest tenants
include Books-A-Million, representing 9.5% of the net rentable area
(NRA), lease expiry in November 2021; Aetius Restaurant, 3.2% of
the NRA, lease expiry in December 2022; and LOFT, 2.9% of the NRA,
lease expiry in January 2022. As of the August 2021 reserve report,
the loan still has $1.05 million in the leasing reserve. The
borrower has reported declining sales amid the Coronavirus Disease
(COVID-19) pandemic, which is likely a contributing factor to the
lack of leasing traction since issuance. At issuance, DBRS
Morningstar applied a loan-to-value ratio adjustment to increase
the expected loss; with this review, it maintained that approach.

Another larger loan in the pool is 12000 Biscayne Boulevard,
representing 10.2% of the current pool balance , which is also
scheduled to mature within the near term. The borrower has also had
difficulty executing the business plan, which could delay plans to
refinance the loan by the February 2022 maturity date. The loan is
not on the servicer's watchlist as of the August 2021 remittance
date, but it will likely be added in the near term. The $17.5
million loan includes $250,000 in future funding to effectuate a
lease-up. The loan collateral is a 152,719-sf mixed-use, office and
retail, center located in North Miami, Florida. The borrower
planned on stabilizing the office portion of the collateral as the
retail component had been expanded and leased up following the
borrower's initial acquisition in 2015.

At issuance, the collateral was 73.4% occupied, but as of the May
2021 rent roll, the occupancy rate had fallen to 69.0%, with the
retail portion 100.0% occupied and the office component 66.9%
occupied. DBRS Morningstar believes the pandemic likely contributed
to the lack of leasing traction for the office portion of the
property. The largest office tenants include Jewish Community
Services of South Florida, 14.7% of the NRA, lease expiry in
January 2026; Software Development Inc., 7.1% of the NRA, lease
expiry in September 2022; and State of Florida – Department of
Education, 4.9% of the NRA, lease expiry October 2025. As of the
June 2021 collateral report, the borrower is in the process of
completing a full exterior painting of the building to improve curb
appeal. The borrower noted leasing prospects, but nothing has been
signed to date. Given the delays in executing the business plan and
the near-term maturity, DBRS Morningstar analyzed this loan with a
stressed probability of default (POD) to increase the expected
loss.

Also, there are increased risks for the 1680 Meridian loan,
representing 10.2% of the current pool balance. This loan, also not
on the servicer's watchlist, is secured by a 54,471-sf mixed-use
office and ground floor retail building in the heart of Miami
Beach, on Meridian Avenue, near the primary thoroughfare in Lincoln
Road. The collateral manager's most recent update noted that a loan
modification was recently processed that allowed for a one-year
maturity extension to May 2022, in exchange for a 2.0% increase to
the interest rate spread. At issuance, the collateral was 88.3%
occupied; however, as of the June 2021 rent roll, the occupancy
rate has declined to 79.0%. The largest tenants include Douglas
Gardens Community Health, 27.6% of the NRA, lease expiry in
December 2030; Miami Beach Realty, 13.4% of the NRA, lease expiry
in May 2024; and Verifract, 10.7% of the NRA, lease expiry April
2022. The June 2021 collateral report also noted that Harry's Pizza
moved into its space August 1, 2021, while Miami Beach
Comprehensive Wellness Center is expected to move into its space in
late September 2021. The size of these tenants' spaces was not
provided in the report, but the collateral manager noted that the
borrower expects net operating income to increase by 20.0% once
those two tenants are in place and paying rent. Given the recent
extension of the loan maturity and delays in executing the business
plan, DBRS Morningstar analyzed this loan with a stressed POD to
increase the expected loss.

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



FORT WASHINGTON 2019-1: S&P Assigns BB- (sf) Rating 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 Fort Washington CLO 2019-1
Ltd./Fort Washington CLO 2019-1 LLC, a CLO originally issued in
class 2019 that is managed by Fort Washington Investment Advisors.
At the same time, S&P withdrew its ratings on the original class A,
B, C, D-1, D-2, and E notes following payment in full on the Oct.
20, 2021 refinancing date.

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

-- The non-call period was extended to Oct. 20, 2022.

-- The class D-1 and D-2 notes were combined to form the new class
D-R notes

-- No additional assets were purchased on the Oct. 20, 2021,
refinancing date, and the target initial par amount remained at
$550 million. There is no additional effective date or ramp-up
period, and the first payment date following the refinancing is
Jan. 20, 2022.

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

-- 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, $357.50 million: Three-month LIBOR + 1.13%
  Class B-R, $57.75 million: Three-month LIBOR + 1.65%
  Class C-R, $33.00 million: Three-month LIBOR + 2.20%
  Class D-R, $30.25 million: Three-month LIBOR + 3.30%
  Class E-R, $26.00 million: Three-month LIBOR + 6.75%

  Original notes

  Class A, $357.50 million: Three-month LIBOR + 1.42%
  Class B, $57.75 million: Three-month LIBOR + 2.10%
  Class C, $33.00 million: Three-month LIBOR + 2.75%
  Class D-1, $24.75 million: Three-month LIBOR + 3.90%
  Class D-2, $5.50 million: Three-month LIBOR + 4.15%
  Class E, $26.00 million: Three-month LIBOR + 7.25%
  Subordinated notes, $51.67 million: Not applicable

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

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

  Ratings Assigned

  Fort Washington CLO 2019-1 Ltd./
  Fort Washington CLO 2019-1 LLC

  Class A-R, $357.50 million: AAA (sf)
  Class B-R, $57.75 million: AA (sf)
  Class C-R, $33.00 million: A (sf)
  Class D-R, $30.25 million: BBB- (sf)
  Class E-R, $26.00 million: BB- (sf)

  Ratings Withdrawn

  Fort Washington CLO 2019-1 Ltd./
  Fort Washington CLO 2019-1 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-1 to not rated from 'BBB+ (sf)'
  Class D-2 to not rated from 'BBB- (sf)'
  Class E to not rated from 'BB- (sf)'

  Other Outstanding Ratings

  Fort Washington CLO 2019-1 Ltd.
  Fort Washington CLO 2019-1 LLC

  Subordinated notes, $51.67 million: Not rated



FREDDIE MAC 2021-HQA3: DBRS Gives Prov. BB Rating on 16 Classes
---------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Structured Agency Credit Risk (STACR) REMIC 2021-HQA3 Notes to be
issued by Freddie Mac STACR REMIC Trust 2021-HQA3 (STACR
2021-HQA3):

-- $447.0 million Class M-1 at BBB (sf)
-- $134.0 million Class M-2A at BB (high) (sf)
-- $134.0 million Class M-2B at BB (sf)
-- $89.0 million Class B-1A at B (high) (sf)
-- $89.0 million Class B-1B at B (sf)
-- $268.0 million Class M-2 at BB (sf)
-- $268.0 million Class M-2R at BB (sf)
-- $268.0 million Class M-2S at BB (sf)
-- $268.0 million Class M-2T at BB (sf)
-- $268.0 million Class M-2U at BB (sf)
-- $268.0 million Class M-2I at BB (sf)
-- $134.0 million Class M-2AR at BB (high) (sf)
-- $134.0 million Class M-2AS at BB (high) (sf)
-- $134.0 million Class M-2AT at BB (high) (sf)
-- $134.0 million Class M-2AU at BB (high) (sf)
-- $134.0 million Class M-2AI at BB (high) (sf)
-- $134.0 million Class M-2BR at BB (sf)
-- $134.0 million Class M-2BS at BB (sf)
-- $134.0 million Class M-2BT at BB (sf)
-- $134.0 million Class M-2BU at BB (sf)
-- $134.0 million Class M-2BI at BB (sf)
-- $134.0 million Class M-2RB at BB (sf)
-- $134.0 million Class M-2SB at BB (sf)
-- $134.0 million Class M-2TB at BB (sf)
-- $134.0 million Class M-2UB at BB (sf)
-- $178.0 million Class B-1 at B (sf)
-- $89.0 million Class B-1AR at B (high) (sf)
-- $89.0 million Class B-1AI at B (high) (sf)

Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT,
M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB,
M-2TB, M-2UB, B-1, B-1AR, and B-1AI are Modifiable and Combinable
STACR Notes (MAC Notes). Classes M-2I, M-2AI, M-2BI, and B-1AI are
interest-only MAC Notes.

The BBB (sf), BB (high) (sf), BB (sf), B (high) (sf), and B (sf)
ratings reflect 2.000%, 1.625%, 1.250%, 1.000%, and 0.750% of
credit enhancement, respectively. Other than the specified classes
above, DBRS Morningstar does not rate any other classes in this
transaction.

STACR 2021-HQA3 is the 23rd transaction in the STACR HQA series.
The Notes are subject to the credit and principal payment risk of a
certain reference pool (the Reference Pool) of residential mortgage
loans held in various Freddie Mac-guaranteed mortgage-backed
securities.

As of the Cut-Off Date, the Reference Pool consists of 123,827
greater-than-20-year fully amortizing first-lien fixed-rate
mortgage loans underwritten to a full documentation standard, with
original loan-to-value (LTV) ratios greater than 80%. The mortgage
loans were estimated to be originated on or after January 2015 and
were securitized by Freddie Mac between January 1, 2021, and March
31, 2021.

On the Closing Date, the trust will enter into a Collateral
Administration Agreement (CAA) with Freddie Mac. Freddie Mac, as
the credit protection buyer, will be required to make transfer
amount payments. The trust is expected to use the aggregate
proceeds realized from the sale of the Notes to purchase certain
eligible investments to be held in a custodian account. The
eligible investments are restricted to highly rated, short-term
investments. Cash flow from the Reference Pool will not be used to
make any payments; instead, a portion of the eligible investments
held in the custodian account will be liquidated to make principal
payments to the Noteholders and return amount, if any, to Freddie
Mac upon the occurrence of certain specified credit events and
modification events.

The coupon rates for the Notes are based on the Secured Overnight
Financing Rate (SOFR). There are replacement provisions in place in
the event that SOFR is no longer available. DBRS Morningstar did
not run interest rate stresses for this transaction, as the
interest is not linked to the performance of the reference
obligations. Instead, the trust will use the net investment
earnings on the eligible investments together with Freddie Mac's
transfer amount payments to pay interest to the Noteholders.

In this transaction, approximately 20.5% of the loans were
originated using property values determined using Freddie Mac's
automated collateral evaluation (ACE) assessment rather than a
traditional full appraisal. Loans where the property values were
determined using ACE assessments generally have better credit
attributes.

Notable Changes

This transaction incorporates below notable changes:

This is the first STACR HQA transaction with the Class B-3H's
coupon rate to be zero. This may reduce the cushion that rated
classes have to the extent any modification losses arise.
This is the first STACR transaction where payment deferrals will be
treated as modification events and could lead to modification
losses. Please see the PPM for more details.

The calculation of principal payments to the Notes will be based on
actual principal collected on the Reference Pool. For STACR HQA
transactions, beginning with the STACR 2018-HQA2 transaction, there
has been a revision to principal allocation. The scheduled
principal in prior transactions was allocated pro rata between the
senior and nonsenior (mezzanine and subordinate) tranches,
regardless of deal performance, while the unscheduled principal was
allocated pro rata subject to certain performance tests being met.
For the more recent transactions, the scheduled and unscheduled
principal will be combined and only allocated pro rata between the
senior and nonsenior tranches if the performance tests are
satisfied.

For the STACR 2021-HQA3 transaction, the minimum credit enhancement
test—one of the three performance tests—has been set to fail at
the Closing Date thus locking out the rated classes from initially
receiving any principal payments until the subordination percentage
grows from 3.25% to 3.50%. Additionally, the nonsenior tranches
will also be entitled to supplemental subordinate reduction amount
if the offered reference tranche percentage increases above 5.50%.
The interest payments for these transactions are not linked to the
performance of the reference obligations except to the extent that
modification losses have occurred.

The Notes will be scheduled to mature on the payment date in
September 2041, but they will be subject to mandatory redemption
prior to the scheduled maturity date upon the termination of the
CAA.

The sponsor of the transaction will be Freddie Mac. U.S. Bank
National Association (rated AA (high) with a Stable trend and R-1
(high) with a Stable trend by DBRS Morningstar) will act as the
Indenture Trustee and Exchange Administrator. Wilmington Trust,
National Association (rated AA (low) with a Negative trend and R-1
(middle) with a Stable trend by DBRS Morningstar) will act as the
Owner Trustee. The Bank of New York Mellon will act as the
Custodian.

The Reference Pool consists of approximately 8.6% of loans
originated under the Home Possible program. Home Possible is
Freddie Mac's affordable mortgage product designed to expand the
availability of mortgage financing to creditworthy low- to
moderate-income borrowers.

If a reference obligation is refinanced under the Enhanced Relief
Refinance Program, then the resulting refinanced reference
obligation may be included in the Reference Pool as a replacement
of the original reference obligation. The Enhanced Relief Refinance
Program provides refinance opportunities to borrowers with existing
Freddie Mac mortgages who are current in their mortgage payments
but whose LTVs exceed the maximum permitted for standard refinance
products. The refinancing and replacement of a reference obligation
under this program will not constitute a credit event.

The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. Shortly after the onset of the
coronavirus, DBRS Morningstar saw an increase in the delinquencies
for many residential mortgage-backed securities (RMBS) asset
classes.

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term periods of payment relief, that may
perform differently from traditional delinquencies. At the onset of
coronavirus, the option to forebear mortgage payments was widely
available, droving forbearances to an elevated level. When the dust
settled, loans with coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid and
acceptable underwriting in the mortgage market in general. Across
nearly all RMBS asset classes in recent months, delinquencies have
been gradually trending downward, as forbearance periods come to an
end for many borrowers.

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




GOLDENTREE LOAN 5: S&P Affirms 'B- (sf)' Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1 loans and
the class A-R, A-1B, B-R, C-R, and D-R replacement notes from
GoldenTree Loan Management US CLO 5 Ltd./GoldenTree Loan Management
US CLO 5 LLC, a CLO originally issued in 2019 that is managed by
GoldenTree Loan Management L.P. At the same time, S&P withdrew its
ratings on the class A, B, C, and D notes following payment in full
on the Oct. 20, 2021, refinancing date. S&P also affirmed its
ratings on the class E and F notes, which were not refinanced.
Although the class F notes did not pass its cash flow model at the
current 'B- (sf)' rating, S&P affirmed its current rating as the
class is not currently dependent upon a favorable business or
economic environment in order to meet its obligation of timely
interest and ultimate repayment of principal.

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

-- The non-call period was extended by one year to Oct. 20, 2022.

-- No additional assets were purchased on the Oct. 20, 2021,
refinancing date, and the target initial par amount remained at
$600.00 million. There is no additional effective date or ramp-up
period, and the first payment date following the refinancing is
Jan. 20, 2022.

-- The class A-1 loans and class A-R, A-1B, B-R, C-R, and D-R
replacement notes replace the original class A, B, C, and D notes.

-- The aggregate amount of the class A-1B notes may be increased
up to $254,000,000 upon a conversion of the class A-1 loans.

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

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1 loans, $254.00 million: Three-month LIBOR + 1.07%
  Class A-R, $127.00 million: Three-month LIBOR + 1.07%
  Class A-1B, $0.00 million: Three-month LIBOR + 1.07%
  Class B-R, $60.00 million: Three-month LIBOR + 1.55%
  Class C-R, $51.00 million: Three-month LIBOR + 2.05%
  Class D-R, $36.00 million: Three-month LIBOR + 3.15%

  Original notes

  Class A, $381.00 million: Three-month LIBOR + 1.30%
  Class B, $60.00 million: Three-month LIBOR + 1.80%
  Class C, $51.00 million: Three-month LIBOR + 2.70%
  Class D, $36.00 million: Three-month LIBOR + 3.85%
  Class E, $25.50 million: Three-month LIBOR + 4.85%
  Class F, $12.00 million: Three-month LIBOR + 6.57%
  Subordinated notes, $33.20 million: Not applicable

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

"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

  GoldenTree Loan Management US CLO 5 Ltd./
  GoldenTree Loan Management US CLO 5 LLC

  Class A-1 loans, $254.00 million: AAA (sf)
  Class A-R, $127.00 million: AAA (sf)
  Class A-1B, $0.00: AAA (sf)
  Class B-R, $60.00 million: AA (sf)
  Class C-R, $51.00 million: A (sf)
  Class D-R, $36.00 million: BBB- (sf)

  Ratings Withdrawn

  GoldenTree Loan Management US CLO 5 Ltd./
  GoldenTree Loan Management US CLO 5 LLC

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

  Ratings Affirmed

  GoldenTree Loan Management US CLO 5 Ltd./
  GoldenTree Loan Management US CLO 5 LLC

  Class E: 'BB- (sf)'
  Class F: 'B- (sf)'

  Other Outstanding Notes

  GoldenTree Loan Management US CLO 5 Ltd./
  GoldenTree Loan Management US CLO 5 LLC

  Subordinated notes: NR

  NR--Not rated.



GOLDMAN SACHS 2011-GC5: Fitch Lowers Class E Certs Rating to 'C'
----------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed three classes of
Goldman Sachs Commercial Mortgage Capital, LP, series 2011-GC5
commercial mortgage pass-through certificates. In addition, classes
A-S and X-A were removed from Rating Watch Negative (RWN) and
assigned Stable Outlooks.

    DEBT              RATING            PRIOR
    ----              ------            -----
GSMS 2011-GC5

A-S 36191YAE8    LT AAAsf  Affirmed     AAAsf
B 36191YAG3      LT BBsf   Downgrade    Asf
C 36191YAJ7      LT CCCsf  Downgrade    Bsf
D 36191YAL2      LT CCsf   Downgrade    CCCsf
E 36191YAN8      LT Csf    Downgrade    CCsf
F 36191YAQ1      LT Csf    Affirmed     Csf
X-A 36191YAA6    LT AAAsf  Affirmed     AAAsf

KEY RATING DRIVERS

Increased Loss Expectations; High Regional Mall Concentration: The
downgrades are driven by higher loss expectations on the Ashland
Town Center and Champlain Centre loans, an increased certainty of
loss on the four specially serviced loans and factor in the pool's
concentration and adverse selection. Fitch's current ratings
reflect a base case loss of 42.4% on the current pool balance,
which equates to 12% on the original pool balance.

Due to the concentrated nature of the pool, Fitch's actions reflect
a sensitivity analysis that grouped the remaining loans based on
the likelihood of repayment and recovery prospects. Five loans
remain in the pool, four of which are specially serviced regional
mall loans (combined, 62.3% of pool) that failed to repay at their
2021 maturities. The malls are located in secondary/tertiary
markets with exposure to weak sponsors and/or have continued to
experience performance declines. Fitch expects loan exposure will
continue to grow as an improvement in performance is not expected
and the workouts will be prolonged. The RWN removal and Stable
Outlook assigned to class A-S reflects the class' seniority and
reliance for repayment on the only non-specially serviced loan,
1551 Broadway (37.7% of pool), which is secured by a 25,600 sf
retail property located in Manhattan's Times Square neighborhood.
The collateral also includes a 250-foot rentable LED signage
tower.

Performance at 1551 Broadway has been stable and the property
remains 100% occupied by American Eagle, whose lease expires in
February 2024. The property serves as the flagship store for
American Eagle; the tenant has demonstrated commitment to its space
by the recent full renovation with a new concept. The store has
recently reopened after being closed for several months in 2020 due
to the pandemic. The loan did not pay off at its scheduled maturity
on July 6, 2021; however, given the loan's low leverage and
property's strong infill location, Fitch expects strong loan
recovery prospects. Fitch's base case loss of 15% is considered
conservative.

Specially Serviced Regional Mall Loans: The increased certainty of
loss on the four specially serviced loans are driving the
downgrades, whereas at the last rating action, the potential for
higher losses drove the Negative Rating Outlooks. The largest
increase in base case loss since Fitch's last rating action is the
Ashland Town Center loan (7.2% of pool), which is secured by a
434,131 sf regional mall located in Ashland, KY. The loan,
sponsored by Washington Prime Group, transferred to the special
servicer in July 2021 after failing to pay off at maturity.

Fitch's base case loss has increased to 50%, which is based on a
25% cap rate and 20% haircut to the YE 2020 NOI, reflecting the low
and declining tenant sales, bankrupt sponsorship and weak anchor
tenancy; this loss has increased significantly from Fitch's last
rating action when an outsized loss of 25% was used for this loan.

The collateral is anchored by a JCPenney, Belk, Belk Home Store and
Cinemark. As of March 2021, occupancy improved to 99% from 95% at
YE 2020 and 96.6% at YE 2019. While occupancy improved, tenant
sales have continued to decline since issuance. As of TTM February
2021, inline sales, excluding anchors, were $170 psf, compared to
$225 psf as of TTM August 2020, $329 psf as of TTM November 2019
and $319 psf as of YE 2018.

The next largest increase in loss is the Champlain Centre loan
(6.1% of pool), which is secured by a 484,556-sf regional mall
located in Plattsburgh, NY. The loan, sponsored by The Pyramid
Companies, initially transferred to the special servicer in May
2020 and received a loan modification due to hardships related to
the pandemic. The loan subsequently returned to the master servicer
but then re-transferred to the special servicer in April 2021 for
maturity default.

Fitch's base case loss expectation of approximately 60% reflects a
stress to the most recent appraisal and implies a cap rate of 22%
on the YE 2020 NOI; this loss is an increase from Fitch's last
rating action when an outsized loss of 50% was used on this loan.

The collateral is anchored by Hobby Lobby, Dick's Sporting Goods
and JCPenney. As of March 2021, occupancy declined to 77.0% from
79.6% at YE 2020 and 82.8% at YE 2019. The occupancy decline is
primarily related to the departure of Gander Outdoors (previously
10.6% of the NRA,) which vacated ahead of its scheduled lease
expiration. A portion of that space has been re-tenanted by Ollie's
Bargain Outlet (6.8% of NRA). Approximately 21% of the NRA has
lease expirations in 2022, including the top tenants JCPenney
(10.9% of the NRA), Best Buy (4.3% of NRA) and Old Navy (3.4% of
NRA). Additionally, tenant sales at the property have declined to
$271 psf from $289 psf as of the TTM ended January 2019 and $297
psf at YE 2017.

Loss expectations remain high on the Park Place Mall and Parkdale
Mall & Crossing loans, consistent with the last rating action.

The Park Place Mall loan (34.3%) is secured by a 478,333-sf portion
of a 1.1 million-sf regional mall located in Tucson, AZ.

The loan was transferred to special servicing in September 2020 due
to hardships caused by the pandemic. The loan failed to pay off at
its scheduled May 2021 maturity. The borrower (Brookfield) has
indicated they no longer intend to inject additional equity into
the property. The special servicer is dual tracking a foreclosure
and loan modification. Fitch's base case loss expectation of
approximately 65% reflects a stress to the most recent appraisal,
factoring the weakening regional mall performance and sales,
reduced sponsorship commitment and significant upcoming lease
rollover; Fitch's loss implies a 25% cap rate on YE 2020 NOI.

Non-collateral anchors include Dillard's, Round 1 Bowling and
Entertainment and a vacant box that was formerly occupied by Macy's
(closed in 2020). Round 1 Bowling and Entertainment opened in 2019
in the former Sears space (closed in July 2018). The collateral is
anchored by a 20-screen Century Theaters.

As of February 2021, occupancy declined to 85.7% from 89.8% at YE
2020 and 97% at YE 2019. The servicer-reported NOI debt service
coverage ratio (DSCR) as of March 2021 fell to 0.99x from 1.11x at
YE 2020 and 1.30x at YE 2019.

Approximately 44% of the collateral NRA has lease expirations
between 2021 and 2022, including Century Theaters (15.3%; expired
in August 2021, but mall website indicated theater is open), H&M
(3.9%; April 2022) and Old Navy (3.7%; December 2021). Inline sales
for tenants less than 10,000 sf were $315 psf in 2020, down from
$415 psf in 2019. Sales for Century Theaters were $108,517 per
screen in 2020, down from $502,470 per screen in 2019.

The Parkdale Mall & Crossing loan (14.8%) is secured by an
approximately 655,000-sf portion of a 1.2 million sf regional mall
and a 88,105 sf retail center located in Beaumont, TX. The loan
transferred to special servicing in February 2021 due to maturity
default. The loan matured in March 2021.

The property is anchored by a non-collateral Dillard's, JCPenney
and Sears. The Sears store closed in February 2020 and a previous
non-collateral Macy's also closed in March 2017. The Sears space
remains vacant. The Macy's space has since been leased to Dick's
Sporting Goods, HomeGoods and Five Below. The collateral is
anchored by a 12-screen Hollywood Theater. As of March 2021,
property occupancy declined to 79.4% from 79.3% at YE 2020, 84.3%
at YE 2019 and 91.6% at YE 2018. The declines in occupancy are
primarily related to the departure of the former tenant, Bealls
(previously 5.4% of the NRA), which vacated upon filing for
bankruptcy. Additionally, tenant sales psf remained in the low $200
psf-range and as of YE 2020 were $95 psf. Fitch's loss expectations
of 50% reflects a stress to the most recent appraisal and implies a
25% cap rate on the YE 2020 NOI.

Increased Credit Enhancement (CE): Since Fitch's last rating
action, 16 loans (previously 28.1% of the pool) paid off in full at
maturity. As of the September 2021 remittance, the pool has been
reduced by 72.7% to $477 million from $1.7 billion at issuance.
Interest shortfalls totaling $1.8 million and realized losses
totaling $6.6 million are currently impacting the non-rated NR
class.

RATING SENSITIVITIES

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

-- A downgrade of class A-S is not expected due to high CE, but
    may occur with interest shortfalls and/or if the 1551 Broadway
    loan experiences significant performance declines. A further
    downgrade to class B would occur with higher than expected
    losses. Classes C through F could be further downgraded as
    losses are realized or become more certain.

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

-- Upgrades are not expected due to adverse selection and high
    loss expectations, but would occur if performance of the malls
    improves substantially or recoveries are better than expected.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

GSMS 2011-GC5 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to high exposure of retail properties that are
underperforming as a result of changing consumer preference to
shopping, which has a negative impact on the credit profile, and is
relevant to the downgrades of classes B, C, D, and E 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.


GOODLEAP 2021-5: S&P Assigns Prelim BB (sf) Rating on C Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GoodLeap
Sustainable Home Solutions Trust 2021-5 solar loan backed notes.

The note issuance is backed by a collateral pool that consists of
$358.9 million of residential solar loans.

The preliminary ratings are based on information as of Oct. 14,
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 credit enhancement available in the form of
overcollateralization, a yield supplement overcollateralization
amount (YSOC), subordination for classes A and B, and a fully
funded cash reserve account;

-- The servicer's operational, management, and servicing
abilities;

-- The obligor's initial credit quality;

-- The projected cash flows supporting the notes; and

-- The transaction's structure.

  Preliminary Ratings Assigned

  Solutions Trust 2021-5

  Class A, $245.879 million: A (sf)
  Class B, $32.306 million: BBB (sf)
  Class C, $24.229 million: BB (sf)



GOODLEAP SUSTAINABLE 2021-5: Fitch Gives BB(EXP) Rating to C Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the class A, B and C
notes issued by GoodLeap Sustainable Home Solutions Trust 2021-5
(GoodLeap 2021-5).

DEBT           RATING
----           ------
GoodLeap Sustainable Home Solutions Trust 2021-5

A    LT A(EXP)sf    Expected Rating
B    LT BBB(EXP)sf  Expected Rating
C    LT BB(EXP)sf   Expected Rating
R    LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The transaction is a securitization of residential solar loans
backed by photovoltaic (PV) systems and, in some cases, batteries;
99% of the static portfolio has original terms of 20 or 25 years.
The loans are originated by GoodLeap, LLC (GoodLeap), one of the
largest specialized solar lenders in the US, which started
advancing solar loans at the end of 2017.

KEY RATING DRIVERS

LIMITED HISTORY DETERMINES 'Asf' CAP

Residential solar loans in the U.S. have long terms, now mostly at
25 years. For GoodLeap, about two full years of performance data
are available. GoodLeap has also launched interest-only (IO) loans
in 2021, which make up 13.9% of the securitized portfolio.

EXTRAPOLATED ASSET ASSUMPTIONS

As originations commenced in late 2017, Fitch has focused on the
2018 and 2019 default vintages, and determined a base case default
rate of 11.1%. This rate is based on an annualized default rate
(ADR) of 1.5% and certain prepayment assumptions, including that
most borrowers will not prepay their loan from the investment tax
credit (ITC) currently allowed upon the installation of PV systems.
Fitch has also assumed a 25% base case recovery rate. At 'Asf', the
default and recovery assumptions are 37.1% and 16%, respectively.

TARGET OC AND AMORTIZATION TRIGGER

The notes will initially amortize based on target
overcollateralization (OC) percentages, thus increasing their
initial credit enhancement (CE). Should the asset performance
deteriorate: first, additional principal will be paid to cover any
defaulted amounts; and, second, once the cumulative loss trigger is
breached, the payment waterfall will switch to turbo sequential,
deferring any non-senior interest payments and thus accelerating
the senior note de-leveraging. The trigger provides less protection
in Fitch's driving model scenario for class A ratings, which has
back-loaded defaults and a high level of prepayments.

STANDARD, REPUTABLE COUNTERPARTIES; NO SWAP

The transaction account is with Wells Fargo Bank, N.A.
(AA-/Negative/F1+), and the servicer's lockbox account is with
KeyBank, N.A. (A-/Stable/F1). Commingling risk is mitigated by the
daily transfer of collections, high ACH share at closing and
ratings of KeyBank. A reserve fund can be used to cover defaults
and provides the notes with liquidity, although it would not be
replenished, if used, as long as the cumulative loss trigger is
breached. As both assets and liabilities pay a fixed coupon, there
is no interest rate hedge and, thus, no exposure to swap
counterparties.

ESTABLISHED LENDER, BUT NEW ASSETS

GoodLeap has grown to be one of the largest U.S. solar loan
lenders. Underwriting is mostly automated, with underlying criteria
and parameters in line with those of other U.S. ABS originators.
Other than the solar lending business, GoodLeap also originates
mortgage and sustainable home improvement loans. Some loan
servicing is outsourced to Genpact (UK) Limited, the subservicer,
while GoodLeap has been increasing its role in direct servicing
over time. Servicing disruption risk is further mitigated by the
appointment of Vervent, Inc. as backup servicer.

RATING SENSITIVITIES

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

-- Additional performance data, both at transaction and at
    originator level, that do not show flattening of the
    cumulative default curves, especially during the second and
    third year after originations may contribute to a negative
    outlook or downgrade, especially if ADRs do not fall below
    1.5% and at the same time the prepayment activity subsides.

-- Material changes in policy support, the economics of
    purchasing and financing PV panels and batteries, and/or
    ground-breaking technological advances that make the existing
    equipment obsolete may also affect the ratings negatively.

Increase of defaults (Class A / B / C):

-- +10%: BBB+ / BBB- / BB-

-- +25%: BBB+ / BB+ / B+

-- +50%: BBB / BB / B-

Decrease of recoveries (Class A / B / C):

-- -10%: A- / BBB / BB

-- -25%: A- / BBB- / BB

-- -50%: BBB+ / BBB- / BB-

Increase of defaults/decrease of recoveries (Class A / B / C):

-- +10% / -10%: BBB+ / BBB- / BB-

-- +25% / -25%: BBB / BB+ / B

-- +50% / -50%: BB+ / BB- / CCC

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

-- Fitch currently caps ratings in the 'Asf' category due to
    limited data history. As a result, a positive rating action
    would follow a substantially greater amount of performance
    data, for example with regard to the levels of default after
    the ITC timing, more data on recoveries, and the performance
    of IO loans.

-- Subject to those conditions, good transaction performance, CE
    increase up to the target OC levels and ADRs materially below
    1.5% would support an upgrade.

Decrease of defaults (Class A / B / C):

-- -10%: A / BBB / BB+

-- -25%: A+ / BBB+ / BBB-

-- -50%: A+ / A+ / A-

Increase of recoveries (Class A / B / C):

-- +10%: A- / BBB / BB

-- +25%: A / BBB / BB

-- +50%: A / BBB / BB+

Decrease of defaults/increase of recoveries (Class A / B / C):

-- -10% / +10%: A / BBB / BB+

-- -25% / +25%: A+ / A- / BBB

-- -50% / +50%: A+ / A+ / A-

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 Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on comparing or re-computing certain
information with respect to 200 loan contracts from the collateral
pool of assets for the transaction. 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.


GS MORTGAGE 2012-GC6: Fitch Affirms CCC Rating on Class F Debt
--------------------------------------------------------------
Fitch Ratings has affirmed seven classes of GS Mortgage Securities
Trust 2012-GC6. Fitch has also revised the Rating Outlook on class
D to Stable from Negative.

    DEBT              RATING            PRIOR
    ----              ------            -----
GSMS 2012-GC6

A-S 36192BAE7    LT AAAsf   Affirmed    AAAsf
B 36192BAG2      LT AA-sf   Affirmed    AA-sf
C 36192BAJ6      LT A-sf    Affirmed    A-sf
D 36192BAL1      LT BBB-sf  Affirmed    BBB-sf
E 36192BAN7      LT Bsf     Affirmed    Bsf
F 36192BAQ0      LT CCCsf   Affirmed    CCCsf
X-A 36192BAA5    LT AAAsf   Affirmed    AAAsf

KEY RATING DRIVERS

Decreased Losses/High Pool Concentration: Loss expectations
declined since the last rating action primarily due to the lower
losses assumed on Meadowood Mall. Additionally, the pool benefitted
from 47 loans that paid in full. Despite the concentration of the
pool with 19 loans remaining, there are only four Fitch Loans of
Concern (FLOCs), totaling 41% of the pool, including the largest
loan, Meadowood Mall (34.1%). Fitch's current ratings incorporate a
base case loss of 3.4%; Fitch also ran a sensitivity scenario that
applied outsized losses to Meadowood Mall which resulted in losses
of 12.1%. The Negative Outlooks reflect this scenario and concerns
that this asset and other loans fail to refinance at their 2021
maturities.

The largest contributor to expected losses is the largest
non-specially serviced FLOC and largest loan in the pool, Meadowood
Mall. The loan is secured by a 404,865-sf interest in a 900,000-sf
regional mall located in concentrated retail corridor in Reno, NV.
Non-collateral anchors include Macy's - Women and Children and JC
Penney. Collateral anchors include Macy's - Men and Home (21.6%;
exp. March 31, 2030) and Dick's Sporting Goods (11%; exp. Jan. 31,
2027). The property lost non-collateral tenant Sears in July 2018.
Round 1, a bowling alley and entertainment center, subsequently
leased a portion of the Sears space and opened in August 2019.

Fitch has not received an update on remaining vacant space as it is
not part of the collateral. TTM September 2020 total anchor sales
were a reported $132.54psf compared to $153.71psf at YE 2019 and
$153.75psf at YE 2018. TTM September 2020 sales for Dick's Sporting
Goods were a reported $174.56psf compared to $144.65psf at YE 2019
and $154.84psf at YE 2018. TTM September 2020 sales for Macy's -
Men and Home were a reported $111.20psf compared to $158.31psf at
YE 2019 and $153.20psf at YE 2018. TTM September 2020 sales for
tenants less than 10,000sf were a reported $460.19psf compared to
$498.64psf at YE 2019 and $489.99psf at YE 2018. The collateral is
currently 93.7% occupied and had a YE 2020 NOI DSCR of 1.71x.
Fitch's base case expected loss assumed a 4.9% LS based on a 15%
cap rate and YE 2020 NOI. The loan is scheduled to mature in
November 2021. The borrower has indicated it plans to pay off the
loan and is in the process of refinancing. An outsized loss of 25%
was assumed which reflects a sensitivity scenario if the loan fails
to refinance.

The second largest contributor to expected losses is the specially
serviced Towers of Coral Springs (2.3%), which transferred in
August 2017 due to imminent monetary default. The loan is secured
by a 76,000-sf suburban office property located in Coral Springs,
FL. The property was built in 1989 and renovated in 1997. The
largest tenants included Morgan Stanley (10.2%, exp. November
2035), Jacobs & Associates (5.5%, exp. October 2022) and Law
Offices Cytryn & Velazquez, PA (4.9%, exp. November 2021). Fitch's
expected losses of 37.2% are based on a 9.5% cap rate applied to YE
2020 NOI. Losses may be considered conservative, as the borrower
has indicated plans to pay off of the loan.

Defeasance/Improved Credit Enhancement Since Issuance: Seven (23%)
of the remaining 19 loans) are fully defeased. Since the last
rating action, 47 loans paid off in full and recoveries were higher
the loan that sustained a minimal loss. As of the September 2021
distribution date, the pool's aggregate balance has been reduced by
73.1% to $310.2 million from $1.2 billion at issuance. Realized
losses total $183.6 thousand and interest shortfalls in the amount
of $342.7 thousand are currently affecting non-rated class G.

Alternative Loss Considerations: Fitch performed an additional
sensitivity scenario that assumed potential outsized losses of 25%
on Russell Center, a loan on the watchlist due to a forbearance
agreement under review as a result of coronavirus pandemic, 25% on
Meadowood Mall and 100% on Towers of Coral Springs. This scenario
contributed to the Negative Outlooks.

Concentration: 10 loans (69.6%) are scheduled to mature in 2021,
including the largest loan and FLOC, Meadowood Mall. The remaining
loans mature In January 2022.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans/assets. Downgrades to the 'AAA'
    through 'A-' classes are not likely due to high credit
    enhancement, but may occur should interest shortfalls occur.
    Downgrades to 'BBB-', 'B' and 'CCC' rated classes are possible
    should performance of the specially serviced loans continue to
    decline, should additional loans transfer to special
    servicing, or Meadowood Mall default at maturity.

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

-- Stable to improved asset performance, coupled with additional
    paydown and/or defeasance. Upgrades to the 'AA-sf' and 'A-sf'
    rated classes are not expected but could occur with increased
    defeasance and continued loan pay offs. Upgrades of the 'BBB-
    sf' and below-rated classes are considered unlikely and would
    be limited based on concentration sensitivities or the
    potential for future concentrations. Classes would not be
    upgraded above 'Asf' if there were a likelihood of interest
    shortfalls.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Certs
--------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2013-G1 issued by GS Mortgage
Securities Trust 2013-G1 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (low) (sf)
-- Class DM at BB (sf)

DBRS Morningstar also changed the trends on all ratings to Stable
from Negative.

The rating confirmations and Stable trends are generally reflective
of DBRS Morningstar's outlook for the continued improvement in
performance of the underlying loans, all of which are backed by
mall property types. All three loans have been kept current since
the start of the Coronavirus Disease (COVID-19) pandemic, with no
relief requests processed to date. Performance has been generally
healthy, with none of the loans on the servicer's watchlists, and
the sponsors appear committed to the respective loans and
collateral assets, all of which are generally well-positioned as
further described below.

The trust collateral consists of three fixed-rate loans
individually secured by two outlet malls and one regional mall:
Great Lakes Crossing Outlets (Auburn Hills, Michigan), Katy Mills
(Katy, Texas), and Deptford Mall (Deptford, New Jersey), located in
established suburban markets outside of Detroit, Houston, and
Philadelphia, respectively. The three loans reported an aggregate
outstanding principal balance of $492.2 million as of the September
2021 remittance, representing a collateral reduction of 13.3% from
issuance because of scheduled loan amortization on the Great Lakes
Crossing Outlets and Deptford Mall loans. The Katy Mills loan is
interest only (IO) for the entire term.

Great Lakes Crossing Outlets, representing 37.4% of the allocated
pool balance, is secured by a 1.1 million-square-foot (sf) portion
of a 1.4 million-sf outlet center in Auburn Hills, built-in 1998
and renovated in 2010 by the former sponsor, Taubman Centers, Inc.
(Taubman). Taubman was acquired by Simon Property Group (Simon) in
late 2020; Simon is now the loan sponsor, and a Simon affiliate
serves as the property manager. The 30-year loan matures in January
2023 and amortizes according to a 30-year schedule. The loan is
shadow-anchored by a 25-screen AMC Theatres location as well as a
Bass Pro Shops Outdoor World. As of the September 2021 rent roll,
the collateral was 89.7% occupied, a slight decrease from 92.6% at
YE2020. The largest collateral tenants at the property are
Burlington Coat Factory (7.2% of net rentable area (NRA); lease
expires in January 2030), Round 1 Bowling & Amusement (Round 1;
5.2% of NRA; lease expires in September 2027), Forever 21 (4.2% of
NRA; lease expires in January 2023), and Bed Bath & Beyond (3.9% of
NRA; lease expires in January 2025). The property's tenant mix,
which includes traditional retailers, outlet formats, and
entertainment options, mimics the “Mills” properties owned and
operated by Simon, such as the Katy Mills property discussed below,
making the subject a natural addition to the existing Simon
portfolio.

Overall, Great Lakes Crossing Outlets reported sales of $165 per sf
(psf) for the trailing nine months (T-9) ended September 30, 2020,
which is a decline from sales of $239 psf, $250 psf, and $249 psf
for the T-9 periods ended September 2019, September 2018, and
September 2017, respectively. As of the most recent financial
reporting, the loan reported a YE2020 debt service coverage ratio
(DSCR) of 1.92 times (x), a moderate decline from the prior two
years' figures of 2.47x. The sales and cash flow declines in 2020
were a direct result of the coronavirus pandemic, but DBRS
Morningstar believes the property is well-positioned with a
favorable location within the Detroit area and a diverse shadow and
collateral tenant mix that includes many retailers as well as
popular attractions such as Peppa Pig World of Play, Legoland
Discovery Center, and Sea Life Aquarium, among others.

The Deptford Mall loan, representing 34.2% of the allocated pool
balance, is secured by 343,910 sf of in-line space within a 1.0
million-sf regional mall in Deptford, which is located within the
Philadelphia metropolitan statistical area. At issuance, the loan
was bifurcated into a $179.4 million senior pooled amount and a
$25.1 million subordinate, nonpooled rake bond that was also
contributed to the subject trust. As of the September 2021
remittance, the senior portion of the debt had a current balance of
$147.4 million while the subordinate piece supporting the rake bond
had a current balance of $20.6 million, representing a whole-loan
collateral reduction of 17.8% since issuance. The mall is owned and
operated by Macerich and is anchored by non-collateral tenants
including Boscov's, Macy's, JCPenney (JCP), Dick's Sporting Goods
(Dick's), and Round 1. Dick's and Round 1 were both added as part
of a backfill of the former Sears space (which closed in 2018) and
opened in 2020. As of this review, the subject's JCP location has
not been listed for closure in any of the court filings or
announcements made by the company following its May 2020 bankruptcy
filing and subsequent acquisition by a joint venture that included
Simon and another major mall operator, Brookfield Properties.

As of the June 2021 rent roll, the subject had a collateral
occupancy of 87.3%, which is up from the YE2020 rate of 78.8% and
closer to the YE2019 rate of 89.8%. The largest collateral tenants
include H&M (6.5% of NRA; lease expires in January 2026), Forever
21 (5.9% of NRA; lease expires in January 2023), Victoria's Secret
(3.2% of NRA; lease expires in January 2024), and American Eagle
(2.6% of NRA; lease expires in January 2027). As of the YE2020
sales report, tenants that occupy more than 10,000 sf reported
sales of $142 psf, a decline from the pre-coronavirus figure of
$214 at YE2019. Average sales for tenants less than 10,000 sf as of
theYE2020 sales report were reported at $408 psf. As of the most
recent financial reporting, the loan reported a YE2020 DSCR of
1.11x, a decline from the YE2019 and YE2018 DSCRs of 1.81x and
1.93x, respectively. A DBRS Morningstar analyst visited the
property on a Friday afternoon in September and noted that the
property's parking lot was generally full and that the mall's
interior was teeming with shoppers. Based on these observations,
and given the occupancy improvements in 2021 as well as the easing
of disruptions caused by the coronavirus pandemic, DBRS Morningstar
expects that cash flows will begin trending up within the near to
moderate term.

Katy Mills, representing 28.4% of the allocated loan balance, is
secured by a 1.2 million-sf portion of a 1.6 million-sf regional
mall in Katy. The loan is the sole IO loan, with an upcoming
maturity in December 2022. The loan is sponsored through a joint
venture between Simon and KanAm. Non-collateral tenants include a
somewhat eclectic mix for an outlet mall and include a Walmart
Supercenter, a Hilton Garden Inn hotel, and a Caliber Collision in
the out lot, along with a former Toys “R” Us, which vacated its
space in 2018 following its bankruptcy filing and remains dark as
of this review.

As of the May 2021 rent roll, the collateral was 80.2% occupied at
an average rental rate of $20.22 psf. Occupancy has improved
slightly from the YE2020 occupancy rate of 76.1%, but remains below
the YE2019 occupancy rate of 89.0%. Collateral anchors include Bass
Pro Shops Outdoor World (12.0% of NRA; lease expires in October
2024), Burlington Coat Factory (8.3% of NRA; lease expires in
January 2025), AMC Theatres (6.4% of NRA; lease expires in October
2029), and Marshalls (2.7% of NRA; lease expires in January 2030).
As of the most recent financial reporting, the loan reported a very
strong DSCR of 4.91x, compared with the YE2019 DSCR of 5.42x and
YE2018 DSCR of 5.55x. Updated sales were requested but have not
been provided to date. Given the similarly diverse tenant mix as
previously discussed for the Great Lakes Crossing Outlets property,
as well as the subject's location within a desirable Houston
suburb, DBRS Morningstar expects the loan to be well-positioned for
a refinance at the 2022 maturity date, despite the lack of
amortization and general hesitation from lenders when it comes to
placing debt on mall property types.

At issuance, DBRS Morningstar shadow-rated all three loans
investment grade. With this review, DBRS Morningstar confirmed that
the performance of these loans remains consistent with
investment-grade loan characteristics. Overall, the collateralized
properties are well established in their respective markets and
have satisfactory in-line sales performance, high-quality
sponsorship, and low-leverage financing.

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



GS MORTGAGE 2017-STAY: DBRS Confirms B Rating on Class HRR Certs
----------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of the
Commercial Mortgage Pass-Through Certificates, Series 2017-STAY
issued by GS Mortgage Securities Corporation Trust 2017-STAY:

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

DBRS Morningstar also changed the trends on all classes to Stable
from Negative following the better-than-expected cash flow figures
for the portfolio in 2020 and through Q2 2021.

Despite the Coronavirus Disease (COVID-19) pandemic, the portfolio
reported a healthy YE2020 net cash flow of $29.1 million,
representing a 6.1% decline from the YE2019 net cash flow of $31.0
million. The portfolio's trailing 12 months period ended June 30,
2021, net cash flow was reported at $31.5 million with an occupancy
rate of 86.0%, consistent with pre-pandemic levels and well above
the DBRS Morningstar net cash flow derived at issuance of $25.0
million.

All of the properties are well established within their respective
markets and the sponsor has invested in the collateral since
acquisition. Since 2013, the sponsor has spent approximately $24.1
million ($4,639 per key) on capital improvements across the
portfolio. There are no franchised locations, so a property
improvement plan is not required for any of the hotels. Because the
average age of the portfolio assets is more than 20 years and
because the rates are generally lower that at traditional hotels,
the borrower is required to deposit 5.0% of the portfolio's
operating income into the furniture, fixtures, and equipment
reserve on a monthly basis.

The loan is secured by the fee interest in a portfolio of 40
extended-stay hotels totalling 5,195 keys—an average of 132 keys
per location—across 14 states. Although somewhat concentrated in
the southeast region, the portfolio is geographically diverse and
relatively granular as no single hotel represents more than 4.7% of
the allocated loan balance. All hotels operate under the InTown
Suites flag, which is owned by the loan sponsor, Starwood Capital
Group Global L.P. The sponsor has substantial experience in the
hotel sector and acquired the collateral in 2013 from Kimco Realty
Corporation as part of the acquisition of the InTown Suites
platform for $735.0 million.

The $200.0 million trust loan is a floating-rate, interest-only
(IO) mortgage with an initial term of three years and two one-year
extension options. The borrower exercised its second of two
one-year extension options with a new loan maturity date of July
2022.

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



GS MORTGAGE 2021-IP: DBRS Gives Prov. BB Rating on Class F Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-IP to be
issued by GS Mortgage Securities Corporation Trust 2021-IP (GSMS
2021-IP or the Trust):

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

All trends are Stable.

The GSMS 2021-IP single-asset/single-borrower transaction is
collateralized by the borrower's fee-simple and leasehold interest
in the nondepartment store component of International Plaza, a 1.2
million-square-foot (sf; 736,997 collateral sf) Class A
super-regional mall approximately four miles west of downtown
Tampa, Florida. Constructed in 2001, the collateral originally
opened as a traditional, moderate shopping mall, but its tenant
base has evolved over the past two decades and now features a large
profile of luxury retailers such as Louis Vuitton, Gucci, and
Tesla, among others. The property is anchored by a Neiman Marcus,
Nordstrom, and Dillard's, all of which own their own stores and do
not serve as collateral for this transaction. While the
noncollateral anchor tenants are not required to report sales,
management reported that 2021 year-to-date sales have returned or
exceeded those of 2019 for Nordstrom and Dillard's. The property
features two additional anchor boxes on the first and second floors
of the same extension of the building. The first-floor space serves
as collateral and is primarily occupied by Lifetime Athletic, while
the second floor space was formerly occupied by Lord & Taylor. This
space was divided up and 20,001 sf was backfilled by Ballard
Designs, but there is a remaining 49,924 sf of the space that has
sat vacant for approximately 10 years and is currently used as
storage space. The sponsor is open to exploring an alternative use
for the space, such as converting it to a coworking facility, but
has no immediate intentions of doing so. The appraisal considers
the space as permanent vacancy, and the space has therefore been
excluded from the collateral square footage. Goldman Sachs Bank USA
originated the mortgage loan to Tampa Westshore Associates Limited
Partnership, which is indirectly owned and controlled by the
Taubman Realty Group LLC, Simon Property Group, L.P., Nuveen, and
the Teachers Insurance and Annuity Association of America-College
Retirement Equities Fund.

International Plaza is well located with regard to international
and domestic tourist demand as it is positioned adjacent to the
Tampa International Airport and four miles west of Port Tampa Bay,
which is the primary port for cruise ships in Tampa. According to a
study conducted by Neilsen, tourists account for approximately
46.0% of shoppers and 47.0% of sales at the subject. Additionally,
the property is well located with regard to local demand throughout
the greater Tampa area, benefiting from good connectivity and
accessibility via a plethora of surrounding transit options and
regional thoroughfares. As of August 31, 2021, the collateral was
99.0% leased and exhibited an occupancy excluding temporary in-line
stores (TILS) of 94.0%. The collateral has demonstrated generally
consistent occupancy rates in recent years, with an average annual
occupancy rate excluding TILS of 93.2% achieved between 2018 and
2020. Further, the overall property was (including the
noncollateral Neiman Marcus, Nordstrom, and Dillard's anchors)
99.4% leased. However, when including both the noncollateral
anchors and the vacant space formerly occupied by Lord & Taylor,
the overall property is approximately 95.5% leased and 92.6%
occupied, excluding TILS. The mall achieved strong overall sales of
$1,290 psf and total sales, excluding Apple and Tesla, of $789 psf
in 2019. Predictably, overall sales and total sales, excluding
Apple and Tesla, declined approximately 21.0% and 14.6%,
respectively, between 2019 and 2020, largely a result of ongoing
business closures and declining macroeconomic trends brought on by
the onset of the Coronavirus Disease (COVID-19) pandemic.
Nonetheless, the collateral has maintained monthly rent collections
above 90% throughout the pandemic and stabilized at approximately
95.0% as of June 8, 2021. Additionally, over the trailing 12 months
(T-12) ended May 31, 2021, the mall achieved total sales of $1,004
per sf (psf) and $820 psf when excluding Apple and Tesla. Although
overall sales over the T-12 period are down from peak 2019 levels,
total in-line sales, when excluding Apple and Tesla, have exceeded
peak 2019 levels, evidencing a recovery from hardships brought on
by the ongoing coronavirus pandemic. The in-line tenant average
occupancy cost of 12.1% and 14.4%, when excluding Apple and Tesla,
appears low, but there are a number of individual tenants that have
not recovered to prepandemic sales figures.

Considering the collateral's favorable location, generally
consistent occupancy trends, evidence of recovering in-line sales,
strong sponsorship, and ongoing transformation, DBRS Morningstar
has a generally positive view of the credit characteristics of the
collateral. Nonetheless, like most regional malls, the collateral
will likely continue to contend with secular headwinds facing
brick-and-mortar retailers in the long run, as e-commerce continues
to gain traction globally. Investors should carefully consider the
risks associated with investing in securities backed by regional
mall properties; DBRS Morningstar published research on November
17, 2020, that highlighted that regional mall delinquencies were
approaching $10 billion with an overall delinquency rate of 18.7%.
For additional information, please refer to the commentary titled
“CMBS Mall Delinquencies Approach $10 Billion, as the Pandemic
Heightens Risk for Upcoming Maturities” on dbrsmorningstar.com.

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



GS MORTGAGE 2021-PJ10: Moody's Assigns (P)B3 Rating to B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 38
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust 2021-PJ10. The ratings range
from (P)Aaa (sf) to (P)B3 (sf).

GS Mortgage-Backed Securities Trust 2021-PJ10 (GSMBS 2021-PJ10) is
the tenth prime jumbo transaction in 2021 issued by Goldman Sachs
Mortgage Company (GSMC), the sponsor and the primary mortgage loan
seller. Overall, pool strengths include the high credit quality of
the underlying borrowers, indicated by high FICO scores, strong
reserves for prime jumbo borrowers, mortgage loans with fixed
interest rates and no interest-only loans. As of the cut-off date,
none of the mortgage loans are subject to a COVID-19 related
forbearance plan.

GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA and
Goldman Sachs. The mortgage loans for this transaction were
acquired by GSMC, the sponsor and the primary mortgage loan seller
(98.3% by UPB), and MCLP Asset Company, Inc. (MCLP) (1.7% by UPB),
the mortgage loan sellers, from certain of the originators or the
aggregator, MAXEX Clearing LLC (which aggregated 4.6% of the
mortgage loans by UPB).

NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a
Shellpoint Mortgage Servicing (Shellpoint) will service 90.8% and
United Wholesale Mortgage, LLC (UWM) will service 9.2% of the pool.
Wells Fargo Bank, N.A. (Wells Fargo, long term deposit, Aa1; long
term debt Aa2) will be the master servicer and securities
administrator. U.S. Bank Trust National Association will be the
trustee. Pentalpha Surveillance LLC will be the representations and
warranties (R&W) breach reviewer.

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

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

The complete rating actions are as follows:

Issuer: GS Mortgage-Backed Securities Trust 2021-PJ10

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

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

Cl. A-3, Assigned (P)Aa1 (sf)

Cl. A-4, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-21, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

Cl. B-1, Assigned (P)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
0.47%, in a baseline scenario-median is 0.30%, and reaches 3.67% 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 assessments of the origination quality and servicing
arrangement, strength of the TPR and the R&W framework of the
transaction.

Collateral Description

As of the October 1, 2021 cut-off date, the aggregate collateral
pool comprises 735 (96.5% by UPB) prime jumbo (non-conforming) and
70 (3.5% by UPB) conforming, mostly 30-year loan-term with 2 loans
having 20-year loan term, fully-amortizing fixed-rate mortgage
loans, none of which have the benefit of primary mortgage guaranty
insurance, with an aggregate stated principal balance (UPB)
$818,009,378 and a weighted average (WA) mortgage rate of 3.1%. The
WA current FICO score of the borrowers in the pool is 774. The WA
Original LTV ratio of the mortgage pool is 70.0%, which is in line
with GSMBS 2021-PJ9 and also with other prime jumbo transactions.
Top 10 MSAs comprise 58.9% of the pool, by UPB. The high geographic
concentration in high cost MSAs is reflected in the high average
balance of the pool ($1,016,161).

All the mortgage loans in the aggregate pool are QM, with the prime
jumbo non-conforming mortgage loans meeting the requirements of the
QM-Safe Harbor rule (Appendix Q) or the new General QM rule (see
below), and the GSE eligible mortgage loans meeting the temporary
QM criteria applicable to loans underwritten in accordance with GSE
guidelines. The other characteristics of the mortgage loans in the
pool are generally comparable to that of GSMBS 2021-PJ9 and recent
prime jumbo transactions.

A portion of the loans purchased from various sellers into the pool
were originated pursuant to the new general QM rule (74.1% of the
pool by loan balance). The majority of these loans are UWM loans
underwritten to GS AUS underwriting guidelines. The third-party
reviewer verified that the loans' APRs met the QM rule's
thresholds. Furthermore, these loans were underwritten and
documented pursuant to the QM rule's verification safe harbor via a
mix of the Fannie Mae Single Family Selling Guide, the Freddie Mac
Single-Family Seller/Servicer Guide, and applicable program
overlays. As part of the origination quality review and in
consideration of the detailed loan-level third-party diligence
reports, which included supplemental information with the specific
documentation received for each loan, Moody's concluded that these
loans were fully documented loans, and that the underwriting of the
loans is acceptable. Therefore, Moody's ran these loans as "full
documentation" loans in Moody's MILAN model, but increased Moody's
Aaa and expected loss assumptions due to the lack of performance,
track records and substantial overlays of the AUS-underwritten
loans.

Aggregator/Origination Quality

GSMC is the loan aggregator and the primary mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.
The mortgage loans for this transaction were acquired by GSMC, the
sponsor and the primary mortgage loan seller (98.3% by UPB), and
MCLP Asset Company, Inc. (MCLP) (1.7% by UPB), the mortgage loan
sellers, from certain of the originators or the aggregator, MAXEX
Clearing LLC (which aggregated 4.6% of the mortgage loans by UPB).
The mortgage loans in the pool are underwritten to either GSMC's
underwriting guidelines, or seller's applicable guidelines. The
mortgage loan sellers do not originate any mortgage loans,
including the mortgage loans included in the mortgage pool.
Instead, the mortgage loan sellers acquired the mortgage loans
pursuant to contracts with the originators or the aggregator.

Overall, Moody's consider GSMC's aggregation platform to be
comparable to that of peer aggregators and therefore did not apply
a separate loss-level adjustment for aggregation quality. In
addition to reviewing GSMC's aggregation quality, Moody's have also
reviewed the origination quality of each of the originators which
contributed at least approximately 10% of the mortgage loans (by
UPB) to the transaction. For these originators, Moody's reviewed
their underwriting guidelines, performance history, and quality
control and audit processes and procedures (to the extent
available, respectively). Approximately 35.2% of the mortgage
loans, by a UPB as of the cut-off date, were originated by UWM. No
other originator or group of affiliated originators originated more
than approximately 10% of the mortgage loans in the aggregate.
Moody's made an adjustment to its losses for loans originated by
UWM primarily due to the fact that underwriting prime jumbo loans
mainly through DU is fairly new and no performance history has been
provided to Moody's on these types of loans. More time is needed to
assess UWM's ability to consistently produce high-quality prime
jumbo residential mortgage loans under this program.

Servicing Arrangement

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

Shellpoint will service 90.8% of the pool and United Wholesale
Mortgage, LLC will service 9.2% (by loan balance). Shellpoint is an
approved servicer in good standing with Ginnie Mae, Fannie Mae and
Freddie Mac. Shellpoint's primary servicing location is in
Greenville, South Carolina. Shellpoint services residential
mortgage assets for investors that include banks, financial
services companies, GSEs and government agencies. Wells Fargo will
act as master. Wells Fargo is a national banking association and a
wholly-owned subsidiary of Wells Fargo & Company. Moody's consider
the presence of an experienced master servicer such as Wells Fargo
to be a mitigant for any servicing disruptions. Wells Fargo is
committed to act as successor servicer if no other successor
servicer can be engaged.

Third-party Review

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

Similar to GSMBS 2021-PJ9 and GSMBS 2021-INV1, a relatively high
number of the B graded exceptions were related to title insurance,
compared to those in prime transactions Moody's recently rated.
While many of these may be rectified in the future by the servicer
or by subsequent documentation, there is a risk that these
exceptions could impair the deal's insurance coverage if not
rectified and because the R&Ws specifically exclude these
exceptions. Moody's have considered this risk in Moody's analysis.

Representations & Warranties

GSMBS 2021-PJ10's R&W framework is in line with that of prior GSMBS
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Moody's review of the R&W framework takes
into account the financial strength of the R&W providers, scope of
R&Ws (including qualifiers and sunsets) and the R&W enforcement
mechanism. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. R&W
breaches are evaluated by an independent third-party using a set of
objective criteria. The transaction requires mandatory independent
reviews of mortgage loans that become 120 days delinquent and those
that liquidate at a loss to determine if any of the R&Ws are
breached. There is a provision for binding arbitration in the event
of a dispute between the trust and the R&W provider concerning R&W
breaches.

The creditworthiness of the R&W provider determines the probability
that the R&W provider will be available and have the financial
strength to repurchase defective loans upon identifying a breach.
An investment-grade rated R&W provider lends substantial strength
to its R&Ws. Moody's analyze the impact of less creditworthy R&W
providers case by case, in conjunction with other aspects of the
transaction. Here, because most of the R&W providers are unrated
and/or exhibit limited financial flexibility, Moody's applied an
adjustment to the mortgage loans for which these entities provided
R&Ws. In addition, a R&W breach will be deemed not to have occurred
if it arose as a result of a TPR exception disclosed in Appendix I
of the Private Placement Memorandum. There were a relatively high
number of B-grade exceptions in the TPR review, the disclosure of
which weakens the R&W framework.

Tail Risk and Locked Out Percentage

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.80% of the cut-off date pool
balance, and as subordination lock-out amount of 0.80% 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.


GS MORTGAGE 2021-PJ9: DBRS Finalizes B Rating on Class B-5 Certs
----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2021-PJ9 issued by GS
Mortgage-Backed Securities Trust 2021-PJ9:

-- $698.0 million Class A-1 at AAA (sf)
-- $698.0 million Class A-2 at AAA (sf)
-- $87.4 million Class A-3 at AAA (sf)
-- $87.4 million Class A-4 at AAA (sf)
-- $418.8 million Class A-5 at AAA (sf)
-- $418.8 million Class A-6 at AAA (sf)
-- $523.5 million Class A-7 at AAA (sf)
-- $523.5 million Class A-7-X at AAA (sf)
-- $523.5 million Class A-8 at AAA (sf)
-- $104.7 million Class A-9 at AAA (sf)
-- $104.7 million Class A-10 at AAA (sf)
-- $279.2 million Class A-11 at AAA (sf)
-- $279.2 million Class A-11-X at AAA (sf)
-- $279.2 million Class A-12 at AAA (sf )
-- $174.5 million Class A-13 at AAA (sf)
-- $174.5 million Class A-14 at AAA (sf)
-- $44.6 million Class A-15 at AAA (sf)
-- $44.6 million Class A-15-X at AAA (sf)
-- $44.6 million Class A-16 at AAA (sf)
-- $44.6 million Class A-17 at AAA (sf)
-- $44.6 million Class A-17-X at AAA (sf)
-- $44.6 million Class A-18 at AAA (sf)
-- $44.6 million Class A-18-X at AAA (sf)
-- $742.6 million Class A-19 at AAA (sf)
-- $742.6 million Class A-20 at AAA (sf)
-- $87.4 million Class A-21 at AAA (sf)
-- $830.0 million Class A-X-1 at AAA (sf)
-- $698.0 million Class A-X-2 at AAA (sf)
-- $87.4 million Class A-X-3 at AAA (sf)
-- $87.4 million Class A-X-4 at AAA (sf)
-- $418.8 million Class A-X-5 at AAA (sf)
-- $104.7 million Class A-X-9 at AAA (sf)
-- $174.5 million Class A-X-13 at AAA (sf)
-- $12.2 million Class B-1 at AA (sf)
-- $12.7 million Class B-2 at A (sf)
-- $8.3 million Class B-3 at BBB (sf)
-- $3.5 million Class B-4 at BB (sf)
-- $1.3 million Class B-5 at B (sf)

Classes A-7-X, A-11-X, A-15-X, A-17-X, A-18-X, A-X-1, A-X-2, A-X-3,
A-X-4, A-X-5, A-X-9, and A-X-13 are interest-only certificates. The
class balances represent notional amounts.

Classes A-1, A-2, A-4, A-6, A-7, A-7-X, A-8, A-10, A-11, A-11-X,
A-12, A-14, A-16, A-17, A-17-X, A-18, A-18-X, A-19, A-20, A-21, and
A-X-2 are exchangeable certificates. These classes can be exchanged
for combinations of exchange certificates as specified in the
offering documents.

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

The AAA (sf) ratings on the Certificates reflect 5.00% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.60%, 2.15%,
1.20%, 0.80%, and 0.65% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 885 loans with a total principal
balance of $882,310,690 as of the Cut-Off Date (September 1,
2021).

Subsequent to the issuance of the related Presale Report, three
loans were dropped. The Notes are backed by 882 mortgage loans with
a total principal balance of $873,692,017. Unless specified
otherwise, all the statistics regarding the mortgage loans in this
report are based on the Presale Report balance.

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average loan
age of two months. Approximately 98.9% of the pool are traditional,
nonagency, prime jumbo mortgage loans. The remaining 1.1% of the
pool are conforming, high-balance mortgage loans that were
underwritten using an automated underwriting system designated by
Fannie Mae or Freddie Mac and were eligible for purchase by such
agencies. Details on the underwriting of conforming loans can be
found in the Key Probability of Default Drivers section of the
related presale report.

The originators for the mortgage pool are United Wholesale
Mortgage, LLC (UWM; 37.9%); Movement Mortgage, LLC (16.5%);
Guaranteed Rate, Inc., Guaranteed Rate Affinity, LLC, and Proper
Rate, LLC, together as Guaranteed Rate Parties (11.1%); and various
other originators, each comprising less than 10.0% of the mortgage
loans. Goldman Sachs Mortgage Company (GSMC) is the Sponsor and
MTGLQ Investors, L.P.; MCLP Asset Company, Inc.; and GSMC are the
Mortgage Loan Sellers of the transaction. For certain originators,
the related loans were sold to MAXEX Clearing LLC (3.2%) and were
subsequently acquired by the Mortgage Loan Seller.

NewRez LLC doing business as Shellpoint Mortgage Servicing and UWM
will service the mortgage loans within the pool. Cenlar FSB will
act as subservicer for the loans serviced by UWM. Wells Fargo Bank,
N.A. (rated AA with a Negative trend by DBRS Morningstar) will act
as the Master Servicer, Securities Administrator, Certificate
Registrar, Rule 17g-5 Information Provider, and Custodian. U.S.
Bank Trust National Association will serve as Delaware Trustee.
Pentalpha Surveillance LLC will serve as the representations and
warranties (R&W) File Reviewer.

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

No loans in this transaction, as permitted by the Coronavirus Aid,
Relief, and Economic Security Act, signed into law on March 27,
2020, had been granted forbearance plans because the borrowers
reported financial hardship related to the Coronavirus Disease
(COVID-19) pandemic.

Coronavirus Impact

The coronavirus pandemic and the resulting isolation measures have
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
residential mortgage-backed securities (RMBS) asset classes shortly
after the onset of coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
coronavirus, because the option to forebear mortgage payments was
so widely available, it drove forbearance to a very high level.
When the dust settled, coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid, low
loan-to-value ratios, and good underwriting in the mortgage market
in general. Across nearly all RMBS asset classes, delinquencies
have been gradually trending down in recent months as forbearance
periods come to an end for many borrowers.

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



GUARDIA 1 LTD: Moody's Assigns Ba2 Rating to $17.5MM Class D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to four classes of
CDO refinancing notes issued by Guardia 1, Ltd. (the "Issuer").

Moody's rating action is as follows:

US$36,750,000 Class A-2-R Fixed Rate Senior Notes due 2037,
Assigned Aa1 (sf)

US$24,500,000 Class B-R Deferrable Fixed Rate Mezzanine Notes due
2037, Assigned A1 (sf)

US$12,600,000 Class C-R Deferrable Fixed Rate Mezzanine Notes due
2037, Assigned Baa1 (sf)

US$17,500,000 Class D Deferrable Fixed Rate Junior Notes due 2037,
Assigned Ba2 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized debt obligation
(CDO). The issued notes are collateralized primarily by a portfolio
of corporate bonds and loans.

Sculptor Loan Management, LP (the "Manager") will continue to
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining
reinvestment period.

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

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

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

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

Performing par and principal proceeds balance: $350,000,000

Defaulted par: $0

Diversity Score: 72

Weighted Average Rating Factor (WARF): 3208

Weighted Average Coupon (WAC): 4.31%

Weighted Average Recovery Rate (WARR): 44.67%

Weighted Average Life (WAL): 9.25 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, decrease in overall
WAC, and lower recoveries on defaulted assets.

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.


GUGGENHEIM CLO 2019-1: S&P Assigns BB- (sf) Rating on D-2-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, D-1-R, and D-2-R replacement notes from Guggenheim CLO
2019-1 Ltd., a CLO originally issued in 2019 that is managed by
Guggenheim Partners Investment Management LLC. At the same time,
S&P withdrew its ratings on the class A-1a, A-2, B, C, and D notes,
along with the MASCOT notes associated with the class A-2 notes,
following payment in full on the Oct. 15, 2021, refinancing date.

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

-- The non-call period was extended through July 15, 2022.

-- No additional assets were purchased on the Oct. 15, 2021,
refinancing date, and the target initial par amount remained at
$400.00 million. There is no additional effective date or ramp-up
period, and the first payment date following the refinancing is
Jan. 15, 2022.

-- The class A-1-R, A-2-R, B-R, C-R, D-1-R, and D-2-R replacement
notes replace the original class A-1a, A-1b (not rated by S&P
Global Ratings), A-2, B, C, and D notes.

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

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1-R, $256.00 million: Three-month LIBOR + 1.15%
  Class A-2-R, $42.00 million: Three-month LIBOR + 1.70%
  Class B-R, $30.00 million: Three-month LIBOR + 2.20%
  Class C-R, $24.00 million: Three-month LIBOR + 3.35%
  Class D-1-R, $8.00 million: Three-month LIBOR + 6.95%
  Class D-2-R, $8.00 million: Three-month LIBOR + 7.55%

  Original notes

  Class A-1a, $250.00 million: Three-month LIBOR + 1.43%
  Class A-1b, $6.00 million: Three-month LIBOR + 1.90%
  Class A-2, $42.00 million: Three-month LIBOR + 2.10%
  Class A-2-P1: Three-month LIBOR + 2.00%
  Class A-2-P2: Three-month LIBOR + 1.90%
  Class A-2-P3: Three-month LIBOR + 1.80%
  Class A-2-P4: Three-month LIBOR + 1.70%
  Class A-2-X1: 0.10%
  Class A-2-X2: 0.20%
  Class A-2-X3: 0.30%
  Class A-2-X4: 0.40%
  Class B, $30.00 million: Three-month LIBOR + 2.67%
  Class C, $24.00 million: Three-month LIBOR + 3.70%
  Class D, $16.00 million: Three-month LIBOR + 6.98%
  Subordinated notes, $37.10 million: Not applicable

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

"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."

  Ratings Assigned

  Guggenheim CLO 2019-1 Ltd.

  Class A-1-R, $256.00 million: AAA (sf)
  Class A-2-R, $42.00 million: AA (sf)
  Class B-R, $30.00 million: A (sf)
  Class C-R, $24.00 million: BBB- (sf)
  Class D-1-R, $8.00 million: BB+ (sf)
  Class D-2-R, $8.00 million: BB- (sf)

  Ratings Withdrawn

  Guggenheim CLO 2019-1 Ltd.

  Class A-1a: to NR from 'AAA (sf)'
  Class A-2: to NR from 'AA (sf)'
  Class A-2-P1: to NR from 'AA (sf)'
  Class A-2-P2: to NR from 'AA (sf)'
  Class A-2-P3: to NR from 'AA (sf)'
  Class A-2-P4: to NR from 'AA (sf)'
  Class A-2-X1: to NR from 'AA (sf)'
  Class A-2-X2: to NR from 'AA (sf)'
  Class A-2-X3: to NR from 'AA (sf)'
  Class A-2-X4: to NR from 'AA (sf)'
  Class B: to NR from 'A (sf)'
  Class C: to NR from 'BBB- (sf)'
  Class D: to NR from 'BB- (sf)'

  Other Outstanding Notes

  Guggenheim CLO 2019-1 Ltd.

  Subordinated notes: NR

  NR--Not rated.



HGI CRE CLO 2021-FL2: DBRS Finalizes B(low) Rating on G Notes
-------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings to the following
classes of notes issued by HGI CRE CLO 2021-FL2, Ltd:

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

All trends are Stable.

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remain highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, feeling
more immediate effects. Accordingly, DBRS Morningstar may apply
additional short-term stresses to its rating analysis. For example,
DBRS Morningstar may front-load default expectations and/or assess
the liquidity position of a structured finance transaction with
more stressful operational risk and/or cash flow timing
considerations.

The initial collateral includes 20 mortgage loans or senior notes,
consisting of seven whole loans and 13 fully funded senior, senior
pari passu, or pari passu participations secured by multifamily
real estate properties with an initial cut-off date balance
totaling $514.5 million. All 20 mortgages have floating interest
rates tied to the Libor index. The transaction is a managed
vehicle, which includes a ramp-up acquisition period and subsequent
24-month reinvestment period. The ramp-up acquisition period will
be used to increase the trust balance by $65.0 million to an
aggregate deal balance of $549.4 million. DBRS Morningstar assessed
the $65.0 million ramp component using a conservative pool
construct, and, as a result, the ramp loans have expected losses
(E/Ls) above the weighted-average pool E/L. During the reinvestment
period, so long as the note protection tests are satisfied and no
event of default has occurred and is continuing, the collateral
manager may direct the reinvestment of principal proceeds to
acquire reinvestment collateral interest, including funded
companion participations that meet the eligibility criteria. The
eligibility criteria has, among other things, minimum debt service
coverage ratio (DSCR), loan-to-value (LTV) ratio, and loan size
limitations. Lastly, the eligibility criteria stipulates that a No
Downgrade Confirmation (Rating Agency Confirmation (RAC)) must be
received from DBRS Morningstar before acquiring new ramp loans,
reinvestment loans, and participations on loans already owned by
the Issuer in excess of $1.0 million. The No Downgrade Confirmation
requirement allows DBRS Morningstar to review the new collateral
interest and assess potential impacts on ratings.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the cut-off
balances were measured against the DBRS Morningstar As-Is Net Cash
Flow (NCF), 18 loans, representing 80.9% of the initial pool
balance, had a DBRS Morningstar As-Is DSCR of 1.00 times (x) or
below, a threshold indicative of default risk. On the other hand,
only three loans, representing 15.8% of the initial pool balance,
had a DBRS Morningstar Stabilized DSCR of 1.00x or below, which is
indicative of elevated refinance risk. Most properties are
transitioning with potential upside in cash flow; however, DBRS
Morningstar does not give full credit to the stabilization if there
are no holdbacks or if the other loan structural features are
insufficient to support such treatment. Furthermore, even with the
structure provided, DBRS Morningstar generally does not assume the
assets to stabilize above current market levels.

The transaction will have a sequential-pay structure.

All loans in the pool are secured by multifamily properties across
13 states including Illinois, Texas, Florida, and New York.
Multifamily properties have historically seen lower probabilities
of default (PODs) and typically see lower E/Ls within the DBRS
Morningstar model. Multifamily properties benefit from staggered
lease rollover and generally low expense ratios compared with other
property types. While revenue is quick to decline in a downturn
because of the short-term nature of the leases, it is also quick to
respond when the market improves. Additionally, most loans in the
pool are secured by traditional multifamily properties, such as
garden-style communities or mid-rise/high-rise buildings, with no
independent living/assisted living/memory care facilities or
student housing properties included in this pool. Furthermore,
during the transaction's reinvestment period, only multifamily
properties (excluding senior housing and student housing
properties) are eligible to be brought into the trust.

Eleven loans, composing 66.0% of the initial trust balance,
represent acquisition financing wherein sponsors contributed
significant cash equity as a source of initial funding in
conjunction with the mortgage loan, resulting in a moderately high
sponsor cost basis in the underlying collateral.

All loans were originated in 2021, with the earliest loan having a
note date of April 2021. The loan files are recent, including
third-party reports that consider impacts from the coronavirus
pandemic.

The DBRS Morningstar Business Plan Score (BPS) for loans DBRS
Morningstar analyzed was between 1.5 and 2.8, with an average of
2.16. On a scale of 1 to 5, a higher DBRS Morningstar BPS indicates
more risk in the sponsor's business plan. DBRS Morningstar
considers the anticipated lift at the property from current
performance, planned property improvements, sponsor experience,
projected time horizon, and overall complexity. Compared with
similar transactions, this pool has a lower average DBRS
Morningstar BPS, which is indicative of lower risk.

The ongoing coronavirus pandemic continues to pose challenges and
risks to the commercial real estate (CRE) sector, and while DBRS
Morningstar expects multifamily (100.0% of the pool) to fare better
than most other property types, the long-term effects on the
general economy and consumer sentiment are still unclear. All loans
in the pool have been originated after March 2020, or the beginning
of the pandemic in the U.S. Loans originated after the pandemic
include timely property performance reports and recently completed
third-party reports, including appraisals.

The sponsor for the transaction, HGI CFI REIT, is a newer CRE
collateralized loan obligation (CLO) issuer and collateral manager,
and the subject transaction is its second securitization. HGI CFI
REIT will purchase and retain the most subordinate portion of the
capital structure totaling 20.125%, including Notes F and G, in
addition to the Preferred Shares. This provides protection to the
Offered Notes, as the Issuer will incur first losses up to 20.125%.
DBRS Morningstar met with the sponsor to better understand its
investment strategy, organization structure, and origination
practices. Based on this meeting, DBRS Morningstar found that HGI
CFI REIT met its issuer standards. Furthermore, as of June 30,
2021, Harbor Group International, LLC had $14.5 billion of assets
under management, including direct equity, debt investments, and
real estate securities.

The transaction is managed and includes one delayed-close loans, a
ramp-up component, a reinvestment period, and a replenishment
period, which could result in negative credit migration and/or an
increased concentration profile over the life of the transaction.
Eligibility criteria for ramp and reinvestment assets partially
offsets the risk of negative credit migration. The criteria
outlines DSCR, LTV, Herfindahl, and property type limitations. A No
Downgrade Confirmation (RAC) is required from DBRS Morningstar for
ramp loans, reinvestment loans, and companion participations above
$1.0 million. Before loans are acquired and brought into the pool,
DBRS Morningstar will analyze them for any potential ratings
impact. DBRS Morningstar accounted for the uncertainty introduced
by the ramp-up period by running a ramp scenario that simulates the
potential negative credit migration in the transaction based on the
eligibility criteria.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the as-is cash flow. It is
possible that the sponsors will not successfully execute their
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. A
sponsor's failure to execute the business plan could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar made relatively conservative
stabilization assumptions and, in each instance, considered the
business plan to be rational and the loan structure to be
sufficient to execute such plans. In addition, DBRS Morningstar
analyzed loss severity given default (LGD) based on the as-is
credit metrics, assuming the loan was fully funded with no NCF or
value upside.

Because of the ongoing coronavirus pandemic, DBRS Morningstar was
able to perform site inspections on only two loans in the pool, The
Astor LIC and One Arlington. As a result, DBRS Morningstar relied
more heavily on third-party reports, online data sources, and
information from the Issuer to determine the overall DBRS
Morningstar property quality score for each loan. DBRS Morningstar
made relatively conservative property quality adjustments with five
loans, comprising 25.2% of the pool, having Average – or Below
Average property quality.

All 20 loans in the pool have floating interest rates and are
interest only during the initial loan term, creating interest rate
risk and a lack of principal amortization. DBRS Morningstar
stresses interest rates based on the loan terms and applicable
floors or caps. The DBRS Morningstar Adjusted DSCR is a model input
and drives loan level PODs and LGDs. All loans have extension
options, and, to qualify for these options, the loans must meet
minimum DSCR and LTV requirements. All loans are short term and,
even with extension options, have a fully extended loan term of
five years maximum, which, based on historical data, the DBRS
Morningstar model treats more punitively. The borrowers for nine
loans, totaling 42.5% of the trust balance, have purchased Libor
rate caps that range between 1.00% and 2.50% to protect against
rising interest rates over the term of the loan.

Three loans, representing 17.4% of the initial cut-off pool
balance, have a sponsor with negative credit history and/or limited
financial wherewithal, including Congressional Village, Marbella
Apartments, and Prosper Fairways. DBRS Morningstar deemed two loans
to have Weak sponsorship strength, effectively increasing the POD
for each loan.

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



HONO 2021-LULU: DBRS Gives Prov. B(low) Rating on Class F Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-LULU to
be issued by HONO 2021-LULU Mortgage Trust (HONO 2021-LULU):

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

All trends are Stable.

The balances for Classes X-CP and X-EXT are notional.

The HONO 2021-LULU transaction is secured by the borrower's
leasehold interest in a 1,230-room, full-service luxury resort with
94,961 square feet (sf) of retail space in the Waikiki neighborhood
of Honolulu. The property is situated along the renowned Kalakaua
Avenue and directly across from the popular Waikiki Beach. Kalakaua
Avenue is one of the main thoroughfares on the island of Oahu and
widely considered a premier destination for shopping,
entertainment, and gastronomy. Built in 1976, the property
underwent a complete renovation in 2014 and 2015 for a reported
$100.0 million ($81,300 per room) and was subsequently acquired by
the sponsor in 2016 for $780.0 million (approximately $634,000 per
room). The property is managed by the Hyatt Corporation (Hyatt) and
has operated under the Hyatt Regency flag since it opened. The
sponsor is an affiliate of Mirae Asset Global Investments Co., Ltd
(Mirae), a global real estate investment firm with over $215
billion under management as of June 2021. The sponsorship group
currently owns a portfolio of 50 assets valued at nearly $14
billion across various property types, including office,
industrial, multifamily, and hospitality.

Historically, the property's hotel and retail components have
performed considerably well given its Hyatt brand affiliation and
irreplaceable location in Waikiki's main shopping and dining
district. Additionally, the property offers upscale accommodations
and amenities, which drive demand and help generate substantial
room nights. Between 2015 and 2019, the hotel's average occupancy
was 90.8%, with the average daily rate (ADR) averaging between
$253.67 and $275.74 annually during that five-year period.
Similarly, to the rest of the global lodging industry, the subject
property has not been immune to the negative effects of the
Coronavirus Disease (COVID-19) pandemic and operations continue to
be affected by travel restrictions. The hotel is currently
operating at depressed occupancy and revenue per available room
(RevPAR) levels, and the trailing 12 months (T-12) financials are
not representative of stabilized performance. As of the T-12 ended
July 31, 2021, the hotel's occupancy, ADR, and RevPAR were 22.1%,
$210.38, and $46.56, respectively. At year-end (YE) 2019, the last
full year of stabilized operations prior to the start of the
pandemic, the hotel achieved occupancy, ADR, and RevPAR of 90.7%,
$275.74, and $250.03, respectively. The property's operations will
likely not improve anytime soon as rising coronavirus case counts
related to the delta variant continue to force local and state
authorities to implement new restrictions on social gatherings.
However, since the onset of the pandemic, the sponsor has invested
$90.9 million to establish reserves, maintain adequate working
capital, and cover operating and debt service shortfalls. The
sponsor has a total cost basis of $891.0 million, resulting in
equity invested after the loan proceeds equal to $441.0 million.

As is the case with most beachfront development in Hawaii, the
property is encumbered by ground leases. The improvements are
situated on one city block composed of nine separate tax parcels
that are subject to four long-term ground leases. The primary hotel
and retail structure is subject to two separate ground leases,
while the convention space and parking garage are each subject to a
separate ground lease. All four ground leases are scheduled to
expire on December 21, 2087, and contain rent provisions that
escalate at five- and 10-year intervals.

The collateral consists of a high-quality full-service hotel and
resort in Waikiki, a high-barrier-to-entry urban neighborhood in
Honolulu. The property features 1,230 guest rooms, nearly 95,000 sf
of open-air retail space, 20,510 sf of meeting and event space, and
various other amenities including a 10,000 sf full-service spa. In
addition to rooms revenue, the subject generates revenue from
alternative sources including food and beverage, retail, resort
fees, space rentals, and commissions, among other items.

The property benefits from its long-term affiliation with Hyatt,
one of the leading operators of hotels and resorts with a current
portfolio of more than 1,000 properties across 68 countries. The
collateral has operated under the Hyatt Regency flag since it
opened in 1976 and the current management agreement runs through
December 31, 2062.

The property demonstrated strong performance metrics prior to the
onset of the coronavirus pandemic with 2019 occupancy, ADR, and
RevPAR penetration rates of 107.9%, 97.7%, and 105.4%,
respectively. These figures were an improvement from the 2018
occupancy, ADR, and RevPAR penetration rates of 101.0%, 97.8%, and
98.8%, respectively. Even as disruptions from the pandemic began to
be felt in early 2020 as travel restrictions were implemented
throughout the world, the property achieved overall occupancy, ADR,
and RevPAR penetration levels of 107.7%, 97.1%, and 104.6%,
respectively, as of the T-12 ended March 31, 2020. Furthermore,
from 2015 to 2019, the hotel's average occupancy was 90.8%, with
ADR averaging between $253.67 and $275.74 annually during that
five-year period.

The property benefits from experienced, institutional quality
sponsorship in Mirae. Founded in 1997, the investment firm
currently owns and manages eight luxury hotels worldwide, including
the Fairmont San Francisco and the Fairmont Orchid in Hawaii. As of
June 2021, Mirae reported more than $215 billion in assets under
management.

The sponsor purchased the property in 2016 for $780.0 million,
contributing $288.0 million of cash equity as part of the
transaction. Since the acquisition, the sponsor has invested an
additional $10.9 million in capital expenditures. The sponsor is
injecting an additional $118.6 million of cash equity as part of
the current refinancing. Since the onset of the coronavirus
pandemic, the sponsor has invested $90.9 million to establish
reserves, maintain adequate working capital, and cover operating
and debt service shortfalls. All in all, the sponsor's total cost
basis is $891.0 million, representing an implied equity of $441.0
million.

The ongoing coronavirus pandemic continues to pose challenges and
risks to virtually all major commercial real estate property types,
creating a substantial element of uncertainty around the recovery
of demand in the hospitality sector, even in stronger markets that
have historically been highly liquid. As a result of the pandemic,
the hotel's occupancy and RevPAR declined from 90.7% and $248.31 as
of YE2019 to 22.1% and $46.56 as of the T-12 ended July 31, 2021.
The subject was the only hotel in its competitive set to remain
open throughout the coronavirus pandemic. All debt service
associated with the property's existing financing is current and
there have been no requests for forbearance.

DBRS Morningstar's net cash flow (NCF) and value reflects an
occupancy assumption of 89.0% which is well above the property's
22.1% occupancy as of the T-12 ended July 31, 2021. DBRS
Morningstar elected to stabilize the property and assumed occupancy
in line with its prepandemic performance given the long-term brand
affiliation and quality of the improvements, strong operating
history, location in a high barrier to entry market, and the
experienced management/sponsorship. DBRS Morningstar accounted for
this stabilization risk by applying minimal adjustments to its
loan-to-value thresholds. The property's various revenue streams
were considered credit neutral, and therefore, DBRS Morningstar did
not apply a penalty or credit related to Cash Flow Volatility.

The property recorded negative NCF during the YE2020 and T-12 ended
July 31, 2021 periods. Similar to the rest of the hospitality
industry, the hotel has been negatively affected by the coronavirus
pandemic as travel restrictions are still prevalent in most parts
of the world. The loan is structured with a 12-month debt service
reserve totaling $17.6 million, which should be sufficient to cover
any ongoing operating losses from depressed occupancy at the
property.

The property's last full renovation occurred in 2014 and 2015 when
the previous owner invested approximately $100 million to upgrade
the guest rooms, common areas, and building equipment/systems.
Since then, the property has continued to receive general capital
expenditures and preventive maintenance; however, a more
comprehensive renovation plan will be required to maintain the
property's quality. Failure to do so will lead to a deterioration
of the building and amenities, which could affect the hotel's
ability to achieve favorable occupancy and RevPAR levels. DBRS
Morningstar had the opportunity to tour the property and found the
improvements to be in very good condition with no deferred
maintenance observed. Since acquiring the property in September
2016, the sponsor has reportedly invested an additional $10.9
million ($8,845 per room) in various repairs and updates, including
$3.0 million on building coatings and sealers, and $2.7 million on
elevator modernizations.

The entire property is subject to four long-term ground leases,
which are scheduled to expire on December 21, 2087, and contain
rent provisions that escalate at five- and 10-year intervals. The
current ground rent totals approximately $14.4 million and
represents 9.7% of the DBRS Morningstar total revenue. The
appraisal forecasts that the ground rent will escalate to $18.4
million and $20.5 million by 2026 and 2027, respectively. The
increasing ground rent may negatively affect the property's NCF
and, ultimately, the sponsor's ability to refinance the loan at the
fully extended maturity date. By 2026, the appraisal estimates the
property's occupancy and ADR will be 92.0% and $318.54,
respectively, which is considerably higher than the DBRS
Morningstar NCF assumptions. Furthermore, DBRS Morningstar
accounted for the leasehold interest risk in the concluded cap rate
of 10.09%, which is about 200 bps higher than the DBRS Morningstar
estimated cap rate of 8.0% for the fee simple. This results in a
discount of approximately $80 million in value versus the fee
simple.

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



HOUSTON GALLERIA 2015-HGLR: DBRS Confirms BB Rating on Cl. E Certs
------------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-HGLR issued by Houston
Galleria Mall Trust 2015-HGLR as follows:

-- Class A-1A1 at AAA (sf)
-- Class A-1A2 at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class X-CP at BB (high) (sf)
-- Class X-NCP at BB (high) (sf)
-- Class E at BB (sf)

DBRS Morningstar changed the trends for all classes to Stable from
Negative.

The rating confirmations and Stable trends reflect the relatively
stable cash flows for the underlying collateral as compared with
the uncertainty driven by the Coronavirus Disease (COVID-19)
pandemic that drove the rating actions taken at last review when
DBRS Morningstar changed the trends on all classes to Negative.

The Certificates are backed by a $1.05 billion component of a $1.2
billion, 10-year, fixed-rate, interest-only (IO) mortgage loan. The
remaining $150.0 million pari passu companion loan was securitized
in the JPMBB 2015-C28 transaction, which is also rated by DBRS
Morningstar.

The loan is secured by the fee interest in a 1.2
million-square-foot (sf) portion of a 2.1 million-sf enclosed,
super-regional mall in Houston, about 10 miles west of the central
business district. The tenant roster includes approximately 400
retailers and restaurants, along with noncollateral tenants,
including Macy's, Nordstrom, Neiman Marcus, and Saks Fifth Avenue
(Saks). Macy's and Nordstrom own their sites and spaces, while
Neiman Marcus and Saks own their respective improvements and are
subject to ground leases. All anchor boxes at the property are
occupied and operating as of September 2021.

In June 2021, the loan was added to the servicer's watchlist for
delinquent real estate taxes, which the servicer noted were more
than 60 days past due. The loan remains on the servicer's watchlist
as of the September 2021 reporting for the same reason. Real estate
taxes are not escrowed for this loan, a common structure for a
well-capitalized borrower with a loan of this size. The servicer's
commentary regarding the status of the tax payments are limited to
a comment from June 2021 that noted outstanding taxes due to the
county of $7.7 million. According to the financial reporting for
year-end (YE) 2020, the total real estate tax expense was
approximately $24.2 million. DBRS Morningstar has requested
clarification regarding the delinquent taxes from the servicer but
has not yet received a response at the time of this release.

A rent roll dated June 30, 2021, showed that the collateral was
86.4% occupied, compared with the March 31, 2021, occupancy rate
reported by the servicer of 81.0%, and the YE2019 occupancy rate of
85.6%. Excluding the noncollateral and ground-leased anchor
tenants, the largest tenants are Life Time Fitness (6.5% of the
collateral net rentable area (NRA)), Forever 21 (2.3% of the NRA),
and H&M (1.9% of the NRA). No other tenant accounts for more than
2.0% of the NRA.

The servicer reported the YE2020 net cash flow (NCF) of $113.2
million had declined slightly when compared with the YE2019 NCF of
$117.3 million, but DBRS Morningstar notes the 2020 figure remains
in excess of the Issuer's figure of $100.1 million. This is
particularly noteworthy given the fact that the mall was closed for
approximately one month between March and April 2020 and was open
in a limited capacity for the remainder of the year through early
2021.

The sponsors for the loan are Simon Property Group (SPG) and
Institutional Mall Investors (IMI). SPG, considered the largest
REIT in the United States, is also the loan's guarantor. IMI is a
regional shopping center investment platform that is ultimately
co-owned by Miller Capital Advisory, Inc. (MCA), which acts as an
investment manager for IMI, and CalPERS, the largest public pension
fund in the country. IMI owns or has interest in roughly 19 million
sf of retail gross leasable area, as well as one million sf of
office space. IMI acquired ownership interest in the subject in
2001, while SPG acquired ownership interest in early 2002.

The DBRS Morningstar NCF was based on the latest servicer-reported
NCF figure with an adjustment in consideration of ongoing
collateral performance expectations, as well as expectations
regarding tenant movement and sales performance. The resulting NCF
figure was $110.9 million and DBRS Morningstar applied a cap rate
of 6.5%, which resulted in a DBRS Morningstar value of $1.7
billion, a variance of -32.2% from the appraised value of $2.5
billion at issuance. The DBRS Morningstar value implies an LTV of
70.3% compared with the LTV of 47.7% on the appraised value at
issuance.

The cap rate DBRS Morningstar applied is at the lower end of the
range of DBRS Morningstar Cap Rate Ranges for regional mall
properties, reflecting the property's above-average quality and
dominance in the Houston area.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 4.50%
to account for property quality and market fundamentals.

The DBRS Morningstar ratings assigned to classes C, D, and E are
lower than the results implied by the LTV Sizing Benchmarks. The
variances are warranted given DBRS Morningstar's concerns regarding
near to moderate term performance challenges for the collateral
mall amid the coronavirus pandemic.

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



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

The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate fully amortizing residential
mortgage loans that are secured primarily by single-family
residential properties, planned-unit developments, townhouses,
condominiums, two- to four-family homes and manufactured housing to
prime and nonprime borrowers. The pool has 669 non-qualified or
ability-to-repay-exempt mortgage loans.

The preliminary ratings are based on information as of Oct. 15,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The pool's collateral composition and geographic
concentration;

-- The transaction's credit enhancement, associated structural
mechanics, and representation and warranty framework;

-- The transaction's geographic concentration;

-- The mortgage originator, A&D Mortgage LLC;

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

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

  Preliminary Ratings(i) Assigned

  Imperial Fund Mortgage Trust 2021-NQM3

  Class A-1, $193,008,000: AAA (sf)
  Class A-2, $22,887,000: AA (sf)
  Class A-3, $36,465,000: A (sf)
  Class M-1, $19,683,000: BBB (sf)
  Class B-1, $13,884,000: BB (sf)
  Class B-2, $10,833,000: B (sf)
  Class B-3, $8,392,172: Not rated
  Class A-IO-S, notional(ii): Not rated
  Class X, notional(ii): Not rated
  Class R, not applicable: Not rated

(i)The collateral and structural information in this report
reflects the term sheet dated Oct. 12, 2021. The preliminary
ratings address the ultimate payment of interest and principal.

(ii)The notional amount equals the loans' aggregate stated
principal balance.



JAMESTOWN CLO XIV: Moody's Assigns Ba3 Rating to $24.5MM D-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by Jamestown CLO XIV Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$291,000,000 Class A-1a-R Senior Secured Floating Rate Notes Due
2034, Definitive Rating Assigned Aaa (sf)

US$19,000,000 Class A-1b-1 Senior Secured Floating Rate Notes Due
2034, Definitive Rating Assigned Aaa (sf)

US$5,250,000 Class A-1b-2 Senior Secured Fixed Rate Notes Due 2034,
Definitive Rating Assigned Aaa (sf)

US$53,350,000 Class A-2-R Senior Secured Floating Rate Notes Due
2034, Definitive Rating Assigned Aa2 (sf)

US$23,770,000 Class B-R Senior Secured Deferrable Floating Rate
Notes Due 2034, Definitive Rating Assigned A2 (sf)

US$28,130,000 Class C-R Senior Secured Deferrable Floating Rate
Notes Due 2034, Definitive Rating Assigned Baa3 (sf)

US$24,500,000 Class D-R Senior Secured Deferrable Floating Rate
Notes Due 2034, Definitive Rating Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
92.5% of the portfolio must consist of first lien senior secured
loans, cash, and eligible investments, and up to 7.5% of the
portfolio may consist of second lien loans and unsecured loans.

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

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; and changes to the base matrix and
modifiers.

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

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

Portfolio par: $485,000,000

Defaulted par: $0

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2847

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 47%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


JP MORGAN 2018-ASH8: DBRS Confirms B(low) Rating on Cl. F Certs
---------------------------------------------------------------
DBRS, Inc. confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2018-ASH8 issued by J.P.
Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8:

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

With this review, DBRS Morningstar removed Classes C, D, E, F, and
X-EXT from Under Review with Negative Implications where they were
placed on March 27, 2020. Classes C, D, and X-EXT now carry Stable
trends and Classes E and F have Negative trends. DBRS Morningstar
also changed the trends on Classes A and B to Stable from
Negative.

The Negative trends reflect DBRS Morningstar's concerns with the
portfolio, which continues to face performance challenges as it
begins to rebound after the relaxation of travel restrictions
related to the Coronavirus Disease (COVID-19) pandemic.

The loan is secured by eight full-service hotels (totaling 1,964
keys), seven of which are affiliated with Hilton, IHG, or Starwood
and operate under four flags (Embassy Suites by Hilton, Crowne
Plaza, Hilton, and Sheraton) while one operates as an independent
hotel. Loan proceeds of $395.0 million refinanced existing debt of
$378.9 million, returned equity of $2.4 million, and funded upfront
reserves of $5.8 million. The sponsor for this loan is Ashford
Hospitality Trust, Inc. (Ashford), a publicly traded real estate
investment trust that focuses on investing in upper-upscale,
full-service hotels in the top 25 metropolitan statistical areas.
Per Ashford's Q2 2021 earnings call, hotels are exhibiting positive
EBITDA, and revenue per available room (RevPAR) for all hotels in
the portfolio increased approximately 372% compared with Q2 2020.
Additionally, across its portfolio of 100 hotels (22,286 net
rooms), the company foresees strong momentum in Q3 2021 as July
2021 numbers looked likely to outperform June 2021 numbers,
particularly in RevPAR.

The portfolio is largely concentrated in California (two hotels,
743 keys; 33.7% of the total loan amount), Florida (two hotels, 334
keys; 22.4% of the total loan amount), and Oregon (one hotel, 276
keys; 22.2% of the total loan amount) with the remaining collateral
in Virginia, Minnesota, and Maryland. The properties were built
between 1727 and 1999; however, they all underwent renovations
between 2013 and 2015. Between 2013 and November 2017, $60.2
million ($30,124 per key) of improvements were made on the various
properties. Since the hotels were acquired, approximately $85.5
million ($43,534 per key) has been invested in improvements. The
upfront reserves included a $2.5 million allowance for capital
expenditures and a property improvement plan for the Embassy Suites
Crystal City asset. According to the September 2021 loan-level
reserve report, the replacement reserve has a balance of
approximately $1.0 million.

The loan had transferred to special servicing in April 2020 for
monetary default and the borrower had requested coronavirus relief.
A loan modification agreement was executed in January 2021, which
included the suspension of FF&E monthly deposits between April and
December 2020 and reduced future debt yield extension tests.

The loan is currently being monitored on the servicer's watchlist
following its return from special servicing. Although the hotel
produced negative cash flow as of YE2020 and for the trailing 12
months (T-12) ended June 30, 2021, the sponsor continues to support
the loan and has funded any debt service and operating shortfalls
without disruption. As of YE2020 the portfolio was 36% occupied,
increasing slightly to 40% as of the T-12 ended June 2021. Prior to
the pandemic, the portfolio reported YE2019 occupancy, average
daily rate (ADR), and RevPAR of 77.5%, $191, and $152,
respectively. Since issuance, however, occupancy has decreased 5.3%
across the portfolio while net cash flow (NCF) has declined 9.4%
year over year a result of a decrease of 9.6% in other departmental
revenue and an increase of 3.1% in food and beverage expenses. The
YE2019 NCF of $33.7 million is 5.9% below DBRS Morningstar's NCF of
$35.8 million at issuance, driven by a substantial increase in
total operating expenses to $51.5 million at YE2019 versus DBRS
Morningstar's estimate of $41.0 million.

According to the STR reports for the T-12 ended June 2021, the
portfolio's three largest hotels by allocated loan amount
(ALA)—the Embassy Suites Portland Downtown, Embassy Suites Santa
Clara, and Hilton Orange County Costa Mesa—all reported RevPar
penetration exceeding 100%. The portfolio's largest property by
ALA, Embassy Suites Portland Downtown (22.4% of ALA), reported the
strongest performance among its competitors with penetration rate
in excess of 100% for occupancy, ADR, and RevPar for both the
trailing three months (T-3) and T-12 ended June 2021. The Sheraton
Minneapolis West (5.3% ALA) reported the worst performance in the
portfolio among its competitors with penetration rates below 100%
for all three categories for both the T-3 and T-12. The property
had experienced a sharp decline in NCF pre-pandemic after the hotel
lost its top account.

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



JP MORGAN 2020-1: Moody's Hikes Rating on 2 Tranches to Ba3
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 11 classes of
J.P. Morgan Mortgage Trust 2020-1. The transaction is a
securitization of fixed rate prime jumbo and agency eligible
mortgage loans. Nationstar Mortgage LLC is the master servicer.

A List of Affected Credit Ratings is available at
https://bit.ly/3B19IYr

Issuer: J.P. Morgan Mortgage Trust 2020-1

Cl. A-14, Upgraded to Aaa (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-1-A, Upgraded to Aa1 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-2-A, Upgraded to Aa3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Jan 30, 2020 Definitive
Rating Assigned Baa3 (sf)

Cl. B-3-A, Upgraded to A3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned B3 (sf)

Cl. B-5-Y, Upgraded to Ba3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool. In this
transaction, high prepayment rates averaging 50%-70% over the last
six months, driven by the low interest rate environment, have
benefited the bonds by increasing the paydown and building credit
enhancement.

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

Moody's also considered higher adjustments for this transaction
since more than 10% of the pool is either currently enrolled or was
previously enrolled in a payment relief program. Specifically,
Moody's account for the marginally increased probability of default
for borrowers that have either been enrolled in a payment relief
program for more than 3 months or have already received a loan
modification, including a deferral, since the start of the
pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remain unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead loans
Based on Moody's analysis, the proportion of borrowers that are
enrolled in payment relief plans in the underlying pool ranged
between 2%-3% over the last six months.

Moody's updated loss expectations on the pool incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transaction, 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 Methodology

The principal methodology used in these ratings 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.


JP MORGAN 2021-12: DBRS Confirms B(high) Rating on Cl. B5 Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage
Pass-Through Certificates, Series 2021-12 (the Certificates) to be
issued by J.P. Morgan Mortgage Trust 2021-12 as follows:

-- $1.5 billion Class A-1 at AAA (sf)
-- $1.4 billion Class A-2 at AAA (sf)
-- $1.3 billion Class A-3 at AAA (sf)
-- $1.3 billion Class A-3-A at AAA (sf)
-- $1.3 billion Class A-3-X at AAA (sf)
-- $1.0 billion Class A-4 at AAA (sf)
-- $1.0 billion Class A-4-A at AAA (sf)
-- $1.0 billion Class A-4-X at AAA (sf)
-- $336.9 million Class A-5 at AAA (sf)
-- $336.9 million Class A-5-A at AAA (sf)
-- $336.9 million Class A-5-B at AAA (sf)
-- $336.9 million Class A-5-X at AAA (sf)
-- $809.4 million Class A-6 at AAA (sf)
-- $809.4 million Class A-6-A at AAA (sf)
-- $809.4 million Class A-6-X at AAA (sf)
-- $538.2 million Class A-7 at AAA (sf)
-- $538.2 million Class A-7-A at AAA (sf)
-- $538.2 million Class A-7-B at AAA (sf)
-- $538.2 million Class A-7-X at AAA (sf)
-- $201.3 million Class A-8 at AAA (sf)
-- $201.3 million Class A-8-A at AAA (sf)
-- $201.3 million Class A-8-X at AAA (sf)
-- $86.4 million Class A-9 at AAA (sf)
-- $86.4 million Class A-9-A at AAA (sf)
-- $86.4 million Class A-9-X at AAA (sf)
-- $250.5 million Class A-10 at AAA (sf)
-- $250.5 million Class A-10-A at AAA (sf)
-- $250.5 million Class A-10-X at AAA (sf)
-- $101.4 million Class A-11 at AAA (sf)
-- $101.4 million Class A-11-X at AAA (sf)
-- $101.4 million Class A-11-A at AAA (sf)
-- $101.4 million Class A-11-AI at AAA (sf)
-- $101.4 million Class A-11-B at AAA (sf)
-- $101.4 million Class A-11-BI at AAA (sf)
-- $101.4 million Class A-12 at AAA (sf)
-- $101.4 million Class A-13 at AAA (sf)
-- $98.8 million Class A-14 at AAA (sf)
-- $98.8 million Class A-15 at AAA (sf)
-- $98.8 million Class A-15-A at AAA (sf)
-- $98.8 million Class A-15-X at AAA (sf)
-- $1.4 billion Class A-16 at AAA (sf)
-- $108.3 million Class A-17 at AAA (sf)
-- $1.5 billion Class A-X-1 at AAA (sf)
-- $1.5 billion Class A-X-2 at AAA (sf)
-- $101.4 million Class A-X-3 at AAA (sf)
-- $98.8 million Class A-X-4 at AAA (sf)
-- $27.2 million Class B-1 at AA (high) (sf)
-- $27.2 million Class B-1-A at AA (high) (sf)
-- $27.2 million Class B-1-X at AA (high) (sf)
-- $25.5 million Class B-2 at A (high) (sf)
-- $25.5 million Class B-2-A at A (high) (sf)
-- $25.5 million Class B-2-X at A (high) (sf)
-- $16.5 million Class B-3 at BBB (high) (sf)
-- $7.4 million Class B-4 at BB (high) (sf)
-- $6.6 million Class B-5 at B (high) (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-11-AI, A-11-BI, A-15-X, A-X-1, A-X-2, A-X-3, A-X-4,
B-1-X, and B-2-X are interest-only certificates. The class balances
represent notional amounts.

Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-B, A-5-X, A-6, A-7, A-7-A, A-7-B, A-7-X, A-8, A-9, A-10,
A-11-A, A-11-AI, A-11-B, A-11-BI, A-12, A-13, A-14, A-15, A-16,
A-17, A-X-2, A-X-3, B-1, and B-2 are exchangeable certificates.
These classes can be exchanged for combinations of exchange
certificates as specified in the offering documents.

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

The AAA (sf) ratings on the Certificates reflect 6.00% of credit
enhancement provided by subordinated certificates. The AA (high)
(sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high)
(sf) ratings reflect 4.35%, 2.80%, 1.80%, 1.35%, and 0.95% of
credit enhancement, respectively.

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

This securitization is a portfolio of first-lien, fixed-rate, prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 1,715 loans with a total principal
balance of $1,646,634,432 as of the Cut-Off Date (September 1,
2021).

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of primarily 30 years and a
weighted-average loan age of three months. Approximately 96.2% of
the pool are traditional, nonagency, prime jumbo mortgage loans.
The remaining 3.8% of the pool are conforming, high-balance
mortgage loans that were underwritten using an automated
underwriting system designated by Fannie Mae or Freddie Mac and
were eligible for purchase by such agencies. Details on the
underwriting of conforming loans can be found in the Key
Probability of Default Drivers section of the presale. In addition,
86.8% of the pool were originated in accordance with the new
general Qualified Mortgage rule.

The originators for the aggregate mortgage pool are United
Wholesale Mortgage, LLC (UWM; 77.0%), loanDepot.com, LLC
(loanDepot; 14.0%), and various other originators, each
representing less than 10% of the pool. Also, approximately 2.4% of
the loans by balance were acquired by the Seller from MAXEX
Clearing LLC. The mortgage loans will be serviced by UWM (77.0%),
JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by
DBRS Morningstar; 8.5%), loanDepot (14.0%), and various other
servicers and subservicers each representing less than 1.0% of the
pool. For UWM and loanDepot serviced loans, the subservicer is
Cenlar FSB. For JPMCB serviced loans, the subservicer is Shellpoint
Mortgage Servicing (SMS).

Servicing will be transferred to JPMCB from SMS on the servicing
transfer date (December 1, 2021, or a later date) as determined by
the Issuing Entity and JPMCB. For this transaction, the servicing
fee payable for mortgage loans serviced by JPMCB, loanDepot, SMS,
and UWM comprises three separate components: the aggregate base
servicing fee, the aggregate delinquent servicing fee, and the
aggregate additional servicing fee. These fees vary based on the
delinquency status of the related loan and will be paid from
interest collections before distribution to the securities.

Nationstar Mortgage LLC will act as the Master Servicer. Citibank,
N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will
act as the Securities Administrator and Delaware Trustee. Wells
Fargo Bank, N.A. (rated AA with a Negative trend by DBRS
Morningstar) will act as the Custodian. Pentalpha Surveillance LLC
will serve as the Representations and Warranties Reviewer.

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

Coronavirus Disease (COVID-19) Pandemic Impact
The coronavirus pandemic and the resulting isolation measures have
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
residential mortgage-backed securities (RMBS) asset classes,
shortly after the onset of the coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
the coronavirus, because the option to forebear mortgage payments
was so widely available, it drove forbearance to a very high level.
When the dust settled, coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid, low
loan-to-value ratio, and good underwriting in the mortgage market
in general. Across nearly all RMBS asset classes, delinquencies
have been gradually trending down in recent months as the
forbearance period comes to an end for many borrowers.

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

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



JP MORGAN 2021-12: DBRS Finalizes B(high) Rating on B-5 Certs
-------------------------------------------------------------
DBRS, Inc. finalizes provisional ratings on the Mortgage
Pass-Through Certificates, Series 2021-12 issued by J.P. Morgan
Mortgage Trust 2021-12 as follows:

-- $1.5 billion Class A-1 at AAA (sf)
-- $1.4 billion Class A-2 at AAA (sf)
-- $1.3 billion Class A-3 at AAA (sf)
-- $1.3 billion Class A-3-A at AAA (sf)
-- $1.3 billion Class A-3-X at AAA (sf)
-- $1.0 billion Class A-4 at AAA (sf)
-- $1.0 billion Class A-4-A at AAA (sf)
-- $1.0 billion Class A-4-X at AAA (sf)
-- $336.9 million Class A-5 at AAA (sf)
-- $336.9 million Class A-5-A at AAA (sf)
-- $336.9 million Class A-5-B at AAA (sf)
-- $336.9 million Class A-5-X at AAA (sf)
-- $809.4 million Class A-6 at AAA (sf)
-- $809.4 million Class A-6-A at AAA (sf)
-- $809.4 million Class A-6-X at AAA (sf)
-- $538.2 million Class A-7 at AAA (sf)
-- $538.2 million Class A-7-A at AAA (sf)
-- $538.2 million Class A-7-B at AAA (sf)
-- $538.2 million Class A-7-X at AAA (sf)
-- $201.3 million Class A-8 at AAA (sf)
-- $201.3 million Class A-8-A at AAA (sf)
-- $201.3 million Class A-8-X at AAA (sf)
-- $86.4 million Class A-9 at AAA (sf)
-- $86.4 million Class A-9-A at AAA (sf)
-- $86.4 million Class A-9-X at AAA (sf)
-- $250.5 million Class A-10 at AAA (sf)
-- $250.5 million Class A-10-A at AAA (sf)
-- $250.5 million Class A-10-X at AAA (sf)
-- $101.4 million Class A-11 at AAA (sf)
-- $101.4 million Class A-11-X at AAA (sf)
-- $101.4 million Class A-11-A at AAA (sf)
-- $101.4 million Class A-11-AI at AAA (sf)
-- $101.4 million Class A-11-B at AAA (sf)
-- $101.4 million Class A-11-BI at AAA (sf)
-- $101.4 million Class A-12 at AAA (sf)
-- $101.4 million Class A-13 at AAA (sf)
-- $98.8 million Class A-14 at AAA (sf)
-- $98.8 million Class A-15 at AAA (sf)
-- $98.8 million Class A-15-A at AAA (sf)
-- $98.8 million Class A-15-X at AAA (sf)
-- $1.4 billion Class A-16 at AAA (sf)
-- $108.3 million Class A-17 at AAA (sf)
-- $1.5 billion Class A-X-1 at AAA (sf)
-- $1.5 billion Class A-X-2 at AAA (sf)
-- $101.4 million Class A-X-3 at AAA (sf)
-- $98.8 million Class A-X-4 at AAA (sf)
-- $27.2 million Class B-1 at AA (high) (sf)
-- $27.2 million Class B-1-A at AA (high) (sf)
-- $27.2 million Class B-1-X at AA (high) (sf)
-- $25.5 million Class B-2 at A (high) (sf)
-- $25.5 million Class B-2-A at A (high) (sf)
-- $25.5 million Class B-2-X at A (high) (sf)
-- $16.5 million Class B-3 at BBB (high) (sf)
-- $7.4 million Class B-4 at BB (high) (sf)
-- $6.6 million Class B-5 at B (high) (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-11-AI, A-11-BI, A-15-X, A-X-1, A-X-2, A-X-3, A-X-4,
B-1-X, and B-2-X are interest-only certificates. The class balances
represent notional amounts.

Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-B, A-5-X, A-6, A-7, A-7-A, A-7-B, A-7-X, A-8, A-9, A-10,
A-11-A, A-11-AI, A-11-B, A-11-BI, A-12, A-13, A-14, A-15, A-16,
A-17, A-X-2, A-X-3, B-1, and B-2 are exchangeable certificates.
These classes can be exchanged for combinations of exchange
certificates as specified in the offering documents.

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

The AAA (sf) ratings on the Certificates reflect 6.00% of credit
enhancement provided by subordinated certificates. The AA (high)
(sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high)
(sf) ratings reflect 4.35%, 2.80%, 1.80%, 1.35%, and 0.95% of
credit enhancement, respectively.

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

This securitization is a portfolio of first-lien, fixed-rate, prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 1,715 loans with a total principal
balance of $1,646,634,432 as of the Cut-Off Date (September 1,
2021).

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of primarily 30 years and a
weighted-average (WA) loan age of three months. Approximately 96.2%
of the pool are traditional, nonagency, prime jumbo mortgage loans.
The remaining 3.8% of the pool are conforming, high-balance
mortgage loans that were underwritten using an automated
underwriting system (AUS) designated by Fannie Mae or Freddie Mac
and were eligible for purchase by such agencies. Details on the
underwriting of conforming loans can be found in the Key
Probability of Default Drivers section. In addition, 86.8% of the
pool were originated in accordance with the new general QM rule.

The originators for the aggregate mortgage pool are United
Wholesale Mortgage, LLC (UWM) (77.0%), loanDepot.com, LLC (14.0%)
(loanDepot), and various other originators, each comprising less
than 10% of the pool. Also, approximately 2.4% of the loans by
balance were acquired by the Seller from MAXEX Clearing LLC
(MAXEX). The mortgage loans will be serviced by UWM (77.0%),
JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by
DBRS Morningstar) (8.5%), and loanDepot.com, LLC (14.0%), and
various other servicers and subservicers each comprising less than
1.0% of the pool. For UWM and loanDepot-serviced loans, the
subservicer is Cenlar FSB (Cenlar). For JPMCB serviced loans, the
subservicer is Shellpoint Mortgage Servicing (SMS).

Servicing will be transferred from SMS to JPMCB on the servicing
transfer date (December 1, 2021, or a later date) as determined by
the Issuing Entity and JPMCB. For this transaction, the servicing
fee payable for mortgage loans serviced by JPMCB, loanDepot, SMS
and UWM is composed of three separate components: the aggregate
base servicing fee, the aggregate delinquent servicing fee, and the
aggregate additional servicing fee. These fees vary based on the
delinquency status of the related loan and will be paid from
interest collections before distribution to the securities.

Nationstar Mortgage LLC (Nationstar) will act as the Master
Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable
trend by DBRS Morningstar) will act as Securities Administrator and
Delaware Trustee. Wells Fargo Bank, N.A. (rated AA with a Negative
trend by DBRS Morningstar) will act as Custodian. Pentalpha
Surveillance LLC (Pentalpha) will serve as the Representations and
Warranties (R&W) Reviewer.

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

Coronavirus Disease (COVID-19) Pandemic Impact
The coronavirus pandemic and the resulting isolation measures have
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
residential mortgage-backed securities (RMBS) asset classes,
shortly after the onset of the coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
the coronavirus, because the option to forebear mortgage payments
was so widely available, it drove forbearance to a very high level.
When the dust settled, coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid, low
loan-to-value ratio, and good underwriting in the mortgage market
in general. Across nearly all RMBS asset classes, delinquencies
have been gradually trending down in recent months as the
forbearance period comes to an end for many borrowers.

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

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




JP MORGAN 2021-1MEM: DBRS Gives Prov. B Rating on HRR Certs
-----------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates to be issued by J.P.
Morgan Chase Commercial Mortgage Securities Trust 2021-1MEM, as
follows:

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

All trends are Stable.

Class X is an interest-only (IO) class whose balance is notional.

The JPMCC 2021-1MEM single-asset/single-borrower transaction is
collateralized by the borrower's fee-simple interest in One
Memorial Drive, a 17-story Class A, LEED Silver, 409,422-square
foot (sf) office building located in the Kendall Square submarket
of Cambridge, Massachusetts. The property is located directly
adjacent to the Massachusetts Institute of Technology (MIT) and
less than a quarter-mile from the Red Line Kendall/MIT transit
stop. The property was built in 1985 and in 2018 a $49.0 million
capital improvement program was completed. Capital improvements
included $2.5 million for full elevator modernization, $1.4 million
for HVAC upgrades, $900,000 for roof replacement, $380,000 for a
fitness center and bike storage, $1.1 million for lobby and
exterior renovation, $7.8 million for tenant improvements (TIs) for
the Microsoft space and $19.6 million for tenant improvements for
InterSystems' space, and $14.1 million for conversion of the
parking garage Level P6 to a 42,760 sf fully-functioning office
suite for InterSystems. Building amenities include the fitness
center, a full service cafe managed by an affiliate of the
borrower, an on-site Blue Bike station, EV chargers, and bike
storage. The collateral also includes a five-story partially
below-grade parking garage that provides both tenant and public
parking. DBRS Morningstar takes a positive view of the credit
characteristics of the collateral, which is directly adjacent to
the MIT campus with unobstructed views of the Charles River and
Downtown Boston. The building is one of the few in the market not
subject to a ground lease.

Currently the property is 98.5% leased to two long-term tenants,
Microsoft and InterSystems. InterSystems is a provider of data
technology and has occupied the building as its headquarters since
1987 while Microsoft has occupied the building since 2007. Although
both are long-term tenants, each of their leases will expire in
2028, prior to the loan maturity. Both tenants have lease
extensions at the fair market rate. InterSystems has the right to
terminate its lease within six months after receiving a No
Availability Notice from the landlord indicating that no potential
expansion premises are available, which the borrower would be
expected to deliver in December 2023. The termination would be
effective 18 months after exercising the termination notice and the
termination fee is equal to unamortized leasing costs.

In a post-Coronavirus Disease (COVID-19) environment, DBRS
Morningstar expects increased growth in healthcare spending, which
is a key driver of the demand for life science and office space.
With this rise in spending, much of which is already devoted to
disease prevention and treatments for cancer and other chronic
conditions, companies focused in these fields will continue to
thrive. Given the specialized nature of these industries, coupled
with advancements in medical and other technology, a skilled and
educated workforce is necessary to sustain profitability of life
sciences enterprises. DBRS Morningstar believes the most important
factor for the long term sustainability of cash flow is proximity
to talent, which means access to research and educational
institutions as well as other technology and medical centers,
typically located in urban centers.

DBRS Morningstar has a positive outlook of the collateral's
performance because of the credit quality of the existing tenants,
the high barriers to entry in the market driven by space and land
constraints, the subject's proximity to MIT, and strong
institutional sponsorship. Traditional office space has benefited
from the increased concentration of life science companies in the
market, which has fueled the conversion of office space to
laboratory space. Prominent tech firms and other users of
traditional office space compete for the diminishing supply of
office space, thus continuing to push rents and reduce vacancy.

The building has two long-term tenants in InterSystems and
Microsoft. InterSystems is a critical data technology provider for
the healthcare, finance, manufacturing, and supply chain sectors.
Since its lease commencement in 1987, InterSystems has renewed four
times and expanded 10 times from its original 32,500 sf to its
current 239,417 sf, with the most recent expansion completed in
2018. Microsoft, the other major tenant, occupies 156,849 sf.
Microsoft comprises 38.3% of the NRA and is rated AAA by Moody's,
S&P, and Fitch. Microsoft is the biggest software company in the
world with a market cap of $2.1 trillion as of July 22, 2021, and
ranked Number 15 in the Fortune 500 rankings according to
Fortune.com. The property has a physical occupancy of 98.5% with
both tenants' leases expiring in 2028: Microsoft's on June 30 and
InterSystems on March 31. However, large blocks of space that could
accommodate either of the tenants is effectively nonexistent in the
market, giving further support to the likelihood that neither
tenant will vacate its respective space.

Kendall Square is the global hub of research and development (R&D)
for the life sciences industry, with 18 of the 20 largest
pharmaceutical companies and 11 of the largest 15 biotechnology
companies in the world having a presence in the submarket. The
concentration of such pharmaceutical and biotech companies has
driven technology companies like Apple, Google, and others to seek
traditional office spaces in close proximity to these life sciences
companies. The submarket's current vacancy rate is below 2% and
there is strong leasing activity for projects currently under
construction or in the predevelopment phase. Additionally,
Microsoft benefits from the collateral's proximity to MIT and
Harvard, creating ample opportunity to attract top talent both as
employees and as specialized contractors and consultants. The
Greater Boston area employs a total workforce within the life
sciences industry of approximately 116,000 people, which accounts
for nearly 4.4% of the total private employment within the market.

According to the appraisal, the average in-place rents for the two
major tenants are approximately 15.8% below market average. Market
rental rates are driven by growth in the life sciences sector,
historically low office vacancies, and the continued conversion of
traditional office to laboratory space further reducing traditional
office inventory. The limited tenant rollover presents minimal
opportunity to capture the benefit of increased rental income
during the loan term as neither tenant's existing lease expires
before 2028, but the collateral will likely benefit in the long run
from increased rental revenue as the leases expire and roll to
market, or the tenants extend their leases at the fair market
rate.

Many office and laboratory buildings in the market are built on
land leased from MIT and other owners. The subject collateral is
one of the few institutional-quality assets in the market not
subject to a ground lease. Project cash flow is not encumbered by
significant, and often increasing, ground rent payments.

The Sponsors are Metropolitan Life Insurance Company (Metlife), a
global insurance provider, and Norges Bank Investment Management
(NBIM). NBIM is effectively a sovereign wealth fund investing funds
generated by North Sea oil revenues for the Norwegian government.
The Metlife/NBIM partnership (the Sponsor) has invested in six
Class A office buildings in three major markets—Boston,
Washington, D.C., and San Francisco—for an aggregate gross asset
value of approximately $3.7 billion. Metlife Investment Management
is the investment advisor and asset manager. The loan is recourse
to the borrower only, and there is no separate recourse carveout
guarantor. A guarantor of the obligations of borrower for certain
recourse carveout events and the environmental indemnity is
customary for rated stand-alone transactions involving similar
collateral. The lack of a guarantor is a material limitation of the
powerful economic disincentives that are contained in a standard
commercial mortgage-backed security (CMBS) nonrecourse carveout and
environmental indemnity structure. Mitigating this is the high
amount of implied equity the borrower has remaining in the
property, as the appraised value indicates a relatively low 50%
loan-to-value ratio (LTV).

The DBRS Morningstar LTV is high at 93.29%, based on the whole loan
amount of $414.0 million in mortgage debt and the DBRS Morningstar
value of $443,772,454. DBRS Morningstar applied a -1% secured debt
penalty to its LTV thresholds for the transaction. The DBRS
Morningstar value represents a 46.4% discount to the appraised
value.

The loan proceeds, together with an estimated equity contribution
of approximately $413.8 million (50.0% of cost) from the sponsor,
were used to facilitate the acquisition of the property. DBRS
Morningstar typically views cash-in acquisition financings more
favorably, given the stronger alignment of borrower incentives
compared with situations in which a sponsor is refinancing and
cashing out of its equity position.

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



JPMBB COMMERCIAL 2015-C28: DBRS Confirms B Rating on X-F Certs
--------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-C28 issued by JPMBB
Commercial Mortgage Securities Trust 2015-C28 as follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class X-C at A (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)

Classes D, E, F, X-D, X-E, and X-F continue to carry Negative
trends as a reflection of the potential for further declines in the
outlook for the loans in the pool in special servicing and on the
servicer's watchlist, as further detailed below. The trends on all
other classes are Stable. In addition to loans representing 12.2%
of the pool being in special servicing as of the August 2021
remittance, DBRS Morningstar also notes that the pool has a high
concentration of retail properties, representing approximately half
of the pool balance. Retail property types saw some of the worst of
the initial effects of the Coronavirus Disease (COVID-19) pandemic
with forced closures and capacity limitations, and while things
have improved incrementally over the last year, there remain
significant risks as the pandemic's effects continue to linger.

As of the August 2021 remittance, 60 of the original 67 loans
remained in the pool, with a collateral reduction of 20.4% since
issuance. Four loans, representing 2.6% of the current pool
balance, are fully defeased. The second-largest loan, The Shops at
Waldorf Center, transferred to special servicing in July 2020 for
imminent default related to the coronavirus pandemic and remained
delinquent as of the August 2021 remittance. The loan is secured by
a 497,000-square-foot anchored retail property in Waldorf,
Maryland, approximately 30 miles south of Washington, D.C. In
addition to the trust loan, there is a $10 million mezzanine loan.
The collateral property's occupancy rate has fallen precipitously
over the last few years but cash flows had previously remained
relatively healthy, with a YE2019 debt service coverage ratio
(DSCR) of 1.59 times (x) and an occupancy rate of 81.0%. At March
2020, occupancy was reported at 76.0%, with a granular rent roll
that showed the largest tenant as Christmas Tree Shops with 7.1% of
the collateral net rentable area. Other top five tenants included
LA Fitness, Bob's Discount Furniture, and Michaels.

Discussions regarding the workout strategy between the special
servicer, borrower, and the mezzanine holder are ongoing; however,
the extended delinquency and lack of material updates on the
property's performance since the first quarter of 2020 suggest
there are significantly increased risks from issuance for this
loan. As such, DBRS Morningstar analyzed this loan with an elevated
probability of default, significantly increasing the expected loss
for this review.

The other three loans in special servicing are notably backed by
anchored retail, full-service hotel, and unanchored retail property
types. The second-largest loan in special servicing is the Horizon
Outlet Shoppes Portfolio (Prospectus ID#12, 2.9% of the pool), a
pari passu loan that transferred to special servicing in March
2020, prior to the onset of the pandemic. According to a March 2020
appraisal obtained by the special servicer, the collateral
portfolio of three outlet malls in Wisconsin, Washington, and
Indiana was valued at $39.1 million, down from the issuance value
of $87.4 million and well below the total senior loan balance of
$51.5 million. As of the August 2021 remittance, the loan remained
delinquent, and a receiver was appointed at all three properties in
August 2020. The special servicer reports that discussions
regarding a potential deed in lieu have been held, with a
foreclosure strategy also being dual-tracked. The collateral
properties are in tertiary and rural markets, and the servicer
reported a YE2019 DSCR of 0.91x. Given the sharp value decline from
issuance and the likelihood that the trust will eventually own the
collateral properties, this loan was analyzed with a liquidation
scenario that implied a loss severity in excess of 60.0%.

According to the August 2021 remittance, 11 loans are on the
servicer's watchlist, representing 23.5% of the current pool
balance. These loans are being monitored for various reasons,
including low DSCRs or occupancy rates, tenant rollover risk,
and/or pandemic-related forbearance requests.

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



LOANCORE 2021-CRE4: DBRS Confirms B(low) Rating on Class G Notes
----------------------------------------------------------------
DBRS Limited confirmed its ratings on the notes issued by LoanCore
2021-CRE4 Issuer Ltd. as follows:

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

All trends are Stable.

The rating confirmations reflect the overall performance of
transaction, which has remained in line with DBRS Morningstar's
expectations. In conjunction with this press release, DBRS
Morningstar has published a rating action report with in-depth
analysis and credit metrics for the transaction with business plan
updates on the select loans. To access this report, please click on
the link under Related Documents below or by contacting us at
info@dbrsmorningstar.com.

The initial collateral consisted of 16 floating-rate mortgages
secured by 22 mostly transitional properties with a cut-off date
balance totaling approximately $600.4 million, excluding
approximately $79.4 million of future funding commitments and $30.0
million of funded companion participations. Most loans are in a
period of transition with plans to stabilize performance and
improve the asset value. The collateral pool for the transaction is
static with no ramp-up or reinvestment period; however, during the
Replenishment Period, the Issuer may acquire funded Future Funding
Participations and permitted Funded Companion Participations with
principal repayment proceeds. The transaction has a sequential-pay
structure. Interest can be deferred for Note F and Note G, and
interest deferral will not result in an event of default.

All the loans in the pool have floating interest rates initially
indexed to Libor and are interest only through their initial terms.
As such, to determine a stressed interest rate over the loan term,
DBRS Morningstar used the one-month Libor index, which was the
lower of DBRS Morningstar's stressed rates that corresponded to the
remaining fully extended term of the loans and the strike price of
the interest rate cap with the respective contractual loan spread
added. When the fully funded loan balances were measured against
the DBRS Morningstar As-Is Net Cash Flow, nine loans, representing
53% of the initial pool balance, had a DBRS Morningstar As-Is Debt
Service Coverage Ratio (DSCR) below 1.00 times (x), a threshold
indicative of elevated term default risk. Additionally, the DBRS
Morningstar Stabilized DSCR for five loans, representing 23.7% of
the fully funded pool balance, is below 1.00x, which is indicative
of elevated refinance risk. The properties are often transitioning
with potential upside in cash flow; however, DBRS Morningstar does
not give full credit to the stabilization if there are no holdbacks
or if other loan structural features in place are insufficient to
support such treatment. Furthermore, even with the structure
provided, DBRS Morningstar generally does not assume the assets to
stabilize above market levels.

The transaction is highly concentrated by loans secured by office
properties, representing 38.9% of the pool. Additionally, the pool
has moderate exposure to the retail sector, with four loans
representing 19.8% of the pool. To account for the elevated risk,
DBRS Morningstar typically analyzes retail (more specifically,
unanchored retail) with higher probabilities of default and loss
given defaults compared with other property types. For certain
retail properties, DBRS Morningstar did not include upside from the
sponsor's business plan or accepted only minimal upside.

As of the August 2021 remittance report, one loan (2221 Park Place,
formerly 6.7% of the pool) has repaid from the trust. The remaining
15 loans are secured by 21 properties across 10 states, primarily
in core markets. The top 10 loans represent 84.0% of the pool. Nine
loans, totaling 58.9% of the initial pool balance, represent
refinance transactions. At issuance, only two of the nine refinance
loans, representing 10.9% of the pool, have a current occupancy of
less than 80.0%. As of the most recent reporting, $59.6 million of
the original $70.4 million of future funding remains.

Per the Issuer, five loans were granted forbearances and/or loan
modifications in connection with the Coronavirus Disease (COVID-19)
pandemic (One Whitehall, The Parking REIT Portfolio, University
Square, Parke Green, and 1404-1408 3rd Street Promenade),
representing a combined 29% of the cut-off date pool balance. The
majority of the forbearances and modifications were short term in
nature and included deferring or reducing the interest rates,
waiving monthly reserves, and/or reapplying reserves to cover
operating or other shortfalls caused by the pandemic. All payment
deferments are required to be replenished or paid back within a
year. Some modifications also included loan extensions from the
initial terms. In addition, some tenants at certain properties have
also requested rent relief, and landlords and tenants are
considering such requests on a case-by-case basis.

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


LUXE TRUST 2021-TRIP: DBRS Gives Prov. B(low) Rating on 2 Classes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the classes of LUXE
Trust 2021-TRIP, Commercial Mortgage Pass-Through Certificates, as
follows:

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

All trends are Stable. Class P and Class ELP are not rated by DBRS
Morningstar.

The LUXE Trust 2021-TRIP transaction is secured by the fee-simple
and/or leasehold interests in nine luxury resorts and high-quality
full-service hotels primarily located in high-barrier-to-entry
urban and resort markets across five states with approximately
3,269 guest rooms, 616,140 sf of total function space, and numerous
award-winning amenities including restaurants, spas, fitness clubs,
golf courses, and beach activities. The portfolio is comprised of
four properties (828 keys) operating under the Four Seasons brand
family: Four Seasons Scottsdale, Four Seasons Jackson Hole, Four
Seasons Austin, and Four Seasons Silicon Valley; two properties
(1,437 keys) operating under the Fairmont brand family: Fairmont
Scottsdale Princess and Fairmont Chicago; two properties (657 keys)
operating under the Marriott (Ritz-Carlton) brand family:
Ritz-Carlton Laguna Niguel and Ritz-Carlton Half Moon Bay; and one
property (347 keys) operating under the Loews brand family: Loews
Santa Monica. The properties were constructed between 1984 and 2006
and have a WA year built of 1993 and WA renovation year of 2017.
DBRS Morningstar assigned a property quality grade of Above Average
or Excellent to each of the collateral properties.

The transaction sponsor is an affiliate of Strategic Hotels and
Resorts. Founded in 1997, Strategic currently owns and manages 15
luxury hotels across North America and Europe. Strategic employs
brand specific hotel management companies to operate its management
contracts and operating leases. Previously, Strategic was publicly
traded on the New York Stock Exchange under the ticker BEE and was
subsequently acquired by AB Stable VIII, LLC (AB Stable), an
indirect subsidiary of Anbang Insurance Group Co., Ltd., excluding
the Hotel del Coronado. The borrower sponsor is under common
control with Anbang, the predecessor to the borrower sponsor as
owner of the borrowers

The trust collateral is expected to be originated by Goldman Sachs
Bank USA and Bank of America N.A. prior to the closing date and
consists of a mortgage loan in the amount of $1.8 billion. The
mortgage loan is expected to be evidenced by two promissory notes:
Note A-1 with an original principal balance of $1.17 billion and
Note A-2 with an original principal balance of $630 million. Both
promissory notes are expected to be contributed to the trust and
support payments on the rated certificates. The mortgage loan is
expected to have an initial term of 36 months, with two, one year
extension option and pay interest only at a rate of Libor +
2.6000%. The sponsor is partially using proceeds from the loan to
repatriate approximately $508 million of equity. DBRS Morningstar
views cash-out refinancing transactions as less favorable than
acquisition financings because sponsors typically have less
incentive to support a property through times of economic stress if
less of their own cash equity is at risk. Based on the appraiser's
as-is valuation of $2.7 billion, the sponsor will have
approximately $1.0 billion of unencumbered market equity remaining
in the transaction.

The largest two properties by NCF are the Fairmont Scottsdale
Princess, which represents approximately 23.9% of NCF, and the
Ritz-Carlton Laguna Niguel, which represents approximately 21.9% of
NCF. No other property represents more than approximately 11.8% of
portfolio NCF. The properties average approximately 363 keys and
the largest hotel, Fairmont Scottsdale Princess, contains 750 keys,
or approximately 22.9% of the total aggregate keys in the
portfolio. The portfolio is located across five states with the
largest concentration by NCF in California, which accounts for
approximately 46.7% of NCF. The second largest concentration by NCF
is in Arizona, which accounts for approximately 32.3% of NCF,
followed by Wyoming at 9.0% of NCF, Texas at 7.8% of NCF, and
Illinois at 4.2% of NCF.

The ongoing coronavirus pandemic continues to pose challenges and
risks to virtually all major commercial real estate property types,
creating a substantial element of uncertainty around the recovery
of demand in the hospitality sectors, even in stronger markets that
have historically been highly liquid. As a result of the pandemic,
occupancy and RevPAR across the portfolio declined from 65.7% and
$467.08 as of YE2019 to 28.6% and $156.46 as of the T-12 ended
August 2021. All of the properties remained open during the
pandemic, with the exception of the Four Seasons Silicon Valley and
the Four Seasons Jackson Hole. The Four Seasons Silicon Valley
closed in mid-March2020, subsequently re-opened in October 2020,
and has remained open since. The Four Seasons Jackson Hole closes
every year for five weeks in the spring and for three to four weeks
in the fall in tandem with the closures at Jackson Hole Mountain
Resort. The date of the seasonal closure was moved forward slightly
in 2020 because of the pandemic, but the hotel reopened in mid-June
2020 and has experienced strong transient demand since. All debt
service associated with the properties' existing financing is
current and there have been no requests for forbearance.

Four properties, the Four Seasons Austin, Four Seasons Silicon
Valley, Fairmont Chicago, and Loews Santa Monica, all recorded
negative NCF during the T-12 ended August 2021. These properties
are primarily reliant on group and business demand, which has been
significantly affected by the pandemic and is one of the slowest
sectors to recover. Collectively, these four properties represent
25.0% of DBRS Morningstar's stabilized NCF. The loan is structured
with a 12-month debt service reserve that should be sufficient to
cover any ongoing operating losses from depressed occupancy at
these properties.

In 2019, prior to the Coronavirus Disease (COVID-19) pandemic, the
portfolio averaged 66.7% occupancy and reported a WA ADR and RevPAR
of $420 and $283, respectively. As of August 2021 YTD, WA RevPAR
penetration for the portfolio was 110% based on occupancy of 32.8%,
ADR of $539, and RevPAR of $193. The portfolio demonstrated strong
performance metrics prior to the onset of the coronavirus pandemic,
with 2019 WA (by NCF) occupancy, ADR, and RevPAR penetration rates
of 95.8%, 128.5%, and 125.7%, respectively. The 2018 WA occupancy,
ADR, and RevPAR penetration rates were 95.3%, 133.6%, and 125.6%,
respectively. From 2014 to 2019, the portfolio exhibited WA
occupancy, ADR, and RevPAR penetration rates of 98.3%, 127.1%, and
124.5%, respectively. As of August 2021, weighted average RevPAR
penetration for the portfolio was approximately 119%, driven by the
August 2021 YTD average occupancy of 47.9%, ADR of approximately
$493, and RevPAR of approximately $258.

DBRS Morningstar's concluded NCF and value for the portfolio
reflect a stabilized occupancy assumption of 65.1%, which is well
above the 32.8% occupancy of the portfolio for August 2021 YTD
period. However, from 2014 to 2019, the portfolio exhibited an
average annual occupancy of 70%. Portfolio occupancy has overall
been trending upward since January 2021 and, as of August 2021, was
47.9%, the second highest since the pandemic began. DBRS
Morningstar elected to stabilize the portfolio and assumed
occupancy in line with its pre-pandemic performance given the
best-in-class brand affiliation and quality of the properties,
strong operating history, locations in high-barrier-to-entry
drive-to markets, and the experienced management/sponsorship of
Strategic. Although certain assets in the portfolio that are more
reliant on business and group demand experience a slower recovery,
others that are more focused on transient customers continue to see
rapid improvement. Additionally, the loan is structured with a
12-month debt service reserve that should be sufficient to cover
any ongoing operating losses from depressed occupancy until the
portfolio achieves a DSCR greater than 1.0x.

While occupancy has declined, Strategic has been successful in
maintaining ADR during the pandemic and, for a number of
properties, has been able to increase rates above their
pre-pandemic highs, which has somewhat mitigated the impact of the
pandemic on portfolio RevPAR. The Fairmont Scottsdale Princess,
Ritz-Carlton Laguna Niguel, Ritz-Carlton Half Moon Bay, the Four
Seasons Jackson Hole, and the Four Seasons Scottdale (which
together represent approximately 75.0% of DBRS Morningstar's
stabilized NCF) all benefited from increased domestic travel
because of international restrictions and the pent-up demand from
lockdowns. Additionally, these assets offer tremendous
vacation/tourism appeal because of their luxurious amenities and
prime locations. These demand drivers were reflected in an increase
to ADR, while occupancy remained affected by the pandemic. Overall,
portfolio ADR increased by 32.0% to $546.58 for the T-12 ended
August 2021 from $413.94 in 2019. DBRS Morningstar assumed a
stabilized ADR of $394.61, 38.5% below the actual August 2021 T-12
ADR, as demand segmentation in the portfolio will likely normalize
when international travel and group/business demand resume. Based
on a review of booking PACE reports, the portfolio will likely
experience the abovementioned increase in occupancy along with a
corresponding decrease in rates as management locks in lower priced
but guaranteed group room nights rather than to more lucrative but
less certain transient customer room nights.

Based on a stabilized occupancy of 65.1% and ADR of $394.61, DBRS
Morningstar's concluded RevPAR of $256.80 is approximately -5.5%
below the portfolio's 2019 RevPAR of $271.80, and -7.7% below its
peak RevPAR of $278.46 in 2018. From 2014 to 2019, the portfolio
achieved an average RevPAR of $260.48. As of the T-12 ended August
2021, the portfolio was 28.6% occupied and reported a WA ADR and
RevPAR of $546.58 and $156.46, respectively. DBRS Morningstar found
the seven properties it toured to be extremely well run and
maintained in keeping with the high expectations of travelers
staying at a luxury property. Staff were extremely friendly and
attentive and clearly focused on delivering the high level of
service that guests at high-end hotels expect. A number of the
properties have also clearly benefited from their drive-to location
during the pandemic and have successfully shifted their yield
strategy from group and convention business to leisure travelers.
Overall, DBRS Morningstar believes that as the pandemic continues
to abate, demand segmentation normalizes, and international and
business travel returns, the portfolio should revert to a level of
RevPAR consistent with its observed historical performance.

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




MF1 2019-FL2: DBRS Hikes Class G Notes Rating to B(high)
--------------------------------------------------------
DBRS Limited upgraded its ratings on the following classes of the
Commercial Mortgage-Backed Notes issued by MF1 2019-FL2, Ltd:

-- Class B to AAA (sf) from AA (low) (sf)
-- Class C to AA (sf) from A (low) (sf)
-- Class D to AA (low) (sf) from BBB (high) (sf)
-- Class E to A (sf) from BBB (low) (sf)
-- Class F to BBB (low) (sf) from BB (low) (sf)
-- Class G to B (high) (sf) from B (low) (sf)

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

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)

DBRS Morningstar has also changed the trends on Classes C, D, E, F,
and G to Positive from Stable. The trends on Classes A, A-S, and B
are Stable. These rating actions and Positive trends reflect the
overall strong performance of the transaction and significant
de-leveraging, with collateral reduction of 48.4% since issuance,
based on the August 2021 reporting.

In conjunction with this press release, DBRS Morningstar has
published a Surveillance Performance Update report with in-depth
analysis and credit metrics for the transaction with business plan
updates on the select loans. To access this report, please click on
the link under Related Documents below or contact us at
info@dbrsmorningstar.com.

At issuance, the pool comprised 38 floating-rate mortgage loans
secured by 39 transitional multifamily properties totaling $654.6
million, excluding $68.4 million of remaining future funding
commitments and $248.2 million of pari passu debt. Of these loans,
32 loans were structured with future funding participations, which
the Issuer could acquire in the future. Per the August 2021
reporting, 12 loans remain in the pool, with an aggregate principal
balance of $345.6 million, excluding future funding commitments and
$62.9 million of pari passu debt. Of these loans, $29.3 million has
been released to ten individual borrowers to aid in property
stabilization efforts. An additional $5.1 million in loan future
funding commitments allocated to five individual borrowers remains
outstanding.

According to the August 2021 reporting, there are no loans in
special servicing and five loans (34.2% of the current pool) are on
the servicer's watchlist, all of which have been flagged for loan
maturity, among other triggers. The collateral manager has
indicated that extension options for two loans, Wave Lakeview
(11.4% of the current pool) and Lenox Portfolio (11.1% of the
pool), have been executed. The remaining three loans are both
structured with extension options available to the respective
borrowers.

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



MF1 2021-FL7: DBRS Finalizes B(low) Rating on Class H Notes
-----------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by MF1 2021-FL7 Ltd.

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

All trends are Stable.

Coronavirus Overview

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remain highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, feeling
more immediate effects. Accordingly, DBRS Morningstar may apply
additional short-term stresses to its rating analysis. For example,
DBRS Morningstar may front-load default expectations and/or assess
the liquidity position of a structured finance transaction with
more stressful operational risk and/or cash flow timing
considerations.

The initial collateral consists of 49 floating-rate mortgage loans
secured by 67 transitional multifamily properties and six senior
housing properties. The pool totals $1.9 billion (70.6% of the
fully funded balance), excluding $159.5 million of remaining future
funding commitments and $626.4 million of pari passu debt. SF
Multifamily Portfolio III, representing 1.2% of the trust balance,
allows the borrower to acquire and bring properties into the trust
post closing through future funding up to a maximum whole-loan
balance of $100.0 million, which is accounted for in figures and
metrics throughout the report. Of the 49 loans, two are unclosed,
delayed-close loans as of September 7, 2021: Crane Chinatown (#15)
and 90th Avenue (#31), together representing 3.4% of the total
initial pool balance. The Issuer has 45 days post closing to
acquire the delayed-close assets, otherwise, the delayed-close
loans may be acquired through the ramp-up period.

In addition, the transaction is structured with a 120-day ramp-up
acquisition period, whereby the Issuer plans to acquire up to
$360.4 million of additional collateral, as well as a 24-month
reinvestment period. After the 120-day ramp-up acquisition period
and the 24-month reinvestment period, the Issuer projects a target
pool balance of $2.3 billion. DBRS Morningstar assessed the ramp
loans using a conservative pool construct and, as a result, the
ramp loans have expected losses above the pool weighted average
(WA) loan expected losses. Reinvestment of principal proceeds
during the reinvestment period is subject to Eligibility Criteria
which, among other criteria, include a no-downgrade rating agency
confirmation (RAC) by DBRS Morningstar for all new mortgage assets
and the acquisition of companion participations exceeding $500,000.
If a delayed-close loan is not expected to close or fund prior to
the purchase termination date, the expected purchase price will be
credited to the unused proceeds amount to be used by the Issuer to
acquire ramp-up mortgage assets during the ramp-up acquisition
period. Any funds in excess of $5.0 million after the ramp-up
completion date will be transferred to the payment account and
applied as principal proceeds in accordance with the priority of
payments. The Eligibility Criteria indicate that all loans acquired
within the ramp-up period must be secured by either multifamily,
student, or senior housing properties. Furthermore, certain events
within the transaction require the Issuer to obtain RAC. DBRS
Morningstar will confirm that a proposed action or failure to act
or other specified event will not, in and of itself, result in the
downgrade or withdrawal of the current rating. The Issuer is not
required to obtain RAC for acquisitions of companion participations
less than $500,000.

The loans are mostly secured by cash-flowing assets, many of which
are in a period of transition with plans to stabilize and improve
the asset value. In total, 38 loans, representing 77.9% of the
pool, have remaining future funding participations totaling $159.5
million, which the Issuer may acquire in the future. Please see the
chart below for the participations that the Issuer will be allowed
to acquire.

For the floating-rate loans, DBRS Morningstar used the one-month
Libor index, which is based on the lower of a DBRS Morningstar
stressed rate that corresponded to the remaining fully extended
term of the loans or the strike price of the interest rate cap with
the respective contractual loan spread added to determine a
stressed interest rate over the loan term. When the debt service
payments were measured against the DBRS Morningstar As-Is Net Cash
Flow (NCF), 32 loans, comprising 64.8% of the pool, had a DBRS
Morningstar As-Is Debt Service Credit Ratio (DSCR) below 1.00 times
(x), a threshold indicative of elevated default risk. However, the
DBRS Morningstar Stabilized DSCR for only one loan, representing
1.2% of the initial pool balance, is below 1.00x. The properties
are often transitioning, with potential upside in cash flow;
however, DBRS Morningstar does not give full credit to the
stabilization if there are no holdbacks or if other structural
features in place are insufficient to support such treatment.
Furthermore, even with the structure provided, DBRS Morningstar
generally does not assume the assets will stabilize above market
levels.

MF1 has issued six securitizations of more than $4.0 billion and
the lending platform is led by seasoned multifamily professionals
from Berkshire Residential Investments and Limekiln Real Estate.
MF1 has originated more than $8.3 billion of loans since Q3 2018
and has strong origination practices that include comprehensive
credit memorandums. The Issuer will retain the most subordinate
portion of the capital structure totaling 15.0%, including Notes F,
G, and H in addition to the Preferred Shares. This provides
protection to the Offered Notes as the Issuer will incur first
losses up to 15.0%.

The pool contains a relatively high number of properties in primary
markets, which have historically demonstrated a lower probability
of default (POD) and loss severity given default (LGD)
characteristics. Ten loans, representing 32.9% of the pool, are in
areas identified as DBRS Morningstar Market Ranks of 6, 7, or 8,
which are generally characterized as highly dense urbanized areas.
These areas benefit more from increased liquidity driven by
consistently strong investor demand and lower default frequencies
than do less dense suburban, tertiary, and rural markets. Urban
markets represented in the deal include New York City, San
Francisco, Seattle, Washington, D.C., and Brooklyn, New York.
Seventeen loans, representing 47.6% of the pool balance, have
collateral in metropolitan statistical area (MSA) Group 3, which is
the best-performing group in terms of historical commercial
mortgage-backed security (CMBS) default rates among the top 25
MSAs. MSA Group 3 has a historical default rate of 17.2%, which is
nearly 11 percentage points lower than the overall CMBS historical
default rate of 28.0%.

The pool exhibits a diversity Herfindahl score of 31.2, which is
favorable for a commercial real estate collateralized loan
obligation (CRE CLO) and notably higher than those of the Issuer's
previous transactions that DBRS Morningstar rated, including MF1
2021-FL6 with a Herfindahl score of 27.4, MF1 2021-FL5 with a
Herfindahl score of 26.9, MF1 2020-FL4 with a Herfindahl score of
13.9, and MF1 2021-FL3 with a Herfindahl score of 23.1. Per the
transaction's Eligibility Criteria, the Herfindahl score is
permitted to be as low as 16.0 at the conclusion of the ramp-up
acquisition period, though a no-downgrade confirmation must be
obtained from DBRS Morningstar in order to add new loans during
this period. The 16.0 Herfindahl score minimum is slightly higher
than recent CRE CLO transactions, which typically have a 14.0
Herfindahl score minimum. Given the subject pool's high initial
Herfindahl score of 31.2, raising the minimum appears appropriate
and is viewed as credit neutral overall.

The loans are secured by properties that are generally in very good
physical condition as evidenced by six loans, representing 21.4% of
the initial pool balance, being secured by properties that DBRS
Morningstar deemed to be Above Average in quality. An additional
nine loans, representing 21.3% of the initial pool balance, are
secured by properties of Average + quality. Furthermore, only one
loan, representing 1.9% of the initial pool balance, is backed by a
property that DBRS Morningstar considered to be of Average –
quality.

The #4 loan, Civitas Portfolio (4.8% of pool), is a
767-unit/801-bed Senior Housing portfolio. The portfolio's
performance has suffered as a result of coronavirus restrictions
imposed by the State of Texas, including bans on visitors and tours
for potential new residents. Occupancy was most recently reported
to be 54.3% across the portfolio. (See page 43 of the related
presale report for additional information.) DBRS Morningstar took a
conservative approach in estimating NCF, including lower rent and
occupancy projections than the Issuer's. In addition, because of
the operationally intense nature of the property, the loan was
modeled similar to a hotel, with higher PODs and LGDs. The loan's
expected loss is elevated and the highest in the pool. The loan is
structured with an interest reserve equal to approximately 12
months of debt service. However, the properties in the portfolio
are licensed by the State of Texas and the Centers for Disease
Control to administer vaccinations. Coronavirus vaccines were
administered across the portfolio in early 2021, and leasing has
recently averaged 21.9 leases per month.

DBRS Morningstar analyzed the loans to a stabilized cash flow that
is, in some instances, above the in-place cash flow. It is possible
that the sponsors will not successfully execute their business
plans and that the higher stabilized cash flow will not materialize
during the loan term, particularly with the ongoing coronavirus
pandemic and its impact on the overall economy. A sponsor's failure
to execute its business plan could result in a term default or the
inability to refinance the fully funded loan balance. DBRS
Morningstar made relatively conservative stabilization assumptions
and, in each instance, considered the business plan to be rational
and the future funding amounts to be sufficient to execute such
plans. In addition, DBRS Morningstar analyzed LGD based on the
as-is loan-to-value ratio (LTV), assuming the loan is fully
funded.

The ongoing coronavirus pandemic continues to pose challenges and
risks to the CRE sector and, while DBRS Morningstar expects
multifamily to fare better than most other property types, its
long-term effects on the general economy and consumer sentiment are
still unclear. Furthermore, the pandemic has nearly halted leasing
activity for senior housing properties in the short term and will
continue to hamper this sector. All loans were originated after the
beginning of the pandemic in March 2020. All loans include timely
property performance reports and recently completed third-party
reports, including appraisals. Twenty-three loans, representing
51.3% of the initial pool balance, are secured by newly built or
recently renovated properties with relatively simple business plans
that primarily involve the completion of an initial lease-up phase.
The sponsors behind these assets are using the loans as traditional
bridge financing, enabling them to secure more permanent financing
once the properties reach stabilized operations. Given the
uncertainty and elevated execution risk stemming from the
coronavirus pandemic, nine loans, representing 26.8% of the initial
pool balance, are structured with substantial upfront interest
reserves, some of which are expected to cover one year or more of
interest shortfalls. The two loans securitized by six
assisted-living properties, representing 5.3% of the initial pool
balance, were modeled with increased POD and LGD.

Based on the initial pool balances (excluding future funding), the
overall WA DBRS Morningstar As-Is DSCR of 0.95x and WA As-Is LTV of
75.0% generally reflect high-leverage financing. Most of the assets
are generally well-positioned to stabilize, and any realized cash
flow growth would help offset a rise in interest rates and improve
the overall debt yield of the loans. DBRS Morningstar associates
its LGD based on the assets' as-is LTV, which does not assume that
the stabilization plan and cash flow growth will ever materialize.
The DBRS Morningstar As-Is DSCR at issuance does not consider the
sponsor's business plan, as the DBRS Morningstar As-Is NCF was
generally based on the most recent annualized period. The sponsor's
business plan could have an immediate impact on the underlying
asset performance that the DBRS Morningstar As-Is NCF does not
account for. When measured against the DBRS Morningstar Stabilized
NCF, the WA DBRS Morningstar DSCR is estimated to improve to 1.31x,
suggesting that the properties are likely to have improved NCFs
once the sponsor's business plan has been implemented. While
leverage is considered high compared with stabilized conduit and
Freddie Mac securitized multifamily loans, it is actually fairly
modest by CRE CLO multifamily loan standards.

All loans have floating interest rates and are interest-only (IO)
during their initial terms, which range from 24 months to 36
months, creating interest rate risk. The borrowers of all 49 loans
have purchased Libor rate caps, ranging between 0.1% and 3.0%, to
protect against rising interest rates over the terms of the loans.
All loans are short term and, even with extension options, have a
fully extended loan term of five years maximum. Additionally, all
loans have extension options and, in order to qualify for these
options, the loans must meet minimum DSCR and LTV requirements.
Thirty loans, representing 62.9% of the initial trust balance,
amortize on 30-year schedules during all or a portion of their
extension options.

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



MFA TRUST 2021-AEINV1: Moody's Assigns B2 Rating to Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
forty-seven classes of residential mortgage-backed securities
(RMBS) issued by MFA 2021-AEINV1 Trust. The ratings range from Aaa
(sf) to B2 (sf). MFA Financial, Inc. (MFA), a Maryland corporation
is the sponsor of the transaction.

MFA 2021-AEINV1 Trust is a securitization of GSE eligible
first-lien investment property loans. 100.0% of the pool by loan
balance is originated by loanDepot.com, LLC (loanDepot). All the
loans are underwritten in accordance with Freddie Mac or Fannie Mae
guidelines, which take into consideration, among other factors, the
income, assets, employment and credit score of the borrower as well
as loan-to-value (LTV). These loans are run through one of the
government-sponsored enterprises' (GSE) automated underwriting
systems (AUS) and have received an "Approve" or "Accept"
recommendation.

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

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

The complete rating actions are as follows:

Issuer: MFA 2021-AEINV1 Trust

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aaa (sf)

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

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

Cl. A-4, Assigned Aaa (sf)

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

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

Cl. A-5, Assigned Aaa (sf)

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

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

Cl. A-6, Assigned Aaa (sf)

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

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

Cl. A-7, Assigned Aaa (sf)

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

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

Cl. A-8, Assigned Aaa (sf)

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

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

Cl. A-9, Assigned Aaa (sf)

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

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

Cl. A-10, Assigned Aaa (sf)

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

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

Cl. A-11, Assigned Aaa (sf)

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

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

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

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

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

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aa1 (sf)

Cl. A-15, Assigned Aa1 (sf)

Cl. A-16, Assigned Aaa (sf)

Cl. A-17, Assigned Aaa (sf)

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

Cl. A-X-2*, Assigned Aa1 (sf)

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

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

Cl. B-1, Assigned Aa3 (sf)

Cl. B-2, Assigned A3 (sf)

Cl. B-3, Assigned Baa3 (sf)

Cl. B-4, Assigned 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 0.54%
at the mean, 0.31% at the median, and reaches 5.43% at a stress
level consistent with Moody's Aaa ratings.

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

Collateral description

As of the cut-off date of September 1, 2021, the $312,315,683 pool
consisted of 660 mortgage loans secured by first liens on
residential investment properties. The average stated principal
balance is $473,206 and the weighted average (WA) current mortgage
rate is 3.3%. The majority of the loans have a 30 year term, with
14 loans having terms ranging from 25 to 28 years. All of the loans
have a fixed rate. The WA original credit score is 772 for the
primary borrower only and the WA combined original LTV (CLTV) is
58.6%. The WA original debt-to-income (DTI) ratio is 34.7%.
Approximately, 13.5% by loan balance of the borrowers have more
than one mortgage loan in the mortgage pool.

Over half of the mortgage loans by loan balance (52.4%) are backed
by properties located in California. The next largest geographic
concentration of properties are Washington, which represents 10.4%
by loan balance, New York, which represents 9.2% by loan balance,
New Jersey, which represents about 4.1% by loan balance, and
Massachusetts, which represents 3.0% by loan balance.. All other
states each represents less than 3% by loan balance. Loans backed
by single family residential properties represent 43.7% (by loan
balance) of the pool.

Approximately 13.03% 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.

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

Origination quality

The mortgage loans for this transaction were acquired by MFA, the
sponsor. The sponsor does not originate any mortgage loans,
including the mortgage loans included in the mortgage pool.
Instead, MFA acquired the mortgage loans pursuant to contracts with
the loanDepot (the originator).

Moody's consider there to be some weaknesses in the MFA's
aggregation platform such as lack of a formal audit/quality control
process to review loans but overall Moody's think the platform is
adequate and Moody's did not apply an adjustment due to the
following mitigants: (a) loanDepot originated 100% of the pool and
loanDepot conducted audit/quality control on all their investor
agency loans. Moody's reviewed loanDepot investors agency program
and consider loanDepot's origination quality to be in line with its
peers; (b) MFA relied on their custodian to verify the presence of
required collateral documents such as the original mortgage note,
as well as completeness of certain elements in each document; and
(c) MFA has back-end representations and warranties with loanDepot
through a private mortgage loan purchase agreement.

Servicing arrangements

Moody's consider the overall servicing arrangement for this pool to
be adequate. Cenlar FSB (Cenlar) will service all the mortgage
loans in the transaction. Wells Fargo Bank, N.A. (Long term debt
Aa2) will serve as the master servicer. The servicing
administrator, loanDepot, will be primarily responsible for funding
certain servicing advances of delinquent scheduled interest and
principal payments for the mortgage loans, unless the servicer
determines that such amounts would not be recoverable. The master
servicer will be obligated to fund any required monthly advance if
the servicing administrator fails in its obligation to do so.
Moody's did not make any adjustments to Moody's base case and Aaa
stress loss assumptions based on this servicing arrangement.

Servicing compensation in this transaction is based on a
fee-for-service incentive structure. The servicer receives higher
fees for labor-intensive activities that are associated with
servicing delinquent loans, including loss mitigation, than they
receive for servicing a performing loan, which is less labor
intensive. The fee-for-service compensation is reasonable and
adequate for this transaction because it better aligns the
servicer's costs with the deal's performance. Furthermore, higher
fees for the more labor-intensive tasks make the transfer of these
loans to another servicer easier, should that become necessary.

Third-party review

One independent third-party review firm, Consolidated Analytics,
Inc. (Consolidated Analytics) was engaged to conduct due diligence
for credit, regulatory compliance, property valuation, and data
accuracy on a total of 37.4% (by loan count) of the loan pool. Of
the pool of 660 loans, the TPR firm conducted due-diligence on a
sample of 247 loans. Moody's calculated the credit-neutral sample
size using a confidence interval, error rate and a precision level
of 95%/5%/2%. The number of loans that went through a full due
diligence review (247) is below Moody's calculated threshold.
Moody's therefore, applied an adjustment to Moody's losses.

Representations and Warranties Framework

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

Moody's increased its loss levels to account primarily for weakness
in the overall R&Ws framework due to the financial weakness of the
R&Ws provider and that the loss amount remedy is subject to
conflicts of interest and will likely not adequately compensate the
transaction for loans that breach R&Ws.

Unlike most other comparable transactions that Moody's have rated,
the R&Ws framework in this transaction has a "loss amount" remedy,
namely, in case there is a material breach to the R&Ws, the
sponsor, who is the R&W provider, is tasked with calculating the
loss amount to indemnify the trust instead of buying the loan at
par, which is subject to conflicts of interest. The party
determining the loss amount will have a natural incentive to
determine a low amount since it will have to pay that amount.
Furthermore, there may be no objective way to determine such amount
since the decrease in value of a loan that breaches a R&W may not
be quantifiable at the time the breach is discovered. The fact that
the controlling holder can bring the sponsor to arbitration in the
event that it disagrees with the loss amount is a partial mitigant.
However, there may be no good way to prove in arbitration that the
sponsor's determination is not adequate because the determination
of the loss payment will be, in many cases, subjective.
Furthermore, the controlling holder must expend its own funds to go
to arbitration, which could disincentivize it to pursue
arbitration. Another partial mitigant is that the sponsor has
purchased the loans from one seller, loanDepot, an originator whose
repurchase statistics are equal to or better than the GSEs'
average.

Transaction structure

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

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next, realized losses
are allocated to super senior bonds until their principal balance
is written off.

Tail risk & subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to eroding credit enhancement
over time and increased performance volatility, known as tail risk.
To mitigate this risk, the transaction provides for a senior
subordination floor of 1.35% 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 1.35% of the closing pool balance.

Moody's calculate the credit neutral floors for a given target
rating as shown in Moody's principal methodology. The senior
subordination floor and the subordinate floor of 1.35% is
consistent with the credit neutral floors for the assigned
ratings.

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

Down

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

Up

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

Methodology

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


MILL CITY 2021-RS1: Fitch Assigns BB- Rating on Class A2 Debt
-------------------------------------------------------------
Fitch Ratings has assigned ratings to Mill City Securities 2021-RS1
Ltd.

DEBT        RATING
----        ------
Mill City Mortgage Loan Trust 2021-RS1

A1    LT BBB-sf  New Rating
A2    LT BB-sf   New Rating
M     LT NRsf    New Rating

TRANSACTION SUMMARY

The transaction is a re-securitization of underlying subordinate
bonds and senior IO strips from 2016 through 2019 vintage Mill City
Mortgage Loan Trust transactions.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of the underlying pools as 11% above a long-term sustainable level
on average (versus 11.7% on a national level). Underlying
fundamentals are not keeping pace with the growth in prices, which
is a result of a supply/demand imbalance driven by low inventory,
low mortgage rates and new buyers entering the market. These trends
have led to significant home price increases over the past year,
with home prices rising 18.6% yoy nationally as of June 2021.

Strong Performance to Date (Positive): The underlying bonds are all
from seasoned Mill City RPL transactions. The performance to date
on each of the transactions has been materially better than what
was expected at initial rating assignment for the Fitch-rated deals
with a comparable performance history for the non-Fitch-rated
deals. All of the transactions have paid down at least 20% since
close (2019 vintage) with an average pay down of close to 50%.
Losses to date are less than 1% for all transactions.

Given the strong performance, Fitch's projected losses on the
underlying pools have declined to an average of 7.8% at the 'BB-'
rating stress with a high and low expected loss of 14.5% and 3.7%,
respectively, and 9.8% at the 'BBB-' rating stress with a high and
low expected loss of 16.9% and 5.1%, respectively.

Turbo Structure (Positive): The Re-REMIC uses a turbo structure
where all interest and principal collections from the underlying
bonds are distributed sequentially. To the extent that there is
excess cashflow available at the Re-REMIC level, it is distributed
to the most senior bond then outstanding until reduced to zero.
Given the spread between the Re-REMIC coupons and underlying
coupons, the inclusion of IO strips from the underlying deals and
the most subordinate portion of the Re-REMIC being issued as PO
bonds, excess interest is expected to be available in both a stress
and base case environment.

No Advancing (Mixed): The servicers will not be advancing
delinquent monthly payments of principal and interest. Because P&I
advances made on behalf of loans that become delinquent and
eventually liquidate reduce liquidation proceeds to the trust, the
loan-level loss severities (LS) are less for this transaction than
for those where the servicer is obligated to advance P&I. A higher
spread between loss and credit enhancement on the underlying is
needed to ensure ultimate interest payments.

RATING SENSITIVITIES

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected declines. 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:

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to positive home price growth of
    10% with no assumed overvaluation. 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 classes.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

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.


ML-CFC COMMERCIAL 2007-5: Moody's Lowers Rating on 2 Tranches to Ca
-------------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class and
downgraded the ratings on two classes in ML-CFC Commercial Mortgage
Trust 2007-5, Commercial Mortgage Pass-Through Certificates, 2007-5
as follows:

Class AJ, Downgraded to Ca (sf); previously on October 12, 2018
Affirmed Caa2 (sf)

Class AJ-FL, Downgraded to Ca (sf); previously on October 12, 2018
Affirmed Caa2 (sf)

Class X*, Affirmed C (sf); previously on October 12, 2018 Affirmed
C (sf)

*Reflects interest-only classes

RATINGS RATIONALE

The ratings on two P&I classes, Class AJ and Class AJ-FL, were
downgraded due to higher realized and anticipated losses as well as
the ongoing interest shortfalls from the deal's exposure to
specially serviced loans. Three of the remaining loans,
representing nearly 99% of the pool, are currently in special
servicing and have been deemed non-recoverable by the master
servicer. Both Classes AJ and AJ-FL did not receive any principal
or interest payments as of the September 2021 remittance report and
these classes have each already experienced a 20% realized loss.
Moody's anticipates interest shortfalls will continue on these
classes due to the non-recoverable determination on the remaining
specially serviced loans.

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

Moody's rating action reflects a base expected loss of 66% of the
current pooled balance, compared to 45% at Moody's last review.
Moody's base expected loss plus realized losses is now 13.6% of the
original pooled balance, compared to 13% 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 nearly 99% 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 classes and the recovery
as a pay down of principal to the most senior classes.

DEAL PERFORMANCE

As of the September 14, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $42 million
from $4.4 billion at securitization. The certificates are
collateralized by five remaining mortgage loans, of which three
loans, representing nearly 99% of the pool are in special servicing
and have been deemed non-recoverable by the master servicer.

Seventy-eight loans have been liquidated from the pool, resulting
in an aggregate realized loss of $574 million (for an average loss
severity of 60%).

The largest specially serviced loan is the Renaissance Victorville
Shopping Center ($21.2 million -- 50% of the pool), which is
secured by a 124,688 square-foot (SF) retail property located in
Victorville, California approximately 40 miles north of San
Bernardino. The property is anchored by Food 4 Less, LA Fitness and
Rite Aid and was 86% leased as of August 2021 rent roll. LA Fitness
recently replaced a former vacated 24-Hour Fitness, which closed
down in early 2020 due to the coronavirus pandemic. The property
was 68% leased as of March 2021, prior to LA Fitness taking over
the vacated space. The loan originally transferred to special
servicing in May 2017 due to maturity default and as of the
September 2021 remittance date had recognized a 24% appraisal
reduction based on the loan's current balance. The loan is in the
foreclosure and a receiver has been working to lease up the space.

The second largest specially serviced loan is the Wild Oats
Marketplace Loan ($13.0 million -- 31% of the pool), which is
secured by a 90,203 SF retail property located in Las Vegas,
Nevada. The property is anchored by Whole Foods. The loan
transferred to special servicing in January 2017 due to imminent
monetary default and became REO in November 2017.

The third largest specially serviced loan is the Aaron Rents --
Kennesaw Loan ($7.6 million -- 18% of the pool), which is secured
by a 51,398 SF suburban office building located in Kennesaw,
Georgia, approximately 25 miles northwest of Atlanta CBD. The
property has been vacant since 2018 but the former tenant, Aaron
Rents, had continued to pay rent through its May 2021 lease
expiration date. The special servicer has filed for foreclosure and
a receiver was appointed in June 2021.

As of the September 2021 remittance statement cumulative interest
shortfalls were $51 million and impacted both of the remaining P&I
classes. Moody's anticipates interest shortfalls will continue
because of the exposure to specially serviced loans. Interest
shortfalls are caused by special servicing fees, including workout
and liquidation fees, appraisal entitlement reductions (ASERs),
loan modifications and extraordinary trust expenses.

The two remaining non-specially serviced loans represent a combined
1.2% of the pool and are secured by a multifamily and retail
property. Both loans have outstanding balances less than $400,000
and are either fully amortizing or have passed their anticipated
repayment date. Moody's LTV is below 65% for both loans.


MOUNTAIN VIEW XIV: Moody's Assigns B3 Rating to $3MM Cl. F-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
CLO refinancing notes issued by Mountain View CLO XIV Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$4,350,000 Class X-R Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$240,000,000 Class A-1R Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$16,000,000 Class A-2R Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$46,000,000 Class B-R Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

US$20,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

US$24,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

US$21,500,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2034, Assigned Ba3 (sf)

US$3,000,000 Class F-R Junior Secured Deferrable Floating Rate
Notes due 2034, Assigned B3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 95%
of the portfolio must consist of first lien senior secured loans,
and up to 5.0% of the portfolio may consist of second lien loans,
senior unsecured loans, first-lien last-out loans, senior secured
bonds, senior secured floating rate notes and high-yield bonds.

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

In addition to the issuance of the Refinancing Notes, an additional
class of secured notes and additional subordinated notes, a variety
of other changes to transaction features will occur in connection
with the refinancing. These include: reinstatement and extension of
the reinvestment period; extensions of the stated maturity and
non-call period; changes to certain collateral quality tests; and
changes to the overcollateralization test levels; the inclusion of
Libor replacement provisions; additions to the CLO's ability to
hold workout and restructured assets; changes to the definition of
"Moody's Weighted Average Rating Factor" and changes to the base
matrix and modifiers.

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

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

Portfolio par: $400,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2645

Weighted Average Spread (WAS): 3.20%

Weighted Average Coupon (WAC): 7.50%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


NATIONSTAR HECM 2020-1: DBRS Confirms BB Rating on Class M5 Debt
----------------------------------------------------------------
DBRS, Inc. confirmed 11 classes from two U.S. reverse mortgage (RM)
transactions as follows:

CFMT 2020-AB1, LLC

-- Class A confirmed at AAA (sf)
-- Class M1 confirmed at AA (sf)
-- Class M2 confirmed at A (sf)
-- Class M3 confirmed at BBB (sf)
-- Class M4 confirmed at BB (low) (sf)

Nationstar HECM Loan Trust 2020-1

-- Class A confirmed at AAA (sf)
-- Class M1 confirmed at AA (sf)
-- Class M2 confirmed at A (sf)
-- Class M3 confirmed at BBB (sf)
-- Class M4 confirmed at BB (high) (sf)
-- Class M5 confirmed at BB (sf)

These rating actions reflect asset performance and credit-support
levels that are consistent with the current ratings.

DBRS Morningstar's rating actions are based on the following
analytical considerations:

-- Key performance measures, as reflected in credit enhancement
increases since deal inception, and running total cumulative loss
percentages.

-- In connection with the economic stress assumed under its
moderate scenario (see “Baseline Macroeconomic Scenarios for
Rated Sovereigns” published on September 8, 2021), DBRS
Morningstar advances the mortality curve of all the RM borrowers by
four years, advances all foreclosure timelines to a AAA scenario
timeline, and applies an immediate 10% valuation haircut to all
loans.

-- The pools backing the reviewed residential mortgage-backed
security transactions consist of RM collateral.

RM Loans

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


NATIXIS COMMERCIAL 2018-RIVA: DBRS Confirms BB(low) on 6 Classes
----------------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of the Commercial
Mortgage Pass-Through Certificates, Series 2018-RIVA issued by
Natixis Commercial Mortgage Securities Trust 2018-RIVA as follows:

-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class V1-A at AAA (sf)
-- Class V1-B at AA (high) (sf)
-- Class V1-C at AA (low) (sf)
-- Class V1-D at A (low) (sf)
-- Class V1-E at BBB (low) (sf)
-- Class V1-F at BB (low) (sf)
-- Class V1-XF at BB (low) (sf)
-- Class V2-A at BB (low) (sf)
-- Class V2-XF at BB (low) (sf)
-- Class X-EXT at AAA (sf)
-- Class X-F at BB (low) (sf)

DBRS Morningstar maintains Negative trends on Classes V1-F, V1-XF,
V2-A, V2-XF, and X-F. DBRS Morningstar changed the trends to Stable
from Negative on all remaining classes. The Negative trends on the
non-investment-grade rated bonds reflect DBRS Morningstar's
concerns with the portfolio, which continues to face performance
challenges related to the Coronavirus Disease (COVID-19) global
pandemic.

The $179.0 million floating-rate loan is secured by a portfolio of
four full-service hotels with 1,265 keys across four states. The
loan transferred to special servicing in April 2020 for imminent
default, at which point the borrower requested a loan modification
because of the negative impact of the coronavirus. The borrower
subsequently withdrew the request and continues to keep the loan
current, as reflected in the most recent September 2021 reporting.
The loan was returned to the master servicer in June 2021 and
remains on the servicer's watchlist for monitoring given the cash
flow disruption caused by the pandemic and subsequent effects on
the lodging industry.

The loan is currently cash managed, reporting a debt service
coverage ratio (DSCR) of 0.12 times (x) based on the senior A note
debt, or 0.08x for the whole loan when including subordinate debt
based on the trailing six months ended June 2021. While these
figures are well below DBRS Morningstar's expectation, they do
represent a significant improvement from the trailing 12 months
ended December 2020, when the senior note and whole loan DSCRs were
-1.08x and -0.79x, respectively. In September 2021, $185,512 was in
the lockbox reserve.

The interest-only (IO) loan had an initial term of 36 months with
two one-year extension options, subject to the payment of an
extension fee and a debt yield test. Because the loan did not
achieve the necessary 10.75% debt yield based on the whole loan
amount upon its first extension option in February 2021, the
borrower was required to contribute $8.2 million of principal to
rebalance the loan. The second extension option, available in 2022,
will require a debt yield of 11.25%. Release of individual
properties is permitted, subject to a release price that is the
higher of 80% of the net sale proceeds from the property sale and
115% of the allocated loan amount for the applicable individual
property (as outlined in the loan documents).

Based on the trailing three months (T-3) ended June 2021, the
portfolio had a weighted average occupancy of 58.0%, average daily
rate of $173, and revenue per available room (RevPAR) of $110,
reflecting penetration rates of 121.9%, 84.6%, and 102.9%,
respectively. While these figures are significantly below issuance
levels of 70.3%, $201, and $138, respectively, the portfolio is
beginning to see signs of recovery, as the T-3 ended March 2021
reflected comparable figures of 52.0%, $121, and $63, respectively.
While Hilton Rosemont and Westin Alexandria continue to be the
weaker performers in the group, both properties showed positive
June 2021 monthly figures, with RevPAR penetration rates of 127.2%
and 91.7%, respectively, above their year-to-date figures of 92.8%
and 77.1%, respectively.

The sponsor used initial loan proceeds of $179.0 million,
subordinate debt of $40.0 million, and sponsor equity of $115.3
million to acquire the portfolio for $329.9 million and to fund a
seasonality reserve totaling $1.3 million. The lender approved the
borrower's receipt of Paycheck Protection Program funds from the
U.S. Small Business Administration. As of September 2021, $4.9
million was held across six reserve, with the largest being the
$2.7 million held in the seasonality reserve.

The sponsor for this loan is Junson Capital, a Hong Kong-based real
estate investment company. At issuance, the sponsor and loan
guarantor was Apollo Bright LLC, an affiliate of Junson Capital.
According to information provided at issuance, the guarantor
reported a net worth exceeding $350.0 million and liquidity of at
least $18.0 million as of September 2017.

The portfolio comprises four hotels with a total of 1,265 rooms in
Newport, Rhode Island; Alexandria, Virginia; Chicago; and
Scottsdale, Arizona. Three of the four hotels operate under the
Marriott International, Inc. (Marriott) and Hilton Worldwide
Holdings Inc. brands. Marriott manages the Newport Marriott and
Westin Alexandria hotels, which are not subject to franchise fees.
Both of the existing Marriott management agreements for these
hotels expire over the fully extended loan term. Similarly, Hilton
Management LLC directly manages the Hilton Rosemont hotel under a
management agreement; this agreement appears to have been renewed
beyond the initial December 2020 expiration. Finally, Destination
Hotels, the largest independent hospitality management company in
the United States, manages the Scottsdale Resort at McCormick
Ranch, the lone independent hotel in the portfolio.

The portfolio has benefitted from approximately $78.9 million in
capital expenditure improvements since 2012, including $58.8
million from 2015 to issuance in 2018. The hotels, with the
exception of the Hilton Rosemont, have all undergone a recent
guest-room renovation. The Newport Marriott received the highest
capital improvement expenditure at $47.7 million, followed by the
Scottsdale Resort at McCormick Ranch at $17.0 million since 2012.

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



NEUBERGER BERMAN 33: S&P Assigns Prelim 'BB-' Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned preliminary ratings to the replacement
class A-R, B-R, C-R, D-R, and E-R notes from Neuberger Berman Loan
Advisers CLO 33 Ltd./Neuberger Berman Loan Advisers CLO 33 LLC, a
CLO originally issued in 2019 that is managed by Neuberger Berman
Loan Advisers LLC.

The preliminary ratings are based on information as of Oct. 15,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Oct. 18, 2021 refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

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

-- The legal final maturity, non-call period, and weighted average
life test will each be extended by one year, while the reinvestment
period will remain unchanged.

-- The triggers for the class E overcollateralization ratio test
and interest diversion test will each be lowered by 70 basis
points.

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

-- Of the identified underlying collateral obligations, 97.21%
have recovery ratings assigned by S&P Global Ratings.

-- LIBOR replacement language will be added.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $372.00 million: Three-month LIBOR + 1.08%
  Class B-R, $84.00 million: Three-month LIBOR + 1.60%
  Class C-R, $36.00 million: Three-month LIBOR + 1.90%
  Class D-R, $36.00 million: Three-month LIBOR + 2.90%
  Class E-R, $24.00 million: Three-month LIBOR + 6.25%

  Original notes

  Class A, $372.00 million: Three-month LIBOR + 1.31%
  Class B, $84.00 million: Three-month LIBOR + 1.75%
  Class C, $36.00 million: Three-month LIBOR + 2.45%
  Class D, $36.00 million: Three-month LIBOR + 3.80%
  Class E, $24.00 million: Three-month LIBOR + 6.80%

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 will take rating actions as we deem
necessary."

  Preliminary Ratings Assigned

  Neuberger Berman Loan Advisers CLO 33 Ltd./
  Neuberger Berman Loan Advisers CLO 33 LLC

  Class A-R, $372.00 million: AAA (sf)
  Class B-R, $84.00 million: AA (sf)
  Class C-R, $36.00 million: A (sf)
  Class D-R, $36.00 million: BBB- (sf)
  Class E-R, $24.00 million: BB- (sf)
  Subordinated notes, $54.00 million: Not rated



NEUBERGER BERMAN 38: S&P Assigns BB- (sf) Rating on Class E-R Notes
-------------------------------------------------------------------
S&P Global Ratings assigned ratings to the replacement class A-R,
A-L, B-R, C-R, D-R, and E-R notes and the replacement class A-L
loans from Neuberger Berman Loan Advisers CLO 38 Ltd./Neuberger
Berman Loan Advisers CLO 38 LLC, a CLO originally issued in 2020
that is managed by Neuberger Berman Loan Advisers II 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. 20, 2021,
refinancing date.

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

-- All replacement classes were issued at lower spreads than the
original classes, which reduced the transaction's overall cost of
funding.

-- The senior tranche will be combined into three separate
tranches following the refinancing: the replacement class A-R and
A-L notes, and the replacement class A-L loans. These tranches will
carry identical spreads above the reference rate and equal
seniority in the priority of payments. The class A-L notes will be
unfunded at closing but will be convertible from the class A-L
loans.

-- The combined balance of the replacement class A-R notes and
class A-L loans was increased by $2.50 million, while the balance
of the replacement class B-R notes was reduced by the same amount.

-- The balance of the replacement class E-R notes was increased by
$3.75 million.

-- The reinvestment period and legal final maturity were each
extended by three years, while the non-call period and weighted
average life test were each extended by two years.

-- The triggers for the class E overcollateralization ratio test
and interest diversion test were each lowered by 89 basis points,
while the class C and D interest coverage test triggers were each
lowered by five percentage points.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $154.00 million: Three-month LIBOR + 1.14%
  Class A-L loans, $156.00 million: Three-month LIBOR + 1.14%
  Class A-L notes, $0.00 million: Three-month LIBOR + 1.14%
  Class B-R, $70.00 million: Three-month LIBOR + 1.65%
  Class C-R, $30.00 million: Three-month LIBOR + 2.00%
  Class D-R, $30.00 million: Three-month LIBOR + 3.00%
  Class E-R, $20.00 million: Three-month LIBOR + 6.25%

  Original notes

  Class A, $307.50 million: Three-month LIBOR + 1.30%
  Class B, $72.50 million: Three-month LIBOR + 1.70%
  Class C, $30.00 million: Three-month LIBOR + 2.35%
  Class D, $30.00 million: Three-month LIBOR + 3.75%
  Class E, $16.25 million: Three-month LIBOR + 7.50%

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 will take rating actions as we deem
necessary."

  Ratings Assigned

  Neuberger Berman Loan Advisers CLO 38 Ltd./
  Neuberger Berman Loan Advisers CLO 38 LLC

  Class A-R, $154.00 million: AAA (sf)
  Class A-L loans, $156.00 million: AAA (sf)
  Class A-L notes, $0.00 million: AAA (sf)
  Class B-R, $70.00 million: AA (sf)
  Class C-R, $30.00 million: A (sf)
  Class D-R, $30.00 million: BBB- (sf)
  Class E-R, $20.00 million: BB- (sf)
  Subordinated notes, $50.15 million: NR

  Ratings Withdrawn

  Neuberger Berman Loan Advisers CLO 38 Ltd./
  Neuberger Berman Loan Advisers CLO 38 LLC

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

  NR--Not rated.



NPC FUNDING IX: DBRS Gives Prov. BB(low) Rating on 2 Classes
------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the Funded
Class B-1 Loans, Funded Class B-2 Loans, and Funded C Loans to be
issued by NPC Funding IX, Ltd. (the Borrower), pursuant to the
Revolving Loan Agreement, dated as of July 30, 2021, and amended
pursuant to the First Amendment to the Revolving Loan Agreement,
dated as of September 30, 2021, by and among NPC Funding IX Ltd.,
as Borrower; Bighorn V, Ltd., as CLO I Subsidiary; First Eagle
Alternative Credit, LLC, as Collateral Manager; U.S. Bank National
Association (rated AA (high) with a Stable trend by DBRS
Morningstar), as Collateral Custodian; Royal Bank of Canada (rated
AA (high) with a Stable trend by DBRS Morningstar), as
Administrative Agent and Revolving Lender; and the Lenders from
time to time party thereto:

-- Funded Class B-1 Loans at BBB (low) (sf)
-- Funded Class B-2 Loans at BB (low) (sf)
-- Funded Class C Loans at BB (low) (sf)

The above provisional ratings address the ultimate payment of
interest (excluding the Subordinated Loan Interest Amount as
defined in the Amendment to the Revolving Loan Agreement (RLA)),
and the ultimate payment of principal on or before the Facility
Maturity Date of October 27, 2031. For the avoidance of doubt, the
ratings do not address the repayment of the Cure Amounts (as
defined in the amended RLA).

The Loans will be collateralized primarily by a portfolio of U.S.
broadly syndicated corporate loans. First Eagle Alternative Credit,
LLC will be the Collateral Manager for this transaction.

The provisional ratings reflect the following primary
considerations:

-- The amended RLA, dated as of September 30, 2021.
-- The integrity of the transaction structure.
-- DBRS Morningstar's assessment of the portfolio quality.
-- Adequate credit enhancement to withstand DBRS Morningstar's
projected collateral loss rates under various cash flow-stress
scenarios.
-- DBRS Morningstar's assessment of the origination, servicing,
and CLO management capabilities of First Eagle Alternative Credit,
LLC.

As of the date of the provisional ratings, DBRS Morningstar
performed a telephone operational risk review of First Eagle
Alternative Credit, LLC. DBRS Morningstar did not perform an
on-site operational risk review of First Eagle Alternative Credit,
LLC at their offices because of the current Coronavirus Disease
(COVID-19) pandemic. DBRS Morningstar found First Eagle Alternative
Credit, LLC to be an acceptable collateral manager.

A provisional rating is not a final rating with respect to the
above-mentioned Loans and it may change or be different from the
final rating assigned or may be discontinued. The assignment of
final ratings on the above-mentioned Loans is subject to receipt by
DBRS Morningstar of all data and/or information and final
documentation that DBRS Morningstar deems necessary to finalize the
ratings for these instruments, including satisfaction of the DBRS
Morningstar Effective Date Condition (as defined in the RLA). The
Borrower's failure to complete the above conditions, as described
in the RLA, may result in the provisional ratings not being
finalized or the finalized ratings being different from the
assigned provisional ratings.

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





NYACK PARK: S&P Assigns BB- (sf) Rating on $18.50MM Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Nyack Park CLO
Ltd./Nyack Park CLO LLC's fixed- and floating-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  Nyack Park CLO Ltd./Nyack Park CLO LLC

  Class X(i), $4.00 million: AAA (sf)
  Class A, $307.50 million: AAA (sf)
  Class B-1, $55.00 million: AA (sf)
  Class B-2, $17.50 million: AA (sf)
  Class C (deferrable) $30.00 million: A (sf)
  Class D (deferrable) $30.00 million: BBB- (sf)
  Class E (deferrable), $18.50 million: BB- (sf)
  Subordinated notes, $45.50 million: Not rated

(i)Class X notes are expected to be paid down using interest
proceeds during the first 19 payment dates in equal installments of
$500,000.00, beginning on the April 2022 payment date and ending on
the April 2023 payment date, and thereafter, in maximum
installments of $107,142.86 beginning on the July 2023 payment date
and ending on the October 2026 payment date, or until paid in
full.



OBX 2021-J3: DBRS Gives Prov. B Rating on Class B-5 Notes
---------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Notes, Series 2021-J3 to be issued by OBX 2021-J3
Trust (OBX 2021-J3):

-- $385.6 million Class A-1 at AAA (sf)
-- $385.6 million Class A-2 at AAA (sf)
-- $385.6 million Class A-3 at AAA (sf)
-- $289.2 million Class A-4 at AAA (sf)
-- $289.2 million Class A-5 at AAA (sf)
-- $289.2 million Class A-6 at AAA (sf)
-- $96.4 million Class A-7 at AAA (sf)
-- $96.4 million Class A-8 at AAA (sf)
-- $96.4 million Class A-9 at AAA (sf)
-- $308.5 million Class A-10 at AAA (sf)
-- $308.5 million Class A-11 at AAA (sf)
-- $308.5 million Class A-12 at AAA (sf)
-- $77.1 million Class A-13 at AAA (sf)
-- $77.1 million Class A-14 at AAA (sf)
-- $77.1 million Class A-15 at AAA (sf)
-- $19.3 million Class A-16 at AAA (sf)
-- $19.3 million Class A-17 at AAA (sf)
-- $19.3 million Class A-18 at AAA (sf)
-- $47.6 million Class A-19 at AAA (sf)
-- $47.6 million Class A-20 at AAA (sf)
-- $47.6 million Class A-21 at AAA (sf)
-- $433.2 million Class A-22 at AAA (sf)
-- $433.2 million Class A-23 at AAA (sf)
-- $433.2 million Class A-24 at AAA (sf)
-- $433.2 million Class A-X-1 at AAA (sf)
-- $385.6 million Class A-X-2 at AAA (sf)
-- $385.6 million Class A-X-3 at AAA (sf)
-- $385.6 million Class A-X-4 at AAA (sf)
-- $289.2 million Class A-X-5 at AAA (sf)
-- $289.2 million Class A-X-6 at AAA (sf)
-- $289.2 million Class A-X-7 at AAA (sf)
-- $96.4 million Class A-X-8 at AAA (sf)
-- $96.4 million Class A-X-9 at AAA (sf)
-- $96.4 million Class A-X-10 at AAA (sf)
-- $308.5 million Class A-X-11 at AAA (sf)
-- $308.5 million Class A-X-12 at AAA (sf)
-- $308.5 million Class A-X-13 at AAA (sf)
-- $77.1 million Class A-X-14 at AAA (sf)
-- $77.1 million Class A-X-15 at AAA (sf)
-- $77.1 million Class A-X-16 at AAA (sf)
-- $19.3 million Class A-X-17 at AAA (sf)
-- $19.3 million Class A-X-18 at AAA (sf)
-- $19.3 million Class A-X-19 at AAA (sf)
-- $47.6 million Class A-X-20 at AAA (sf)
-- $47.6 million Class A-X-21 at AAA (sf)
-- $47.6 million Class A-X-22 at AAA (sf)
-- $433.2 million Class A-X-23 at AAA (sf)
-- $433.2 million Class A-X-24 at AAA (sf)
-- $433.2 million Class A-X-25 at AAA (sf)
-- $8.6 million Class B-1A at AA (sf)
-- $8.6 million Class B-X-1 at AA (sf)
-- $8.6 million Class B-1 at AA (sf)
-- $6.1 million Class B-2A at A (sf)
-- $6.1 million Class B-X-2 at A (sf)
-- $6.1 million Class B-2 at A (sf)
-- $1.4 million Class B-3 at BBB (sf)
-- $1.4 million Class B-4 at BB (sf)
-- $1.1 million Class B-5 at B (sf)

Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24,
A-X-25, B-X-1, and B-X-2 are interest-only notes. The class balance
represents notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12,
A-13, A-14, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-X-2, A-X-3,
A-X-4, A-X-5, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14,
A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, B-1, and B-2 are
exchangeable notes. These classes can be exchanged for combinations
of initial exchangeable notes as specified in the offering
documents.

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

The AAA (sf) ratings on the Notes reflect 4.50% of credit
enhancement provided by subordinated notes. The AA (sf), A (sf),
BBB (sf), BB (sf), and B (sf) ratings reflect 2.60%, 1.25%, 0.95%,
0.65%, and 0.40% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien, fixed-rate, prime
residential mortgages funded by the issuance of the Notes. The
Notes are backed by 465 loans with a total principal balance of
$453,649,616 as of the Cut-Off Date (September 1, 2021).

The originators for the aggregate mortgage pool are Fairway
Independent Mortgage Corporation (26.2%); Guaranteed Rate, Inc.
(17.6%); Guaranteed Rate Affinity, LLC (5.4%) and Proper Rate, LLC
(1.2%) (collectively known as Guaranteed Rate Companies; GRC); and
various other originators, each comprising no more than 10% of the
pool by principal balance. On the Closing Date, the Seller, Onslow
Bay Financial LLC, will acquire the mortgage loans from Bank of
America, N.A. (BANA; rated AA (low) with a Stable trend and R-1
(middle) with a Stable trend by DBRS Morningstar).

Through bulk purchases, BANA generally acquired the mortgage loans
underwritten to

-- its jumbo whole loan acquisition guidelines (87.9%), or
-- the related originator's guidelines (12.1%).

NewRez LLC doing business as Shellpoint Mortgage Servicing will
service 100% of the mortgage loans, directly or through
subservicers. Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a
Negative trend and R-1 (high) with a Negative trend by DBRS
Morningstar) will act as Master Servicer, Paying Agent, Note
Registrar, and Custodian. Wilmington Savings Fund Society, FSB will
serve as Indenture Trustee and Owner Trustee.

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

CORONAVIRUS PANDEMIC IMPACT

The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures have caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. Shortly after the onset of the
pandemic, DBRS Morningstar saw an increase in the delinquencies for
many residential mortgage-backed securities (RMBS) asset classes.

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform differently from traditional delinquencies.
At the onset of the pandemic, the option to forebear mortgage
payments was widely available, driving forbearances to an elevated
level. When the dust settled, loans with coronavirus-induced
forbearance in 2020 performed better than expected, thanks to
government aid, low loan-to-value ratios, and acceptable
underwriting in the mortgage market in general. Across nearly all
RMBS asset classes in recent months, delinquencies have been
gradually trending downward as forbearance periods come to an end
for many borrowers.

No loans in this transaction, as permitted by the Coronavirus Aid,
Relief, and Economic Security Act, signed into law on March 27,
2020, had been granted forbearance plans because the borrowers
reported financial hardship related to the coronavirus pandemic.

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



OCEAN TRAILS IX: Moody's Assigns Ba3 Rating to $19.5MM E-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by Ocean Trails CLO IX (the
"Issuer").

Moody's rating action is as follows:

US$228,750,000 Class A-1-R Floating Rate Notes Due 2034, Assigned
Aaa (sf)

US$56,250,000 Class B-R Floating Rate Notes Due 2034, Assigned Aa2
(sf)

US$17,650,000 Class C-R Deferrable Floating Rate Notes Due 2034,
Assigned A2 (sf)

US$22,900,000 Class D-R Deferrable Floating Rate Notes Due 2034,
Assigned Baa3 (sf)

US$19,500,000 Class E-R Deferrable Floating Rate Notes Due 2034,
Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
92.5% of the portfolio must consist of senior secured loans and
eligible principal investments, and up to 7.5% of the portfolio may
consist of second lien loans, unsecured loans and bonds.

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

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the revision of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Adjusted Weighted Average Rating Factor" and changes to the base
matrix and modifiers.

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

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

Portfolio par: $375,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2858

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


OCEANVIEW MORTGAGE 2021-5: Moody's Assigns B3 Rating to B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
fifty-six classes of residential mortgage-backed securities (RMBS)
issued by Oceanview Mortgage Trust (OCMT) 2021-5. The ratings range
from Aaa (sf) to B3 (sf). Since issuing provisional ratings, the
issuer has dropped four loans from the pool as these loans were
paid in full, bringing the aggregate unpaid principal balance from
$496,656,284 to $489,952,747, which in-turn had no impact on
Moody's ratings.

Oceanview Asset Selector, LLC is the sponsor of OCMT 2021-5, a
fifth securitization of performing prime jumbo mortgage loans
backed by 547 first lien, fully amortizing, fixed-rate qualified
mortgage (QM) loans, with an aggregate unpaid principal balance
(UPB) of $489,952,747. 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 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-IO1*, Assigned Aaa (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. B-1, Assigned Aa3 (sf)

Cl. B-2, Assigned A3 (sf)

Cl. B-3, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba3 (sf)

Cl. B-5, Assigned B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary credit analysis and rating rationale

Moody's expected loss for this pool in a baseline scenario-mean is
0.39%, in a baseline scenario-median is 0.25%, and reaches 2.68% 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 547 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 $489,952,747. 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
4 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 27.0%, 11.4%, and 8.5%, 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 17.0%
(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 its 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.

For 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 its 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.


OCTAGON INVESTMENT 41: Moody's Gives Ba3 Rating to $28MM E-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by Octagon Investment Partners 41,
Ltd. (the "Issuer").

Moody's rating action is as follows:

US$3,000,000 Class X Senior Secured Floating Rate Notes due 2033,
Definitive Rating Assigned Aaa (sf)

US$310,000,000 Class A-1-R Senior Secured Floating Rate Notes due
2033, Definitive Rating Assigned Aaa (sf)

US$51,200,000 Class B-1-R Senior Secured Floating Rate Notes due
2033, Definitive Rating Assigned Aa2 (sf)

US$6,200,000 Class B-2-R Senior Secured Fixed Rate Notes due 2033,
Definitive Rating Assigned Aa2 (sf)

US$23,400,000 Class C-R Secured Deferrable Floating Rate Notes due
2033, Definitive Rating Assigned A2 (sf)

US$31,200,000 Class D-R Secured Deferrable Floating Rate Notes due
2033, Definitive Rating Assigned Baa3 (sf)

US$28,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2033, Definitive Rating Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of first lien senior secured loans,
cash, and eligible investments, and up to 10% of the portfolio may
consist of second lien loans and unsecured loans.

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

In addition to the issuance of the Refinancing Notes, the other
class of secured notes and additional subordinated notes, a variety
of other changes to transaction features will occur in connection
with the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Adjusted Weighted Average Rating Factor" and changes to the base
matrix and modifiers.

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

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

Portfolio par: $500,000,000

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2954

Weighted Average Spread (WAS): 3.45%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 46.25%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


OHA CREDIT 4: 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 and proposed new
class X notes from OHA Credit Funding 4 Ltd./OHA Credit Funding 4
LLC, a CLO originally issued in October 2019 that is managed by Oak
Hill Advisors L.P.

The preliminary ratings are based on information as of Oct. 15,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Oct. 22, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

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

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

-- The replacement class B-R notes are expected to be fully issued
at a floating spread, replacing the current fixed- and
floating-rate mix.

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

-- The class X 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.

-- Of the identified underlying collateral obligations, 99.48%
have credit ratings assigned by S&P Global Ratings.

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

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

  OHA Credit Funding 4 Ltd./
  OHA Credit Funding 4 LLC (Refinancing And Extension)

  Class X, $1.50 million: AAA (sf)
  Class A-R, $372.00 million: AAA (sf)
  Class B-R, $84.00 million: AA (sf)
  Class C-R (deferrable), $36.00 million: A (sf)
  Class D-R (deferrable), $36.00 million: BBB- (sf)
  Class E-R (deferrable), $23.25 million: BB- (sf)
  Subordinated notes, $51.40 million: Not rated



OPG TRUST 2021-PORT: DBRS Gives Prov. B(low) Rating on G Certs
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-PORT to
be issued by OPG Trust 2021-PORT (OPG 2021-PORT or the Trust), as
follows:

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

All trends are Stable.

The OPG Trust 2021-PORT single-asset/single-borrower transaction is
collateralized by the borrower's fee-simple interest in a portfolio
of 109 industrial properties totaling more than 14.4 million sf
across 11 markets in seven states. DBRS, Inc. (DBRS Morningstar)
continues to take a favorable view on the long-term growth and
stability of the warehouse and logistics sector, despite the
uncertainties and risks that the Coronavirus Disease (COVID-19)
pandemic has created across all commercial real estate asset
classes. Increased consumer reliance on e-commerce and home
delivery during the pandemic has only accelerated pre-pandemic
consumer trends, and DBRS Morningstar believes that retail's loss
continues to be industrial's gain. The portfolio benefits from both
favorable tenant granularity and favorable geographic
diversification, both of which contribute to potential cash flow
stability over time.

The portfolio is primarily composed of last-mile facilities in
urban infill locations with WA clear heights of 26.5 feet and a WA
year built of 1997. The portfolio's WA year generally exceeds the
WA year built of recently analyzed industrial portfolios rated by
DBRS Morningstar (1992), generally reflecting the newer vintage of
properties of the portfolio composition. The average size of
properties in the portfolio is 127,544 sf, though properties range
broadly in size from 24,030 sf to 535,385 sf. Approximately 44.4%
of the portfolio's NOI is derived from properties between 50,000 sf
and 150,000 sf, which further illustrates the last-mile, infill
nature of the portfolio. Properties in infill locations tend to
have smaller footprints because of the high cost of land, compared
with larger distribution facilities that can exceed one million sf
and are often further away from prominent urban centers.

The portfolio is spread across 11 markets spanning seven U.S.
states including Texas (26.2% of NRA and 23.3% of the base rent),
California (14.6% of NRA and 19.4% of base rent), Illinois (12.2%
of NRA and 13.4% of base rent), Georgia (13.6% of NRA and 12.3% of
base rent), Florida (16.9% of NRA and 11.8% of base rent), Maryland
(8.2% of portfolio NRA and 11.0% of base rent), and Arizona (8.3%
of NRA and 8.7% of base rent). The collateral is generally well
located, proximate to dense population centers and industrial
gateway markets with high demand for industrial and distribution
space. The portfolio's WA in-place base rent of $6.46 psf is
significantly below the major national index of $8.32 psf (reported
by Newmark Knight Frank as of Q2 2021). Per the rent roll dated
September 1, 2021, the portfolio was 92.8 % leased (7.2% vacant).
By comparison, the portfolio's markets exhibited a WA vacancy rate
of 5.5% at the close of 2020.

Despite the recent economic slowdown and continued fallout brought
on by the ongoing coronavirus pandemic, DBRS Morningstar continues
to take a positive view on the strength and growth of the
industrial asset class, especially as e-commerce continues its
prolific path to dominance and consumer demand for faster shipping
times becomes commonplace. While the coronavirus certainly presents
challenges, the nationwide industrial vacancy rate of 4.0%
(reported by CBRE Research's Q2 2021 Industrial & Logistics Report)
represents the lowest national vacancy rate since Q4 2019. Per CBRE
Research's Q2 2021 Industrial & Logistics Report, U.S. industrial
market conditions performed exceptionally well through the first
half of 2021, reaching record-high asking rents of $8.66 psf (a
2.9% quarter-over-quarter increase and 9.8% year-over-year
increase).

DBRS Morningstar continues to believe that functional bulk
warehouse product and last-mile delivery facilities near major
population centers will outperform other property subtypes, and
maintains a bullish outlook on industrial property based on
ever-growing e-commerce demand.

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




PARK AVENUE 2019-2: S&P Assigns BB- (sf) Rating on Class D-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, and D-R replacement notes from Park Avenue Institutional
Advisers CLO Ltd. 2019-2/Park Avenue Institutional Advisers CLO LLC
2019-2, a CLO originally issued in 2019 that is managed by Park
Avenue Institutional Advisers LLC.

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

-- The replacement class A-1-R, A-2-R, B-R, and C-R notes are
being issued at a lower spread over three-month LIBOR than the
original notes, and the replacement class D-R notes are being
issued at a higher spread over three-month LIBOR than the original
notes.

-- The replacement class A-1-R, A-2-R, B-R, C-R, and D-R notes
will be issued at a new floating spread, replacing the current
floating spread.

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

-- The non-call period will be re-established and is expected to
end on Oct. 15, 2023.

-- The benchmark replacement language is being amended.

-- Loss mitigation assets are being included.

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

-- Of the identified underlying collateral obligations, 97.57%
have recovery ratings assigned by S&P Global Ratings.

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

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

  Ratings Assigned

  Park Avenue Institutional Advisers CLO Ltd. 2019-2/
  Park Avenue Institutional Advisers CLO LLC 2019-2

  Class A-1-R, $248.00 million: AAA (sf)
  Class A-2-R, $56.00 million: AA (sf)
  Class B-R (deferrable), $22.60 million: A (sf)
  Class C-R (deferrable), $25.40 million: BBB- (sf)
  Class D-R (deferrable), $16.00 million: BB- (sf)
  Subordinated notes, $36.70 million: NR

  Ratings Withdrawn

  Park Avenue Institutional Advisers CLO Ltd. 2019-2/
  Park Avenue Institutional Advisers CLO LLC 2019-2

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

  NR--Not rated.



PFP 2021-8: DBRS Finalizes B(low) Rating on Class G Notes
---------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by PFP 2021-8, Ltd:

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

All trends are Stable.

Coronavirus Overview

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remains highly uncertain. This
considers the fiscal and monetary policy measures and statutory law
changes that have already been implemented or will be implemented
to soften the impact of the crisis on global economies. Some
regions, jurisdictions, and asset classes are, however, feeling
more immediate effects. Accordingly, DBRS Morningstar may apply
additional short-term stresses to its rating analysis. For example,
DBRS Morningstar may front-load default expectations and/or assess
the liquidity position of a structured finance transaction with
more stressful operational risk and/or cash flow timing
considerations.

The initial collateral consists of 46 short-term, floating-rate
mortgage assets with an aggregate cutoff date balance of $1.1
billion secured by 55 properties. The aggregate unfunded future
funding commitment of the future funding participations as of the
cutoff date is approximately $125.9 million. The holder of the
related future funding companion participations, an affiliate of
Prime Group, has full responsibility to fund the future funding
companion participations. The collateral pool for the transaction
is static with no ramp-up period or reinvestment period; however,
the Issuer has the right to use principal proceeds to acquire
related fully funded future funding participations subject to
stated criteria during the replenishment period, which ends on or
about September 2024, and among other criteria, includes a
no-downgrade rating agency confirmation (RAC) by DBRS Morningstar
for the acquisition of related companion participations exceeding
$1.0 million. As of September 30, 2021, four loans (#16, 330 S
Wells; #31, Addison Springs; #32, Gateway Marketplace; and #44,
Billings Retail), representing 5.7% of the initial pool balance,
have not closed. One loan, Rockhill Industrial Portfolio, that was
previously identified as a Delayed Close Mortgage Asset, closed on
September 23, 2021. Everything in the report that follows was based
on all five loans (including Rockhill Industrial Portfolio) being
unclosed. Interest can be deferred for Class C, Class D, Class E,
Class F, and Class G Notes, and interest deferral will not result
in an EOD. The transaction will have a sequential-pay structure.

Of the 55 properties, 36 are multifamily assets (57.8% of the
mortgage asset cutoff date balance) and 11 are office assets (18.6%
of the mortgage asset cutoff date balance). No other property type
exceeds 10.2% of the mortgage asset cutoff date balance. The loans
are mostly secured by cash flowing assets, most of which are in a
period of transition with plans to stabilize and improve the asset
value. Sixteen loans are whole loans and the other 30 are
participations with companion participations that have remaining
future funding commitments totaling $125.9 million. The future
funding for each loan is generally to be used for capital
expenditures to renovate the property or build out space for new
tenants. All of the loans in the pool have floating interest rates
initially indexed to Libor. Nine loans, representing 19.1% of the
mortgage asset cutoff date balance, amortize on a fixed schedule,
with an additional 31 mortgage assets, representing 70.4% of the
mortgage asset cutoff date balance, that amortize on a fixed
schedule during their respective extension periods. To determine a
stressed interest rate over the loan term, DBRS Morningstar used
the one-month Libor index, which was the lower of DBRS
Morningstar's stressed rates that corresponded to the remaining
fully extended terms of the loans and the strike price of the
interest rate cap with the respective contractual loan spread
added. The properties are often transitioning with potential upside
in cash flow; however, DBRS Morningstar does not give full credit
to the stabilization if there are no holdbacks or if the other loan
structural features are insufficient to support such treatment.
Furthermore, even if the structure is acceptable, DBRS Morningstar
generally does not assume that the assets will stabilize above
market levels.

The transaction is sponsored by Prime Finance Short Duration
Holding Company VII, LLC (Prime Holding), which has strong
origination practices and substantial experience in originating
loans and managing commercial real estate properties. Prime Finance
was formed in June 2008 and has more than $6.0 billion of
short-duration assets and callable capital as of June 30, 2021.

Five loans, comprising 16.6% of the total pool balance, are secured
by properties that DBRS Morningstar deems to be Above Average in
quality, with an additional loan, Matter Park, totaling 3.7% of the
total pool balance, secured by a property identified as Average +
in quality. Equally important, only one loan, representing 1.5% of
the total pool balance, is secured by a property that DBRS
Morningstar deems to be Below Average and only four loans,
comprising 6.5% of the total pool balance, are secured by
properties that DBRS Morningstar deems to be Average –.

As no loans in the pool were originated prior to the onset of the
coronavirus pandemic, the weighted average remaining fully extended
term is 57 months, which gives the Sponsor enough time to execute
its business plans without risk of imminent maturity. In addition,
the appraisal and financial data provided are reflective of
conditions after the onset of the pandemic.

Forty-nine loans, representing 95.7% of the pool balance, represent
acquisition financing. Acquisition financing generally requires the
respective sponsor(s) to contribute material cash equity as a
source of funding in conjunction with the mortgage loan, resulting
in a higher sponsor cost basis in the underlying collateral and
aligning the financial interests of the sponsor and lender.

The DBRS Morningstar Business Plan Scores (BPS) for loans that DBRS
Morningstar analyzed range between 1.20 and 3.58, with an average
of 2.20. Higher DBRS Morningstar BPS indicate more risk in the
sponsor's business plan. DBRS Morningstar considers the anticipated
lift to the properties from current performance, planned property
improvements, sponsor experience, projected time horizon, and
overall complexity of the business plan. Compared with similar
mixed property type transactions, the subject has a low average
BPS, which is indicative of lower risk.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that the Sponsor will not successfully execute its
business plans and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. The
Sponsor's failure to execute the business plans could result in a
term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar sampled a large portion of the loans,
representing 72.3% of the pool cutoff date balance. DBRS
Morningstar made relatively conservative stabilization assumptions
and, in each instance, considered the business plans to be rational
and the loan structure to be sufficient to execute such plans. In
addition, DBRS Morningstar analyzes loss given default based on the
as-is credit metrics, assuming the loan is fully funded with no net
cash flow (NCF) or value upside.

The deal is concentrated by property type, with 21 loans,
representing 57.8% of the mortgage loan cutoff date balance,
secured by multifamily properties. Three of these loans, comprising
7.2% of the trust balance, are backed by student housing
properties. Additionally, 11 loans, representing 18.6% of the
mortgage loan cutoff balance, are secured by office properties.
Multifamily properties benefit from staggered lease rollover and
generally have low expense ratios compared with other property
types. While revenue is quick to decline in a downturn because of
the short-term nature of the leases, it is also quick to respond
when the market improves. Furthermore, the average expected loss of
the loans secured by multifamily properties is roughly 30% lower
than the average expected loss of the overall pool. DBRS
Morningstar sampled 72.3% of the pool, representing 58.6% of the
total multifamily loan cutoff balance and 51% of the total office
loan cutoff balance, thereby providing comfort for the DBRS
Morningstar NCF.

All loans have floating interest rates, and 37 loans, representing
80.9% of the initial pool balance, are interest only during the
initial loan terms, which range from 24 months to 48 months,
creating interest rate risk. The borrowers of all 37 loans have
purchased Libor rate caps that have ranges of 0.25% to 3.00% to
protect against a rise in interest rates over the terms of the
loans. All loans are short term and, even with extension options,
have fully extended maximum loan terms of six years. Additionally,
all loans have extension options, and, in order to qualify for
these options, the loans must meet the minimum debt service
coverage ratio (DSCR) and loan-to-value ratio (LTV) requirements.
Twenty-six of the loans, representing 89.5% of the total pool,
amortize on fixed schedules during all or a portion of their
extension periods.

DBRS Morningstar conducted management tours on only seven
properties, representing 16.0% of the initial pool, because of
health and safety constraints associated with the ongoing
coronavirus pandemic. As a result, DBRS Morningstar relied more
heavily on third-party reports, online data sources, and
information provided by the Issuer to determine the overall DBRS
Morningstar property quality assigned to each loan. Recent
third-party reports were provided for all loans and contained
property quality commentary and photos.

The underlying mortgages for the transaction will pay the floating
rate, which presents potential benchmark transition risks as the
deadline approaches for the elimination of Libor. The transaction
documents provide an alternative benchmark rate for the transition,
which is primarily contemplated to be either Term Secured Overnight
Financing Rate (SOFR) plus the applicable Alternative Rate Spread
Adjustment or Compounded SOFR plus the Alternative Rate Spread
Adjustment.

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



PMT LOAN 2021-INV1: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 53
classes of residential mortgage-backed securities (RMBS) issued by
PMT Loan Trust 2021-INV1 (PMTLT 2021-INV1). The ratings range from
(P)Aaa (sf) to (P)B2 (sf).

PMTLT 2021-INV1 securitization is backed by a pool of prime
conforming, investment property mortgage loans acquired by PennyMac
Corp. (PennyMac), the sponsor of this transaction. PennyMac
acquired the loans in the pool through its corresponding lending
channel. This deal represents the first PennyMac-sponsored 100% GSE
eligible investor property transaction in 2021. 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.
As of the closing date, the sponsor or a majority-owned affiliate
of the sponsor intends to retain an eligible horizontal residual
interest in an amount (that is, with a fair value) equal to not
less than 5% of the fair value of the certificates to satisfy U.S.
risk retention rules.

PennyMac Loan Services, LLC is the servicer and responsible for
making P&I advances. There is no master servicer in this
transaction. Citibank N.A. (long-term debt Aa3), will be the fiscal
agent and will act as the backup advancing party with respect to
P&I advance. Wilmington Savings Fund Society, FSB will be the
trustee.

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

The complete rating action are as follows.

Issuer: PMT Loan Trust 2021-INV1

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-11X*, 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-26, Assigned (P)Aa1 (sf)

Cl. A-27, Assigned (P)Aa1 (sf)

Cl. A-28, Assigned (P)Aa1 (sf)

Cl. A-29, Assigned (P)Aaa (sf)

Cl. A-30, Assigned (P)Aaa (sf)

Cl. A-31, Assigned (P)Aaa (sf)

Cl. A-X1*, Assigned (P)Aaa (sf)

Cl. A-X4*, Assigned (P)Aaa (sf)

Cl. A-X5*, Assigned (P)Aaa (sf)

Cl. A-X6*, Assigned (P)Aaa (sf)

Cl. A-X8*, Assigned (P)Aaa (sf)

Cl. A-X10*, Assigned (P)Aaa (sf)

Cl. A-X13*, Assigned (P)Aaa (sf)

Cl. A-X15*, Assigned (P)Aaa (sf)

Cl. A-X17*, Assigned (P)Aaa (sf)

Cl. A-X19*, Assigned (P)Aaa (sf)

Cl. A-X21*, Assigned (P)Aaa (sf)

Cl. A-X25*, Assigned (P)Aaa (sf)

Cl. A-X26*, Assigned (P)Aa1 (sf)

Cl. A-X27*, Assigned (P)Aa1 (sf)

Cl. A-X28*, Assigned (P)Aa1 (sf)

Cl. A-X30*, Assigned (P)Aaa (sf)

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

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

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

Cl. B-4, Assigned (P)Ba2 (sf)

Cl. B-5, Assigned (P)B2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
0.67%, in a baseline scenario-median is 0.46%, and reaches 4.76% at
a stress level consistent with Moody's Aaa ratings.

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 of October 1, 2021, the pool consists of
1,416 mortgage loans secured by first liens with an aggregate
stated principal balance of approximately $414,683,060. The pool
has strong credit quality and consists of borrowers with high FICO
scores, low loan-to-value (LTV) ratios, high income, and liquid
cash reserves. The pool has clean pay history and weighted average
(WA) seasoning of approximately five 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. Overall, the credit quality of the mortgage
loans backing this transaction is in-line with recently issued GSE
eligible investor property transactions Moody's have rated, with
average monthly primary and all borrower wage income of $11,725 and
$14,707, respectively. Furthermore, the average liquid/cash
reserves is $238,932 with approximately 51% by pool balance having
more than 60 months of liquid/cash reserves. The weighted average
(WA) FICO for the aggregate pool is 780 with a WA LTV of 59.2% and
WA CLTV of 59.2%.

Approximately 19.1% 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. Moody's made an
adjustment in Moody's analysis to account for the increased risk
associated with such loans.

Aggregation and Origination Quality

PennyMac Corp. (PennyMac) aggregated 100% of the pool. Based on the
available information related to PennyMac's valuation and risk
management practices, Moody's took into account qualitative factors
during the ratings process including the Moody's review of the
origination quality and servicing arrangement, the results of the
TPR, and the R&W framework. Moody's consider PennyMac Corp.
(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, audit/quality control and
origination practices/underwriting.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool as
adequate, and as a result we 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 mitigants: (i) PennyMac Loan
Services, LLC was established in 2008 and is an experienced
servicer of residential mortgage loans; PennyMac Loan Services, LLC
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 Loan Services, LLC
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) Citibank, N.A,
is the securities administrator and fiscal agent, and backup
advancing party with respect to P&I advances.

Third-Party Review

Two third-party review (TPR) firms verified the accuracy of the
loan level information that Moody's received from the sponsor. The
firms conducted detailed credit, property valuation, data accuracy
and compliance reviews on 46.60% of the mortgage loans in the
collateral pool. The number of loans that went through a full due
diligence review meets Moody's credit neutral threshold. The TPR
results indicate that 15 loans had a final credit grade C or D, 9
loans had a final Compliance grade C, and 5 loans had a final
valuation grade C. The loans with final grade C or D were dropped
from the final pool. Moody's made an adjustment to Moody's loss
estimates to account for the TPR results, based on extrapolating
the 28 loans with a final C or D to the non-sampled portion of the
pool. In addition, the TPR firms did not provide a secondary
valuation on 205 appraisal waiver loans in the pool. Moody's made
an additional qualitative adjustment to increase projected losses
for appraisal waiver loans without a secondary valuation.

Representations & Warranties

Moody's applied a qualitative adjustment in its model analysis to
account for weaknesses in the R&W framework. First, the R&W
provider may not have the financial wherewithal to remedy defective
loans in a stressed economic environment, given that its monoline
mortgage business is highly correlated with the economy. Second,
PennyMac is both the R&W provider and the controlling holder in
this transaction, which is a weak alignment of interest as PennyMac
will unlikely force any breach review which will force it to
buy-back the loans in case there is a breach to the
representations. The alignment of interest concern is partially
mitigated because PennyMac is a 100% correspondent platform and
PennyMac has a history of buying back loans and enforcing its
backend R&W with the originators/ sellers. Moody's have adjusted
Moody's Aaa CE and expected losses to account for these weaknesses
in the R&W framework.

Transaction Structure

PMTLT 2021-INV1 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 0.90% 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.


PPM CLO 4: Moody's Assigns Ba3 Rating to $14.875MM Cl. E-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by PPM CLO 4 Ltd. (the "Issuer").

Moody's rating action is as follows:

US$224,000,000 Class A-R Floating Rate Notes due 2034, Assigned Aaa
(sf)

US$42,000,000 Class B-R Floating Rate Notes due 2034, Assigned Aa2
(sf)

US$20,125,000 Class C-R Deferrable Floating Rate Notes due 2034,
Assigned A2 (sf)

US$21,000,000 Class D-R Deferrable Floating Rate Notes due 2034,
Assigned Baa3 (sf)

US$14,875,000 Class E-R Deferrable Floating Rate Notes due 2034,
Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of first lien senior secured loans,
cash, and eligible investments, and up to 10% of the portfolio may
consist of second lien loans and unsecured loans.

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

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Weighted Average Rating Factor Test" and changes to the base
matrix and modifiers.

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

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

Performing par and principal proceeds balance: $350,000,000

Defaulted par: $0

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2870

Weighted Average Spread (WAS): 3.40%

Weighted Average Recovery Rate (WARR): 47.50%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


PRKCM 2021-AFC1: DBRS Gives Prov. B(low) Rating on Class B-2 Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2021-AFC1 to be issued by PRKCM
2021-AFC1 Trust (the Trust):

-- $249.7 million Class A-1 at AAA (sf)
-- $16.7 million Class A-2 at AA (sf)
-- $15.5 million Class A-3 at A (sf)
-- $14.1 million Class M-1 at BBB (low) (sf)
-- $7.6 million Class B-1 at BB (low) (sf)
-- $4.2 million Class B-2 at B (low) (sf)

The AAA (sf) rating on the Class A-1 Notes reflects 19.35% of
credit enhancement provided by subordinated Notes. The AA (sf), A
(sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings
reflect 13.95%, 8.95%, 4.40%, 1.95%, and 0.60% of credit
enhancement, respectively.

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

This a securitization of a portfolio of fixed- and adjustable-rate
expanded prime and nonprime first-lien residential mortgages funded
by the issuance of the Notes. The Notes are backed by 640 loans
with a total principal balance of $309,592,520 as of the Cut-Off
Date (September 1, 2021).

AmWest Funding Corp. (AmWest) is the Originator and Servicer for
the mortgage pool. DBRS Morningstar conducted a review of AmWest's
origination and servicing platform and believes the company is an
acceptable mortgage loan originator and servicer.

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's (CFPB) Qualified Mortgage (QM) and
Ability-to-Repay (ATR) rules where applicable, they were made to
borrowers who generally do not qualify for agency, government, or
private-label nonagency prime jumbo products for various reasons.
In accordance with the QM/ATR rules, approximately 60.3% of the
loans are designated as non-QM.

Approximately 39.7% of the loans are made to investors for business
purposes and, hence, are not subject to the QM/ATR rules. The
mortgage loans were underwritten to program guidelines for
business-purpose loans that are designed to rely on the
property-level cash flows for approximately 16.8% of the loans, and
mortgagor's credit profile and debt-to-income ratio, property
value, and the available assets, where applicable, for
approximately 22.9% of the loans. Since the loans were made to
investors for business purposes, they are exempt from the CFPB ATR
rules and Truth in Lending Act (TILA) and the Real Estate
Settlement Procedures Act (RESPA) Integrated Disclosure rule.

For investor loans originated to investors under debt service
coverage ratio (DSCR) programs (16.8% of the pool), lenders use
property-level cash flow or the DSCR to qualify borrowers for
income. The DSCR is typically calculated as market rental value
(validated by an appraisal report) divided by the principal,
interest, taxes, insurance, and association dues.

For this transaction, the Servicer will fund advances of delinquent
principal and interest (P&I) until loans become 180 days delinquent
or are otherwise deemed unrecoverable. If the Servicer fails in its
obligation to make P&I advances, Nationstar Mortgage LLC, as the
Master Servicer, will be obligated to fund such advances. Also, if
the Master Servicer fails in its obligation to make P&I advances,
Citibank, N.A. (rated AA (low) with a Stable trend by DBRS
Morningstar) as the Paying Agent will be obligated to fund such
advances. Additionally, the Servicer is obligated to make advances
with respect to taxes, insurance premiums, and reasonable costs
incurred in the course of servicing and disposing of properties.

The Sponsor, directly or indirectly through a majority-owned
affiliate, is expected to retain an eligible horizontal residual
interest consisting of the Class XS Notes, representing at least 5%
of the fair value of the Notes, to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.

On or after the earlier of (1) the distribution date in September
2024 or (2) the date when the aggregate stated principal balance of
the mortgage loans is reduced to 20% of the Cut-Off Date balance,
the Sponsor may terminate the Issuer (Optional Termination) by
purchasing the loans, any real estate owned properties, and any
other property remaining in the Issuer at the optional termination
price, specified in the transaction documents. After such a
purchase, the Sponsor has the option to complete a qualified
liquidation, which requires a complete liquidation of assets within
the Trust and the distribution of proceeds to the appropriate
holders of regular or residual interests.

The Controlling Holder in the transaction is a majority holder (or
majority holders if there is no single majority holder) of the
outstanding Class XS Notes, initially, the Seller. The Controlling
Holder will have the option, but not the obligation, to repurchase
any mortgage loan that becomes 90 or more days delinquent under the
Mortgage Bankers Association (MBA) Method (or in the case of any
mortgage loan that has been subject to a forbearance plan related
to the impact of the Coronavirus Disease (COVID-19) pandemic, on
any date from and after the date on which such loan becomes more
than 90 days delinquent under the MBA Method from the end of the
forbearance period) at the repurchase price (par plus interest),
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date (excluding any
loan repurchased by the Seller related to a breach of a
representation and warranty).

The transaction's cash flow structure is similar to that of other
non-QM securitizations. The transaction employs a sequential-pay
cash flow structure with a pro rata principal distribution among
the senior tranches subject to certain performance triggers related
to cumulative losses or delinquencies exceeding a specified
threshold (a Trigger Event). Principal proceeds can be used to
cover interest shortfalls on the Class A-1 and Class A-2 Notes
(IIPP) before being applied sequentially to amortize the balances
of the senior and subordinated notes. For the Class A-3 Notes (only
after a Credit Event) and for the mezzanine and subordinate classes
of notes (both before and after a Credit Event), principal proceeds
can be used to cover interest shortfalls as the more senior Notes
are paid in full. Also, the excess spread can be used to cover
realized losses first before being allocated to unpaid Cap
Carryover Amounts due to Class A-1 down to Class B-2.

Coronavirus Impact

The coronavirus pandemic and the resulting isolation measures have
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. Shortly after the onset of the coronavirus, DBRS
Morningstar saw an increase in the delinquencies for many
residential mortgage-backed securities (RMBS) asset classes.

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of coronavirus, the option to forebear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low loan-to-value ratios, and
acceptable underwriting in the mortgage market in general. Across
nearly all RMBS asset classes in recent months, delinquencies have
been gradually trending downward as forbearance periods come to an
end for many borrowers.

As of the Cut-Off Date, there are no loans that are subject to an
active coronavirus-related forbearance plan with the Servicer.

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



RATE MORTGAGE 2021-J3: DBRS Gives Prov. B Rating on B-5 Certs
-------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates to be issued by RATE Mortgage
Trust 2021-J3:

-- $332.6 million Class A-1 at AAA (sf)
-- $332.6 million Class A-2 at AAA (sf)
-- $332.6 million Class A-3 at AAA (sf)
-- $199.5 million Class A-4 at AAA (sf)
-- $199.5 million Class A-5 at AAA (sf)
-- $199.5 million Class A-6 at AAA (sf)
-- $249.2 million Class A-7 at AAA (sf)
-- $249.2 million Class A-8 at AAA (sf)
-- $249.2 million Class A-9 at AAA (sf)
-- $266.0 million Class A-10 at AAA (sf)
-- $266.0 million Class A-11 at AAA (sf)
-- $266.0 million Class A-12 at AAA (sf)
-- $49.9 million Class A-13 at AAA (sf)
-- $49.9 million Class A-14 at AAA (sf)
-- $49.9 million Class A-15 at AAA (sf)
-- $16.6 million Class A-16 at AAA (sf)
-- $16.6 million Class A-17 at AAA (sf)
-- $16.6 million Class A-18 at AAA (sf)
-- $66.5 million Class A-19 at AAA (sf)
-- $66.5 million Class A-20 at AAA (sf)
-- $66.5 million Class A-21 at AAA (sf)
-- $66.5 million Class A-22 at AAA (sf)
-- $66.5 million Class A-23 at AAA (sf)
-- $66.5 million Class A-24 at AAA (sf)
-- $83.1 million Class A-25 at AAA (sf)
-- $83.1 million Class A-26 at AAA (sf)
-- $83.1 million Class A-27 at AAA (sf)
-- $133.0 million Class A-28 at AAA (sf)
-- $133.0 million Class A-29 at AAA (sf)
-- $133.0 million Class A-30 at AAA (sf)
-- $41.9 million Class A-31 at AAA (sf)
-- $41.9 million Class A-32 at AAA (sf)
-- $41.9 million Class A-33 at AAA (sf)
-- $374.4 million Class A-34 at AAA (sf)
-- $374.4 million Class A-35 at AAA (sf)
-- $374.4 million Class A-36 at AAA (sf)
-- $374.4 million Class A-X-1 at AAA (sf)
-- $332.6 million Class A-X-2 at AAA (sf)
-- $332.6 million Class A-X-3 at AAA (sf)
-- $332.6 million Class A-X-4 at AAA (sf)
-- $199.5 million Class A-X-5 at AAA (sf)
-- $199.5 million Class A-X-6 at AAA (sf)
-- $199.5 million Class A-X-7 at AAA (sf)
-- $249.4 million Class A-X-8 at AAA (sf)
-- $249.4 million Class A-X-9 at AAA (sf)
-- $249.4 million Class A-X-10 at AAA (sf)
-- $266.0 million Class A-X-11 at AAA (sf)
-- $266.0 million Class A-X-12 at AAA (sf)
-- $266.0 million Class A-X-13 at AAA (sf)
-- $49.9 million Class A-X-14 at AAA (sf)
-- $49.9 million Class A-X-15 at AAA (sf)
-- $49.9 million Class A-X-16 at AAA (sf)
-- $16.6 million Class A-X-17 at AAA (sf)
-- $16.6 million Class A-X-18 at AAA (sf)
-- $16.6 million Class A-X-19 at AAA (sf)
-- $66.5 million Class A-X-20 at AAA (sf)
-- $66.5 million Class A-X-21 at AAA (sf)
-- $66.5 million Class A-X-22 at AAA (sf)
-- $66.5 million Class A-X-23 at AAA (sf)
-- $66.5 million Class A-X-24 at AAA (sf)
-- $66.5 million Class A-X-25 at AAA (sf)
-- $83.1 million Class A-X-26 at AAA (sf)
-- $83.1 million Class A-X-27 at AAA (sf)
-- $83.1 million Class A-X-28 at AAA (sf)
-- $133.0 million Class A-X-29 at AAA (sf)
-- $133.0 million Class A-X-30 at AAA (sf)
-- $133.0 million Class A-X-31 at AAA (sf)
-- $41.9 million Class A-X-32 at AAA (sf)
-- $41.9 million Class A-X-33 at AAA (sf)
-- $41.9 million Class A-X-34 at AAA (sf)
-- $374.4 million Class A-X-35 at AAA (sf)
-- $374.4 million Class A-X-36 at AAA (sf)
-- $374.4 million Class A-X-37 at AAA (sf)
-- $5.3 million Class B-1 at AA (sf)
-- $5.3 million Class B-1A at AA (sf)
-- $5.3 million Class B-X-1 at AA (sf)
-- $4.7 million Class B-2 at A (sf)
-- $4.7 million Class B-2A at A (sf)
-- $4.7 million Class B-X-2 at A (sf)
-- $2.3 million Class B-3 at BBB (sf)
-- $2.3 million Class B-4 at BB (sf)
-- $0.8 million Class B-5 at B (sf)

Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24,
A-X-25, A-X-26, A-X-27, A-X-28, A-X-29, A-X-30, A-X-31, A-X-32,
A-X-33, A-X-34, A-X-35, A-X-36, A-X-37, B-X-1, and B-X-2 are
interest-only certificates. The class balances represent notional
amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12,
A-13, A-14, A-16, A-17, A-19, A-20, A-21, A-22, A-23, A-25, A-26,
A-27, A-28, A-29, A-30, A-31, A-32, A-34, A-35, A-36, A-X-2, A-X-3,
A-X-4, A-X-5, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14,
A-X-17, A-X-20, A-X-21, A-X-22, A-X-23, A-X-26, A-X-27, A-X-28,
A-X-29, A-X-30, Class A-X-31, Class A-X-32, A-X-35, A-X-36, A-X-37,
B-1, and B-2 are exchangeable certificates. These classes can be
exchanged for combinations of initial exchangeable certificates as
specified in the offering documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, A-20, A-21, A-22,
A-23, A-24, A-25, A-26, A-27, A-28, A-29, and A-30 certificates are
super-senior certificates. These classes benefit from additional
protection from the senior support certificates (Classes A-31,
A-32, and A-33) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 4.30% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 2.95%, 1.75%,
1.15%, 0.55%, and 0.35% of credit enhancement, respectively.

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

This deal is a securitization of a portfolio of first-lien,
fixed-rate, prime residential mortgages funded by the issuance of
the certificates. The Certificates are backed by 426 loans with a
total principal balance of $391,265,955 as of the Cut-Off Date
(September 1, 2021).

Guaranteed Rate, Inc. (Guaranteed Rate), as the Sponsor, began
issuing prime jumbo securitizations from its RATE shelf in early
2021. This transaction represents the third prime jumbo RATE deal.
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of primarily 30 years and a
weighted-average (WA) loan age of one month. Approximately 82.0% of
the pool are traditional, nonagency, prime jumbo mortgage loans,
which includes loans that were underwritten using an automated
underwriting system (AUS) designated by Fannie Mae (45.4%), but may
be ineligible for purchase by such agencies because of loan size.
The remaining 18.0% of the pool are conforming mortgage loans that
were underwritten using an agency AUS and were eligible for
purchase by such agencies.

All of the mortgage loans were originated by Guaranteed Rate.
Guaranteed Rate is also the Servicing Administrator and Sponsor of
the transaction. The loans will be serviced by ServiceMac, LLC.
Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Negative trend
by DBRS Morningstar) will act as the Master Servicer, Securities
Administrator, and Certificate Registrar. Deutsche Bank National
Trust Company will act as the Custodian. Wilmington Savings Fund
Society, FSB will serve as Trustee.

Similar to the prior RATE securitizations, the Servicing
Administrator will fund advances of delinquent principal and
interest (P&I) on any mortgage until such loan becomes 120 days
delinquent or such P&I advances are deemed to be unrecoverable by
the Servicer or the Master Servicer (Stop-Advance Loan). The
Servicing Administrator will also fund advances in respect of
taxes, insurance premiums, and reasonable costs incurred in the
course of servicing and disposing properties.

The interest entitlements for each class in this transaction are
reduced reverse sequentially by the delinquent interest that would
have accrued on the Stop-Advance Loans. In other words, investors
are not entitled to any interest on such severely delinquent
mortgages, unless such interest amounts are recovered. The
delinquent interest recovery amounts, if any, will be distributed
sequentially to the P&I certificates.

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

The Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 to 120 days delinquent
under the Mortgage Bankers Association method at a price equal to
par plus interest and unreimbursed servicing advance amounts,
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date.

For this transaction, three loans (0.8% of the pool by balance) are
in counties designated by the Federal Emergency Management Agency
(FEMA) as having been affected by a natural disaster, not related
to the Coronavirus Disease (COVID-19) pandemic, as of September 16,
2021. The Sponsor has elected to obtain third-party property
disaster inspection (PDI) reports for such FEMA zone loans, and for
any FEMA zone loan where the PDI indicates material damage, the
Sponsor will effect a remedy for the breach of the damage
representation.

CORONAVIRUS PANDEMIC IMPACT

The coronavirus pandemic and the resulting isolation measures have
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
residential mortgage-backed securities (RMBS) asset classes shortly
after the onset of the pandemic.

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
the pandemic, because the option to forebear mortgage payments was
so widely available, it drove forbearance to a very high level.
When the dust settled, coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid, low
loan-to-value ratios, and good underwriting in the mortgage market
in general. Across nearly all RMBS asset classes, delinquencies
have been gradually trending down in recent months as forbearance
periods come to an end for many borrowers.

As of the Cut-Off Date, there are no loans that are subject to an
active coronavirus-related forbearance plan with the Servicer. For
loans that enter into a coronavirus-related forbearance plan after
the Cut-Off Date and prior to or on the Closing Date, the Sponsor
will remove such loans from the mortgage pool and remit the
aggregate stated principal balance plus one month of accrued net
interest (Closing Date Substitution Amount) for such loans. Loans
that enter into a coronavirus-related forbearance plan after the
Closing Date will remain in the pool.

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



RCKT MORTGAGE 2020-1: Moody's Ups Rating on Cl. B-4 Certs From Ba2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 10 classes of
RCKT Mortgage Trust 2020-1 (RCKT 2020-1).

RCKT 2020-1 is a securitization of prime jumbo and agency eligible
mortgage loans originated and serviced by Rocket Mortgage, LLC.

The complete rating action is as follows:

Issuer: RCKT Mortgage Trust 2020-1

Cl. A-13, Upgraded to Aaa (sf); previously on Feb 19, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-14, Upgraded to Aaa (sf); previously on Feb 19, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Feb 19, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-16, Upgraded to Aaa (sf); previously on Feb 19, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Feb 19, 2020
Definitive Rating Assigned A1 (sf)

Cl. B-1A, Upgraded to Aa1 (sf); previously on Feb 19, 2020
Definitive Rating Assigned A1 (sf)

Cl. B-2, Upgraded to Aa2 (sf); previously on Feb 19, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-2A, Upgraded to Aa2 (sf); previously on Feb 19, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Feb 19, 2020 Definitive
Rating Assigned Baa2 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Feb 19, 2020
Definitive Rating Assigned Ba2 (sf)

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

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool. In this
transaction, high prepayment rates averaging 40%-60% over the last
six months, driven by the low interest rate environment, have
benefited the bonds by increasing the paydown and building credit
enhancement.

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

Moody's also considered higher adjustments for this transaction
since more than 10% of the pool is either currently enrolled or was
previously enrolled in a payment relief program. Specifically,
Moody's account for the marginally increased probability of default
for borrowers that have either been enrolled in a payment relief
program for more than 3 months or have already received a loan
modification, including a deferral, since the start of the
pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remain unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead loans
Based on Moody's analysis, the proportion of borrowers that are
enrolled in payment relief plans in the underlying pool ranged
between 2%-5% over the last six months.

RCKT 2020-1 features a structural mechanism where the servicer and
the securities administrator will not advance principal and
interest to loans that are 120 days or more delinquent. The
interest distribution amount will be reduced by the interest
accrued on the stop advance mortgage loans (SAML) and this interest
reduction will be allocated reverse sequentially first to the
subordinate bonds, then to the senior support bond, and then
pro-rata among senior bonds. Once a SAML is liquidated, the net
recovery from that loan's liquidation is allocated first to pay
down the loan's outstanding principal amount and then to repay its
accrued interest. The recovered accrued interest on the loan is
used to repay the interest reduction incurred by the bonds that
resulted from that SAML. The elevated delinquency levels during the
coronavirus pandemic has increased the risk of interest shortfalls
due to stop advancing. Currently class B-5 has around 4 bps of
outstanding stop advance shortfall as of original balance. Due to
the rising house price appreciation and high cure rate of loans in
payment relief program, Moody's expect such interest shortfalls to
be reimbursed over the next several months.

Moody's updated loss expectations on the pool incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transaction, 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 these ratings 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.


REGATTA XII: S&P Assigns BB-(sf) Rating on $13.85MM 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 Regatta XII Funding
Ltd./Regatta XII Funding LLC, a CLO originally issued in 2019,
managed by Regatta Loan Management LLC. At the same time, S&P
withdrew its ratings on the class A-1, A-2, B, C, D, and E notes
following payment in full on the Oct. 15, 2021, refinancing date.

The new replacement notes were issued via a supplemental indenture,
which outlined the terms of the replacement notes. According to the
supplemental indenture, the non-call period will be extended to
Oct. 15, 2022.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $248.00 million: Three-month LIBOR + 1.10%
  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, $23.75 million: Three-month LIBOR + 3.10%
  Class E-R, $13.85 million: Three-month LIBOR + 6.35%

  Original notes

  Class A-1, $248.00 million: Three-month LIBOR + 1.32%
  Class A-2, $13.00 million: Three-month LIBOR + 1.65%
  Class B, $43.00 million: Three-month LIBOR + 1.75%
  Class C, $24.00 million: Three-month LIBOR + 2.45%
  Class D, $22.60 million: Three-month LIBOR + 3.75%
  Class E, $15.00 million: Three-month LIBOR + 6.85%

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. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.

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

  Ratings Assigned

  Regatta XII Funding Ltd./Regatta XII Funding LLC

  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, $23.75 million: BBB- (sf)
  Class E-R, $13.85 million: BB- (sf)

  Ratings Withdrawn

  Regatta XII Funding Ltd./Regatta XII Funding LLC

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

  Other Outstanding Ratings

  Regatta XII Funding Ltd./Regatta XII Funding LLC

  Subordinated notes: NR

  NR--Not rated.



REGIONAL MANAGEMENT 2021-1: DBRS Confirms BB on Class D Debt
------------------------------------------------------------
DBRS, Inc. confirmed 11 ratings from three Regional Management
Issuance Trust transactions.

Regional Management Issuance Trust 2019-1
-- Class A Notes Confirmed AA (sf)
-- Class B Notes Confirmed A (sf)
-- Class C Notes Confirmed BBB (sf)

Regional Management Issuance Trust 2020-1
-- Class A Confirmed AA (sf)
-- Class B Confirmed A (low) (sf)
-- Class C Confirmed BBB (low) (sf)
-- Class D Confirmed BB (sf)

Regional Management Issuance Trust 2021-1
-- Class A Confirmed AA (sf)
-- Class B Confirmed A (sf)
-- Class C Confirmed BBB (sf)
-- Class D Confirmed BB (sf)

The rating actions are based on the following analytical
considerations:

-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary Baseline Macroeconomic Scenarios For
Rated Sovereigns, published on September 8, 2021. These baseline
macroeconomic scenarios replace DBRS Morningstar's moderate and
adverse COVID-19 pandemic scenarios, which were first published in
April 2020. The baseline macroeconomic scenarios reflect the view
that, although COVID-19 remains a risk to the outlook, uncertainty
around the macroeconomic effects of the pandemic has gradually
receded. Current median forecasts considered in the baseline
macroeconomic scenarios incorporate some risks associated with
further outbreaks but remain fairly positive on recovery prospects
given expectations of continued fiscal and monetary policy support.
The policy response to COVID-19 may nonetheless bring other risks
to the forefront in coming months and years.

-- The level of hard credit enhancement in the form of
overcollateralization, subordination, and amounts held in reserve
funds available in each transaction. Hard credit enhancement and
estimated excess spread are sufficient to support the current DBRS
Morningstar rating levels.

-- The collateral performance to date and DBRS Morningstar's
assessment of future performance, including upward revisions to the
expected charge-off assumptions consistent with the expected
unemployment levels in the baseline scenario.

-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.


ROMARK CLO III: Moody's Assigns Ba3 Rating to $19.25MM D-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Romark CLO -- III Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$272,000,000 Class A-1-R Senior Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$44,000,000 Class A-2a-R Senior Floating Rate Notes due 2034,
Assigned Aa2 (sf)

US$7,000,000 Class A-2b-R Senior Fixed Rate Notes due 2034,
Assigned Aa2 (sf)

US$23,250,000 Class B-R Deferrable Mezzanine Floating Rate Notes
due 2034, Assigned A2 (sf)

US$25,500,000 Class C-R Deferrable Mezzanine Floating Rate Notes
due 2034, Assigned Baa3 (sf)

US$19,250,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2034, Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of first lien senior secured loans,
cash, and eligible investments, and up to 10% of the portfolio may
consist of second lien loans, unsecured loans, senior secured
bonds, unsecured bonds and subordinated bonds.

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

In addition to the issuance of the Refinancing Notes and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; changes to the overcollateralization test levels;
the modification of Libor replacement provisions; additions to the
CLO's ability to hold workout and restructured assets; changes to
the definition of "Moody's Default Probability Rating and changes
to the base matrix and modifiers.

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

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

Performing par and principal proceeds: $424,969,166

Defaulted securities: $1,233,622
Diversity Score: 75

Weighted Average Rating Factor (WARF): 2831

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


SEQUOIA MORTGAGE 2021-7: Fitch Rates Class B-4 Certs 'BB-'
----------------------------------------------------------
Fitch Ratings rates the residential mortgage-backed certificates
issued by Sequoia Mortgage Trust 2021-7 (SEMT 2021-7).

DEBT            RATING               PRIOR
----            ------               -----
SEMT 2021-7

A-1       LT AAAsf   New Rating    AAA(EXP)sf
A-10      LT AAAsf   New Rating    AAA(EXP)sf
A-11      LT AAAsf   New Rating    AAA(EXP)sf
A-12      LT AAAsf   New Rating    AAA(EXP)sf
A-13      LT AAAsf   New Rating    AAA(EXP)sf
A-14      LT AAAsf   New Rating    AAA(EXP)sf
A-15      LT AAAsf   New Rating    AAA(EXP)sf
A-16      LT AAAsf   New Rating    AAA(EXP)sf
A-17      LT AAAsf   New Rating    AAA(EXP)sf
A-18      LT AAAsf   New Rating    AAA(EXP)sf
A-19      LT AAAsf   New Rating    AAA(EXP)sf
A-2       LT AAAsf   New Rating    AAA(EXP)sf
A-20      LT AAAsf   New Rating    AAA(EXP)sf
A-21      LT AAAsf   New Rating    AAA(EXP)sf
A-22      LT AAAsf   New Rating    AAA(EXP)sf
A-23      LT AAAsf   New Rating    AAA(EXP)sf
A-24      LT AAAsf   New Rating    AAA(EXP)sf
A-25      LT AAAsf   New Rating    AAA(EXP)sf
A-3       LT AAAsf   New Rating    AAA(EXP)sf
A-4       LT AAAsf   New Rating    AAA(EXP)sf
A-5       LT AAAsf   New Rating    AAA(EXP)sf
A-6       LT AAAsf   New Rating    AAA(EXP)sf
A-7       LT AAAsf   New Rating    AAA(EXP)sf
A-8       LT AAAsf   New Rating    AAA(EXP)sf
A-9       LT AAAsf   New Rating    AAA(EXP)sf
AIO-1     LT AAAsf   New Rating    AAA(EXP)sf
AIO-10    LT AAAsf   New Rating    AAA(EXP)sf
AIO-11    LT AAAsf   New Rating    AAA(EXP)sf
AIO-12    LT AAAsf   New Rating    AAA(EXP)sf
AIO-13    LT AAAsf   New Rating    AAA(EXP)sf
AIO-14    LT AAAsf   New Rating    AAA(EXP)sf
AIO-15    LT AAAsf   New Rating    AAA(EXP)sf
AIO-16    LT AAAsf   New Rating    AAA(EXP)sf
AIO-17    LT AAAsf   New Rating    AAA(EXP)sf
AIO-18    LT AAAsf   New Rating    AAA(EXP)sf
AIO-19    LT AAAsf   New Rating    AAA(EXP)sf
AIO-2     LT AAAsf   New Rating    AAA(EXP)sf
AIO-20    LT AAAsf   New Rating    AAA(EXP)sf
AIO-21    LT AAAsf   New Rating    AAA(EXP)sf
AIO-22    LT AAAsf   New Rating    AAA(EXP)sf
AIO-23    LT AAAsf   New Rating    AAA(EXP)sf
AIO-24    LT AAAsf   New Rating    AAA(EXP)sf
AIO-25    LT AAAsf   New Rating    AAA(EXP)sf
AIO-26    LT AAAsf   New Rating    AAA(EXP)sf
AIO-3     LT AAAsf   New Rating    AAA(EXP)sf
AIO-4     LT AAAsf   New Rating    AAA(EXP)sf
AIO-5     LT AAAsf   New Rating    AAA(EXP)sf
AIO-6     LT AAAsf   New Rating    AAA(EXP)sf
AIO-7     LT AAAsf   New Rating    AAA(EXP)sf
AIO-8     LT AAAsf   New Rating    AAA(EXP)sf
AIO-9     LT AAAsf   New Rating    AAA(EXP)sf
AIO-S     LT NRsf    New Rating    NR(EXP)sf
B-1       LT AA-sf   New Rating    AA-(EXP)sf
B-2       LT A-sf    New Rating    A-(EXP)sf
B-3       LT BBB-sf  New Rating    BBB-(EXP)sf
B-4       LT BB-sf   New Rating    BB-(EXP)sf
B-5       LT NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The certificates are supported by 455 loans with a total balance of
approximately $407.14 million, as of the cut-off date. The pool
consists of prime fixed-rate mortgages acquired by Redwood
Residential Acquisition Corp. from various mortgage originators.
Distributions of principal and interest (P&I) and loss allocations
are based on a senior subordinate, shifting-interest structure.

KEY RATING DRIVERS

High Quality Mortgage Pool (Positive): The collateral consists of
455 full documentation loans, totaling $407.14 million and seasoned
at approximately one month in aggregate (the difference between the
origination date and the cut-off date). The borrowers have a strong
credit profile (773 model FICO; 32.3% debt-to-income ratio) and
moderate leverage (81.6% sustainable loan-to-value ratio). Of the
pool, 94.2% consist of loans for primary residences, while 5.8% are
for second homes. Additionally, 91.1% of the loans were originated
through a retail channel, and 100% are designated as qualified
mortgage (QM) loans.

Updated Sustainable Home Prices (Negative): "Updated Sustainable
Home Prices: Due to Fitch's updated view on sustainable home
prices, Fitch views the home price values of this pool as 13.3%
above a long-term sustainable level (versus 11.7% on a national
level). Underlying fundamentals are not keeping pace with the
growth in prices, which is a result of a supply/demand imbalance
driven by low inventory, low mortgage rates and new buyers entering
the market. These trends have led to significant home price
increases over the past year, with home prices rising 18.6% yoy
nationally as of June 2021.

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

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature most commonly used by Redwood's program for
loans more than 120 days' delinquent (a stop-advance loan). Unpaid
interest on stop advance loans reduces the amount of interest that
is contractually due to bondholders in reverse-sequential order.
While this feature helps to limit cash flow leakage to subordinate
bonds, it can result in interest reductions to rated bonds in
high-stress scenarios.

120-Day Stop Advance (Mixed): The deal is structured to four months
of servicer advances for delinquent P&I. The limited advancing
reduces loss severities, as a lower amount is repaid to the
servicer when a loan liquidates.

CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, a subordination floor
of 0.85% of the original balance will be maintained for the
certificates.

RATING SENSITIVITIES

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

-- Fitch's incorporates a sensitivity analysis to demonstrate how
    the ratings would react to steeper market value declines
    (MVDs) than assumed at the MSA level. Sensitivity analysis was
    conducted at the state and national level to assess the effect
    of higher MVDs for the subject pool. This defined negative
    rating sensitivity analysis demonstrates how the ratings would
    react to steeper MVDs at the national level.

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

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

-- Fitch's incorporates a sensitivity analysis to demonstrate how
    the ratings would react to steeper MVDs than assumed at the
    MSA level. Sensitivity analysis was conducted at the state and
    national level to assess the effect of lower MVDs. This
    defined positive rating sensitivity analysis demonstrates how
    the ratings would react to positive home price growth of 10%
    with no assumed overvaluation.

-- Excluding the senior class, which is already rated 'AAAsf',
    the analysis indicates there is potential positive rating
    migration for all of the rated classes. Specifically, a 10%
    gain in home prices would result in a full category upgrade
    for the rated class excluding those being assigned ratings of
    'AAAsf'. This section provides insight into the model-implied
    sensitivities the transaction faces when one assumption is
    modified, while holding others equal. The modeling process
    uses the modification of these variables to reflect asset
    performance in up and down environments. The results should
    only be considered as one potential outcome, as the
    transaction is exposed to multiple dynamic risk factors. It
    should not be used as an indicator of possible future
    performance.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on about 83% of the pool. The
third-party due diligence was consistent with Fitch's "U.S. RMBS
Rating Criteria." Clayton and EdgeMac, were engaged to perform the
review. Loans reviewed under this engagement were given compliance,
credit and valuation grades and assigned initial grades for each
subcategory. Minimal exceptions and waivers were noted in the due
diligence reports. Refer to the Third-Party Due Diligence section
of the presale report for further details. Fitch also utilized data
files that were made available by the issuer on its SEC Rule
17g-5-designated website. Fitch received loan-level information
based on the American Securitization Forum's (ASF) data layout
format, and the data are considered comprehensive. The ASF data
tape layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the ASF layout data tape were reviewed by the
due diligence companies, and no material discrepancies were noted.

ESG CONSIDERATIONS

Sequoia Mortgage Trust 2021-6 has an ESG Relevance Score of '4' [+]
for Transaction Parties & Operational Risk due to the strong
counterparties and well controlled operational considerations.,
which has a positive impact on the credit profile, and is relevant
to the rating[s] in conjunction with other factors.

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


SHELTER GROWTH 2021-FL3: DBRS Finalizes B(low) Rating on H Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings to the following
classes of notes issued by Shelter Growth CRE 2021-FL3 Issuer Ltd:

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

All trends are Stable.

The collateral pool consists of 20 short-term, floating-rate
mortgage assets with an aggregate cutoff date balance of $453.9
million secured by 26 properties. The aggregate unfunded future
funding commitment of the future funding participations as of the
cutoff date is approximately $32.3 million. The holder of the
future funding companion participations, Shelter Growth Master Term
Fund B III LP, has full responsibility to fund the future funding
companion participations. The collateral pool for the transaction
is static with no ramp-up period or reinvestment period. However,
the Issuer has the right to use principal proceeds to acquire fully
funded future funding participations, subject to stated criteria,
during the Permitted Funded Companion Participation Acquisition
period, which ends on the payment date in September 2023.
Acquisition of future funding participations of $1.0 million or
greater will require rating agency confirmation (RAC).

Of the 26 properties, 24 are predominantly multifamily assets
(94.7% of the mortgage asset cutoff date balance). One of the
remaining loans (Russell Commerce Center) is secured by an
industrial asset (3.1% of the mortgage asset cutoff date balance)
and the other remaining loan (31-75 23rd Street) is secured by an
office asset (2.2% of the mortgage asset cutoff date balance).

The loans are mostly secured by cash-flowing assets, most of which
are in a period of transition with plans to stabilize and improve
the assets' values. Five loans are whole loans (32.4% of the
mortgage asset cutoff date balance), while the other 14 loans
(67.6% of the mortgage asset cutoff date balance) are
participations with companion participations that have remaining
future funding commitments totaling $32.3 million. The future
funding for each loan is generally to be used for capital
expenditures to renovate the property or build out space for new
tenants.

All of the loans in the pool have floating interest rates initially
indexed to Libor. All 20 loans are interest only (IO) through their
initial terms; 17 loans are IO through all extension options (88.6%
of the mortgage asset cutoff date balance) while the remaining
three loans (11.4% of the mortgage asset cutoff date balance)
exhibit some form of amortization during an extension option. As
such, to determine a stressed interest rate over the loan term,
DBRS Morningstar used the one-month Libor index, which was the
lower of DBRS Morningstar's stressed rates that corresponded to the
remaining fully extended term of the loans and the strike price of
the interest rate cap with the respective contractual loan spread
added. The properties are often transitioning with potential upside
in cash flow; however, DBRS Morningstar does not give full credit
to the stabilization if there are no holdbacks or if the other loan
structural features are insufficient to support such treatment.
Furthermore, even if the structure is acceptable, DBRS Morningstar
generally does not assume the assets will stabilize above market
levels.

The pool is mostly composed of multifamily assets (94.7% of the
mortgage asset cutoff date balance). Historically, multifamily
properties have defaulted at much lower rates than other property
types in the overall commercial mortgage-back security (CMBS)
universe.

Only one loan in the pool (Cantebria Crossing; Prospectus ID#20)
was originated prior to the onset of the coronavirus pandemic,
resulting in the pool's weighted average (WA) remaining fully
extended term of 49 months, which gives the sponsors enough time to
execute their respective business plans without risk of imminent
maturity. In addition, the appraisal and financial data provided
are reflective of conditions after the onset of the pandemic.

The pool exhibits a relatively high WA DBRS Morningstar Market Rank
of 4.8. Additionally, 55.77% of the mortgage asset cutoff date
balance is in a DBRS Morningstar Market Rank between 5 and 8, which
are generally indicative of a lower probability of default (POD)
and loss severity given default (LGD).

Five loans, comprising approximately 39.2% of the mortgage asset
cutoff date balance, are in DBRS Morningstar metropolitan
statistical area (MSA) Group 3. Additionally, only three loans,
comprising approximately 9.1% of the mortgage asset cutoff date
balance, are in DBRS Morningstar MSA Group 1, which is the most
punitive group, exhibiting the highest POD and LGD of all the DBRS
Morningstar MSA Groups.

Nine properties, comprising 54.9% of the mortgage asset cutoff date
balance, were built after 2016 and five properties, comprising
36.3% of the mortgage asset cutoff date balance, were built in
2021. Because many of the loans are backed by recently built
collateral, approximately 46.9% of the pool received a property
quality score of either Above Average or Average +.

DBRS Morningstar has analyzed the loans to a stabilized cash flow
that is, in some instances, above the in-place cash flow. It is
possible that a related loan sponsor will not successfully execute
its business plan and that the higher stabilized cash flow will not
materialize during the loan term, particularly with the ongoing
coronavirus pandemic and its impact on the overall economy. The
loan sponsor's failure to execute the business plan could result in
a term default or the inability to refinance the fully funded loan
balance. DBRS Morningstar sampled a large portion of the loans,
representing 82.4% of the mortgage asset cutoff date balance. DBRS
Morningstar made relatively conservative stabilization assumptions
and, in each instance, considered the business plans to be rational
and the loan structure to be sufficient to substantially implement
such plans. In addition, DBRS Morningstar analyzes LGD based on the
as-is credit metrics, assuming the loan is fully funded with no net
cash flow or value upside. Future funding companion participations
will be held by affiliates of Shelter Growth Master Term Fund B III
LP and have the obligation to make future advances. Shelter Growth
Master Term Fund B III LP agrees to indemnify the Issuer against
losses arising out of the failure to make future advances when
required under the related participated loan. Furthermore, Shelter
Growth Master Term Fund B III LP will be required to meet certain
liquidity requirements on a quarterly basis.

The top 10 largest loans in the pool make up a significant portion
of the entire pool at approximately 71.6% of the mortgage asset.
Additionally, the loan has a relatively low Herfindahl score of
13.9. The two largest loans in the pool, 45-57 Davis Street and
Fulton & Ralph, make up approximately 27.1% of the mortgage asset
cutoff date balance and exhibit two of the lowest expected loss
levels in the pool. Additionally, the properties securing both
loans are in New York City and exhibit DBRS Morningstar Market
Ranks of 6 and 7, respectively.

All 20 loans have floating interest rates, and all loans are IO
during the original term with remaining initial terms ranging from
14 months to 47 months. All loans are short-term loans and, even
with extension options, they have a fully extended maximum loan
term of five years. For the floating-rate loans, DBRS Morningstar
used the one-month Libor index, which is based on the lower of a
DBRS Morningstar stressed rate that corresponded to the remaining
fully extended term of the loans or the strike price of the
interest rate cap with the respective contractual loan spread added
to determine a stressed interest rate over the loan term. The
borrowers of all 20 floating-rate loans have purchased Libor rate
caps that result in mortgage rate caps ranging from 4.30% to 8.75%
to protect against rising interest rates through the duration of
the loan term. In addition to the fulfillment of certain minimum
performance requirements, exercise of any extension options would
also require the repurchase of interest rate cap protection through
the duration of the respectively exercised option.

DBRS Morningstar conducted minimal management tours because of
health and safety constraints associated with the ongoing
coronavirus pandemic. As a result, DBRS Morningstar relied heavily
on third-party reports, online data sources, and information
provided by the Issuer to determine the overall DBRS Morningstar
property quality assigned to each loan. Recent third-party reports
were provided for all loans and contained property quality
commentary and photos. DBRS Morningstar did conduct site
inspections on several loans in the broader New York City and
Philadelphia markets, totaling 39.8% of the mortgage asset cutoff
date balance.

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



SIERRA TIMESHARE 2021-2: Fitch Gives BB(EXP) Rating to Cl. D Debt
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Outlooks to notes
issued by Sierra Timeshare 2021-2 Receivables Funding LLC
(2021-2).

DEBT           RATING
----           ------
Sierra Timeshare 2021-2 Receivables Funding LLC

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

KEY RATING DRIVERS

Borrower Risk - Stronger Collateral Pool: Approximately 62.81% of
Sierra 2021-2 consists of WVRI-originated loans, the lowest such
concentration since the 2016-1 transaction, which Fitch considers a
credit positive. The remaining loans were originated by WRDC. Fitch
has determined that, on a like-for-like FICO basis, WRDC's
receivables perform better than WVRI's. The weighted average (WA)
original FICO score of the pool is 730. Overall, the 2021-2 pool
shows an increase in WRDC loans and a moderate shift upward in
FICO-band concentrations for the WVRI platform relative to the
2021-1 transaction.

Forward-Looking Approach on CGD Proxy - Early Moderating in
Performance: Similar to other timeshare originators, Travel
+Leisure Co's (T+L) delinquency and default performance exhibited
notable increases in the 2007-2008 vintages, stabilizing in 2009
and thereafter. However, more recent vintages, in 2014-2018, have
experienced increasing gross defaults versus vintages back to 2009,
partially driven by increased paid product exits (PPEs). While
limited in seasoning, the 2020 managed portfolio vintages and
2020-2021 ABS transactions are experiencing lower default trends
then prior vintages.

Fitch's cumulative gross default (CGD) proxy for this pool is
21.50% (lower than 22.40% in 2021-1). Fitch takes into
consideration the strength of the economy, as well as future
expectations, by assessing key macroeconomic indicators correlated
with timeshare loan performance, such as GDP and the unemployment
rate, demand for travel/tourism and recent stabilization in
performance.

Coronavirus Pressure Easing: 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. However, Fitch's initial base case CGD proxy was still
conservatively derived using weaker-performing 2007-2009 and
2016-2018 vintages.

Structural Analysis - Lower CE Structure Deal over Deal: Initial
hard credit enhancement (CE) for the class A, B, C and D notes is
67.20%, 38.50%, 14.30% and 4.50%, respectively. CE is lower than in
2021-1 for the class A through C notes (70.20%, 40.70%, and 17.00,
respectively), but remains above that of pre-pandemic transactions
for class A through C.

Hard CE comprises overcollateralization, a reserve account and
subordination. Soft CE is also provided by excess spread and is
expected to be 11.7% per annum. Loss coverage for all notes is able
to support default multiples at or above 3.50x, 2.50x, 1.75x and
1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively. The
decline in CE is primarily attributed to a slightly stronger
collateral pool than in 2021-1, as evidenced by the decline in the
base case default proxy.

Originator/Seller/Servicer Operational Review - Quality of
Origination/Servicing: T+L has demonstrated sufficient abilities as
an originator and servicer of timeshare loans. This is evidenced by
the historical delinquency and loss performance of securitized
trusts and of the managed portfolio.

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.

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 CGD is 20% less
    than the projected proxy, the expected ratings would be
    maintained for class A notes at stronger rating multiples. For
    the class B, C and D notes, the multiples would increase
    resulting for potential upgrade of one rating category, one
    notch, 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 Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and recomputation of
certain characteristics with respect to 155 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.


SIERRA TIMESHARE 2021-2: S&P Assigns Prelim 'BB' Rating on D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Sierra
Timeshare 2021-2 Receivables Funding LLC's timeshare loan-backed,
fixed-rate notes.

The note issuance is an ABS securitization backed by vacation
ownership interest (timeshare) loans.

The preliminary ratings are based on information as of Oct. 14,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect our view of the credit enhancement
available in the form of subordination, overcollateralization, a
reserve account, and available excess spread. The preliminary
ratings also reflect our view of Wyndham Consumer Finance Inc.'s
servicing ability and experience in the timeshare market.

  Preliminary Ratings Assigned

  Sierra Timeshare 2021-2 Receivables Funding LLC

  Class A, $126.070 million: AAA (sf)
  Class B, $102.500 million: A (sf)
  Class C, $86.430 million: BBB (sf)
  Class D, $35.000 million: BB (sf)



SIXTH STREET XX: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Sixth Street
CLO XX Ltd./Sixth Street CLO XX LLC's floating-rate notes.

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

The preliminary ratings are based on information as of Oct. 14,
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

  Sixth Street CLO XX Ltd./Sixth Street CLO XX LLC

  Class A-1, $310.00 million: AAA (sf)
  Class A-2, $15.00 million: Not rated
  Class B, $55.00 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $17.50 million: BB- (sf)
  Subordinated notes, $51.25 million: Not rated



SOUND POINT XXVII: S&P Assigns Prelims BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, A-R, B-1-R, B-2-R, C-1-R, C-2-R, D-R, and E-R replacement
notes from Sound Point CLO XXVII Ltd./Sound Point CLO XXVII LLC, a
CLO originally issued in September 2020 that is managed by Sound
Point Capital Management L.P.

The preliminary ratings are based on information as of Oct. 15,
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 class X-R, A-R, B-1-R, D-R, and E-R notes are
expected to be issued at a lower spread over three-month LIBOR than
the original notes.

-- The replacement class B-2-R notes are expected to be issued at
a higher coupon than the original notes.

-- The original class C notes are expected to be split into two
classes: C-1-R and C-2-R, which will be paid pro rata at a floating
spread over three-month LIBOR and a fixed coupon, respectively.

-- The replacement class X-R, A-R, B-1-R, D-R, and E-R notes are
expected to be issued at a new floating spread. The replacement
class B-2-R notes are expected to be issued at a new fixed coupon.

-- The class B-2-R and C-2-R fixed coupon notes are expected to be
converted into floating spread notes on the Oct. 25, 2025, payment
date. Once converted, the classes are expected to have the same
floating spread as the class B-1-R and C-1-R notes, respectively.

-- The stated maturity and reinvestment period will be extended
three years, while the 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 $500.00 million. The first payment date following the first
refinancing date is expected to be Jan. 25, 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 conforming to updated rating agency
methodology. It is also amending the required minimums on the
overcollateralization tests.

-- New class X-R notes are expected to be issued in connection
with this refinancing. These class X-R notes are expected to be
paid down using interest proceeds during the first eight payment
dates, beginning with the Jan. 25, 2022, payment date.

-- Of the identified underlying collateral obligations, 99.88%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 92.79%
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
  
  Sound Point CLO XXVII Ltd./Sound Point CLO XXVII LLC

  Class X-R, $1.50 million: AAA (sf)
  Class A-R, $315.00 million: AAA (sf)
  Class B-1-R, $57.00 million: AA (sf)
  Class B-2-R, $8.00 million: AA (sf)
  Class C-1-R (deferrable), $23.00 million: A (sf)
  Class C-2-R (deferrable), $7.00 million: A (sf)
  Class D-R (deferrable), $27.50 million: BBB- (sf)
  Class E-R (deferrable), $22.50 million: BB- (sf)
  Subordinated notes, $45.70 million: Not rated



TCP DLF 2018: DBRS Hikes Class D Notes Rating to BB(high)
---------------------------------------------------------
DBRS, Inc. upgraded the ratings on the Class A-2 Notes to AA (high)
(sf) from AA (sf), Class B Notes to A (high) (sf) from A (sf),
Class C Notes to BBB (high) (sf) from BBB (sf), Class D Notes to BB
(high) (sf) from BB (sf), and the Class E Notes to B (high) (sf)
from B (sf) and confirmed the ratings on the Class A-1 Notes at AAA
(sf) and the Combination Notes at BBB (low) (SF) issued by TCP DLF
VIII 2018 CLO, LLC (the Issuer) pursuant to the Note Purchase and
Security Agreement dated as of February 28, 2018, among TCP DLF
VIII 2018 CLO, LLC as Issuer; U.S. Bank National Association (rated
AA (high) with a Stable trend by DBRS Morningstar) as Collateral
Agent, Custodian, Collateral Administrator, Information Agent, and
Note Agent; and the Purchasers referred to therein. DBRS
Morningstar subsequently discontinued and withdrew the BBB (low)
(sf) rating on the Combination Notes at the request of the Issuer.

The ratings on the Class A-1 Notes and Class A-2 Notes address the
timely payment of interest (excluding the additional 1% of interest
payable at the Post-Default Rate as defined in the Note Purchase
and Security Agreement) and the ultimate repayment of principal on
or before the Stated Maturity (as defined in the Note Purchase and
Security Agreement). The ratings on the Class B Notes, Class C
Notes, Class D Notes, and Class E Notes address the ultimate
payment of interest (excluding the additional 1% of interest
payable at the Post-Default Rate as defined in the Note Purchase
and Security Agreement) and the ultimate payment of principal on or
before the Stated Maturity (as defined in the Note Purchase and
Security Agreement). The Class A-2 Notes, Class B Notes, Class C
Notes, Class D Notes, and Class E Notes were upgraded because of
the decreasing weighted-average life and resulting increased
cushion between the Stressed Portfolio Default Rate and Hurdle Rate
for each rating level.

The rating on the Combination Notes addressed the ultimate
repayment of the Combination Note Rated Principal Balance (as
defined in the Note Purchase and Security Agreement) on or before
the Stated Maturity (as defined in the Note Purchase and Security
Agreement). The Combination Notes have no stated coupon.

The Notes issued by the Issuer are collateralized primarily by a
portfolio of U.S. middle-market corporate loans. The Issuer will be
managed by Series I of SVOF/MM, LLC (the Collateral Manager), a
consolidated subsidiary of Tennenbaum Capital Partners, LLC, which
is itself a wholly-owned subsidiary of BlackRock, Inc. DBRS
Morningstar considers Series I of SVOF/MM, LLC to be an acceptable
collateralized loan obligation (CLO) manager.

The Combination Notes consist of a portion of the principal amount
(the Components) of the initial original principal amounts of each
of the Class A-2 Notes, Class B Notes, Class C Notes, Class D
Notes, Class E Notes, and Subordinated Notes (the Underlying
Classes). Each Component of the Combination Notes is treated as
Notes of the respective Underlying Class. Payments on any
Underlying Class shall be allocated to the relevant Combination
Notes in the proportion that the outstanding principal amount of
the applicable Component bears to the outstanding principal amount
of such Underlying Class as a whole (including all related
Components). Each Component of the Combination Notes bears interest
and shall receive payments in the same manner as the related
Underlying Class and each Component mature and be payable on the
Stated Maturity in the same manner as the related Underlying
Class.

All interest and principal amounts paid on the Secured Notes and
any distributions made to the Subordinated Notes are the only
sources of payment for the Combination Notes. All payments made on
the Component Notes (whether interest, principal, or otherwise)
shall reduce the Combination Note Rated Principal Balance. The
Combination Notes shall remain outstanding until the earlier of (1)
the payment in full and redemption of each Component or (2) the
Stated Maturity of each Component.

The Combination Notes were rated by applying the methodology
“Rating CLOs and CDOs of Large Corporate Credit” to the loans
securing the Component Notes.

To assess portfolio credit quality, DBRS Morningstar provides a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio not rated by DBRS Morningstar.
Credit estimates are not ratings; rather, they represent a
model-driven default probability for each obligor that is used in
assigning a rating to the facility.

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



TCW CLO 2017-1: S&P Assigns Prelim BB-(sf) Rating on Cl. ERR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
XRR, A1RR, A2RR, BRR, CRR, DRR, and ERR replacement notes from TCW
CLO 2017-1 Ltd./TCW CLO 2017-1 LLC, a CLO originally issued in 2017
and refinanced in 2020 that is managed by TCW Asset Management Co.
LLC.

The preliminary ratings are based on information as of Oct. 15,
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 non-call period will be extended to Oct. 29, 2023.

-- The reinvestment period will be extended to Oct. 29, 2026.

-- The legal final maturity dates (for the replacement notes and
the existing subordinated notes) will be extended to Oct. 29,
2034.

-- The weighted average life test will be extended to nine years
from the refinancing date.

-- Additional assets will be purchased on the Oct. 17, 2021,
refinancing date, and the target initial par amount will increase
to $500.00 million. There will be no additional effective date or
ramp-up period, and the first payment date following the
refinancing is Jan. 29, 2022.

-- The class XRR notes will be issued on the refinancing date and
are expected to be paid down using interest proceeds during the
first 15 payment dates in equal installments of $266,666.67,
beginning on the January 2022 payment date and ending July 2025.

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

-- 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 XRR, $4.00 million: Three-month LIBOR + 0.85%
  Class A1RR, $305.50 million: Three-month LIBOR + 1.18%
  Class A2RR, $20.00 million: Three-month LIBOR + 1.45%
  Class BRR, $55.50 million: Three-month LIBOR + 1.70%
  Class CRR, $30.00 million: Three-month LIBOR + 2.30%
  Class DRR, $30.00 million: Three-month LIBOR + 3.67%
  Class ERR, $20.00 million: Three-month LIBOR + 6.78%
  Subordinated notes, $50.60 million: Not applicable

  Original notes

  Class AR, $261.00 million: Three-month LIBOR + 1.45%
  Class BR, $42.50 million: Three-month LIBOR + 1.70%
  Class CR, $28.00 million: Three-month LIBOR + 2.30%
  Class DR, $22.00 million: Three-month LIBOR + 3.67%
  Class ER, $16.50 million: Three-month LIBOR + 6.78%
  Subordinated notes, $40.60 million: Not applicable

S&Ps aid, "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

  TCW CLO 2017-1 Ltd./TCW CLO 2017-1 LLC

  Class XRR, $4.00 million: AAA (sf)
  Class A1RR, $305.50 million: AAA (sf)
  Class A2RR, $20.00 million: AAA (sf)
  Class BRR, $55.50 million: AA (sf)
  Class CRR (deferrable), $30.00 million: A (sf)
  Class DRR (deferrable), $30.00 million: BBB- (sf)
  Class ERR (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $50.60 million: Not rated



TOWD POINT 2018-SL1: DBRS Confirms Ratings on All Trust Classes
----------------------------------------------------------------
DBRS, Inc. confirmed its ratings on all classes of Towd Point Asset
Trust 2018-SL1.

The Affected Ratings Are Available at https://bit.ly/3iTvjvS

The confirmations are based on the following analytical
considerations:

-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios For
Rated Sovereigns," published on September 8, 2021. These baseline
macroeconomic scenarios replace DBRS Morningstar's moderate and
adverse Coronavirus Disease (COVID-19) pandemic scenarios, which
were first published in April 2020. The baseline macroeconomic
scenarios reflect the view that, although the coronavirus remains a
risk to the outlook, uncertainty around the macroeconomic effects
of the pandemic has gradually receded. Current median forecasts
considered in the baseline macroeconomic scenarios incorporate some
risks associated with further outbreaks, but remain fairly positive
on recovery prospects given expectations of continued fiscal and
monetary policy support. The policy response to the coronavirus may
nonetheless bring other risks to the forefront in coming months and
years.

-- Transaction capital structure and credit enhancement levels are
sufficient for the current ratings.

-- Credit enhancement is in the form of overcollateralization,
reserve accounts, and excess spread, with senior notes benefiting
from the subordination of junior notes. Credit enhancement levels
are sufficient to support the DBRS Morningstar-expected default and
loss severity assumptions under various stress scenarios.

-- Collateral performance is within expectations and cumulative
net losses remain low. Forbearance and delinquency levels remain
relatively stable.

Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (May 26, 2021), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



TRALEE CLO V: S&P Assigns Prelim B- (sf) Rating on Class F-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, B-R, D-R, and E-R replacement notes and proposed new class
A-X-R notes from Tralee CLO V Ltd., a CLO originally issued in
October 2018 that is managed by Par Four Investment Management
LLC.

The preliminary ratings are based on information as of Oct. 14,
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 replacement class A-1-R, B-R, D-R, and E-R notes are
expected to be issued at a higher spread over three-month LIBOR
than the original notes.

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

-- The stated maturity will be extended six years, and the
reinvestment period will be reinstated and extended six years from
the original reinvestment period end date.

-- The class A-X-R notes were issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during the first 20 payment dates beginning with
the payment date in January 2022.

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

  Tralee CLO V Ltd.

  Class A-X-R, $3.70 million: AAA (sf)
  Class A-1-R, $240.00 million: AAA (sf)
  Class B-R, $45.00 million: AA (sf)
  Class C-1-R (deferrable), $18.50 million: A (sf)
  Class C-F-R (deferrable), $4.00 million: A (sf)
  Class D-R (deferrable), $22.50 million: BBB- (sf)
  Class E-R (deferrable), $15.00 million: BB- (sf)
  Class F-R (deferrable), $2.25 million: B- (sf)
  Subordinated notes, $36.00 million: Not rated



VERUS SECURITIZATION 2021-5: DBRS Finalizes B Rating on B-2 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgaged-Backed Notes, Series 2021-5 issued by Verus
Securitization Trust 2021-5:

-- $471.6 million Class A-1 at AAA (sf)
-- $38.3 million Class A-2 at AA (sf)
-- $68.4 million Class A-3 at A (sf)
-- $38.3 million Class M-1 at BBB (sf)
-- $25.1 million Class B-1 at BB (sf)
-- $18.6 million Class B-2 at B (sf)

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

The AAA (sf) rating on the Class A-1 Notes reflects 30.35% of
credit enhancement provided by subordinate notes. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 24.70%, 14.60%,
8.95%, 5.25%, and 2.50% of credit enhancement, respectively.

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on
Verus Securitization Trust 2021-5 (Verus 2021-5 or the Trust), a
securitization of a portfolio of primarily fixed- and
adjustable-rate, expanded prime and nonprime, first-lien
residential mortgages funded by the issuance of the Mortgage-Backed
Notes, Series 2021-5 (the Notes). The Notes are backed by 1,136
mortgage loans with a total principal balance of $677,075,323 as of
the Cut-Off Date* (September 1, 2021).

Subsequent to the issuance of the related Presale Report, there
were loans with minimal balance updates. The Notes are backed by
1,141 mortgage loans with a total principal balance of $678,534,824
in the Presale Report. Unless specified otherwise, all the
statistics regarding the mortgage loans in this report are based on
the Presale Report balance.

The top originator for the mortgage pool is Calculated Risk
Analytics, LLC doing business as Excelerate Capital (11.7%). The
remaining originators each comprise less than 10.0% of the mortgage
loans. The Servicers of the loans are Shellpoint Mortgage Servicing
(85.5%); Specialized Loan Servicing (4.9%); Fay Servicing, LLC
(6.3%); and Lima One Capital, LLC (0.7%).

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's Ability-to-Repay (ATR) rules, they
were made to borrowers who generally do not qualify for agency,
government, or private-label non-agency prime jumbo products for
various reasons. In accordance with the Qualified Mortgage (QM)/ATR
rules, 49.1% of the loans are designated as non-QM, 0.1% are
designated as QM Safe Harbor, and 0.1% are designated as QM
Rebuttable Presumption. Approximately 50.7% of the loans are made
to investors for business purposes and, hence, are not subject to
the QM/ATR rules.

The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible vertical interest, representing
at least 5% of the Notes to satisfy the credit risk-retention
requirements under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder.

On or after the earlier of (1) the Payment Date occurring in
September 2024 or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Administrator, at the Issuer's option, may redeem all
of the outstanding Notes at a price equal to the greater of (A) the
class balances of the related Notes plus accrued and unpaid
interest, including any cap carryover amounts and (B) the class
balances of the related Notes less than 90 days delinquent with
accrued unpaid interest plus fair market value of the loans 90 days
or more delinquent and real estate-owned properties. After such
purchase, the Depositor must complete a qualified liquidation,
which requires (1) a complete liquidation of assets within the
Trust and (2) proceeds to be distributed to the appropriate holders
of regular or residual interests.

The Principal and Interest (P&I) Advancing Party or Servicer (for
loans serviced by SLS) will fund advances of delinquent (P&I) on
any mortgage until such loan becomes 90 days delinquent. The P&I
Advancing Party or Servicer has no obligation to advance P&I on a
mortgage approved for a forbearance plan during its related
forbearance period. The Servicers, however, are obligated to make
advances in respect of taxes, insurance premiums, and reasonable
costs incurred in the course of servicing and disposing
properties.

This transaction incorporates a sequential-pay cash flow structure
with a pro rata feature among the senior tranches. Principal
proceeds can be used to cover interest shortfalls on the Class A-1
and A-2 Notes sequentially (IIPP) after a Trigger Event. For more
subordinated Notes, principal proceeds can be used to cover
interest shortfalls as the more senior Notes are paid in full.
Furthermore, excess spread can be used to cover realized losses and
prior period bond writedown amounts first before being allocated to
unpaid cap carryover amounts to Class A-1 down to Class B-2.

Approximately 36.8% of the loans were originated under a Property
Focused Investor Loan Debt Service Coverage Ratio program and 5.1%
were originated under a Property Focused Investor Loan program.
Both programs allow for property cash flow/rental income to qualify
borrowers for income.

Coronavirus Impact

The Coronavirus Disease (COVID-19) pandemic and the resulting
isolation measures caused an immediate economic contraction,
leading to sharp increases in unemployment rates and income
reductions for many consumers. Shortly after the onset of the
pandemic, DBRS Morningstar saw an increase in delinquencies for
many residential mortgage-backed securities (RMBS) asset classes.

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the pandemic, the option to forebear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low loan-to-value ratios, and
acceptable underwriting in the mortgage market in general. Across
nearly all RMBS asset classes in recent months delinquencies have
been gradually trending downward, as forbearance periods come to an
end for many borrowers.

As of the Cut-Off Date, there are no loans that are subject to an
active coronavirus-related forbearance plan with the Servicer.

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



VERUS SECURITIZATION 2021-6: S&P Assigns Prelim B (sf) on B-2 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2021-6's mortgage-backed notes.

The note issuance is an RMBS securitization backed by primarily
first-lien, fixed-rate, and adjustable-rate residential mortgage
loans, including mortgage loans with initial interest-only periods
and/or balloon terms. The loans are secured primarily by
single-family residences, planned unit developments, two- to
four-family residential properties, condominiums, cooperatives,
townhouses, five-to-10 unit multifamily, manufactured housing,
condotel and mixed-use properties to both prime and nonprime
borrowers. The pool has 841 loans backed by 888 properties, which
are primarily non-qualified mortgage/ability -to-repay (ATR)
compliant and ATR-exempt loans.

The preliminary ratings are based on information as of Oct. 15,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

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

  Preliminary Ratings Assigned(i)

  Verus Securitization Trust 2021-6

  Class A-1, $345,359,000: AAA (sf)
  Class A-2, $31,028,000: AA (sf)
  Class A-3, $45,109,000: A (sf)
  Class M-1, $22,196,000: BBB (sf)
  Class B-1, $15,037,000: BB (sf)
  Class B-2, $9,069,000: B (sf)
  Class B-3, $9,547,716: Not rated
  Class A-IO-S, notional(ii): Not rated
  Class XS, notional(ii): Not rated
  Class DA: Not rated
  Class R: Not rated

(i)The collateral and structural information reflect the term sheet
dated Oct. 13, 2021; the preliminary ratings address the ultimate
payment of interest and principal.
(ii)The notional amount equals the aggregate stated principal
balance of loans in the pool.



VOYA CLO 2020-3: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-R, B-R,
C-R, D-R, and E-R replacement notes from 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 replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:

-- The reinvestment period was extended approximately three
years.

-- The stated maturity period was extended by approximately three
years.

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

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

-- The replacement class A-R notes were 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 were 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 were 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."

  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

  Ratings Withdrawn

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

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

  NR--Not rated.



WELLS FARGO 2011-C4: Fitch Affirms CC Rating on Class G Certs
-------------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed three classes
of Wells Fargo Bank, N.A. (WFRBS) commercial mortgage pass-through
certificates series 2011-C4.

   DEBT            RATING             PRIOR
   ----            ------             -----
WFRBS Commercial Mortgage Trust 2011-C4

C 92936CAU3    LT Asf    Affirmed     Asf
D 92936CAW9    LT BBsf   Downgrade    BBBsf
E 92936CAY5    LT CCCsf  Downgrade    Bsf
F 92936CBA6    LT CCCsf  Affirmed     CCCsf
G 92936CBC2    LT CCsf   Affirmed     CCsf

KEY RATING DRIVERS

Increased Loss Expectations; High Regional Mall Concentration: The
downgrades reflect higher loss expectations since Fitch's last
rating action, driven primarily by the Fox River Mall loan, and
factors in the pool's increased concentration and adverse
selection. The Negative Outlooks reflect the potential for further
performance declines of the remaining loans, including prolonged
workouts as well as the possible ultimate impact of the pandemic on
the resolutions.

All four of the remaining loans, which matured in 2021 without
repayment, are Fitch Loans of Concern (FLOCs). The two largest
loans are secured by regional malls (90.5% of the pool), including
Fox River Mall (77.6%), which was recently modified and extended
through 2024, and the specially serviced Eastgate Mall (12.9%),
which is expected to become REO. The remaining two loans are
specially serviced and are secured by a 252-bed student housing
property located in Fredonia, NY (5%) and a 98,760-sf power center
located in Chattanooga, TN (4.5%).

Alternative Loss Consideration: Due to the concentrated nature of
the pool, Fitch performed a sensitivity analysis that grouped the
remaining loans based on the likelihood of repayment and recovery
prospects.

Fitch's sensitivity analysis assumed the Fox River Mall loan would
be the last remaining loan in the pool and Eastgate Mall
experiences a full loss. The affirmation of class C at 'Asf'
reflects the class's high CE and only moderate recoveries needed
from the Fox River Mall loan to repay the class in full.

The Fox River Mall loan, which is sponsored by Brookfield, is
secured by an approximately 645,000-sf portion of a 1.2 million sf
enclosed regional mall located in Appleton, WI, which is about 30
miles southwest of Green Bay. Fitch's base case loss of 40%
reflects an implied cap rate of 20% on the YE 2020 NOI; this loss
has increased from approximately 25% at the last rating action.

Non-collateral anchors include JCPenney, Target and Macy's. Two
additional non-collateral anchor boxes, previously occupied by
Sears and Younkers, remain dark. Scheel's All Sports (18.8% of NRA,
through January 2024) is the only collateral anchor.

The loan was modified and returned to the master servicer this
year. Terms of the modification included a three-year extension to
June 2024, conversion of payments to interest-only and
implementation of cash management and an excess cash trap. The loan
had previously transferred to the special servicer in September
2020 for imminent default. The mall was closed in March 2020 and
reopened in May 2020.

As of the June 2021 rent roll, collateral occupancy was
approximately 85%. Major tenants include Bob's Discount Furniture
(4.8%; August 2027), H&M (4.1%, 2030), DSW (3.9%; February 2022,
after a one-year extension at a significantly lower rent), Cost
Plus (2.8%; January 2023) and Forever 21 (2.2%; January 2024).
Approximately 14.5% of the collateral NRA rolls in the next 12
months. Recent comparable in-line sales were $437 psf as of TTM
June 2021, compared with $341 psf at YE 2020 and $385 psf at
issuance.

The largest specially serviced loan, Eastgate Mall, transferred to
special servicing in April 2020 for imminent default; the loan
matured in April 2021. The sponsor is CBL & Associates Properties,
Inc. (CBL), which filed for bankruptcy protection in November 2020.
The borrower has provided indication of its intent to turn over the
collateral. The servicer is in the process of appointing a
receiver; the transfer into receivership is expected imminently.

The loan is secured by an approximately 360,000-sf portion of a
regional mall located in the eastern suburbs of Cincinnati, OH. The
mall is anchored by a Dillard's Clearance Center (194,022 sf, the
collateral ownership interest reverts to Dillard's in January
2022), JC Penney (non-collateral) and Kohl's (ground lease; through
July 2025, with one 10-year extension remaining). A non-collateral
dark Sears anchor space was reportedly purchased by Kroger in July
2021, per local news reporting.

As of 2019, total weighted-average mall sales were $327 psf
compared to $330 psf in 2018 and $365 psf in 2017. A recent
comparable in line tenant sales figure was not provided by the
servicer. The YE 2020 NOI debt service coverage ratio (DSCR) was
reported at 1.44x. Per the June 2021 rent roll, collateral
occupancy was approximately 78%.

The Park Place Student Housing loan transferred to special
servicing in November 2014 due to imminent default. Cash flow
declined significantly due to increased market competition. While
the borrower kept the loan current for many payments (at the
non-default rate), the loan remained in special servicing for
several years. The loan did not payoff at its scheduled maturity in
July 2021 and the servicer is evaluating litigation timing.

The Hamilton Crossing & Expansion loan transferred to special
servicing in November 2020 due to the sponsor, CBL, filing for
bankruptcy protection. The borrower has asked to explore a possible
extension of the maturity, which is being considered by the
servicer.

Per the June 2021 rent roll, the center was 97.2% leased. The
property is shadow-anchored by Electronic Express and HomeGoods.
The largest collateral tenants include TJ Maxx (32.1% of NRA,
through 2025), Cost Plus (18.4%, 2027), Guitar Center (10.4%, 2025)
and Rock Creek Outfitters (7.6%, 2025). Only two tenants (10.2%)
have lease maturities in the next year. The YE 2020 servicer
reported NOI DSCR was 1.55x for this amortizing loan.

Increased Credit Enhancement: Credit enhancement has increased
substantially since Fitch's last rating action from the repayment
of 50 loans ($797.1 million). As of the September 2021 distribution
date, the pool's aggregate principal balance has been reduced by
88.1% to $176.2 million from $1.5 billion at issuance. Realized
losses total $15.8 million, including approximately $110,000 in
non-recoverable advances over the last year. Interest shortfalls
are currently impacting the non-rated class H only.

RATING SENSITIVITIES

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

-- Classes C and D may be downgraded should the Fox River Mall
    loan return to special servicing and/or performance
    deteriorate. Classes E through G could be further downgraded
    should additional losses be realized or become more certain.

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

-- Upgrades are unlikely due to adverse selection concerns and
    the high loss expectations on the remaining pool, but could
    occur if performance of the malls improves substantially and
    ultimate recoveries on the loans are better than expected.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

WFRBS Commercial Mortgage Trust 2011-C4 has an ESG Relevance Score
of '4' for Exposure to Social Impacts due to the pool's retail
exposure, including two regional mall loans that are
underperforming as a result of changing consumer preferences in
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.


WELLS FARGO 2016-C34: Fitch Lowers Rating on 2 Tranches to 'CC'
---------------------------------------------------------------
Fitch Ratings has downgraded six classes and affirmed nine classes
of Wells Fargo Commercial Mortgage Trust 2016-C34 (WFCM 2016-C34)
commercial mortgage pass-through certificates issued by Wells Fargo
Bank, N.A.

    DEBT               RATING             PRIOR
    ----               ------             -----
WFCM 2016-C34

A-2 95000DBB6     LT AAAsf   Affirmed     AAAsf
A-3 95000DBC4     LT AAAsf   Affirmed     AAAsf
A-3FL 95000DAG6   LT AAAsf   Affirmed     AAAsf
A-3FX 95000DAJ0   LT AAAsf   Affirmed     AAAsf
A-4 95000DBD2     LT AAAsf   Affirmed     AAAsf
A-S 95000DBF7     LT AAAsf   Affirmed     AAAsf
A-SB 95000DBE0    LT AAAsf   Affirmed     AAAsf
B 95000DBJ9       LT Asf     Downgrade    AA-sf
C 95000DBK6       LT BBB-sf  Downgrade    BBBsf
D 95000DAL5       LT CCCsf   Downgrade    Bsf
E 95000DAN1       LT CCsf    Downgrade    CCCsf
F 95000DAQ4       LT CCsf    Affirmed     CCsf
X-A 95000DBG5     LT AAAsf   Affirmed     AAAsf
X-B 95000DBH3     LT Asf     Downgrade    AA-sf
X-E 95000DAA9     LT CCsf    Downgrade    CCCsf

KEY RATING DRIVERS

Increased Loss Expectations Since Issuance: Overall loss
expectations have remained relatively stable since the prior rating
action but have increased significantly since issuance. The
downgrade reflects higher certainty of loss on the seven specially
serviced assets (27.8%). There are 21 Fitch Loans of Concern
(FLOCs) representing 53.2% of the pool, including the seven loans
in special servicing.

Fitch's ratings incorporate a base case loss of 12.2%. The Negative
Rating Outlooks reflect losses that could reach 13% when factoring
in additional pandemic-related stresses for three retail loans and
one hotel loan not in special servicing.

Specially Serviced Loans/Assets: The largest loan and largest
contributor to expected loss, Regent Portfolio (10.6%), is secured
by 13 medical office buildings mostly located throughout New Jersey
with one in New York and one in Florida with a total of 352,001sf.
The loan transferred to the special servicer in June 2019 for
delinquent payments, and the loan remains in payment default.
Approximately 50% of the portfolio at issuance was leased directly
to the sponsor or an affiliate of the sponsor. The borrower filed
Chapter 11 Bankruptcy in February 2020.

The May 2021 occupancy was 73%. The borrower is attempting to sell
off the individual assets and has currently sold one of the
properties. The special servicer and the borrower continue working
on a potential forbearance while also dual-tracking foreclosure. At
issuance, the sponsor provided a repayment guarantee for an $8.0
million portion of the outstanding first mortgage loan balance.
Loss expectations for this loan remain fairly consistent with the
previous rating action with approximately a 35% loss severity, as
there has been limited new information. Fitch's base case loss
incorporates a conservative stress on 2019 valuations of the
individual assets to address the expected increase in loan
exposure, special servicing fees and decline in the economic
environment since 2019.

The second largest contributor to expected loss, 200 Precision &
425 Privet Portfolio (4.3%), is secured by two properties totaling
246,790 sf located in Horsham, PA. 425 Privet Road is an office
property that was 100% occupied by Teva, which exercised a
termination option and vacated the property in November 2019. The
loan transferred to the special servicer in November 2019 for
imminent monetary default and then defaulted in December 2019. The
tenant was subject to a $1.25 million termination fee and the loan
was structured with a full cash flow sweep for 24 months.

200 Precision Drive is an industrial/office property that occupancy
has increased to 100% with no leases expiring until 2024. The
properties' combined occupancy was 51% as of the April 2021 rent
roll and the YE 2019 NOI DSCR was 2.46x. According to Reis, Inc.,
the Horsham submarket vacancy is 28.5% and average asking rent is
$22.34/sf for office, and Teva was paying $18.94/sf. Fitch's base
case loss incorporates an additional stress on a December 2020
valuation to address increasing loan exposure, special servicing
fees and the potential that value may have declined in the current
economic environment. Fitch's loss equates to a recovery value of
$56psf.

The third largest contributor to modeled loss, Shoppes at Alafaya
(3.2%), is secured by a 120,639-sf retail property in Orlando, FL.,
approximately three miles from the University of Central Florida.
The loan was transferred to the special servicer in October 2018
for payment default. Occupancy at the property has increased to 97%
after Burlington took occupancy, the property had remained at 51%
occupancy for several years after the largest tenant, Toys R' Us
(49% of net rentable area), vacated in June 2018. The property also
has anchor tenant, Dick's Sporting Goods (42% of NRA) with a lease
that expires in January 2023. The property was built in two
separate phases with the Burlington outparcel on the opposite side
of the parking lot from Dick's Sporting Goods.

At issuance, there were plans for a phase 3, including multifamily
and retail, which would connect both ends of the shopping center
but construction never began. According to Reis, the Southeast
submarket has a retail vacancy rate of 10.1% with asking rental
rates of $21.19psf and effective rents of $17.73psf as of 2Q21,
compared with property rent of approximately $17.00psf. The special
servicer is dual tracking reinstatement discussions with the
borrower while also pursuing foreclosure. Fitch's analysis
incorporates an additional stress on a valuation received from the
special servicer which results in a 40% loss.

Alternative Loss Considerations: Fitch ran an additional
sensitivity scenario which includes additional pandemic related
stresses to three retail loans and one hotel loan not in special
servicing which addresses the potential that performance does not
recover to pre-pandemic levels and values decline. The Negative
Outlooks reflect this scenario.

Coronavirus Exposure: There are five hotel loans (16.7% of the
pool) and 30 retail loans (41.1% of the pool).

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/assets.
    Downgrades to the 'AAAsf' senior classes, A-1 A-2, A-3, A-3FL,
    A-3FX, A-4, and A-SB may occur should loan level losses
    increase further, if additional loans transfer to special
    servicing, or should interest shortfalls occur. A downgrade of
    one category to the junior 'AAAsf' rated class (class A-S) and
    X-A are possible should expected losses for the pool increase
    significantly and/or should any of the FLOCs realize losses
    greater than expected.

-- Downgrades to B, C and X-B-rated classes are possible should
    performance of the FLOCs continue to decline, if additional
    loans transfer to special servicing and/or if loans
    susceptible to the pandemic do not stabilize. The Negative
    Outlooks may be revised back to Stable if performance of the
    FLOCs improves and/or properties vulnerable to the coronavirus
    stabilize once the pandemic is over. Downgrades to classes D,
    E, X-E and F would occur 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 additional paydown and/or
    defeasance. Upgrades of classes B, X-B and C would only occur
    with significant improvement in credit enhancement and/or
    defeasance, but would be limited should the deal be
    susceptible to a concentration whereby the underperformance of
    particular loan(s) could cause this trend to reverse.

-- Classes would not be upgraded above 'Asf' if there is a
    likelihood of interest shortfalls. While a significant portion
    of the pool remains in special servicing, upgrades are
    unlikely. An upgrade to classes D, E, X-E and F is extremely
    unlikely without significant paydown or defeasance and the
    resolution of the specially serviced loans without substantial
    losses.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


WELLS FARGO 2018-C48: Fitch Affirms B- Rating on G-RR Certs
-----------------------------------------------------------
Fitch Ratings has affirmed the ratings of Wells Fargo Commercial
Mortgage (WFCM) Trust Commercial Mortgage Pass-Through
Certificates, series 2018-C48. Fitch also affirmed the 2018 C48 III
Trust pass through certificate (MOA 2020-WC48 Class E-RR).

    DEBT               RATING            PRIOR
    ----               ------            -----
WFCM 2018-C48

A-1 95001RAS8     LT AAAsf   Affirmed    AAAsf
A-2 95001RAT6     LT AAAsf   Affirmed    AAAsf
A-3 95001RAU3     LT AAAsf   Affirmed    AAAsf
A-4 95001RAW9     LT AAAsf   Affirmed    AAAsf
A-5 95001RAX7     LT AAAsf   Affirmed    AAAsf
A-S 95001RBA6     LT AAAsf   Affirmed    AAAsf
A-SB 95001RAV1    LT AAAsf   Affirmed    AAAsf
B 95001RBB4       LT AA-sf   Affirmed    AA-sf
C 95001RBC2       LT A-sf    Affirmed    A-sf
D 95001RAC3       LT BBB-sf  Affirmed    BBB-sf
E-RR 95001RAE9    LT BBB-sf  Affirmed    BBB-sf
F-RR 95001RAG4    LT BB-sf   Affirmed    BB-sf
G-RR 95001RAJ8    LT B-sf    Affirmed    B-sf
X-A 95001RAY5     LT AAAsf   Affirmed    AAAsf
X-B 95001RAZ2     LT AA-sf   Affirmed    AA-sf
X-D 95001RAA7     LT BBB-sf  Affirmed    BBB-sf

MOA 2020-WC48

E-RR 90216GAA3    LT BBB-sf  Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Performance: Fitch's loss expectations have declined
slightly and overall pool performance is stable since the last
rating action. Two loans that were in special servicing at the time
of the last rating action, including the previous largest
contributor to modeled losses, have returned to the master servicer
as corrected loans and are current on payments.

Fitch's ratings incorporate a base case loss of 4.8%; Fitch also
ran additional sensitivities that stressed six hotel loans to
account for ongoing business disruption as a result of the
pandemic, indicating losses could reach up to 5.4%. There are eight
Fitch Loans of Concern (FLOC) representing 23.3% of the pool,
including two loans in special servicing.

The largest FLOC is the Sheraton Grand Nashville Downtown (7.3% of
the pool). The loan is secured by a 482-key full-service hotel
located in downtown Nashville, TN. The loan recently transferred
back to the master servicer in September 2021 after it was brought
current in July 2021 following a June 2021 sale and loan
assumption. The loan remains a FLOC due to underperformance and low
debt service coverage ratio (DSCR).

The loan had originally transferred to the special servicer in June
2020 due to payment default. Performance was significantly impacted
as a result of the pandemic, with occupancy falling to 20.5% and
NOI DSCR to 0.07x at YE2020, compared with pre-pandemic levels of
79.8% and 2.81x at YE2019. The property remains open for business,
with the YTD July 2021 reporting at 30.5% occupancy, $182 ADR and
$56 RevPAR.

The largest specially serviced loan is 35 Claver Place (2.6% of the
pool). The subject is a four-story walk-up containing 44 units
located in the Clinton Hill neighborhood. All units are rent
stabilized. The loan transferred to special servicing in November
2020 due to payment default. The special servicer is dual-tracking
foreclosure while discussing an alternative resolution with the
mezzanine lender. According to the special servicer, occupancy
declined to 66% at YE2020 from 95% at YE2019. Fitch's modeled loss
of 19.9% is based on an 8.25% cap rate to the YE2019 NOI.

Minimal Changes to Credit Enhancement: As of the October 2021
distribution, the pool's aggregate principal balance has been paid
down by 1.3% to $823 million from $834 million at issuance. All 52
loans remain in the pool. Twenty-one loans representing 48.% of the
pool are interest only for the full term. An additional 17 loans
representing 23.9% of the pool were structured with partial
interest-only periods. Of these loans, 4 (11.1% of the pool) have
yet to begin amortizing.

Loans Impacted by the Pandemic: Seven loans representing 17.6% of
the pool are secured by lodging properties, one of which is flagged
as a FLOC. The hotels experienced significant performance
challenges in 2020 due to reduced reservations and/or temporary
property closures related to the pandemic. In addition to the base
case, six hotel loans were modeled with sensitivity stresses to the
YE 2019 NOI ranging from 15% to 26%. The sensitivity contributes to
maintaining the Negative Outlooks on classes F-RR and G-RR.

Investment-Grade Credit Opinion Loans: At issuance, three loans
(6.9% of the pool) received investment-grade credit opinions:
Christiana Mall (3.4%) received a stand-alone credit opinion of
'AA-sf'; Aventura Mall (2.4%) received a stand-alone credit opinion
of 'Asf'; and Fair Oaks Mall (1.1%) received a stand-alone credit
opinion of 'BBB-sf'. Fitch no longer considers the performance of
Fair Oaks Mall to be consistent with an investment-grade credit
opinion.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans/assets. Downgrades to the classes
    rated 'AAAsf' and 'AA-sf' are not likely due to the high
    credit enhancement relative to expected losses and
    amortization, but could occur if there are interest
    shortfalls.

-- Classes C and D may be downgraded if additional loans transfer
    to special servicing or the loan currently in special
    servicing disposes at a lower-than-expected recovery. Class E-
    RR and pass through MOA 2020-WC48 E-RR may be downgraded if
    performance of the FLOCs continues to decline. Classes F-RR
    and G-RR may be downgraded if loans in special servicing are
    not resolved in the near term, or performance of the FLOCs
    fails to restabilize.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with paydown and/or defeasance. Upgrades of
    classes B and C could occur with significant improvement in
    credit enhancement and/or defeasance; however, adverse
    selection and increased concentrations or the underperformance
    of particular loan(s) could cause this trend to reverse.

-- Upgrades to classes D and E-RR, and pass through MOA 2020 WC48
    E-RR 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 classes F-RR and G-RR are unlikely
    absent significant performance improvement and stabilization
    of the FLOCs.

BEST/WORST CASE RATING SCENARIO

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

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

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

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

The MOA 2020-WC48 E-RR certificate is a direct pass through of the
WFCM 2018-C48 E-RR certificate.

ESG CONSIDERATIONS

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


WELLS FARGO 2021-2: DBRS Finalizes B Rating on Class B-5 Certs
--------------------------------------------------------------
DBRS, Inc. finalizes its provisional ratings on the Mortgage
Pass-Through Certificates, Series 2021-2 issued by Wells Fargo
Mortgage Backed Securities 2021-2 Trust:

-- $547.8 million Class A-1 at AAA (sf)
-- $547.8 million Class A-2 at AAA (sf)
-- $410.8 million Class A-3 at AAA (sf)
-- $410.8 million Class A-4 at AAA (sf)
-- $136.9 million Class A-5 at AAA (sf)
-- $136.9 million Class A-6 at AAA (sf)
-- $328.7 million Class A-7 at AAA (sf)
-- $328.7 million Class A-8 at AAA (sf)
-- $219.1 million Class A-9 at AAA (sf)
-- $219.1 million Class A-10 at AAA (sf)
-- $82.2 million Class A-11 at AAA (sf)
-- $82.2 million Class A-12 at AAA (sf)
-- $89.0 million Class A-13 at AAA (sf)
-- $89.0 million Class A-14 at AAA (sf)
-- $47.9 million Class A-15 at AAA (sf)
-- $47.9 million Class A-16 at AAA (sf)
-- $64.5 million Class A-17 at AAA (sf)
-- $64.5 million Class A-18 at AAA (sf)
-- $612.3 million Class A-19 at AAA (sf)
-- $612.3 million Class A-20 at AAA (sf)
-- $612.3 million Class A-IO1 at AAA (sf)
-- $547.8 million Class A-IO2 at AAA (sf)
-- $410.8 million Class A-IO3 at AAA (sf)
-- $136.9 million Class A-IO4 at AAA (sf)
-- $328.7 million Class A-IO5 at AAA (sf)
-- $219.1 million Class A-IO6 at AAA (sf)
-- $82.2 million Class A-IO7 at AAA (sf)
-- $89.0 million Class A-IO8 at AAA (sf)
-- $47.9 million Class A-IO9 at AAA (sf)
-- $64.5 million Class A-IO10 at AAA (sf)
-- $612.3 million Class A-IO11 at AAA (sf)
-- $13.9 million Class B-1 at AA (sf)
-- $7.7 million Class B-2 at A (sf)
-- $4.2 million Class B-3 at BBB (sf)
-- $2.6 million Class B-4 at BB (low) (sf)
-- $967.0 thousand Class B-5 at B (sf)

Class A-IO1, Class A-IO2, Class A-IO3, Class A-IO4, Class A-IO5,
Class A-IO6, Class A-IO7, Class A-IO8, Class A-IO9, Class A-IO10,
and Class A-IO11 Certificates are interest-only certificates. The
class balances represent notional amounts.

Class A-1, Class A-2, Class A-3, Class A-4, Class A-5, Class A-6,
Class A-7, Class A-9, Class A-10, Class A-11, Class A-13, Class
A-15, Class A-17, Class A-19, Class A-20, Class AIO2, Class A-IO3,
Class A-IO4, Class A-IO6,
and Class A-IO11 Certificates are exchangeable certificates. These
classes can be exchanged for combinations of exchange certificates
as specified in the offering documents.

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

The AAA (sf) ratings on the Certificates reflect 5.00% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (low) (sf), and B (sf) ratings reflect 2.85%,
1.65%, 1.00%, 0.60%, and 0.45% of credit enhancement,
respectively.

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

This securitization is a portfolio of first-lien, fixed-rate prime
residential mortgages funded by the issuance of the Mortgage
Pass-Through Certificates, Series 2021-2 (the Certificates). The
Certificates are backed by 955 loans with a total principal balance
of $644,485,820 as of the Cut-Off Date (September 1, 2021).

The pool consists of fully amortizing fixed-rate mortgages (FRMs)
with original terms to maturity of 30 years and a weighted-average
(WA) loan age of five months. In contrast to prior DBRS
Morningstar-rated WFMBS prime transactions, WFMBS 2021-2 is mostly
composed of conforming mortgages (99.2% of the pool), which were
underwritten using an automated underwriting system (AUS)
designated by Fannie Mae or Freddie Mac and were eligible for
purchase by such agencies. Details on the underwriting of
conforming loans can be found in the Key Probability of Default
Drivers section.

Another difference from prior DBRS Morningstar-rated WFMBS prime
transactions is the incorporation of a lower than 100% sample size
for third-party due diligence reviews. Details on the scope of
third-party due diligence reviews can be found in the Third-Party
Due Diligence section.

In addition, the pool contains a moderate concentration of loans
that were granted appraisal waivers by the agencies (6.5%) or used
desktop appraisals (17.2%). In its analysis, DBRS Morningstar
applied property value haircuts to such loans, which increased the
expected losses on the collateral.

All of the mortgage loans were either (1) originated by Wells Fargo
Bank, N.A. (Wells Fargo) or (2) acquired by Wells Fargo from a
qualified correspondent. Wells Fargo is also the Servicer, Mortgage
Loan Seller, and Sponsor of the transaction. In addition, Wells
Fargo will act as the Master Servicer, Securities Administrator,
and Custodian. DBRS Morningstar rates Wells Fargo's Long-Term
Issuer and Long-Term Senior Debt rating at AA with Negative trends
and its Short-Term Instruments at R-1 (high) with a Negative
trend.

Wilmington Savings Fund Society, FSB will serve as Trustee. Opus
Capital Markets Consultants, LLC (Opus) will act as the
representation and warranty (R&W) Independent Reviewer.

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

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

For this transaction, 44 loans (4.3% of the pool by balance) are in
counties designated by the Federal Emergency Management Agency
(FEMA) as having been affected by a natural disaster, not related
to the Coronavirus Disease (COVID-19), as of September 6, 2021. The
Sponsor has elected to obtain third-party property disaster
inspection (PDI) reports for such FEMA zone loans, and for any FEMA
zone loan where the PDI indicates material damage, the Mortgage
Loan Seller will declare a discretionary breach of the damage R&W
and will repurchase the affected loan at the applicable Repurchase
Price.

Coronavirus Pandemic Impact

The coronavirus pandemic and the resulting isolation measures have
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
residential mortgage-backed securities (RMBS) asset classes,
shortly after the onset of coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
coronavirus, because the option to forebear mortgage payments was
so widely available, it drove forbearance to a very high level.
When the dust settled, coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid, low LTV,
and good underwriting in the mortgage market in general. Across
nearly all RMBS asset classes, delinquencies have been gradually
trending down in recent months as forbearance periods come to an
end for many borrowers.

As of the Cut-Off Date, there are no loans that are subject to an
active coronavirus-related forbearance plan with the Servicer. Any
loan that enters into a coronavirus-related forbearance plan after
the Cut-Off Date and prior to or on the Closing Date will be
repurchased within 30 days of the Closing Date. Loans that enter
into a coronavirus-related forbearance plan after the Closing Date
will remain in the pool.

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



WHETSTONE PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Whetstone
Park CLO Ltd./Whetstone Park CLO LLC's floating- and fixed-rate
notes.

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

The preliminary ratings are based on information as of Oct. 18,
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,
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

  Whetstone Park CLO Ltd./Whetstone Park CLO LLC

  Class A-1, $307.50 million: AAA (sf)
  Class A-2, $12.50 million: Not rated
  Class B-1, $43.00 million: AA (sf)
  Class B-2, $17.00 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $45.79 million: Not rated



WIND RIVER 2016-1K: Moody's Assigns B3 Rating to $5MM F-R2 Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
CLO refinancing notes issued by Wind River 2016-1K CLO Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$213,500,000 Class A-1-R2 Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$14,000,000 Class A-2-R2 Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$33,200,000 Class B-R2 Senior Secured Floating Rate Notes Due
2034, Assigned Aa2 (sf)

US$18,700,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Assigned A2 (sf)

US$17,200,000 Class D-1-R2 Mezzanine Secured Deferrable Floating
Rate Notes Due 2034, Assigned Baa3 (sf)

US$10,200,000 Class D-2-R2 Mezzanine Secured Deferrable Floating
Rate Notes Due 2034, Assigned Ba1 (sf)

US$14,100,000 Class E-R2 Junior Secured Deferrable Floating Rate
Notes Due 2034, Assigned Ba3 (sf)

US$5,000,000 Class F-R2 Junior Secured Deferrable Floating Rate
Notes Due 2034, Assigned B3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
92.5% of the portfolio must consist of first lien senior secured
loans, cash, and eligible investments, and up to 7.5% of the
portfolio may consist of second lien loans and unsecured loans,
second lien loans, unsecured loans and bonds.

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

In addition to the issuance of the Refinancing Notes and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; changes to the overcollateralization test levels;
the inclusion of Libor replacement provisions; additions to the
CLO's ability to hold workout and restructured assets; changes to
the definition of "Moody's Adjusted Weighted Average Rating Factor"
as well as changes to the base matrix and modifier.

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

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

Portfolio par: $350,000,000

Defaulted par: $0

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2992

Weighted Average Spread (WAS): 3.35%

Weighted Average Coupon (WAC): 7.0%

Weighted Average Recovery Rate (WARR): 47.50%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


WOODMONT 2017-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-RR,
A-2-RR, B-RR, C-RR, D-RR, and E-RR replacement notes from Woodmont
2017-1 Trust, a CLO that was originally issued in 2017 and reset in
2020, that is managed by MidCap Financial Services Capital
Management LLC. At the same time, S&P withdrew its ratings on the
original class A-1-R, A-2-R, B-R, C-R, D-R, and E-R notes following
payment in full on the Oct. 19, 2021, refinancing date.

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

-- The replacement notes were issued at a lower cost of debt than
the current notes.

-- The reinvestment period was extended approximately two years to
Oct. 18, 2025.

-- The legal final maturity date was extended by approximately one
year to Oct. 18, 2033.

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

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

  Ratings Assigned

  Woodmont 2017-1 Trust

  Class A-1-RR, $380.250 million: AAA (sf)
  Class A-2-RR, $9.750 million: AAA (sf)
  Class B-RR, $52.000 million: AA (sf)
  Class C-RR (deferrable), $52.000 million: A (sf)
  Class D-RR (deferrable), $32.500 million: BBB- (sf)
  Class E-RR (deferrable), $45.500 million: BB- (sf)
  Subordinated notes, $86.325 million: NR

  Ratings Withdrawn

  Woodmont 2017-1 Trust

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

  NR--Not rated.


[*] DBRS Reviews 717 Classes from 66 U.S. RMBS Transactions
-----------------------------------------------------------
DBRS, Inc. reviewed 717 classes from 66 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 717 classes
reviewed, DBRS Morningstar upgraded 81 ratings, confirmed 612
ratings, discontinued 11 ratings, and maintained 13 ratings Under
Review with Negative Implications. In addition, of the confirmed
ratings, DBRS Morningstar removed 21 from Under Review with
Negative Implications.

The Affected Ratings Are Available at https://bit.ly/3FRJgUM

The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. The rating confirmations reflect asset
performance and credit-support levels that are consistent with the
current ratings. The discontinued ratings reflect the transactions
exercising their cleanup call option or the full repayment of
principal to bondholders. The Under Review with Negative
Implications status reflects the negative impact of the Coronavirus
Disease (COVID-19) pandemic on the bonds. For certain bonds, DBRS
Morningstar maintained the Under Review with Negative Implications
status amid the uncertainty in such transactions' performance with
respect to forbearance and delinquency trends.

The pools backing the reviewed RMBS transactions consist of alt-A,
subprime, second lien, option ARM, seasoned, re-performing (RPL),
and non-qualified mortgage (non-QM) collateral.

The ratings assigned to the securities listed below differ from the
ratings implied by the quantitative model. DBRS Morningstar
considers these differences material deviations; however, in these
cases, the ratings on the subject securities may reflect additional
seasoning being warranted to substantiate a further upgrade or that
the actual deal or tranche performance is not fully reflected in
the projected cash flows/model output.

-- Angel Oak Mortgage Trust 2019-3, Mortgage-Backed Certificates,
Series 2019-3, Classes M-1 and B-1

-- Angel Oak Mortgage Trust 2019-4, Mortgage-Backed Certificates,
Series 2019-4, Class M-1

-- Angel Oak Mortgage Trust 2019-5, Mortgage-Backed Certificates,
Series 2019-5, Class M-1

-- Angel Oak Mortgage Trust 2019-6, Mortgage-Backed Certificates,
Series 2019-6, Class M-1

-- COLT 2019-4 Mortgage Loan Trust, Mortgage Pass-Through
Certificates, Series 2019-4, Class M-1

-- Galton Funding Mortgage Trust 2020-H1, Mortgage Pass-Through
Certificates, Series 2020-H1, Class A3

-- Homeward Opportunities Fund I Trust 2019-3, Mortgage
Pass-Through Certificates, Series 2019-3, Class B-1

-- Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes,
Series 2019-3, Class M-1

-- Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes,
Series 2020-1, Classes A-3 and M-1

-- Spruce Hill Mortgage Loan Trust 2020-SH1, Mortgage-Backed
Notes, Series 2020-SH1, Class M-1

-- Starwood Mortgage Residential Trust 2019-INV1, Mortgage
Pass-Through Certificates, Series 2019-INV1, Class A-3

-- Bayview Opportunity Master Fund IVa Trust 2017-RT1,
Mortgage-Backed Securities, Series 2017-RT1, Classes B4 and B5

-- Towd Point Mortgage Trust 2018-4, Asset Backed Securities,
Series 2018-4, Classes M1, B1, B2, and A4

-- Towd Point Mortgage Trust 2018-5, Asset Backed Securities,
Series 2018-5, Classes M2, B1, and B2

-- Towd Point Mortgage Trust 2020-1, Asset-Backed Securities,
Series 2020-1, Classes M1, M2, B1A, B1B, B2A, B2B, A5, M1A, M1AX,
M1B, M1BX, M2A, M2AX, M2B, M2BX, B1, B1C, B1CX, B1D, B1DX, B1E,
B1EX, B1F, B1FX, and B2

-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed
Notes, Series 2017-2, Classes A-1, A-IO, A-1A, A-1B, A-1C, A1-IOA,
A1-IOB, A1-IOC, A-2, A-3, A-4, A-5, A-6, A, B1, B1-IO, B-1A, B-1B,
B-1C, B1-IOA, B1-IOB, and B1-IOC

-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed
Notes, Series 2017-4, Classes A-1, A-IO, A-1A, A-1B, A-1C, A1-IOA,
A1-IOB, A-2, A, B-1, B1-IO, B-1A, B-1B, B-1C, B1-IOA, B1-IOB,
B1-IOC

CORONAVIRUS DISEASE (COVID-19) IMPACT

The coronavirus pandemic and the resulting isolation measures have
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. DBRS Morningstar saw increases in delinquencies for many
RMBS asset classes, shortly after the onset of coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term payment reliefs that may perform
very differently from traditional delinquencies. At the onset of
coronavirus, because the option to forebear mortgage payments was
so widely available, it drove forbearance to a very high level.
When the dust settled, coronavirus-induced forbearance in 2020
performed better than expected, thanks to government aid and good
underwriting in the mortgage market in general. Across nearly all
RMBS asset classes, delinquencies have been gradually trending down
in recent months as the forbearance period comes to an end for many
borrowers.

In connection with the economic stress assumed under its baseline
scenario (“Baseline Macroeconomic Scenarios For Rated
Sovereigns,” published on September 8, 2021), DBRS Morningstar
may assume higher loss expectations for pools with loans on
forbearance plans.

When DBRS Morningstar places a rating Under Review with Negative
Implications, DBRS Morningstar seeks to complete its assessment and
remove the rating from this status as soon as appropriate. Upon the
resolution of the Under Review status, DBRS Morningstar may confirm
or downgrade the ratings on the affected classes.

Notes: The principal methodologies are the U.S. RMBS Surveillance
Methodology (February 21, 2020) and RMBS Insight 1.3: U.S.
Residential Mortgage-Backed Securities Model and Rating Methodology
(April 1, 2020), which can be found on dbrsmorningstar.com under
Methodologies & Criteria.



[*] DBRS Reviews 855 Classes from 56 U.S. RMBS Transactions
-----------------------------------------------------------
DBRS, Inc. reviewed 855 classes from 56 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 855 classes
reviewed, DBRS upgraded 48 ratings, confirmed 788 ratings,
downgraded and withdrew 14 ratings, and discontinued five ratings.

The Affected Ratings Are Available at https://bit.ly/3lzJJCY

The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. The rating confirmations reflect asset
performance and credit-support levels that are consistent with the
current ratings. The downgraded and subsequently withdrawn ratings
reflect the unlikely recovery of the bonds' principal loss amount.
The discontinued ratings reflect the full repayment of principal to
bondholders.

The pools backing the reviewed RMBS transactions consist of Prime,
Alt-A, Option-Adjustable-Rate-Mortgage, Scratch and Dent,
Second-Lien, Reperforming, and Subprime collateral.

The ratings assigned to the securities listed below differ from the
ratings implied by the quantitative model. DBRS Morningstar
considers this difference to be a material deviation; however, in
this case, the ratings on the subject securities may either reflect
additional seasoning being warranted to substantiate a further
upgrade or actual deal/tranche performance that is not fully
reflected in the projected cash flows/model output.

  -- Aegis Asset-Backed Securities Trust 2005-3, Mortgage-Backed
Notes, Series 2005-3, Class M2

-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC
Asset-Backed Certificates, Series 2004-OPT5, Class A-4

-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC
Asset-Backed Certificates, Series 2004-OPT5, Class M-1

-- Asset Backed Securities Corporation Home Equity Loan Trust,
Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series
NC 2006-HE2, Class A1

-- Asset Backed Securities Corporation Home Equity Loan Trust,
Series NC 2006-HE4, Asset-Backed Pass-Through Certificates, Series
NC 2006-HE4, Class A6

-- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1, Class M-2

-- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1, Class M-3

-- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1, Class M-4

-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2, Class M-4

-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2, Class M-5

-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2, Class M-6

-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2, Class M-7

-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3, Class M-3

-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3, Class M-4

-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3, Class M-5

-- Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes,
Series 2005-4, Class M-1

-- Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes,
Series 2005-4, Class M-2

-- ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE1,
Asset-Backed Pass-Through Certificates, Series 2005-HE1, Class M-5

-- ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1,
Asset-Backed Pass-Through Certificates, Series 2006-ASAP1, Class
M-1

-- Ameriquest Mortgage Securities Inc. Series 2004-R8,
Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-2

-- Ameriquest Mortgage Securities Inc. Series 2004-R8,
Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-3

-- Ameriquest Mortgage Securities Inc. Series 2004-R8,
Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-4

-- Ameriquest Mortgage Securities Inc. Series 2004-R9,
Asset-Backed Pass-Through Certificates, Series 2004-R9, Class M-3

-- Ameriquest Mortgage Securities Inc. Series 2004-R9,
Asset-Backed Pass-Through Certificates, Series 2004-R9, Class M-4

-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-1

-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-2

-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-3

-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-4

-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-5

-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-6

-- Ameriquest Mortgage Securities Inc. Series 2004-R11,
Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-7

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-7, Class 2-A-2-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-7, Class 3-A-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-7, Class 7-A-1-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-7, Class 7-A-1-2

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-9, Class 5-A-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-9, Class 5-A-2-2

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-9, Class 5-A-3

-- Banc of America Funding 2007-7 Trust, Mortgage Pass-Through
Certificates, Series 2007-7, Class 30-IO

-- Banc of America Funding 2007-E Trust, Mortgage Pass-Through
Certificates, Series 2007-E, Class 9-A-1

-- BCAP LLC Trust 2007-AA2, Mortgage Pass-Through Certificates,
Series 2007-AA2, Class II-2-IO

-- BCAP LLC Trust 2007-AA3, Mortgage Pass-Through Certificates,
Series 2007-AA3, Class I-A-1A

-- BCAP LLC Trust 2007-AA3, Mortgage Pass-Through Certificates,
Series 2007-AA3, Class I-A-1B

-- BCAP LLC Trust 2007-AA3, Mortgage Pass-Through Certificates,
Series 2007-AA3, Class I-A-2

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-2

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-4

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-5

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-6

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-7

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-14

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-15

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-16

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-17

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-18

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-19

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-20

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-21

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-22

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-A-23

-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through
Certificates, Series 2007-3, Class 2-IO

-- Bear Stearns Alt-A Trust 2007-2, Mortgage Pass-Through
Certificates, Series 2007-2, Class II-X-1

-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB3, Class M-3

-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB3, Class M-4

-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB3, Class B-1

-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2005-CB3, Class B-2

-- Carrington Mortgage Loan Trust, Series 2007-HE1, Asset-Backed
Pass-Through Certificates, Series 2007-HE1, Class A-3

-- Carrington Mortgage Loan Trust, Series 2007-HE1, Asset-Backed
Pass-Through Certificates, Series 2007-HE1, Class A-4

-- Citigroup Mortgage Loan Trust 2006-AMC1, Asset-Backed
Pass-Through Certificates, Series 2006-AMC1, Class A-1

-- Citigroup Mortgage Loan Trust 2006-AMC1, Asset-Backed
Pass-Through Certificates, Series 2006-AMC1, Class A-2B

-- Citigroup Mortgage Loan Trust 2006-AMC1, Asset-Backed
Pass-Through Certificates, Series 2006-AMC1, Class A-2C

-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed
Pass-Through Certificates, Series 2006-HE2, Class M-1

-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed
Pass-Through Certificates, Series 2006-HE2, Class M-2

-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed
Pass-Through Certificates, Series 2006-HE2, Class M-3

-- Citigroup Mortgage Loan Trust 2006-NC1, Asset-Backed
Pass-Through Certificates, Series 2006-NC1, Class A-1

-- Citigroup Mortgage Loan Trust 2006-NC1, Asset-Backed
Pass-Through Certificates, Series 2006-NC1, Class A-2D

-- Citigroup Mortgage Loan Trust 2006-NC2, Asset-Backed
Pass-Through Certificates, Series 2006-NC2, Class A-1

-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed
Pass-Through Certificates, Series 2006-WFHE2, Class M-1

-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed
Pass-Through Certificates, Series 2006-WFHE2, Class M-2

-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed
Pass-Through Certificates, Series 2006-WFHE4, Class M-1

-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed
Pass-Through Certificates, Series 2006-WFHE4, Class M-2

-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed
Pass-Through Certificates, Series 2006-WFHE4, Class M-3

-- Citigroup Mortgage Loan Trust 2007-AHL1, Asset-Backed
Pass-Through Certificates, Series 2007-AHL1, Class A-1

-- Citigroup Mortgage Loan Trust 2007-AHL1, Asset-Backed
Pass-Through Certificates, Series 2007-AHL1, Class A-2B

-- Citigroup Mortgage Loan Trust 2007-AHL1, Asset-Backed
Pass-Through Certificates, Series 2007-AHL1, Class A-2C

-- Citigroup Mortgage Loan Trust 2007-FS1, Asset-Backed
Pass-Through Certificates, Series 2007-FS1, Class I-A1

-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed
Pass-Through Certificates, Series 2007-WFHE1, Class M-1

-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed
Pass-Through Certificates, Series 2007-WFHE1, Class M-2

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-10, Class 3-A-1-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-10, Class 3-A-3-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-10, Class 6-A-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-10, Class 6-A-2-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-10, Class 6-A-2-2

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-10, Class 6-X

-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed
Certificates, Series 2004-12, Class MF-1

-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed
Certificates, Series 2004-12, Class MF-2

-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed
Certificates, Series 2004-12, Class MF-3

-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed
Certificates, Series 2004-12, Class MV-5

-- Citigroup Mortgage Loan Trust 2006-HE3, Asset-Backed
Pass-Through Certificates, Series 2006-HE3, Class A-1

CORONAVIRUS DISEASE (COVID-19) IMPACT

The coronavirus pandemic and the resulting isolation measures
caused an immediate economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
consumers. Shortly after the onset of the pandemic, DBRS
Morningstar saw an increase in the delinquencies for many RMBS
asset classes.

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the pandemic, the option to forbear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low loan-to-value ratios, and
acceptable underwriting in the mortgage market in general. Across
nearly all RMBS asset classes in recent months, delinquencies have
been gradually trending downward as forbearance periods come to an
end for many borrowers.

Notes: The principal methodologies are the U.S. RMBS Surveillance
Methodology (February 21, 2020) and RMBS Insight 1.3: U.S.
Residential Mortgage-Backed Securities Model and Rating Methodology
(April 1, 2020), which can be found on dbrsmorningstar.com under
Methodologies & Criteria.



[*] S&P Takes Various Actions on 68 Classes from 8 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 68 ratings from eight
U.S. RMBS transactions issued between 2003 and 2007. The review
yielded three upgrades, one downgrade, 42 affirmations, one
discontinuance, and 21 withdrawals.

A list of Affected Ratings can be viewed at:

            https://bit.ly/3jvpogT

Analytical Considerations

S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics, and their potential effects on certain classes."
Some of these considerations may include:

-- Factors related to the COVID-19 pandemic;

-- The assessment of reduced interest payments due to loan
modifications and other credit-related events; and

-- Increases in credit support.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics of the classes, and/or the application
of specific criteria. 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 have
remained relatively consistent with our prior projections.

"We withdrew our ratings on 20 classes from four transactions due
to the small number of loans remaining in the related group. Once a
pool has declined to a de minimis amount, its future performance
becomes more difficult to project. As such, we believe there is a
high degree of credit instability that is incompatible with any
rating level.

"We applied our interest-only criteria, "Global Methodology For
Rating Interest-Only Securities" published April 15, 2010, on class
X issued from GSR Mortgage Loan Trust series 2005-AR3, which
resulted in the rating being withdrawn, as all principal- and
interest-paying classes rated 'AA-' or higher have been retired or
downgraded below that rating level.

"The discontinuance relates to the impact of reductions in interest
payments to security holders that have been realized ("realized
CIRA") due to loan modifications and other credit-related events.
To determine the maximum potential rating (MPR) for these
securities, we consider the amount of interest the security has
received to date versus how much it would have received absent such
credit-related events, as well as interest reduction amounts that
we expect over the remaining term of the security ("expected
CIRA"). However, when the realized CIRA exceeds 4.5% of the
original security balance, we consider the MPR to be 'D'
irrespective of the expected CIRA. Class A-4W from CWABS
Asset-Backed Certificates Trust series 2007-4 has a realized CIRA
that exceeds 4.5%, which thus corresponds to an MPR of 'D'. In
accordance with our policies and procedures, we are discontinuing
the rating because we view a subsequent upgrade to a rating higher
than 'D (sf)' to be unlikely."



                            *********

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