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

              Sunday, October 31, 2021, Vol. 25, No. 303

                            Headlines

AMERICAN AIRLINES 2021-1: S&P Assigns Prelim BB+ Rating on B Certs
APIDOS CLO XXXVII: S&P Assigns Prelim BB- (sf) Rating on E Notes
APIDOS CLO XXXVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes
BAIN CAPITAL 2020-3: Moody's Gives Ba3 Rating to Class E-R Notes
BAIN CAPITAL 2020-3: S&P Withdraws 'BB-(sf)' Rating on Cl. E Notes

BAIN CAPITAL 2021-5: Moody's Assigns Ba3 Rating to $19.6MM E Notes
BARDOT CLO: Moody's Assigns Ba3 Rating to $30MM Class E-R Notes
BATTALION CLO 18: S&P Assigns BB- (sf) Rating on Class E-R Notes
BENCHMARK 2021-B30: Fitch Assigns B- Rating on 2 Tranches
BENEFIT STREET XXIV: Moody's Assigns Ba3 Rating to $20MM E Notes

BLUEMOUNTAIN XXVI: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
BRAVO RESIDENTIAL 2021-NQM3: Fitch Gives 'B(EXP)' to B-2 Debt
CFCRE COMMERCIAL 2011-C2: Moody's Cuts Rating on Cl. G Certs to C
CHURCHILL MIDDLE III: S&P Assigns Prelim BB-(sf) Rating on E Notes
CITIGROUP COMMERCIAL 2021-KEYS: DBRS Finalizes B Rating on G Certs

CONNECTICUT 2021-R01: S&P Assigns B+ (sf) Rating on 1B-1X Notes
DIAMETER CAPITAL 2: S&P Assigns BB- (sf) Rating on Class D Notes
DIAMETER CAPITAL 2: S&P Assigns Prelim BB- (sf) Rating on D Notes
EAGLE RE 2021-2: Moody's Assigns (P)B2 Rating to Cl. M-2 Certs
ELARA HGV 2021-A: S&P Assigns BB (sf) Rating on Class D Notes

FREDDIE MAC 2021-DNA6: S&P Assigns Prelim BB- Rating on B-1B Notes
FREDDIE MAC 2021-HQA3: DBRS Finalizes BB Rating on 16 Classes
GOLUB CAPITAL 40(B): Moody's Hikes Rating on Class E Notes to Ba2
GS MORTGAGE 2021-HP1: Moody's Gives (P)B3 Rating to Cl. B-5 Certs
IMPERIAL FUND 2021-NQM3: S&P Assigns B (sf) Rating on B-2 Certs

IVY HILL VII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-RR Notes
JP MORGAN 2012-LC9: S&P Lowers Class G Certs Rating to 'CCC (sf)'
JP MORGAN 2021-13: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
JP MORGAN 2021-INV7: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
LAKE SHORE IV: S&P Assigns Prelim BB- (sf) Rating on Class E Notes

LENDMARK FUNDING 2021-2: S&P Assigns BB- (sf) Rating on D Notes
MARINER FINANCE 2021-B: S&P Assigns Prelim BB- Rating on E Notes
MED TRUST 2021-MDLN: Moody's Assigns (P)B3 Rating to Cl. F Certs
MIDOCEAN CREDIT X: S&P Assigns BB- (sf) Rating on Class E-R Notes
NEUBERGER BERMAN 33: S&P Assigns BB-(sf) Rating on Class E-R Notes

NEW MOUNTAIN 1: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes
OAKTOWN RE VII: Moody's Assigns Ba3 Rating to Cl. M-1B Notes
OBX TRUST 2021-INV2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
OCP CLO 2021-22: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
OCTAGON 57: S&P Assigns Prelim BB- (sf) Rating on Class E Notes

OCTAGON LTD 56: Moody's Assigns Ba3 Rating to $21.25MM Cl. E Notes
OHA CREDIT 4: S&P Assigns BB- (sf) Rating on Class E-R Notes
PALMER SQUARE 2021-4: Moody's Assigns Ba3 Rating to Class E Notes
PPM CLO 5: Moody's Assigns Ba3 Rating to $17.6MM Class E Notes
PRKCM 2021-AFC1: DBRS Finalizes B(low) Rating on Class B-2 Notes

RR 19: S&P Assigns Prelim BB- (sf) Rating on Class D Notes
SDART 2021-1: Moody's Hikes Rating on Class E Notes to Ba2
SG RESIDENTIAL 2021-2: S&P Assigns Prelim B- Rating on B-2 Certs
SIERRA TIMESHARE 2021-2: Fitch Gives Final 'BB' Rating to D Notes
SIERRA TIMESHARE 2021-2: S&P Assigns BB (sf) Rating on Cl. D Notes

SIGNAL PEAK 4: S&P Assigns Prelim B- (sf) Rating on Class F-R Notes
SIXTH STREET XX: S&P Assigns BB- (sf) Rating on Class E Notes
SLM STUDENT 2008-3: S&P Lowers Class A-3 Notes Rating to 'D (sf)'
SOUND POINT XXVII: S&P Assigns BB- (sf) Rating on Class E-R Notes
SREIT TRUST 2021-PALM: S&P Assigns B- (sf) Rating on Class F Certs

TCW CLO 2017-1: S&P Assigns BB- (sf) Rating on Class ERR Notes
TRALEE CLO V: S&P Assigns B- (sf) Rating on Class F-R Notes
TRALEE CLO VI: S&P Raises Class E Notes Rating to 'BB- (sf)'
TRIMARAN CAVU 2021-2: S&P Assigns Prelim 'BB-' Rating on E Notes
TRK 2021-INV2: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs

VERUS SECURITIZATION 2021-6: S&P Assigns B(sf) Rating on B-2 Notes
WELLS FARGO 2016-C37: Fitch Affirms B- Rating on 2 Tranches
WELLS FARGO 2021-INV1: S&P Assigns B (sf) Rating on Class B-5 Certs
ZAIS CLO 16: S&P Assigns BB- (sf) Rating on Class E-R Notes
ZAIS CLO 16: S&P Assigns Prelim BB-(sf) Rating on Class E-R Notes

[*] S&P Takes Various Actions on 146 Classes from 23 US CLO Deals
[*] S&P Takes Various Actions on 67 Classes from 20 U.S. RMBS Deals

                            *********

AMERICAN AIRLINES 2021-1: S&P Assigns Prelim BB+ Rating on B Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary 'BB+ (sf)' issue-level
rating to American Airlines Inc.'s series 2021-1 Class B
pass-through enhanced equipment trust certificates (EETCs). S&P
earlier assigned its preliminary 'A- (sf)' issue-level rating to
American Airlines' 2021-1 Class A pass-through EETCs, which rank
senior to the Class B certificates and are secured by the same
collateral.

American Airlines plans to finance 21 new aircraft and refinance
five existing aircraft with about $757.8 million of Class A
certificates and $202.1 million of Class B certificates. The Class
B certificates have an expected final distribution date of July 11,
2030, with legal final maturity occurring 18 months later.

The transaction will be backed by 21 new Airbus A321neo and five
Embraer E175LR aircraft--with the Airbus aircraft to be delivered
between January and September 2022. The E175LR aircraft were
delivered in 2020. S&P views these planes as valuable collateral
with relatively low technological or liquidity risks.

S&P said, "Our existing ratings on American Airlines and its debt,
including our ratings on its existing EETCs, are unchanged. We will
assign final ratings upon the completion of our legal and
documentary review.

"We base our preliminary ratings on the credit quality of American
Airlines' parent (American Airlines Group Inc. [AAG]), the
substantial collateral coverage by good-quality aircraft, and the
legal and structural protections available to the certificates.

"The secured notes relating to each aircraft are
cross-collateralized and cross-defaulted, which is a provision we
believe increases the likelihood that American Airlines would cure
any defaults and agree to perform its future obligations (including
its payment obligations) under the indentures in any future
bankruptcy. If American Airlines files for bankruptcy, we believe
there is a very high likelihood that it would be able to
successfully reorganize."

The certificates benefit from a liquidity facility provided by
Credit Agricole Corporate and Investment Bank S.A., acting through
its New York branch, which--if necessary--would be required to
cover up to 18 months of (three consecutive semiannual) interest
payments. This would allow the certificate holders to continue
receiving interest payments as they negotiate with American
Airlines and, if necessary, repossess and remarket the aircraft.
S&P believes that its issuer credit rating (ICR) on Credit Agricole
is sufficiently strong such that, based on our counterparty
criteria, it does not represent a constraint on our preliminary
ratings on the certificates. The documentation requires a
replacement facility that has a long-term ICR of 'BBB-' or above in
the event that the rating on the bank weakens beyond this level or
a replacement provider is required. Should that not be possible,
Credit Agricole would fund a cash collateral account with an amount
necessary to fulfill its commitment.

The proceeds from the offering will be deposited with Sumitomo
Mitsui Banking Corp. (SMBC), acting through its New York branch, in
an account pending delivery of the new aircraft and the issuance of
the equipment notes thereafter. S&P's ICR on SMBC is also
sufficiently high under our counterparty criteria to support its
preliminary ratings on the certificates. The documentation requires
a replacement facility that has a long-term ICR of 'A-' or higher
should SMBC be downgraded below that level.

The largest proportion of the value of the collateral pool, based
on the values that S&P focused on, is represented by the Airbus
A321neo aircraft (91%). The A321neo is the most technologically
up-to-date version of the largest narrowbody aircraft manufactured
by Airbus (neo stands for new engine option). This aircraft, which
is larger than Airbus' very successful midsize narrowbody A320neo,
has become quite popular in recent years as increasing air traffic
and airport capacity constraints and its lower per-seat operating
costs have caused airlines to gradually shift toward larger planes.
The neo versions are considerably more fuel efficient (by as much
as 15%) than previous models. The A321neo, though its total
delivered and ordered global fleet is not as large as that for the
A320neo, has surpassed the A320neo in backlog of planes to be
delivered. It is also outcompeting Boeing Co.'s new technology
large narrowbodies (the 737 Max 9 and Max 10) by a wide margin.
Accordingly, we assess the A321neo as having equivalent resale
liquidity to the A320neo and 737 Max 8, the highest among new
technology planes.

The second-largest proportion of the value of the collateral pool
is represented by the Embraer ERJ-175LR (long range) regional jets
(9%). The ERJ-175LR is the second-smallest (typically seats 76
people) member of Embraer's E-Jet family, which has enjoyed a
higher level of sales than its main competitors (Bombardier’s
CRJ-700 and CRJ-900 models). Embraer has introduced an E175-E2, a
slightly larger version of this regional jet with new engines and a
new wing intended to provide better fuel efficiency. This and other
new Embraer large regional jets have not yet attracted many orders
because the previous generation is still widely in use and has not
yet been retired. Also, the scope clauses in pilot contracts of
major North American airlines, including American Airlines, limit
the size of planes that can be flown by partner regional airlines.
The ERJ-175LR is the largest aircraft that qualifies under American
Airlines' and other major pilot contracts. S&P views the E175LR has
having good resale liquidity for a regional jet, but these planes
do not have as large an airline operator base and thus liquidity as
the most popular narrowbody and widebody planes.

S&P said, "Under our calculations, the loan-to-value (LTV) ratio
peaks at 74.1% for the Class B pass-through certificates. This
compares with an LTV peak of 67.5% in the prospectus supplement
when using appraised base values that total about $1.4 billion at
the beginning of the transaction. When we evaluate an EETC, we
compare the values provided by the appraisers in the prospectus
supplement with our own sources and use more conservative
assumptions regarding depreciation rates. Because of our relatively
low ICR on American Airlines, we focus on appraised current market
values of the collateral aircraft (for the new A321neo aircraft,
the current market value is essentially equal to the base value, an
appraisal term intended to convey long-term value). Our analysis
also considered that a full draw on the liquidity facility, plus
the interest on those draws, represents a claim that is senior to
the certificates' (though this is not directly reflected in our LTV
ratio).

"The preliminary ratings on the Class B certificates are five
notches higher than our 'B-' long-term ICR on American Airlines.
Our ratings on EETCs can be well above our long-term ICR on an
airline because a default on the certificates occurs only if the
airline enters insolvency proceedings; either liquidates or
reorganizes but rejects the secured aircraft debt or leases that
collateralize the rated certificates; and the proceeds from the
repossession and sale of the aircraft collateral are insufficient
to repay the principal and interest due on the certificates. The
chance of these three events happening in succession is almost
always less than that of the airline becoming insolvent. The
holders of the EETCs, particularly the senior class, can also be
repaid if the airline agrees to a restructuring plan that lowers
the payments on junior certificates but still pays enough to cover
the senior class of EETCs.

"For American Airlines' Class B certificates, we assigned three
notches of rating uplift from the ICR, which reflects the
likelihood that American Airlines would successfully reorganize
following a bankruptcy and agree to keep paying on the
certificates. This would occur if the airline affirms (agrees to
perform on) the secured debt on each aircraft in the collateral
pool, which we believe would have a high likelihood of occurring,
given the role that these planes play in the airline's long-term
fleet plan. This uplift is one notch less than the four notches
that we assigned to the Class A certificates, reflecting the
possibility that a bankrupt American Airlines would reject the
secured aircraft notes to implement revised payment terms that
would fully repay the Class A certificates but not the junior Class
B certificates. We assigned a further two notches of uplift to
reflect the likelihood that, should American Airlines either fail
to reorganize or reject the aircraft debt in insolvency, its
creditors would still be able to sell the repossessed planes for
sufficient proceeds to repay principal and accrued interest (which
could take the form of repaying draws on the liquidity facility)."

The legal documents for the transaction include new language
specifying that repossession and sale of the collateral aircraft
must comply with Article 9 of the U.S. Uniform Commercial Code
(UCC) and the U.S. Bankruptcy Code. The reference to the UCC is
intended to deter the type of scenario that occurred in the
bankruptcy of Latam Airlines Group S.A., where the controlling
party majority of senior EETC creditors sold repossessed aircraft
to a related party for a price that appeared to be below market,
thereby harming the interests of other senior EETC creditors and
more junior EETC creditors. The Latam repossession and sale is
being challenged in court. Although S&P did not assign a higher
rating specifically because of the new language, it believes that
it is a positive feature for the Class A and Class B certificates.

S&P said, "Lowering our rating on American Airlines would likely
lead us to lower our preliminary rating on the Class B
certificates. Conversely, raising our rating on American Airlines
would likely lead us to raise our preliminary rating. We would also
review our ratings if the market value of the aircraft and the
resulting LTV deteriorate."

  Ratings List

  AMERICAN AIRLINES INC.

  Issuer Credit Rating     B-/Stable/--

  NEW RATING

  AMERICAN AIRLINES INC.

  Equipment Trust Certificates

  US$202.065 million Series 2021-1     BB+ (sf)(prelim)
  Class B pass-through EETCs
  due July 11, 2030   



APIDOS CLO XXXVII: S&P Assigns Prelim BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Apidos CLO
XXXVII's floating-rate notes.

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

The preliminary ratings are based on information as of Oct. 21,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The diversification of the collateral pool.

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

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

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

  Preliminary Ratings Assigned

  Apidos CLO XXXVII

  Class A, $307.50 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 (deferrable), $18.00 million: BB- (sf)
  Subordinated notes, $48.25 million: Not rated



APIDOS CLO XXXVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Apidos CLO
XXXVIII/Apidos CLO XXXVIII 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 and governed by collateral quality tests.

The preliminary ratings are based on information as of Oct. 22,
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 management 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

  Apidos CLO XXXVIII/Apidos CLO XXXVIII LLC

  Class A, $310.0 million: AAA (sf)
  Class AJ, $10.0 million: Not rated
  Class B, $60.0 million: AA (sf)
  Class C (deferrable), $30.0 million: A (sf)
  Class D (deferrable), $30.0 million: BBB- (sf)
  Class E (deferrable), $20.0 million: BB- (sf)
  Subordinated notes, $48.4 million: Not rated



BAIN CAPITAL 2020-3: Moody's Gives Ba3 Rating to Class E-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to four classes of
CLO refinancing notes issued by Bain Capital Credit CLO 2020-3,
Limited (the "Issuer").

Moody's rating action is as follows:

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

US$279,250,000 Class A-1-R Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$13,500,000 Class A-2-R Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$19,500,000 Class E-R Secured Deferrable Floating Rate Notes due
2034, Assigned Ba3 (sf)

RATINGS RATIONALE

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

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

Bain Capital Credit U.S. CLO Manager, 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, the other
three classes of secured notes and additional subordinated notes, a
variety of other changes to transaction features will occur in
connection with the refinancing. These include: extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; and changes to
the overcollateralization test levels; 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: $449,411,982

Defaulted Par: $1,176,035

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2942

Weighted Average Spread (WAS): 3.30%

Weighted Average Recovery Rate (WARR): 46.5%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

The performance of the 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.


BAIN CAPITAL 2020-3: S&P Withdraws 'BB-(sf)' Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned ratings to the class A-1-R, B-R, C-R,
and D-R replacement notes and new class X-R notes from Bain Capital
Credit CLO 2020-3 Ltd./Bain Capital Credit CLO 2020-3 LLC, a CLO
originally issued in October 2020 that is managed by Bain Capital
Credit U.S. CLO Manager LLC.

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

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

-- The reinvestment period was extended by approximately three
years.

-- The stated maturity date (for the replacement notes and the
existing subordinated notes) was extended by approximately two
years.

-- The replacement class X-R, A-1-R, A-2-R, B-R, C-R, D-R, and E-R
notes were issued on the refinancing date at a lower spread over
three-month LIBOR than the original notes.

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

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

-- 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 15 payment dates beginning with
the payment date in January 2022.

-- 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 X-R, $5.000 million: Three-month Libor +0.85%
  Class A-1-R, $279.250 million: Three-month LIBOR + 1.16%
  Class A-2-R, $13.500 million: Three-month LIBOR + 1.40%
  Class B-R, $49.750 million: Three-month LIBOR + 1.65%
  Class C-R, $26.250 million: Three-month LIBOR + 2.15%
  Class D-R, $26.250 million: Three-month LIBOR + 3.25%
  Class E-R, $19.500 million: Three-month LIBOR + 6.50%
  Subordinated notes, $38.000 million: Residual

  Original notes

  Class A, $279.000 million: Three-month LIBOR + 1.38%
  Class B, $63.000 million: Three-month LIBOR + 1.90%
  Class C, $27.000 million: Three-month LIBOR + 2.60%
  Class D, $24.750 million: Three-month LIBOR + 3.75%
  Class E, $14.625 million: Three-month LIBOR + 7.50%
  Subordinated notes, $38.000 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

  Bain Capital Credit CLO 2020-3 Ltd./
  Bain Capital Credit CLO 2020-3 LLC

  Class X-R, $5.00 million: AAA (sf)
  Class A-1-R, $279.25 million: AAA (sf)
  Class A-2-R, $13.50 million: Not rated
  Class B-R, $49.75 million: AA (sf)
  Class C-R (deferrable), $26.25 million: A (sf)
  Class D-R (deferrable), $26.25 million: BBB- (sf)
  Class E-R (deferrable), 19.50 million: Not rated
  Subordinated notes, $38.00 million: Not rated

  Ratings Withdrawn

  Bain Capital Credit CLO 2020-3 Ltd./
  Bain Capital Credit CLO 2020-3 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)'



BAIN CAPITAL 2021-5: Moody's Assigns Ba3 Rating to $19.6MM E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued and one class of loans 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, Definitive Rating
Assigned Aaa (sf)

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

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

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

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

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

US$19,600,000 Class E Secured Deferrable Floating Rate Notes due
2034, Definitive Rating Assigned 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. The portfolio
is 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 issued subordinated
notes.

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

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

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

Par amount: $400,000,000

Diversity Score: 80

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.


BARDOT CLO: Moody's Assigns Ba3 Rating to $30MM Class E-R Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by Bardot CLO, Ltd. (the "Issuer").

Moody's rating action is as follows:

US$384,000,000 Class A-R Senior Secured Floating Rate Notes Due
2032, Assigned Aaa (sf)

US$72,000,000 Class B-R Senior Secured Floating Rate Notes Due
2032, Assigned Aa2 (sf)

US$30,000,000 Class C-R Deferrable Mezzanine Secured Floating Rate
Notes Due 2032, Assigned A2 (sf)

US$36,000,000 Class D-R Deferrable Mezzanine Secured Floating Rate
Notes Due 2032, Assigned Baa3 (sf)

US$30,000,000 Class E-R Deferrable Junior Secured Floating Rate
Notes Due 2032, 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 senior
unsecured loans, second lien loans, first-lien-last-out loans and
up to 5% of permitted debt obligations (senior secured bonds,
senior secured floating rate notes and high-yield bonds).

Invesco RR Fund L.P. (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 three year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

In addition to the 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 overcollateralization test levels; the inclusion of
Libor replacement provisions; additions to the CLO's ability to
hold loss mitigation obligations; 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: $600,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2950

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.00%

Weighted Average Life (WAL): 8.00 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 BB- (sf) Rating on Class E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes and the new class X notes and class
A loans from Battalion CLO 18 Ltd./ Battalion CLO 18 LLC, a CLO
originally issued in October 2020 that is managed by Brigade
Capital Management L.P. At the same time, S&P withdrew its ratings
on the original class A-1, A-2, 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 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 replacement class A-R, B-R, C-R, D-R, and E-R notes were
issued at a floating spread, replacing the current fixed coupon and
floating spread notes.

-- The stated maturity was extended by approximately four years,
the reinvestment period was extended by approximately three years,
and the non-call period was extended by approximately two years.

-- New class X notes were issued. These notes are expected to be
paid down using interest proceeds during the first two payment
dates, beginning with the payment date in Jan. 15, 2022.

-- New class A loans were issued. The class A loans have the same
spread as the class A-R notes. The class A loans are not
convertible into notes.

-- There was no additional collateral purchased in connection with
this refinancing. The target initial par amount is remaining at
$400.00 million. The first payment date following the first
refinancing date is expected to be Jan. 15, 2022.

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

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

-- The transaction amended 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."

  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: NR

  Ratings Withdrawn

  Battalion CLO 18 Ltd./Battalion CLO 18 LLC

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

  NR--Not rated



BENCHMARK 2021-B30: Fitch Assigns B- Rating on 2 Tranches
---------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Benchmark 2021-B30 Mortgage Trust commercial mortgage pass-through
certificates, series 2021-B30, as follows:

-- $13,170,000 class A-1 'AAAsf'; Outlook Stable;

-- $8,216,000 class A-2 'AAAsf'; Outlook Stable;

-- $21,867,000 class A-SB 'AAAsf'; Outlook Stable;

-- $295,000,000 (a) class A-4 'AAAsf'; Outlook Stable;

-- $295,026,000 (a) class A-5 'AAAsf'; Outlook Stable;

-- $711,308,000 (b) class X-A 'AAAsf'; Outlook Stable;

-- $78,029,000 class A-M 'AAAsf'; Outlook Stable;

-- $41,842,000 class B 'AA-sf'; Outlook Stable;

-- $41,841,000 class C 'A-sf'; Outlook Stable;

-- $83,683,000 (b) class X-B 'A-sf'; Outlook Stable;

-- $46,365,000 (b) class X-D; 'BBB-sf'; Outlook Stable;

-- $22,618,000 (b) class X-F; 'BB-sf'; Outlook Stable;

-- $9,046,000 (b) class X-G; 'B-sf'; Outlook Stable;

-- $26,010,000 class D; 'BBBsf'; Outlook Stable;

-- $20,355,000 class E; 'BBB-sf'; Outlook Stable;

-- $22,618,000 class F; 'BB-sf'; Outlook Stable;

-- $9,046,000 class G; 'B-sf'; Outlook Stable.

The following classes are not expected to be rated by Fitch:

-- $31,664,912 (b) class X-H;

-- $31,664,912 class H;

-- $47,614,996 (c) VRR Interest.

(a) The initial certificate balances of class A-4 and A-5 are not
yet known and are expected to be $590,026,000 in the aggregate,
subject to a 5% variance. The certificate balances will be
determined based on the final pricing of those classes of
certificates. The expected class A-4 balance range is
$0-$295,000,000, and the expected class A-5 balance range is
$295,026,000-$590,026,000. The class balances for A-4 and A-5 as
shown above reflect the maximum and minimum of each range,
respectively.

(b) Notional amount and interest only (IO).

(c) Vertical risk retention interest.

The expected ratings are based on information provided by the
issuer as of Oct. 25, 2021.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 38 fixed-rate loans secured by
50 commercial properties having an aggregate principal balance of
$951,299,909 as of the cut-off date. The loans were contributed to
the trust by German American Capital Corporation, Citi Real Estate
Funding Inc., JPMorgan Chase Bank, National Association and Goldman
Sachs Mortgage Company. The Master Servicer is expected to be
Midland Loan Services, a Division of PNC Bank, National Association
and the Special Servicer is expected to be CWCapital Asset
Management LLC.

KEY RATING DRIVERS

Higher Fitch Leverage: The transaction's Fitch leverage is higher
than other recent U.S. multi-Borrower transactions rated by Fitch.
The pool's Fitch loan-to-value ratio (LTV) of 104.3% is higher than
the 2020 average of 99.6% and the YTD 2021 average of 102.9%.
Additionally, the pool's Fitch trust debt service coverage ratio
(DSCR) of 1.28x is lower than the 2020 and YTD 2021 averages of
1.32x and 1.39x, respectively. Excluding credit opinion loans, the
pool's weighted average (WA) Fitch DSCR is 1.31x and WA Fitch LTV
is 111.4%.

Investment-Grade Credit Opinion Loans: Two loans representing 19.8%
of the pool's cutoff balance received investment-grade credit
opinions. This is above the YTD 2021 average of 13.2% and below the
2020 average of 24.5% for other Fitch-rated U.S. multi-borrower
transactions. One Memorial Drive (9.9% of the pool) and Cambridge
Crossing (9.9% of the pool) each received a credit opinion of
'BBB-sf*' on a standalone basis.

Concentrated Pool: The pool's 10 largest loans represent 62.1% of
the pool, which is significantly higher than the YTD 2021 and 2020
averages of 50.7% and 56.8%, respectively. This contributes to an
LCI score of 516, which is worse than the YTD 2021 and 2020
averages of 374 and 440, respectively, for other recent Fitch-rated
multi-borrower transactions.

High Concentration of Full-Term Interest-Only (IO) Loans:
Twenty-six loans totaling 77.3% of the pool's cutoff balance are
interest only for the entirety of their respective loan terms. This
concentration of full-term IO loans is worse than the YTD 2021
average of 69.8% and 2020 average of 67.7%, respectively for U.S.
multi-borrower transactions rated by Fitch. Additionally, there are
seven loans with a partial interest only period totaling 13.8% of
the pool. This contributes to a lower-than-average scheduled
principal paydown for the transaction of just 3.96% by maturity. By
comparison, the average scheduled paydown for recent Fitch-rated
U.S. multi-borrower transactions is 4.98% for YTD 2021 and 5.27%
for 2020.

Significant Retail Concentration. The largest three property types
in this transaction are office (38.7% of the pool), retail (31.4%)
and multifamily (15.1%). The pool's office property concentration
is higher than the YTD 2021 average of 36.6% and lower than the
2020 average of 41.2% for other Fitch-rated U.S. multi-borrower
transaction. The pool's proportion of retail properties is
significantly higher than the YTD 2021 average of 20.4% and 2020
average of 16.3%. Multifamily property type concentration is
slightly lower than average compared with 16.9% and 16.3% for YTD
2021 and 2020, respectively.

RATING SENSITIVITIES

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

Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes to the same one
variable, Fitch NCF:

-- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-
    sf' / 'BB-sf' / 'B-sf'.

-- 10% NCF Decline: 'A+sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'BB-
    sf' / 'CCCsf' / 'CCCsf'.

-- 20% NCF Decline: 'A-sf' / 'BBB-sf' / 'BB+sf' / 'Bsf' / 'CCCsf'
    / 'CCCsf' / 'CCCsf'.

-- 30% NCF Decline: 'BBBsf' / 'BB+sf' / 'B-sf' / 'CCCsf' /
    'CCCsf' / 'CCCsf'/ 'CCCsf'.

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

Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:

-- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-
    sf' / 'BB-sf' / 'B-sf'.

-- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A-
    sf' / 'BBB-sf' / 'BBB-sf'.

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 re-computation of
certain characteristics with respect to each of the mortgage 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.


BENEFIT STREET XXIV: Moody's Assigns Ba3 Rating to $20MM E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued and one class of loans incurred by Benefit Street
Partners CLO XXIV, Ltd. (the "Issuer" or "Benefit Street Partners
XXIV").

Moody's rating action is as follows:

US$260,000,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$50,000,000 Class A Loans due 2034, Assigned Aaa (sf)

US$70,000,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned Aa2 (sf)

US$30,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned A2 (sf)

US$30,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned Baa3 (sf)

US$20,000,000 Class E Secured Deferrable Floating Rate Notes due
2034, Assigned Ba3 (sf)

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

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.

Benefit Street Partners XXIV is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90.0% of the portfolio must
consist of first lien senior secured loans, cash, and eligible
investments, and up to 10.0% of the portfolio may consist of second
lien loans, unsecured loans and bonds. The portfolio is
approximately 80% ramped as of the closing date.

BSP CLO Management L.L.C. (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. The manager may also
exchange credit risk obligations for defaulted obligations, subject
to a 10% cumulative limit and satisfaction of the OC tests.

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

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

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

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

Par amount: $500,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2750

Weighted Average Spread (WAS): 3.35%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 47.5%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

The performance of the Rated 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.


BLUEMOUNTAIN XXVI: 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-1-R, D-2-R, and E-R replacement notes from
BlueMountain CLO XXVI Ltd./BlueMountain CLO XXVI LLC, a CLO
originally issued in November 2019 that is managed by Assured
Investment Management LLC.

The preliminary ratings are based on information as of Oct. 22,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Oct. 26, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may withdraw our
preliminary ratings on the replacement notes."

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

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

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

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

-- The minimum limitation for discount obligations has been
removed from the concentration limitations.

-- Of the identified underlying collateral obligations, 99.02%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.

-- Of the identified underlying collateral obligations, 95.56%
have recovery ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $320.00 million: Three-month LIBOR + 1.21%
  Class B-R, $60.00 million: Three-month LIBOR + 1.78%
  Class C-R (deferrable), $30.00 million: Three-month LIBOR +
2.20%
  Class D-1-R (deferrable), $25.00 million: Three-month LIBOR +
3.50%
  Class D-2-R (deferrable), $5.00 million: Three-month LIBOR +
4.37%
  Class E-R (deferrable), $20.00 million: Three-month LIBOR +
7.13%

  Original notes

  A-1, $310.00 million: Three-month LIBOR + 1.33%
  A-2, $15.00 million: Three-month LIBOR + 1.65%
  B, $55.00 million: Three-month LIBOR + 1.98%
  C (deferrable), $30.00 million: Three-month LIBOR + 2.90%
  D-1 (deferrable), $18.00 million: Three-month LIBOR + 4.25%
  D-2 (deferrable), $12.00 million: 5.91%
  E (deferrable), $17.50 million: Three-month LIBOR + 7.70%
  Subordinated notes, $47.10 million: Residual

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

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

  Preliminary Ratings Assigned

  BlueMountain CLO XXVI Ltd./BlueMountain CLO XXVI LLC

  Class A-R, $320.00 million: AAA (sf)
  Class B-R, $60.00 million: AA (sf)
  Class C-R (deferrable), $30.00 million: A (sf)
  Class D-1-R (deferrable), $25.00 million: BBB (sf)
  Class D-2-R (deferrable), $5.00 million: BBB- (sf)
  Class E-R (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $47.10 million: Not rated


BRAVO RESIDENTIAL 2021-NQM3: Fitch Gives 'B(EXP)' to B-2 Debt
-------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Bravo Residential
Funding Trust 2021-NQM3 (BRAVO 2021-NQM3).

DEBT              RATING
----              ------
BRAVO 2021-NQM3

A-1     LT AAA(EXP)sf  Expected Rating
A-2     LT AA(EXP)sf   Expected Rating
A-3     LT A(EXP)sf    Expected Rating
M-1     LT BBB(EXP)sf  Expected Rating
B-1     LT BB(EXP)sf   Expected Rating
B-2     LT B(EXP)sf    Expected Rating
B-3     LT NR(EXP)sf   Expected Rating
XS      LT NR(EXP)sf   Expected Rating
AIOS    LT NR(EXP)sf   Expected Rating
FB      LT NR(EXP)sf   Expected Rating
R       LT NR(EXP)sf   Expected Rating
SA      LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by BRAVO Residential Funding Trust
2021-NQM3 (BRAVO 2021-NQM3).

The certificates are supported by 934 loans with a total
interest-bearing balance of approximately $346 million as of the
cutoff date. There are also $0.90 million of non-interest-bearing
deferred amounts whose payments or losses will be used solely to
pay down or write off the class FB notes.

Loans in the pool were originated by multiple originators and
aggregated by an investment vehicle managed by Pacific Investment
Management Company LLC's (PIMCO) U.S. residential mortgage team.
The loans are serviced by AmWest Funding Corp. (AmWest), Rushmore
Loan Management Services LLC (Rushmore), Select Portfolio
Servicing, Inc. (SPS) and Specialized Loan Servicing LLC (SLS).

The transaction utilizes a modified sequential payment structure.
Interest payments are distributed sequentially, with any potential
shortfalls being allocated reverse sequentially.

There will be no advancing of delinquent principal or interest on
the Mortgage Loans by a Servicer or any other party to the
transaction.

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 this pool as 12% 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.

Non-QM Credit Quality (Negative): The collateral consists of 934
loans totaling $346 million and seasoned approximately 37 months in
aggregate calculated as the difference between the origination date
and the cutoff date. The borrowers have a moderate credit profile
— a 706 model FICO, a 46% debt-to-income ratio (DTI), which
includes mapping for debt service coverage ratio (DSCR) loans —
and leverage as evidenced by a 71.2% sustainable loan-to-value
ratio (sLTV). The pool consists of 66.7% of loans treated as
owner-occupied, while 33.3% were treated as an investor property
(28.5%) or second home (4.8%).

Additionally, 31.9% of the loans were originated through a retail
channel and 3.7% are designated as a qualified mortgage (QM) loan,
while 61.5% are non-QM and for the remainder the ability to repay
rule (ATR) does not apply. Lastly, 4.4% of the loans are 30 days'
delinquent as of the cutoff date.

Loan Documentation (Negative): Approximately 71.4% of the pool was
underwritten to less than full documentation, and 35.6% was
underwritten to a 12-month 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 (CFPB) 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, 18.3% comprises a debt service coverage ratio (DSCR)
or no ratio product, 1.5% is an asset depletion product and the
remaining is a mixture of other alternative documentation products.
Separately, close to 10% of the loans were originated to foreign
nationals or nonpermanent resident aliens or are unknown.

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 or
delinquency 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.

No P&I Advancing (Mixed): The deal is structured without servicer
advances for delinquent P&I. The lack of 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 XS 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 the non-investment-grade rated bonds. 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 months-18 months given the ongoing
borrower relief and eviction moratoriums.

RATING SENSITIVITIES

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

-- The defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model projected 42.8% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by multiple third part review firms. The third-party due
diligence described in Form 15E focused on regulatory compliance,
credit and property valuation review. Additional reviews were
performed in regards to data integrity and an updated tax, title
and lien search based. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment(s)
to its analysis: a 5% reduction in the probability of default at
the loan level for each loan that had a full satisfactory review.
This adjustment resulted in a 30bps reduction to the 'AAAsf'
expected loss.

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
engaged AMC, Clayton, Edgemac, Infinity, Opus, Recovco, and Inglet
Blair to perform the review. Loans reviewed under this engagement
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. 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 was populated by the due
diligence company, and no material discrepancies were noted.

ESG CONSIDERATIONS

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


CFCRE COMMERCIAL 2011-C2: Moody's Cuts Rating on Cl. G Certs to C
-----------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class and
downgraded the ratings on five classes in CFCRE Commercial Mortgage
Trust 2011-C2, Commercial Mortgage Pass-Through Certificates Series
2011-C2, as follows:

Cl. C, Affirmed Aa2 (sf); previously on Jun 26, 2020 Affirmed Aa2
(sf)

Cl. D, Downgraded to Ba1 (sf); previously on Apr 23, 2021
Downgraded to Baa2 (sf)

Cl. E, Downgraded to B3 (sf); previously on Apr 23, 2021 Downgraded
to B1 (sf)

Cl. F, Downgraded to Caa3 (sf); previously on Apr 23, 2021
Downgraded to Caa1 (sf)

Cl. G, Downgraded to C (sf); previously on Apr 23, 2021 Downgraded
to Caa3 (sf)

Cl. X-B*, Downgraded to Ca (sf); previously on Apr 23, 2021
Downgraded to Caa1 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

The rating on the P&I class, Cl. C, was affirmed due to the
expected recoveries from the remaining loans in the pool. Cl. C has
paid down 97% from its original certificate balance and benefits
from significant credit support from the subordinate tranches.

The ratings on the P&I classes, Cl. D, Cl. E, Cl. F and Cl. G, were
downgraded due to increased risk of losses and interest shortfalls
driven primarily by the significant exposure to the loan in special
servicing. One loan, RiverTown Crossings Mall (90% of the pool) is
in special servicing and did not pay off at its original scheduled
maturity in June 2021. While the asset maintains a positive NOI
DSCR and continues to make debt service payments through the
October 2021 remittance date, the special servicer is in
discussions with the borrower regarding a modification or potential
deed-in-lieu/foreclosure.

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

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of commercial real estate 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. Stress on commercial real estate properties
will be most directly stemming from declines in hotel occupancies
(particularly related to conference or other group attendance) and
declines in foot traffic and sales for non-essential items at
retail properties.

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

Moody's rating action reflects a base expected loss of 40.0% of the
current pooled balance, compared to 9.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 5.0% of the
original pooled balance, compared to 4.1% 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 90% 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 loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.

DEAL PERFORMANCE

As of the October 18, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 88% to $92.7 million
from $774.1 million at securitization. The certificates are
collateralized by two mortgage loans representing 10% and 90% of
the pool, respectively.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of one, compared to three at Moody's last review.

As of the October 2021 remittance report, loans representing 10%
were current or within their grace period on their debt service
payments and 90% were past their maturity date.

One loan, constituting 10% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.

One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $2 million (for an average loss severity
of 29%). One loan is currently in special servicing. The specially
serviced loan is the RiverTown Crossings Mall Loan ($83.6 million
-- 90.3% of the pool), which represents a pari-passu portion of a
$129.9 million mortgage loan. The loan is secured by an
approximately 635,800 square feet (SF) portion of a 1.2 million SF
regional mall located in Grandville, Michigan. The property was
built in 2000 and is anchored by Macy's, Kohl's, J.C. Penney,
Dick's Sporting Goods and Celebration Cinemas. The sponsor
purchased a vacant, former non-collateral Younkers (closed 2018)
anchor box (150,081 SF) in 2019 for $4.4 million. There was also a
former non-collateral Sears which closed in January 2021. The only
collateral anchors are Dick's Sporting Goods and Celebration
Cinemas, and both tenants have renewed their leases in early 2020
for an additional five years. Excluding the former Younkers and
Sears space, the total property was 92% leased as of June 2021 and
the in-line occupancy was 86%, compared to 88% in March 2020. As of
year-end 2020, comparable in-line sales (less than 10,000 SF) were
$309 PSF, compared to $382 PSF for the year ending December 2019.
While property performance generally improved through 2016, it has
since declined primarily due to lower rental revenues. The year-end
2019 NOI was 12% lower than in 2018 but remained 3% higher than
underwritten levels. The mall re-opened in June 2020 after a
temporary closure as a result of the coronavirus outbreak. The loan
transferred to special servicing in October 2020 due to imminent
monetary default and failed to pay off at its maturity date in June
2021. Cash management is in place and the borrower and special
servicer are discussing a potential loan modification or
deed-in-lieu of foreclosure. The loan has amortized 16% since
securitization and is last paid through its October 2021 payment
date.

The sole remaining performing loan represents 10% of the pool
balance. The loan is the Fairfax Ridge Loan ($9.0 million -- 7.1%
of the pool), which is secured by four-story, Class B+, 66,812 SF
office building, located in Fairfax, Virginia, approximately 15
miles from downtown Washington, D.C. The property was 100% leased
to two tenants as of June 2021. Moody's LTV and stressed DSCR are
97% and 1.2X, respectively, unchanged from the last review.


CHURCHILL MIDDLE III: S&P Assigns Prelim BB-(sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Churchill
Middle Market CLO III LLC's floating- and fixed rate-rate debt.

The debt 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 Nuveen Alternatives Advisors LLC.

The preliminary ratings are based on information as of Oct, 26,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflects:

-- The diversified collateral pool, which consists primarily of
middle-market speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests;

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

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

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

  Preliminary Ratings Assigned

  Churchill Middle Market CLO III LLC

  Class A-1, $415.00 million: AAA (sf)
  Class A-L(i), $20.00 million: AAA (sf)
  Class B-1, $81.20 million: AA (sf)
  Class B-2, $5.00 million: AA (sf)
  Class C (deferrable), $56.30.00 million: A- (sf)
  Class D (deferrable), $37.50 million: BBB- (sf)
  Class E (deferrable), $45.00 million: BB- (sf)

(i)Class A-L will be issued in loan form and can be converted to
A-1 notes at a later date.



CITIGROUP COMMERCIAL 2021-KEYS: DBRS Finalizes B Rating on G Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Citigroup Commercial Mortgage Trust 2021-KEYS,
Commercial Mortgage Pass-Through Certificates:

-- 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 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 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
$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.



CONNECTICUT 2021-R01: S&P Assigns B+ (sf) Rating on 1B-1X Notes
---------------------------------------------------------------
S&P Global Ratings today assigned its ratings to Connecticut Avenue
Securities 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 ratings reflect:

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

-- The real estate mortgage investment conduit 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
processes Fannie Mae uses in conjunction with the underlying
representations and warranties framework; and

-- The impact that the economic stress brought on by the COVID-19
pandemic may have on the performance of the mortgage borrowers in
the pool.

  RATINGS ASSIGNED

  Connecticut Avenue Securities Trust 2021-R01

  Class         Rating      Amount (mil. $)

  1A-H(i)       NR               70,855.570
  1M-1          BBB+ (sf)           274.746
  1M-1H(i)      NR                   14.460
  1M-2A(ii)     BBB (sf)             80.134
  1M-AH(i)      NR                    4.218
  1M-2B(ii)     BBB- (sf)            80.134
  1M-BH(i)      NR                    4.218
  1M-2C(ii)     BBB- (sf)            80.134
  1M-CH(i)      NR                    4.218
  1M-2(ii)      BBB- (sf)           240.402
  1B-1A(ii)     BB (sf)             188.887
  1B-AH(i)      NR                    9.942
  1B-1B(ii)     B+ (sf)             188.887
  1B-BH(i)      NR                    9.942
  1B-1(ii)      B+ (sf)             377.774
  1B-2          NR                  309.089
  1B-2H(i)      NR                   16.268
  1B-3H(i)      NR                  180.754
  1E-A1(iii)    BBB (sf)             80.134
  1A-I1(iii)    BBB (sf)             80.134
  1E-A2(iii)    BBB (sf)             80.134
  1A-I2(iii)    BBB (sf)             80.134
  1E-A3(iii)    BBB (sf)             80.134
  1A-I3(iii)    BBB (sf)             80.134
  1E-A4(iii)    BBB (sf)             80.134
  1A-I4(iii)    BBB (sf)             80.134
  1E-B1(iii)    BBB- (sf)            80.134
  1B-I1(iii)    BBB- (sf)            80.134
  1E-B2(iii)    BBB- (sf)            80.134
  1B-I2(iii)    BBB- (sf)            80.134
  1E-B3(iii)    BBB- (sf)            80.134
  1B-I3(iii)    BBB- (sf)            80.134
  1E-B4(iii)    BBB- (sf)            80.134
  1B-I4(iii)    BBB- (sf)            80.134
  1E-C1(iii)    BBB- (sf)            80.134
  1C-I1(iii)    BBB- (sf)            80.134
  1E-C2(iii)    BBB- (sf)            80.134
  1C-I2(iii)    BBB- (sf)            80.134
  1E-C3(iii)    BBB- (sf)            80.134
  1C-I3(iii)    BBB- (sf)            80.134
  1E-C4(iii)    BBB- (sf)            80.134
  1C-I4(iii)    BBB- (sf)            80.134
  1E-D1(iii)    BBB- (sf)           160.268
  1E-D2(iii)    BBB- (sf)           160.268
  1E-D3(iii)    BBB- (sf)           160.268
  1E-D4(iii)    BBB- (sf)           160.268
  1E-D5(iii)    BBB- (sf)           160.268
  1E-F1(iii)    BBB- (sf)           160.268
  1E-F2(iii)    BBB- (sf)           160.268
  1E-F3(iii)    BBB- (sf)           160.268
  1E-F4(iii)    BBB- (sf)           160.268
  1E-F5(iii)    BBB- (sf)           160.268
  1-X1(iii)     BBB- (sf)           160.268
  1-X2(iii)     BBB- (sf)           160.268
  1-X3(iii)     BBB- (sf)           160.268
  1-X4(iii)     BBB- (sf)           160.268
  1-Y1(iii)     BBB- (sf)           160.268
  1-Y2(iii)     BBB- (sf)           160.268
  1-Y3(iii)     BBB- (sf)           160.268
  1-Y4(iii)     BBB- (sf)           160.268
  1-J1(iii)     BBB- (sf)            80.134
  1-J2(iii)     BBB- (sf)            80.134
  1-J3(iii)     BBB- (sf)            80.134
  1-J4(iii)     BBB- (sf)            80.134
  1-K1(iii)     BBB- (sf)           160.268
  1-K2(iii)     BBB- (sf)           160.268
  1-K3(iii)     BBB- (sf)           160.268
  1-K4(iii)     BBB- (sf)           160.268
  1M-2Y(iii)    BBB- (sf)           240.402
  1M-2X(iii)    BBB- (sf)           240.402
  1B-1Y(iii)    B+ (sf)             377.774
  1B-1X(iii)    B+ (sf)             377.774
  1B-2Y(iii)    NR                  309.089
  1B-2X(iii)    NR                  309.089


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

(ii)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.

(iii)RCR notes.

RCR--Related combinable and recombinable.
NR--Not rated.



DIAMETER CAPITAL 2: S&P Assigns BB- (sf) Rating on Class D Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Diameter Capital CLO 2
Ltd./Diameter Capital CLO 2 LLC's floating-rate notes.

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

  Diameter Capital CLO 2 Ltd./Diameter Capital CLO 2 LLC

  Class A-1, $274.50 million: AAA (sf)
  Class A-2, $58.50 million: AA (sf)
  Class B, $36.00 million: A (sf)
  Class C (deferrable), $27.00 million: BBB- (sf)
  Class D (deferrable), $16.875 million: BB- (sf)
  Subordinated notes, $38.85 million: Not rated



DIAMETER CAPITAL 2: S&P Assigns Prelim BB- (sf) Rating on D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Diameter
Capital CLO 2 Ltd./Diameter Capital CLO 2 LLC's floating-rate notes
(see list).

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 Diameter CLO Advisors LLC.

The preliminary ratings are based on information as of Oct. 21,
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

  Diameter Capital CLO 2 Ltd./Diameter Capital CLO 2 LLC

  Class A-1, $274.50 million: AAA (sf)
  Class A-2, $58.50 million: AA (sf)
  Class B, $36.00 million: A (sf)
  Class C (deferrable), $27.00 million: BBB- (sf)
  Class D (deferrable), $16.875 million: BB- (sf)
  Subordinated notes, $38.85 million: Not rated



EAGLE RE 2021-2: Moody's Assigns (P)B2 Rating to Cl. M-2 Certs
--------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of mortgage insurance credit risk transfer notes issued by
Eagle Re 2021-2 Ltd.

Eagle Re 2021-2 Ltd. is the sixth transaction issued under the
Eagle Re program, which transfers to the capital markets the credit
risk of private mortgage insurance (MI) policies issued by Radian
Guaranty Inc (Radian, the ceding insurer) on a portfolio of
residential mortgage loans. The notes are exposed to the risk of
claims payments on the MI policies, and depending on the notes'
priority, may incur principal and interest losses when the ceding
insurer makes claims payments on the MI policies.

On the closing date, Eagle Re 2021-2 Ltd. (the issuer) and the
ceding insurer will enter into a reinsurance agreement providing
excess of loss reinsurance on mortgage insurance policies issued by
the ceding insurer on a portfolio of residential mortgage loans.
Proceeds from the sale of the notes will be deposited into the
reinsurance trust account for the benefit of the ceding insurer and
as security for the issuer's obligations to the ceding insurer
under the reinsurance agreement. The funds in the reinsurance trust
account will also be available to pay noteholders, following the
termination of the trust and payment of amounts due to the ceding
insurer. Funds in the reinsurance trust account will be used to
purchase eligible investments and will be subject to the terms of
the reinsurance trust agreement.

Following the instruction of the ceding insurer, the trustee will
liquidate assets in the reinsurance trust account to (1) make
principal payments to the notes as the insurance coverage in the
reference pool reduces due to loan amortization or policy
termination, and (2) reimburse the ceding insurer whenever it pays
MI claims after the Class B-3 coverage level is written off. While
income earned on eligible investments is used to pay interest on
the notes, the ceding insurer is responsible for covering any
difference between the investment income and interest accrued on
the notes' coverage levels.

The complete rating actions are as follows:

Issuer: Eagle Re 2021-2 Ltd.

Cl. M-1A, Assigned (P)Baa1 (sf)

Cl. M-1B, Assigned (P)Baa3 (sf)

Cl. M-1C, Assigned (P)Ba2 (sf)

Cl. M-1C-1, Assigned (P)Ba1 (sf)

Cl. M-1C-2, Assigned (P)Ba2 (sf)

Cl. M-1C-3, Assigned (P)Ba3 (sf)

Cl. M-2, Assigned (P)B2 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expect this insured pool's aggregate exposed principal
balance to incur a baseline scenario-mean loss of 2.08%, a baseline
scenario-median loss of 1.78%, and a loss of 14.93% at a stress
level consistent with Moody's Aaa ratings. The aggregate exposed
principal balance is the product, for all the mortgage loans
covered by MI policies, of (i) the unpaid principal balance of each
mortgage loan, (ii) the MI coverage percentage. In addition,
Moody's considered that for this transaction, similar to other
mortgage insurance credit risk transfer deals, payment deferrals
are not claimable events and thus are not treated as losses; rather
they would only result in a loss if the borrower ultimately
defaults after receiving the payment deferral and a mortgage
insurance claim is filed. Moody's calculated losses on the pool
using US Moody's Individual Loan Analysis (MILAN) model based on
the loan-level collateral information as of the cut-off date.
Loan-level adjustments to the model results included, but were not
limited to, adjustments for origination quality.

Collateral Description

All of the mortgage loans have an insurance coverage activation
date on or after August 1, 2020, to through July 31, 2021. The
reference pool consists of 153,373 prime, fixed- and
adjustable-rate, one- to four-unit, first-lien fully-amortizing
conforming mortgage loans with a total insured loan balance of
approximately $47 billion. All loans in the reference pool had a
loan-to-value (LTV) ratio at origination that was greater than 80%
with a weighted average of 90.7%. The borrowers in the pool have a
weighted average FICO score of 749, a weighted average
debt-to-income ratio of 36.1% and a weighted average mortgage rate
of 3.0% by unpaid balance. The weighted average risk in force (MI
coverage percentage net of existing reinsurance coverage) is
approximately 22.8% of the reference pool unpaid principal
balance.

The weighted average LTV of 90.7% is far higher than those of
recent private label prime jumbo deals, which typically have LTVs
in the high 60's range, however, it is in line with those of recent
MI CRT transactions. All these insured loans in the reference pool
were originated with LTV ratios greater than 80%. 100% of insured
loans were covered by mortgage insurance at origination with 99.2%
covered by BPMI and 0.8% covered by LPMI based on risk in force.

Underwriting Quality

Moody's took into account the quality of Radian's insurance
underwriting, risk management and claims payment process in Moody's
analysis.

Radian's underwriting requirements address credit, capacity
(income), capital (asset/equity) and collateral. Regarding
collateral, Radian's underwriters and auditors review property
condition and value using the appraisal, 3rd party data and tools,
including Radian's homegenius valuation products.

Lenders submit mortgage loans to Radian for insurance either
through delegated underwriting or non-delegated underwriting
program. Under the delegated underwriting program, lenders can
submit loans for insurance without Radian re-underwriting the loan
file. Radian issues an MI commitment based on the lender's
representation that the loan meets the insurer's underwriting
requirement. Radian allows exceptions for loans approved through
both its delegated and non-delegated underwriting programs. Lenders
eligible under the delegated program must be pre-approved by
Radian's risk management group and are subject to targeted internal
quality assurance reviews. Under the non-delegated underwriting
program, insurance coverage is approved after full-file
underwriting by the insurer's underwriters. As of September 2021,
approximately 73% of the loans in Radian's overall portfolio are
insured through delegated underwriting, 23% through non-delegated
underwriting and 4% through contract underwriting. Radian broadly
follows the GSE underwriting guidelines via DU/LP, subject to few
additional limitations and requirements.

Servicers provide Radian monthly reports of insured loans that are
more than 60-days delinquent prior to any submission of claims.
Claims are typically submitted when servicers have taken possession
of the title to the properties. Radian's claims review process
include loan files, payment history, quality review results, and
property value. Radian sends first document request letter to
Servicer within 35 days of receipt of claim, and may take
additional 10 day period after receipt of response to first
document request to make additional requests. Claims are paid
within 60 days after all required documents are submitted.

Radian performs an internal quality assurance review on a sample
basis of delegated and non-delegated underwritten loans. Radian
selects a random and targeted sample of loans for review, and
assesses each loan file for data accuracy, underwriting quality and
process integrity. Third party vendors are utilized in the quality
assurance reviews as well as re-verifications and investigations.
Vendors must meet stringent approval requirements.

Third-Party Review

Radian engaged Wipro Opus Risk Solutions LLC to perform a data
analysis and diligence review of a sampling of mortgage loans files
submitted for mortgage insurance. This review included validation
of credit qualifications, verification of the presence of material
documentation as applicable to the mortgage insurance application,
updated valuation analysis and comparison, and a tape-to-file data
integrity validation to identify possible data discrepancies. The
scope does not include a compliance review.

The scope of the third-party review is weaker than other MI CRT
transactions Moody's rated because the sample size was small (only
346 of the total loans in the initial reference pool as of
September 2021, or 0.2% by loan count). Once the sample size was
determined, the files were selected randomly to meet the final
sample count of 346 files out of a total of 153,373 loan files.

In spite of the small sample size and a limited TPR scope for Eagle
Re 2021-2, Moody's did not make an additional adjustment to the
loss levels because (1) the underwriting quality of the insured
loans is monitored under the GSEs' stringent quality control system
and (2) MI policies will not cover any costs related to compliance
violations.

The loans are reviewed on a quarterly basis and depending on the
timing of the transaction relative to the quarterly review, the
loans from that production may or may not be included. The TPR
available sample does not cover a subset of pool that have MI
coverage activation date on and after April 2021, representing
approximately 54.8% of the pool by loan count. Moody's did not make
any adjustment because Moody's found no material difference in
credit characteristics between the post-April 2021 subset and the
pre-April 2021 subset, including the percentage of loans with MI
policies underwritten through non-delegated underwriting program,
which ceding insurer requires full loan origination file and
performs independent re-underwriting and quality assurance. Moody's
took this into consideration in its TPR review.

Scope and results. The third-party due diligence scope focuses on
the following:

Appraisals: The third-party diligence provider also reviewed
property valuation on 346 loans in the sample pool. A Freddie Mac
Home Value Explorer ("HVE") was ordered on the entire population of
346 files. If the resulting value of the AVM was less than 90% of
the value reflected on the original appraisal, or if no results
were returned, a Broker Price Opinion ("BPO") was ordered on the
property. If the resulting value of the BPO was less than 90% of
the value reflected on the original appraisal, an Appraisal Review
appraisal was ordered on the property. Among the 346 loans, all
loans were graded A.

Credit: The third-party diligence provider reviewed credit on 346
loans in the sample pool. Most of the loans were graded A. There
were three loans with final grade of B and two loans with final
grade of C.

Data integrity: The third-party review firm was provided a data
file with loan level data, which was audited against origination
documents to determine the accuracy of data found within the data
tape. Per the due diligence report, there are fourteen discrepancy
findings under three fields: DTI, maturity date and first payment
date. The discrepancies are considered to be non-material.

Reps & Warranties Framework

The ceding insurer does not make any representations and warranties
to the noteholders in this transaction. Since the insured mortgages
are predominantly GSE loans, the individual sellers would provide
exhaustive representations and warranties to the GSEs that are
negotiated and actively monitored. In addition, the ceding insurer
may rescind the MI policy for certain material misrepresentation
and fraud in the origination of a loan, which would benefit the MI
CRT noteholders.

Transaction Structure

The transaction structure is very similar to GSE CRT transactions
that Moody's have rated. The ceding insurer will retain the senior
coverage level A, coverage level B-3 and coverage level B-4 at
closing. The offered notes benefit from a sequential pay structure.
The transaction incorporates structural features such as a
12.5-year maturity and a sequential pay structure for the
non-senior tranches, resulting in a shorter expected weighted
average life on the offered notes. The notes will be subject to
redemption prior to the maturity date at the option of the ceding
insurer upon the occurrence of an optional termination event,
including a clean-up call event and an optional call.

Funds raised through the issuance of the notes are deposited into a
reinsurance trust account and are distributed either to the
noteholders, when insured loans amortize or MI policies terminate,
or to the ceding insurer for reimbursement of claims paid when
loans default. Interest on the notes is paid from income earned on
the eligible investments and the coverage premium from the ceding
insurer. Interest on the notes will accrue based on the outstanding
balance of the notes, but the ceding insurer will only be obligated
to remit coverage premium based on each note's coverage level.

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. The rated
Class M-1A, Class M-1B, Class M-1C, Class M-1C-1, Class M-1C-2,
Class M-1C-3 and Class M-2 offered notes have credit enhancement
levels of 5.65%, 4.70%, 3.35%, 4.25%, 3.80%, 3.35% and 2.50%,
respectively. The credit risk exposure of the notes depends on the
actual MI losses incurred by the insured pool. MI losses are
allocated in a reverse sequential order starting with the coverage
level B-4. Investment deficiency amount losses are allocated in a
reverse sequential order starting with the Class B-2 notes (or
Class B-3, if reopened after closing).

The floating rate note coupons reference SOFR which will be based
on compounded SOFR or Term SOFR, as applicable. Following the
occurrence of a benchmark transition event, a benchmark replacement
will be determined by the issuer, and such benchmark replacement
will replace SOFR and will be the benchmark for the next following
accrual period and each accrual period thereafter (unless and until
a subsequent benchmark transition event is determined to have
occurred). Any determination made by the issuer with respect to the
occurrence of a benchmark transition event or a benchmark
replacement, and any calculation by the indenture trustee of the
applicable benchmark for an accrual period, will be final and
binding on the certificate holders in the absence of manifest
error.

So long as the senior coverage level is outstanding, and no
performance trigger event occurs, the transaction structure
allocates principal payments on a pro-rata basis between the senior
and non-senior reference tranches. Principal is then allocated
sequentially amongst the non-senior tranches. Principal payments
are all allocated to senior reference tranches when trigger event
occurs.

A trigger event with respect to any payment date will be in effect
if the coverage level amount of coverage level A for such payment
date has not been reduced to zero and either (i) the preceding
three month average of the sixty-plus delinquency amount for that
payment date equals or exceeds 75.0% of Class A subordination
amount or (ii) the subordinate percentage (or with respect to the
first payment date, the original subordinate percentage) for that
payment date is less than the target CE percentage (minimum C/E
test: 7.75%).

Premium Deposit Account (PDA)

The premium deposit account will benefit the transaction upon a
mandatory termination event (e.g. the ceding insurer fails to pay
the coverage premium and does not cure, triggering a default under
the reinsurance agreement), by providing interest liquidity to the
noteholders, when combined with the income earned on the eligible
investments, of approximately 70 days while the reinsurance trust
account and eligible investments are being liquidated to repay the
principal of the notes.

On the closing date, the ceding insurer will establish a cash and
securities account (the PDA) but no initial deposit amount will be
made to the account by the ceding insurer unless the premium
deposit event is triggered. The premium deposit event will be
triggered (1) with respect to any class of notes, if the rating of
that class of notes exceeds the insurance financial strength (IFS)
rating of the ceding insurer or (2) with respect to all classes of
notes, if the ceding insurer's IFS rating falls below Baa2. If the
note ratings exceed that of the ceding insurer, the insurer will be
obligated to deposit into and maintain in the premium deposit
account the required PDA amount (see next paragraph) only for the
notes that exceeded the ceding insurer's rating. If the ceding
insurer's rating falls below Baa2, it will be obligated to deposit
the required PDA amount for all classes of notes.

The required PDA amount for each class of notes and each month is
equal to the excess, if any, of (i) the coupon rate of the note
multiplied by (a) the applicable funded percentage, (b) the
coverage level amount for the coverage level corresponding to such
class of notes and (c) a fraction equal to 70/360, over (ii) two
times the investment income collected (but not yet distributed) on
the eligible investments.

Moody's believe the requirement that the PDA be funded only upon a
rating trigger event does not establish a linkage between the
ratings of the notes and the IFS rating of the ceding insurer
because, 1) the required PDA amount is small relative to the entire
deal, 2) the risk of PDA not being funded could theoretically occur
only if the ceding insurer suddenly defaults, causing a rating
downgrade from investment grade to default in a very short period,
which is a highly unlikely scenario, and 3) even if the insurer
becomes insolvent, there would be a strong incentive for the
insurer's insolvency regulator to continue to make the interest
payments to avoid losing reinsurance protection provided by the
deal.

Claims Consultant

To mitigate risks associated with the ceding insurer's control of
the trust account and discretion to unilaterally determine the MI
claims amounts (i.e. ultimate net losses), the ceding insurer will
engage Wipro Opus Risk Solutions LLC, as claims consultant, to
verify MI claims and reimbursement amounts withdrawn from the
reinsurance trust account once the coverage level of Class B-3 has
been written down. The claims consultant will review on a quarterly
basis a sample of claims paid by the ceding insurer covered by the
reinsurance agreement. In verifying the amount, the claims
consultant will apply a permitted variance to the total paid loss
for each MI Policy of +/- 2%. The claims consultant will provide a
preliminary report to the ceding insurer containing results of the
verification. If there are findings that cannot be resolved between
the ceding insurer and the claims consultant, the claims consultant
will increase the sample size. A final report will be delivered by
the claims consultant to the trustee, the issuer and the ceding
insurer. The issuer will be required to provide a copy of the final
report to the noteholders and the rating agencies.

Unlike RMBS transactions where there is typically some level of
independent third party oversight by the trustee, the master
servicer and/or the securities administrator, MI CRT transactions
typically do not have such oversight. As noted, the ceding insurer
not only has full control of the trust account but can also
determine, at its discretion, the MI claims amount. The ceding
insurer will then direct the trustee to withdraw the funds to
reimburse for the claims paid. Since the trustee is not required to
verify the MI claims amount, there could be a scenario where funds
are withdrawn from the reinsurance trust account in excess of the
amounts necessary to reimburse the ceding insurer. As such, Moody's
believe the claims consultant in this transaction will provide the
oversight to mitigate such risks.

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

Down

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

Up

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

The principal methodology used in these ratings was Moody's
Approach to Rating US RMBS Using the MILAN Framework published in
August 2021.


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

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

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

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

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

  Ratings Assigned

  Elara HGV Timeshare Issuer 2021-A LLC

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



FREDDIE MAC 2021-DNA6: S&P Assigns Prelim BB- Rating on B-1B Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Freddie Mac
STACR REMIC Trust 2021-DNA6's notes.

The note issuance is an RMBS transaction backed by 100% conforming
residential mortgage loans.

The preliminary ratings are based on information as of Oct. 21,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

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

-- The REMIC structure, which reduces the counterparty exposure to
Freddie Mac for periodic principal and interest payments but also
pledges the support of Freddie Mac (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 Freddie Mac uses in conjunction with the underlying
representations and warranties (R&Ws) framework; 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

  Freddie Mac STACR REMIC Trust 2021-DNA6

  Class A-H(i), 87,560,069,838: NR
  Class M-1, 212,000,000: BBB+ (sf)
  M-1H(i), 11,367,525: NR
  M-2, 424,000,000: BBB- (sf)
  M-2A, 212,000,000: BBB+ (sf)
  M-2AH(i), 11,367,525: NR
  M-2B, 212,000,000: BBB- (sf)
  M-2BH(i), 11,367,525: NR
  M-2R, 424,000,000: BBB- (sf)
  M-2S, 424,000,000: BBB- (sf)
  M-2T, 424,000,000: BBB- (sf)
  M-2U, 424,000,000: BBB- (sf)
  M-2I, 424,000,000: BBB- (sf)
  M-2AR, 212,000,000: BBB+ (sf)
  M-2AS, 212,000,000: BBB+ (sf)
  M-2AT, 212,000,000: BBB+ (sf)
  M-2AU, 212,000,000: BBB+ (sf)
  M-2AI, 212,000,000: BBB+ (sf)
  M-2BR, 212,000,000: BBB- (sf)
  M-2BS, 212,000,000: BBB- (sf)
  M-2BT, 212,000,000: BBB- (sf)
  M-2BU, 212,000,000: BBB- (sf)
  M-2BI, 212,000,000: BBB- (sf)
  M-2RB, 212,000,000: BBB- (sf)
  M-2SB, 212,000,000: BBB- (sf)
  M-2TB, 212,000,000: BBB- (sf)
  M-2UB, 212,000,000: BBB- (sf)
  B-1, 424,000,000: BB- (sf)
  B-1A, 212,000,000: BB+ (sf)
  B-1AR, 212,000,000: BB+ (sf)
  B-1AI, 212,000,000: BB+ (sf)
  B-1AH(i), 11,367,525: NR
  B-1B, 212,000,000: BB- (sf)
  B-1BH(i), 11,367,525: NR
  B-2, 424,000,000: NR
  B-2A, 212,000,000: NR
  B-2AR, 212,000,000: NR
  B-2AI, 212,000,000: NR
  B-2AH(i), 11,367,525: NR
  B-2B, 212,000,000: NR
  B-2BH(i), 11,367,525: NR
  B-3H(i), 223,367,526: NR

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

NR--Not rated.



FREDDIE MAC 2021-HQA3: DBRS Finalizes BB Rating on 16 Classes
-------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Structured Agency Credit Risk (STACR) REMIC 2021-HQA3 Notes 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:
1.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.
2.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.

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 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.



GOLUB CAPITAL 40(B): Moody's Hikes Rating on Class E Notes to Ba2
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to four classes of
CLO refinancing notes issued by Golub Capital Partners CLO 40(B),
Ltd. (the "Issuer").

Moody's rating action is as follows:

US$279,400,000 Class A-R Senior Secured Floating Rate Notes Due
2032 (the "Class A-R Notes"), Assigned Aaa (sf)

US$38,100,000 Class B-R Senior Secured Floating Rate Notes Due 2032
(the "Class B-R Notes"), Assigned Aa1 (sf)

US$22,800,000 Class C-R Secured Deferrable Floating Rate Notes Due
2032 (the "Class C-R Notes"), Assigned A1 (sf)

US$27,500,000 Class D-R Secured Deferrable Floating Rate Notes Due
2032 (the "Class D-R Notes"), Assigned Baa2 (sf)

Additionally, Moody's has taken rating action on the following
outstanding notes originally issued by the Issuer on February 21,
2019 (the "Original Closing Date"):

US$27,900,000 Class E Secured Deferrable Floating Rate Notes Due
2032 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on
February 21, 2019 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.

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

The Issuer previously issued 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: extension of the non-call period;
the inclusion of alternative benchmark replacement provisions; and
changes to the definition of "Moody's Adjusted Weighted Average
Rating Factor".

Moody's rating action on the Class E 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, weighted average spread, diversity
score and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:

Performing par and principal proceeds balance: $440,000,000

Defaulted par: $0

Diversity Score: 64

Weighted Average Rating Factor (WARF): 3239

Weighted Average Spread (WAS): 3.43%

Weighted Average Recovery Rate (WARR): 47.95%

Weighted Average Life (WAL): 5.51 years

In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. The
additional scenarios include, among others, 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.


GS MORTGAGE 2021-HP1: Moody's Gives (P)B3 Rating to Cl. 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 (GSMBS) 2021-HP1. The ratings
range from (P)Aaa (sf) to (P)B3 (sf).

Goldman Sachs Mortgage Company (GSMC), is the sponsor of GS
Mortgage-Backed Securities Trust 2021-HP1 (GSMBS 2021-HP1). The
pool comprises of 1,048 newly originated fixed rate agency-eligible
mortgage loans secured by non-owner occupied investor properties
with up to 30 years of original term to maturity. The aggregate
principal balance of the pool is approximately $400,736,449.

The average stated principal balance is approximately $382,382 and
the weighted average (WA) current mortgage rate is 3.5%. The
borrowers have a WA credit score of 775, WA combined loan-to-value
ratio (CLTV) of 62.5% and WA debt-to-income ratio (DTI) of 34.6%.
Approximately 16.1% of the pool balance is related to borrowers
with more than one mortgage loan in the pool.

All of the mortgage loans for this transaction were acquired by
GSMC, the sponsor and the primary mortgage loan seller, from Home
Point Financial Corporation (wholly-owned subsidiary of Home Point
Capital Inc. rated B1 (CFR), B3 (SUR); Outlook - Ratings Under
Review).

Approximately 5.1% of the mortgage loans by aggregate unpaid
principal balance (UPB) are Appraisal Waiver (AW) loans, whereby
the originator obtained an AW for each such mortgage loan from
Fannie Mae or Freddie Mac through their respective programs.

NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
act as the servicer of the mortgage loans. Wells Fargo Bank, N.A.,
will be the master servicer. The servicer is generally obligated to
advance delinquent payments of principal and interest (P&I) (to the
extent such advances are deemed recoverable). The master servicer,
or a successor servicer, will be obligated to make any required
advance of delinquent payments of principal and interest if the
servicer fails in its obligation to fund such required advance.
Pentalpha Surveillance LLC will be the representations and
warranties (R&W) breach reviewer.

All of the personal-use loans are "qualified mortgages" under
Regulation Z as a result of the temporary provision allowing
qualified mortgage status for loans eligible for purchase,
guaranty, or insurance by Fannie Mae and Freddie Mac (and certain
other federal agencies). If the Sponsor or the Reviewer determines
a Personal Use Loan is no longer a "qualified mortgage" under the
ATR Rules, the Sponsor will be required to repurchase such Personal
Use Loan. With the exception of personal-use loans, all other
mortgage loans in the pool are not subject to TILA because each
such mortgage loan is an extension of credit primarily for a
business purpose and is not a "covered transaction" as defined in
Section 1026.43(b)(1) of Regulation Z.

As of the closing date, the sponsor or a majority- owned affiliate
of the sponsor will retain at least 5% of the initial certificate
principal balance or notional amount of each class of certificates
issued by the trust to satisfy U.S. risk retention rules.

Moody's loss estimates are based on a loan-by-loan assessment of
the securitized collateral pool as of the cut-off date using
Moody's Individual Loan Level Analysis (MILAN) model. The expected
loss for this pool in a baseline scenario is 1.03% at the mean
(0.72% at the median) and reaches 7.75%% at a stress level
consistent with Moody's Aaa ratings.

GSMBS 2021-HP1 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's base its ratings on the credit quality
of the mortgage loans, the structural features of the transaction,
Moody's review of the origination quality and servicing
arrangement, the strength of the TPR, the representations and
warranties (R&W) framework of the transaction, and the degree of
alignment of interests between the sponsor and the investors.

The complete rating action is as follows.

Issuer: GS Mortgage-Backed Securities Trust 2021-HP1

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-8, Assigned (P)Aaa (sf)

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

Cl. A-9-X*, 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-12-X*, Assigned (P)Aaa (sf)

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

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

Cl. A-15, 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-6*, Assigned (P)Aa1 (sf)

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

Cl. B, Assigned (P)Baa1 (sf)

Cl. B-X*, Assigned (P)Baa1 (sf)

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

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

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

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

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

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

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

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

Cl. B-3-X*, 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
1.03%, in a baseline scenario-median is 0.72% and reaches 7.75% 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

The pool comprises of 1,048 newly originated fixed rate
agency-eligible mortgage loans secured by non-owner occupied
investor properties with up to 30 years of original term to
maturity. All of the mortgage loans are (i) originated in
accordance with Freddie Mac and Fannie Mae guidelines (ii) not
actively enrolled in a COVID-19 related forbearance plan and (iii)
current as of October 1, 2021 (cut-off date). The aggregate
principal balance of the pool is approximately $400,736,449. The
average stated principal balance is approximately $382,382 and the
weighted average (WA) current mortgage rate is 3.5%. The borrowers
have a WA credit score of 775, WA combined loan-to-value ratio
(CLTV) of 62.5% and WA debt-to-income ratio (DTI) of 34.6%.
Approximately 16.1% of the pool balance is related to borrowers
with more than one mortgage loan in the pool.

The mortgage loans in the pool were originated mostly in California
(51.1% by loan balance) and in high cost metropolitan statistical
areas (MSAs) of Los Angeles (19.1%), New York (12.6%), San
Francisco (9.3%), San Jose (5.6%) and others (21.9%). The high
geographic concentration in high cost MSAs is reflected in the high
average balance of the pool ($382,382). Moody's made adjustments to
Moody's losses to account for this geographic concentration risk.

Aggregator/Origination Quality

The mortgage loans for this transaction were acquired by GSMC, the
sponsor and a mortgage loan seller. The mortgage loan seller does
not originate any mortgage loans, including the mortgage loans
included in the mortgage pool. Instead, GSMC 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 the originator, Home Point
Financial Corporation, which contributed to 100% of the mortgage
loans (by UPB) to the transaction. Moody's reviewed their
underwriting guidelines, performance history, and quality control
and audit processes and procedures (to the extent available).
Moody's made adjustments to Moody's loss levels for mortgage loans
originated by Home Point.

Home Point Financial Corporation

Founded in 2015 and headquartered in Ann Arbor, Michigan, Home
Point Financial Corporation ("Home Point") is a non-depository,
publicly listed (NASDAQ: HMPT), residential mortgage originator and
servicer of agency-eligible loans. Home Point is licensed to
originate in all 50 states and the District of Columbia and
primarily originates loans via its wholesale and correspondent
relationships. It is the third largest wholesale lender and has
experienced exponential growth in origination volume from $11.6
billion in 2017 to $62.0 billion in 2020.

All the mortgage loans in this pool (including correspondent
channel loans) were originated in accordance with the underwriting
guidelines of Fannie Mae or Freddie Mac. Moody's have increased its
base case and Aaa loss assumption for loans originated by Home
Point due to (i) worse performance than average GSE investor loan
despite average loans having better characteristics than GSE loans
and (ii) lack of strong controls and uneven production quality (as
evidenced by recent internal QC/audit findings) to support recent
rapid growth.

Servicing Arrangement

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

NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will be
the named primary servicer for this transaction. Shellpoint will
service 100% of the pool by balance. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Furthermore, Wells Fargo Bank, N.A., will act as the master
servicer. Moody's consider the presence of an experienced master
servicer such as Wells Fargo Bank, N.A., to be a mitigant for any
servicing disruptions.

Third-party Review

AMC Diligence, LLC (AMC), reviewed 42.6% of the loans (by loan
count) in the final mortgage pool for credit, regulatory
compliance, property valuation, and data accuracy. The due
diligence results confirm compliance with the originators'
underwriting guidelines for the vast majority of mortgage loans, no
material compliance issues, and no material valuation defects.
The mortgage loans that had exceptions to the originators'
underwriting guidelines had significant compensating factors that
were documented. All the appraisal waiver loans, including the ones
that were not a part of the due diligence sample, had a field
review (2055) as secondary valuation.

Representations & Warranties

GSMBS 2021-HP1'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. 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 loans that become 120 days
delinquent and those that liquidate at a loss to determine if any
of the R&Ws are breached. However, because the R&W provider Home
Point exhibit limited financial flexibility since its parent has a
below investment-grade rating, Moody's applied an adjustment to
Moody's losses. 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 0.95% of the cut-off date pool
balance, and as subordination lockout amount of 0.95% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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.


IMPERIAL FUND 2021-NQM3: S&P Assigns B (sf) Rating on B-2 Certs
---------------------------------------------------------------
S&P Global Ratings assigned its 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.

S&P said, "Since we assigned our preliminary ratings on Oct. 15,
2021, the sponsor, Imperial Fund II LLC, updated the transaction
structure with re-sized bond amounts for the A-1, A-2, and A-3
classes and increased credit enhancement levels for the A-1, and
A-2 classes. Additionally, the coupon on class B-1 was updated to
be the net weighted average coupon of the pool. Our loss coverage
levels for the pool remained the same. The assigned ratings remain
the same as our preliminary ratings."

The 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.

  Ratings(i) Assigned

  Imperial Fund Mortgage Trust 2021-NQM3

  Class A-1, $192,551,000: AAA (sf)
  Class A-2, $23,039,000: AA (sf)
  Class A-3, $36,770,000: 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 ratings address the ultimate payment of interest and
principal.

(ii)The notional amount equals the loans' aggregate stated
principal balance.



IVY HILL VII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-RR, B-1-RR, B-2-RR, C-RR, D-RR, and E-RR replacement notes and
proposed new class X-RR notes from Ivy Hill Middle Market Credit
Fund VII Ltd./Ivy Hill Middle Market Credit Fund VII LLC, a CLO
originally issued in October 2013 that is managed by Ivy Hill Asset
Management L.P.

The preliminary ratings are based on information as of Oct. 21,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Nov. 4, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. At
that time, S&P expects to withdraw its ratings on the original
notes and assign ratings to the replacement notes. However, if the
refinancing doesn't occur, S&P may affirm its ratings on the
original notes and withdraw its preliminary ratings on the
replacement notes.

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

-- The replacement class A-RR, B-RR, C-RR, and D-RR notes are
expected to be issued at the same or lower spread over three-month
LIBOR than the original notes, while the class E-RR notes will be
issued at a higher spread over three-month LIBOR than the original
notes, respectively.

-- The non-call period will be extended by approximately four
years to Oct. 20, 2023.

-- The reinvestment period will be by extended approximately four
years to Oct. 20, 2025.

-- The legal final maturity dates for the existing subordinated
notes will be extended by approximately four years (to match that
of the replacement notes) to Oct. 20, 2033.

-- The weighted average life test will be extended to eight years
from the second refinancing date.

-- No additional assets will be purchased on the Nov. 4, 2021,
refinancing date, and the target initial par amount will be reduced
to $420.00 million. There will be no additional effective date or
ramp-up period, and the first payment date following the
refinancing will be Jan.20, 2022.

-- The class X-RR notes will be issued on the second refinancing
date and are expected to be paid down using interest proceeds over
15 payment dates in equal installments of $280,000, beginning on
the April 20, 2022, payment date and ending Oct. 20, 2025.

-- The required minimum overcollateralization ratios will be
amended, and the reinvestment overcollateralization test will be
removed.

-- Approximately $737,000 in additional subordinated notes will be
issued on the second refinancing date, bringing their total balance
to approximately $65.08 million.

-- The transaction will add the ability to purchase workout
related obligations, use select proceeds (including contributions)
for certain permitted uses, and enact a repricing after the end of
the non-call period. Additionally, the transaction has added
benchmark replacement language and made updates to conform to
current rating agency methodology.

-- Of the identified underlying collateral obligations, 95.28%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.

-- Of the identified underlying collateral obligations, 59.79%
have recovery ratings (which may include confidential and private
ratings) assigned by S&P Global Ratings.

  Replacement And Outstanding Note Issuances

  Replacement notes issued on the second refinancing date

  Class X-RR, $4.20 million: Three-month LIBOR + 1.000%

  Class A-RR, $237.30 million: Three-month LIBOR + 1.480%

  Class B-1-RR, $39.00 million: Three-month LIBOR + 1.900%

  Class B-2-RR, $15.60 million: 3.226%

  Class C-RR (deferrable), $31.50 million: Three-month LIBOR +
2.600%

  Class D-RR (deferrable), $18.90 million: Three-month LIBOR +
3.800%

  Class E-RR (deferrable), $27.30 million: Three-month LIBOR +
8.420%

  Additional notes issued on the second refinancing date

  Subordinated notes, $0.74 million: Not applicable

  Outstanding notes

  Class A-R, $225.00 million: Three-month LIBOR + 1.530%

  Class B-R, $68.00 million: Three-month LIBOR + 1.950%

  Class C-R (deferrable), $27.00 million: Three-month LIBOR +
2.600%

  Class D-R (deferrable), $21.25 million: Three-month LIBOR +
3.900%

  Class E-R (deferrable), $34.00 million: Three-month LIBOR +
7.730%

  Subordinated notes, $64.34 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.

"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

  Ivy Hill Middle Market Credit Fund VII Ltd./
  Ivy Hill Middle Market Credit Fund VII LLC

  Class X-RR, $4.20 million: AAA (sf)
  Class A-RR, $237.30 million: AAA (sf)
  Class B-1-RR, $39.00 million: AA (sf)
  Class B-2-RR, $15.60 million: AA (sf)
  Class C-RR (deferrable), $31.50 million: A- (sf)
  Class D-RR (deferrable), $18.90 million: BBB- (sf)
  Class E-RR (deferrable), $27.30 million: BB- (sf)
  Subordinated notes, $65.08 million: Not rated



JP MORGAN 2012-LC9: S&P Lowers Class G Certs Rating to 'CCC (sf)'
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on eight classes of
commercial mortgage pass-through certificates from J.P. Morgan
Chase Commercial Mortgage Securities Trust 2012-LC9, a U.S. CMBS
transaction. At the same time, S&P affirmed its ratings on four
other classes from the same transaction.

Rating Actions

S&P said, "The downgrades on classes B, C, D, E, and F reflect our
revised view of S&P Global Ratings' net cash flow (NCF) for The
Waterfront and One South Broad Street properties, as well as credit
support erosion that we anticipate will occur upon the eventual
resolution of the specially serviced Salem Center asset (all
discussed below). The downgrade on class G reflects its
susceptibility to reduced liquidity support resulting from
potential future deterioration in the aforementioned specially
serviced asset ahead of its eventual resolution (including a
non-recoverability determination).

"We affirmed our ratings on classes A-5, A-SB, and A-S because the
current rating levels were in line with the model-indicated
ratings.

"We affirmed our 'AAA (sf)' rating on the class X-A interest-only
(IO) certificates based on our criteria for rating IO securities,
in which the rating on the IO security would not be higher than
that of the lowest-rated reference class. The notional balance of
class X-A references the class A-1, A-2, A-3, A-4, A-5, A-SB, and
A-S certificates. We downgraded our 'A (sf)' rating on the class
X-B IO certificates to 'A- (sf)' following our rating action on
class C. The notional amount of class X-B references the aggregate
balance of the class B and C certificate balances.

"We downgraded our 'A (sf)' rating on the class EC certificates to
'A- (sf)'. Class EC are exchangeable certificates that may be
exchanged and converted for a ratable portion of each class A-S, B,
and C certificate."

Transaction Summary

As of the October 2021 trustee remittance report, the collateral
pool balance was $535.1 million, which is approximately 50.0% of
the pool balance at issuance. The pool currently includes 27 loans,
as well as one real-estate-owned (REO) asset, down from 45 loans at
issuance. Two assets ($142.9 million, 26.7%) are with the special
servicer, five ($45.1 million, 8.4%) are defeased, and seven
($168.1 million, 31.4%) are on the master servicer's watchlist.
Excluding the Salem Center specially serviced asset and the
defeased loans, using adjusted servicer-reported numbers, S&P
calculated a 1.49x S&P Global Ratings weighted-average debt service
coverage ratio (DSCR) and 91.1% S&P Global Ratings weighted-average
loan-to-value (LTV) ratio using a 7.99% S&P Global Ratings
weighted-average capitalization rate for the remaining loans. The
top 10 nondefeased loans have an aggregate outstanding pool trust
balance of $428.1 million (80.0%). Using adjusted servicer-reported
numbers and excluding the specially serviced Salem Center asset,
S&P calculated an S&P Global Ratings weighted-average DSCR of 1.43x
and LTV ratio of 94.0%.

To date, the pool hasn't experienced any principal loss. S&P
expects losses to reach approximately 2.1% of the original pool
trust balance in the near term based on losses it expects upon the
eventual resolution of the specially serviced Salem Center asset.

Details on the larger loans with material revised S&P Global
Ratings' NCFs are as follows:

-- The Waterfront ($75.8 million pooled trust amount; 14.2% of the
pooled trust balance): The loan is secured by a 765,155-sq.-ft.
lifestyle center in Homestead, Penn., approximately three miles
southeast of the Pittsburgh central business district. Larger
tenants at the property include AMC Theatres (15.3% of net rentable
area [NRA]; lease expiring in December 2025); Dave & Buster's
(7.8%; December 2025); Dick's Sporting Goods (5.9%; March 2022);
Bed Bath & Beyond (5.0%; January 2024); and Marshalls (3.9%;
January 2026). The loan is scheduled to mature in October 2022 and
appears on the master servicer's watchlist for low reported DSCR
due to the shutdown and deferred rents resulting from the pandemic.
Year-to-date (YTD) March 2021's reported DSCR was 0.88x, down from
full-year 2020's 0.94x figure. In addition, reported NCF has
steadily declined since 2015, from $8.3 million, to $7.8 million in
2016/2017, to $7.0 million in 2018/2019, and $4.6 million in 2020
(the latter of which was influenced by the pandemic). During the
same period, reported property occupancy also declined from
approximately 97.0% in 2015, to approximately 90.0% in March 2021.
S&P said, "We also note that two nearby universities (University of
Pittsburgh and Carnegie Mellon University) serve as key demand
drivers for the property. Given the hybrid learning approach being
adopted by many schools, we are concerned that the property's
recovery could be delayed, just as the loan approaches its October
2022 maturity date. Accordingly, we revised our S&P Global Ratings'
NCF to $6.2 million, down 15.6% from last review. We retained our
S&P Global Ratings' capitalization rate of 8.00% to yield an S&P
Global Ratings' value of $77.5 million and a 97.8% S&P Global
Ratings' LTV ratio on the loan."

-- One South Broad Street ($39.5 million; 7.4%): The loan is
secured by a 433,984-sq.-ft. class B office built in 1932 and
renovated in 2000 in Philadelphia. The loan is scheduled to mature
in December 2022 and appears on the master servicer's watchlist for
low reported DSCR and a decline in property occupancy. Per the
watchlist comments, the property was 56.1% occupied as of June
2021, down from 80.0% in 2020, due to tenant Wells Fargo (formerly
23.0% of NRA) vacating at its Dec. 31, 2020, lease expiration. S&P
said, "We believe that the space remains vacant, based on a lack of
updates to the contrary in the watchlist reporting comments, as
well as a LoopNet listing that seems to advertise it for lease.
Given the significant vacancy, we are concerned that the loan may
encounter refinancing risk as it approaches its December 2022
maturity date. Accordingly, we revised our S&P Global Ratings' NCF
to $2.9 million, down 25.0% from last review (approximating the
portion of building NRA/base rent formerly represented by Wells
Fargo). We retained our S&P Global Ratings' capitalization rate of
7.25% to yield an S&P Global Ratings' value of $39.7 million and a
99.4% S&P Global Ratings' LTV ratio on the loan. Larger remaining
tenants at the property include Huntsworth Health (10.0%; July
2026); Walgreen Eastern Co. Inc. (5.9%; April 2023); Sidecar
Interactive Inc. (5.5%; June 2022); Sweat Center City Inc. (5.0%;
December 2027); and Red Tettemer Inc. (4.3%; January 2022)."

Specially Serviced Assets

As of the October 2021 trustee remittance report, the West County
Center loan and Salem Center asset were with the special servicer,
Rialto Capital Advisors LLC:

-- Salem Center ($28.6 million; 5.4%) is the sixth-largest asset
in the pool and the second-largest specially serviced asset. The
REO asset has a total reported exposure of $29.2 million. The asset
represents 212,007 sq. ft. of an approximately 650,000-sq.-ft.
regional mall in Salem, Ore. The original loan was transferred to
special servicing in September 2017 due to imminent maturity
default; the property was later foreclosed on in February 2018, and
the asset became REO in August 2018. The asset has been subject to
several historical declines in appraised value, and the latest May
2021 appraisal from the servicer indicates a value of $8.5 million
for the underlying collateral. S&P said, "We further haircut this
appraisal value by 20% to account for the continued deterioration
in the operating environment for malls amid an uncertain
liquidation timeframe for the asset. We therefore arrived at a
collateral value of $6.8 million, which would result in a
significant loss upon the eventual resolution of this asset."

-- West County Center ($114.3 million pooled trust amount; 21.4%)
is the largest loan in the pool and with the special servicer. The
loan has a reported total exposure of $114.3 million and is current
in its debt service payments. The loan was transferred to special
servicing in April 2020 for imminent monetary default at the
borrower/owner's (CBL & Associates Properties Inc. [CBL]) request
because of the pandemic, but CBL later rescinded the request and
subsequently asked for the loan to be transferred back to the
master servicer. In addition, CBL later filed bankruptcy. The loan
is secured by 743,945 sq. ft. of an approximately 1.2
million-sq.-ft. regional mall located in Des Peres, Missouri, a
suburb of St. Louis. Some of the major tenants, all of which are
still operating at the property, include Macy's (266,000 sq. ft.),
J.C. Penney (199,469 sq. ft.), Nordstrom (185,000 sq. ft.), Dick's
Sporting Goods (81,952 sq. ft.), and H&M (31,529 sq. ft.). Reported
full-year 2020 DSCR was 1.23x and March 2021 property occupancy was
95.0%. The special servicer's reported comments indicate they
continue to review options with their counsel and CBL. S&P siad,
"At this time, we are retaining our S&P Global Ratings' NCF of
$13.1 million ($9.0 million pari-passu in this pooled trust) and
8.75% capitalization rate from our last review, and will continue
to monitor the resolution and will issue updates to our analysis as
may be necessary."

S&P will continue to monitor the transaction against the evolving
economic backdrop and, should there be any meaningful changes to
our performance expectations, will issue research- and/or
ratings-related updates as necessary.

Environmental, social, and governance factors relevant to the
rating action:

-- Health and safety.

  Ratings Lowered

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9

  Class B to 'AA- (sf)' from 'AA (sf)'
  Class C to 'A- (sf)' from 'A (sf)'
  Class D to 'BBB (sf)' from 'BBB+ (sf)'
  Class E to 'BB (sf)' from 'BB+ (sf)'
  Class F to 'B+ (sf)' from 'BB- (sf)'
  Class G to 'CCC (sf)' from 'B- (sf)'
  Class X-B to 'A- (sf)' from 'A (sf)'
  Class EC to 'A- (sf)' from 'A (sf)'

  Ratings Affirmed

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9

  Class A-5: AAA (sf)
  Class A-SB: AAA (sf)
  Class A-S: AAA (sf)
  Class X-A: AAA (sf)



JP MORGAN 2021-13: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 56
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust (JPMMT) 2021-13. The ratings range from
(P)Aaa (sf) to (P)B3 (sf).

JPMMT 2021-13 is the thirteenth prime jumbo transaction in 2021
issued by J.P. Morgan Mortgage Acquisition Corporation (JPMMAC).
The credit characteristic of the mortgage loans backing this
transaction is similar to both recent JPMMT transactions and other
prime jumbo issuers that Moody's have rated. Moody's consider the
overall servicing framework for this pool to be adequate given the
servicing arrangement of the servicers, as well as the presence of
an experienced master servicer to oversee the servicers.

JPMMT 2021-13 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
coding the cash flow, Moody's took into account the step-up
incentive servicing fee structure.

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

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

The complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Trust 2021-13

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-11-BI*, 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)Aa1 (sf)

Cl. A-15, Assigned (P)Aa1 (sf)

Cl. A-15-A, Assigned (P)Aa1 (sf)

Cl. A-15-B, Assigned (P)Aa1 (sf)

Cl. A-15-C, Assigned (P)Aa1 (sf)

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

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

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

Cl. A-X-2*, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

Cl. B-2-X*, 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

Moody's expected loss for this pool in a baseline scenario-mean is
0.65%, in a baseline scenario-median is 0.44% and reaches 4.62% at
a stress level consistent with Moody's Aaa ratings.

Collateral Description

Moody's assessed the collateral pool as of October 1, 2021, the
cut-off date. The deal will be backed by 1,697 fully amortizing
fixed-rate mortgage loans with an aggregate unpaid principal
balance (UPB) of $1,691,343,269 and an original term to maturity of
up to 30 years. The pool consists of prime jumbo non-conforming
(98.7% by UPB) and GSE-eligible conforming (1.3% by UPB) mortgage
loans. The GSE-eligible loans were underwritten pursuant to GSE
guidelines and were approved by DU/LP.

All the loans with the exception of 373 loans were underwritten
pursuant to the new general QM rule. The other loans in the pool
either meet Appendix Q to the QM rules or the QM GSE patch.

There are 1,324 loans originated pursuant to the new general QM
rule in this pool. The third-party review verified that the loans'
APRs met the QM rule's thresholds (APOR + 1.5%). Furthermore, these
loans are typically 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 the applicable program overlays. As part of the
origination quality review and based on the documentation
information Moody's received in the ASF tape, Moody's concluded
that these loans were fully documented and therefore, Moody's ran
these loans as "full documentation" loans in Moody's MILAN model.

Overall, the pool is of strong credit quality and includes
borrowers with high FICO scores (weighted average primary borrower
FICO of 767), low loan-to-value ratios (WA CLTV 71.4% ), high
borrower monthly incomes (about $32,021) and substantial liquid
cash reserves (about $302,056), on a weighted-average basis,
respectively, which have been verified as part of the underwriting
process and reviewed by the TPR firms. Approximately 49.6% of the
mortgage loans (by balance) were originated in California which
includes metropolitan statistical areas (MSAs) Los Angeles (17.9%
by UPB) and San Francisco (9.9% by UPB). The high geographic
concentration in high-cost MSAs is reflected in the high average
balance of the pool ($996,667). Approximately 20.2% of the mortgage
loans are designated as safe harbor Qualified Mortgages (QM) and
meet Appendix Q to the QM rules, 1.1% of the mortgage loans are
designated as Agency Safe Harbor loans, and 78.7% of the mortgage
loans are designated as Safe Harbor APOR loans, for which mortgage
loans are not underwritten to meet Appendix Q but satisfy AUS with
additional overlays of originators.

As of the cut-off date, none of the borrowers of the mortgage loans
have inquired about or requested forbearance plans with the related
servicer or have previously entered into a COVID-19 related
forbearance plan with the related servicer. Certain borrowers may
become subject to forbearance plans or other payment relief plans
following the cutoff date. In the event a borrower requests or
enters into a COVID-19 related forbearance plan after the cut-off
date but prior to the closing date, JPMMAC will remove such
mortgage loan from the mortgage pool and remit the related closing
date substitution amount. In the event that after the closing date
a borrower enters into or requests a COVID-19 related forbearance
plan, such mortgage loan (and the risks associated with it) will
remain in the mortgage pool.

Aggregation/Origination Quality

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

United Wholesale Mortgage, LLC (UWM), Fairway Independent Mortgage
Corporation, loanDepot (loanDepot.com, LLC) and Guaranteed Rate,
Inc. (includes Guaranteed Rate, Inc., Guaranteed Rate Affinity, LLC
and Proper Rate, LLC) sold/originated approximately 63.7%, 5.7%,
5.5% and 5.4% of the mortgage loans (by UPB) in the pool. The
remaining originators each account for less than 5.0% (by UPB) in
the pool (19.7% by UPB in the aggregate). Approximately 5.3% (by
UPB) of the mortgage loans were acquired by JPMMAC from MAXEX
Cleaning, LLC (aggregator), respectively, which purchased such
mortgage loans from the related originators or from an unaffiliated
third party which directly or indirectly purchased such mortgage
loans from the related originators.

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

UWM originated approximately 63.7% of the mortgage loans by pool
balance. The majority of these loans were originated under UWM's
prime jumbo program which are processed using the Desktop
Underwriter (DU) automated underwriting system and are therefore
predominantly underwritten to Fannie Mae guidelines. The loans
receive a DU Approve Ineligible feedback due to the 1) loan amount
or 2) LTV for non-released prime jumbo cash-out refinances is over
80%. Moody's increased its loss expectations for UWM loans due
mostly to the fact that underwriting prime jumbo loans mainly
through DU is fairly new and no performance history has been
provided to Moody's on these types of loans. More time is needed to
assess UWM's ability to consistently produce high-quality prime
jumbo residential mortgage loans under this program.

The loan pool backing this transaction include 1,079 UWM loans
originated pursuant to the new general QM rule. To satisfy the new
rule, UWM implemented its prime jumbo underwriting overlays over
the GSE Automated Underwriting System (AUS) for applications on or
after March 1, 2021. Under UWM's new general QM underwriting, the
APR on all loans will not exceed the average prime offer rate
(APOR) +1.5%, and income and asset documentation will be governed
by the following, designed to meet the verification safe harbor
provisions of the new QM Rule: (i) applicable overlays, (ii) one of
(x) Fannie Mae Single Family Selling Guide or (y) Freddie Mac
guidelines and (iii) Desktop Underwriter.

Servicing Arrangement

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

United Wholesale Mortgage, LLC (subserviced by Cenlar FSB),
JPMorgan Chase Bank, National Association (JPMCB), and
loanDepot.com, LLC (subserviced by Cenlar FSB) are the principal
servicers in this transaction and will service approximately 63.7%,
29.9% and 5.5% of loans (by UPB of the mortgage), respectively.
Shellpoint Mortgage Servicing will act as interim servicer for the
mortgage loans serviced by JPMCB from the closing date until the
servicing transfer date, which is expected to occur on or about
December 1, 2021 (but which may occur after such date).

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

Third-Party Review

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

R&W Framework

Moody's review of the R&W framework takes into account the
financial strength of the R&W providers, scope of R&Ws (including
qualifiers and sunsets) and enforcement mechanisms. JPMMT 2021-13's
R&W framework is in line with that of other JPMMT transactions
Moody's have rated where an independent reviewer is named at
closing, and costs and manner of review are clearly outlined at
issuance. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. The R&W
framework is "prescriptive", whereby the transaction documents set
forth detailed tests for each R&W.

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

Transaction Structure

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

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

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinate bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinate bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.65% of the cut-off date pool
balance, and as subordination lockout amount of 0.65% of the
cut-off date pool balance. Moody's calculate the credit neutral
floors as shown in Moody's principal methodology.

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

Down

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

Up

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

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


JP MORGAN 2021-INV7: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 21
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust (JPMMT) 2021-INV7. The ratings range
from (P)Aaa (sf) to (P)B3 (sf).

JPMMT 2021-INV7 is the seventh JPMMT transaction in 2021 backed by
100% investment property loans issued by J.P. Morgan Mortgage
Acquisition Corporation (JPMMAC). JPMMT 2021-INV7 is a
securitization of agency-eligible investor (INV) mortgage loans
backed by 1,164 fixed rate, non-owner occupied mortgage loans
(designated for investment purposes by the borrower), with an
aggregate unpaid principal balance (UPB) of approximately
$424,093,968. Moody's consider the overall servicing framework for
this pool to be adequate given the servicing arrangement, as well
as the presence of an experienced master servicer. United Wholesale
Mortgage, LLC (UWM) will service 100% of the mortgage loans. Cenlar
FSB (Cenlar) will sub-service the loans for UWM.

JPMMT 2021-INV7 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
coding the cash flow, Moody's took into account the step-up
incentive servicing fee structure.

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

The complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Trust 2021-INV7

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-5, Assigned (P)Aa1 (sf)

Cl. A-5-A, Assigned (P)Aa1 (sf)

Cl. A-5-X*, Assigned (P)Aa1 (sf)

Cl. A-X-1*, 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

Moody's expected loss for this pool in a baseline scenario-mean is
0.91%, in a baseline scenario-median is 0.64%, and reaches 6.57% at
a stress level consistent with Moody's Aaa ratings.

Collateral Description

Moody's assessed the collateral pool as of October 1, 2021, the
cut-off date. The deal will be backed by 1,164 fully amortizing
fixed-rate mortgage loans with an aggregate unpaid principal
balance (UPB) of approximately $424,093,968 and an original term to
maturity of up to 30 years. The pool consists of 100.0%
GSE-eligible conforming mortgage loans. The GSE-eligible loans were
underwritten pursuant to GSE guidelines and were approved by
DU/LP.

Overall, the pool is of strong credit quality and includes
borrowers with high FICO scores (weighted average primary borrower
FICO of 769) and low loan-to-value ratios (WA CLTV 64.6%). The
weighted average borrower total monthly income is $18,735 with an
weighted average of $252,541 cash reserves. Approximately 50.8% of
the mortgage loans (by UPB) were originated in California followed
by Texas (6.3% by UPB) and Arizona (4.4% by UPB). The high
geographic concentration in the high-cost state of California is
reflected in the high average balance of the pool ($364,342).
Approximately 6.9% of the mortgage loans are designated as safe
harbor Qualified Mortgages (QM) and meet Appendix Q to the QM rules
with only one such loan originated under the new QM APOR framework,
and the remaining 93.1% of the mortgage loans are an extension of
credit primarily for a business or commercial purpose and are not a
covered transaction as defined in Section 1026.43(b)(1) of
Regulation Z.

Aggregation/Origination Quality

Moody's consider JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC aggregation
quality, Moody's have also reviewed the origination quality of UWM
who originated and sold 100.0% of the mortgage loans in the pool.

Moody's did not make an adjustment for GSE-eligible loans (100.0%
of the pool by balance) since those loans were underwritten in
accordance with GSE guidelines.

Servicing Arrangement

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

UWM will service 100% of the mortgage loans. Cenlar will
sub-service the loans for UWM. The servicer is required to advance
P&I on the mortgage loans. To the extent that the servicer is
unable to do so, the master servicer will be obligated to make such
advances. In the event that the master servicer, Nationstar, is
unable to make such advances, the securities administrator,
Citibank, N.A. (rated Aa3) will be obligated to do so to the extent
such advance is determined by the securities administrator to be
recoverable. The servicing fee for loans in this transaction is
based on a step-up incentive fee structure with a monthly base fee
of $25 per loan and additional fees for delinquent or defaulted
loans.

Third-Party Review

The credit, compliance, property valuation, and data integrity
portion of the third party review (TPR) was conducted by AMC on a
random sample of 360 (approximately 30.03%, by loan count) out of a
prospective securitization population of 1,199 mortgage loans. With
the exception of 9 mortgage loans which received a final "C" grade,
and in each case, the sponsor removed such loans from the mortgage
pool, 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. Overall, Moody's did not make
adjustments to Moody's losses as (i) the sample size that went
through full due-diligence either met or exceeded Moody's
credit-neutral criteria and (ii) after reviewing the dropped loans
which received a final grade of "C", Moody's did not deem these
exceptions to be material and therefore did not extrapolate these
TPR results on the unsampled portion of the pool.

R&W Framework

Moody's review of the R&W framework takes into account the
financial strength of the R&W providers, scope of R&Ws (including
qualifiers and sunsets) and enforcement mechanisms. JPMMT
2021-INV7's R&W framework is in line with that of other JPMMT
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. The loan-level R&Ws meet or exceed the
baseline set of credit-neutral R&Ws Moody's have identified for US
RMBS. The R&W framework is "prescriptive", whereby the transaction
documents set forth detailed tests for each R&W.

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

Transaction Structure

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

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinate bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinate bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.00% of the cut-off date pool
balance, and as subordination lockout amount of 0.95% of the
cut-off date pool balance. Moody's calculate the credit neutral
floors as shown in its principal methodology.

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

Down

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

Up

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

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


LAKE SHORE IV: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Lake Shore
MM CLO IV LLC's floating-rate notes.

The note issuance is a CLO securitization backed by primarily
middle-market speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The preliminary ratings are based on information as of Oct. 22,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The diversification of the collateral pool;

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

-- The experience of the collateral management 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

  Lake Shore MM CLO IV LLC

  Class X(i), $25.000 million: AAA (sf)
  Class A, $287.500 million: AAA (sf)
  Class B, $50.000 million: AA (sf)
  Class C (deferrable), $45.000 million: A (sf)
  Class D (deferrable)(ii), $41.250 million: BBB- (sf)
  Class E (deferrable)(ii), $33.125 million: BB- (sf)
  Subordinated notes, $62.500 million: Not rated

(i) The class X notes are expected to be paid down using interest
proceeds during the first 15 payment dates in equal installments of
$1.67 million, beginning April 2022 and ending October 2025.

(ii) The class D and E notes can be paid down before other more
senior classes of notes due to a turbo feature that allows the
recapture of excess spread that would otherwise flow out to the
variable dividend notes. The recaptured excess spread used to
de-lever the class D and E notes is made available below the
transaction's coverage tests, as well as uncapped subordinated
expenses, in the payment waterfall.


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

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

The ratings reflect S&P's view of:

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

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

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

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

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

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

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

-- The transaction's payment and legal structures.

  Ratings Assigned

  Lendmark Funding Trust 2021-2

  Class A, $283.16 million, 2.00% IR: AA (sf)
  Class B, $38.32 million, 2.37% IR: A- (sf)
  Class C, $32.00 million, 3.09% IR: BBB- (sf)
  Class D, $46.52 million, 4.46% IR: BB- (sf)
  
  IR--Interest rate.



MARINER FINANCE 2021-B: S&P Assigns Prelim BB- Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Mariner
Finance Issuance Trust 2021-B's asset-backed notes.

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

The preliminary ratings are based on information as of Oct. 21,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The availability of approximately 61.63%, 53.72%, 48.81%,
43.06%, and 34.53% credit support to the class A, B, C, D, and E
notes, respectively, in the form of subordination,
overcollateralization, a reserve account, and excess spread. These
credit support levels are sufficient to withstand stresses
commensurate with the preliminary ratings on the notes based on our
stressed cash flow scenarios.

-- S&P said, "Our worst-case weighted average base-case loss
assumption for this transaction of 20.83%. This base-case is a
function of the transaction-specific reinvestment criteria, actual
Mariner Finance LLC (Mariner) loan performance to date, and a
moderate adjustment in response to the COVID-19 pandemic-related
macroeconomic environment. Our base-case further reflects
year-over-year performance volatility observed in annual loan
vintages across time."

-- That, to date, Mariner's Baltimore headquarters and branch
network remain open and operational. The company's technology
infrastructure allows employees to work remotely and service loans
across the entire branch network. Since March 11, 2020, Mariner has
had the capacity to close and fund loans remotely using digital and
phone technologies.

-- Mariner's tightening of its underwriting and enhanced servicing
procedures for its portfolio in response to the COVID-19 pandemic.
Mariner selectively eliminated loans to lower-credit grade new
borrowers, and reduced advances to lower-credit grade existing
borrowers. Employment, income, and fraud verification procedures
have been enhanced, and requests to approve exceptions must pass
through higher credit authorities. Since the third quarter of 2020,
Mariner has gradually begun to reverse these policies.

-- Mariner's introduction of new reduced-payment deferral options
to borrowers negatively impacted by the COVID-19 pandemic. While
deferment levels rose through March and peaked in April 2020, they
decreased through the summer to historical trend levels.
Transaction documents dictate that a reinvestment criteria event
will occur if loans subject to deferment during the previous
collection period exceed 4.0% of the aggregate principal balance.

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

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

-- The securitized pool characteristics, which include loans with
smaller balances and shorter original terms relative to other
lenders in the industry. The transaction has a five-year revolving
period in which the loan composition can change. As such, S&P
considered the worst-case conceivable pool according to the
transaction's concentration limits.

-- The transaction's payment and legal structures.

  Preliminary Ratings Assigned

  Mariner Finance Issuance Trust 2021-B(i)

  Class A, $206.56 million: AAA (sf)
  Class B, $36.83 million: AA- (sf)
  Class C, $21.67 million: A- (sf)
  Class D, $24.38 million: BBB- (sf)
  Class E, $35.56 million: BB- (sf)

(i)The actual size of the tranches and the respective interest
rates will be determined on the pricing date.



MED TRUST 2021-MDLN: Moody's Assigns (P)B3 Rating to Cl. F Certs
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of CMBS securities, issued by MED Trust 2021-MDLN,
Commercial Mortgage Pass-Through Certificates, Series 2021-MDLN.

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

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

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

Cl. C, Assigned (P)A3 (sf)

Cl. D, Assigned (P)Baa3 (sf)

Cl. E, Assigned (P)Ba3 (sf)

Cl. F, Assigned (P)B3 (sf)

RATINGS RATIONALE

This securitization is backed a single floating-rate loan
collateralized by the fee simple interests in a portfolio of 49
properties totaling 26,702,810SF (the "collateral"). Moody's
ratings are based on the credit quality of the loans and the
strength of the securitization structure.

The mortgage loan will be secured by 49 distribution, office, and
manufacturing properties located across 30 states (the "Portfolio"
or "Properties"). The mortgage loan is part of a larger transaction
pursuant to which the sponsors entered into a definitive agreement
to acquire Medline Industries, LP ("Medline") for a total purchase
price of approximately $32.2 billion. After the completion of the
acquisition, Mozart Holdings, LP (the "Guarantor") will be owned
approximately 77% in the aggregate by the Blackstone Sponsor,
Carlyle Sponsor, H&F Sponsor and certain co-investors, and
approximately 23% by existing investors of Medline.

The Portfolio will be 100% leased by the Borrower to its affiliate,
Medline (the "Master Tenant"), pursuant to a 15-year, unitary,
absolute NNN, master lease (the "Master Lease"). The Borrower and
the Master Tenant will enter into the Master Lease on or prior to
the origination of the Mortgage Loan. The Master Lease will have a
15 year term with two consecutive five year extension options but
no termination options. The annual rent under the Master Lease will
initially be $141,327,562 per annum ($5.29 PSF and will increase
annually by 2%).

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

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

The Moody's first-mortgage DSCR is 2.07x and Moody's first-mortgage
stressed DSCR at a 9.25% constant is .59x. Moody's DSCR is based on
Moody's stabilized net cash flow.

The Moody's LTV ratio for the first-mortgage balance is 159.0%. The
Moody's LTV ratio is based on Moody's value.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The average property
quality grade is 0.90.

Positive features of the transaction include the unitary master
lease, geographic diversity, asset quality and experienced
sponsorship. Offsetting these strengths are the high Moody's
loan-to-value ratio (LTV), single tenant exposure,
floating-rate/interest-only mortgage loan profile and certain
credit negative legal features.

Moody's rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross-collateralization is also reduced.

The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in September 2020.

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

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

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


MIDOCEAN CREDIT X: S&P Assigns BB- (sf) Rating on Class E-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, D-2-R, and E-R replacement notes from MidOcean
Credit CLO X/MidOcean Credit CLO X LLC, a CLO originally issued in
November 2019 that is managed by MidOcean Credit Fund Management
L.P. At the same time, S&P withdrew its ratings on the original
class A-1, A-2-1, A-2-2, B, C, D, and E notes following payment in
full on the Oct. 25, 2021, refinancing date.

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

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

-- The class D notes were split into two sequential classes: the
class D-1-R and D-2-R notes.

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

-- No additional collateral was purchased in connection with this
refinancing. The target initial par amount is remaining at $400.00
million, and the first payment date following the first refinancing
date is Jan. 23, 2022.

-- No additional subordinated notes were issued in connection with
this refinancing. However, the stated maturity date was amended to
match that of the replacement notes.

-- The transaction amended its ability to purchase workout-related
assets and is also conforming to updated rating agency methodology.
The transaction also amended the required minimums on the
overcollateralization tests and its ability to purchase bonds,
capped at 5% of the collateral principal amount.

-- Of the identified underlying collateral obligations, 99.37%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 93.07%
have recovery ratings assigned by S&P Global Ratings.

  Replacement And Original Note Issuances

  Replacement notes

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

  Original notes

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

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

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

  Ratings Assigned

  MidOcean Credit CLO X/MidOcean Credit CLO X LLC
  
  Class A-1-R, $240.00 million: AAA (sf)
  Class A-2-R, $15.00 million: AAA (sf)
  Class B-R, $49.00 million: AA (sf)
  Class C-R (deferrable), $24.00 million: A (sf)
  Class D-1-R (deferrable), $16.00 million: BBB+ (sf)
  Class D-2-R (deferrable), $8.00 million: BBB- (sf)
  Class E-R (deferrable), $15.20 million: BB- (sf)
  Subordinated notes, $35.85 million: NR

  Ratings Withdrawn

  MidOcean Credit CLO X/MidOcean Credit CLO X LLC

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

  NR--Not rated




NEUBERGER BERMAN 33: 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 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. 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. 18, 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 legal final maturity, non-call period, and weighted average
life test were each extended by one year, while the reinvestment
period remained unchanged.

-- The triggers for the class E overcollateralization ratio test
and interest diversion test were each lowered by 70 basis points.

-- LIBOR replacement language was 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."

  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: NR

  Ratings Withdrawn
  Neuberger Berman Loan Advisers CLO 33 Ltd./
  Neuberger Berman Loan Advisers CLO 33 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.



NEW MOUNTAIN 1: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-1R, C-R, D-R, and E-R replacement notes and proposed new
class B-2R notes from New Mountain CLO 1 Ltd., a CLO originally
issued in October 2020 that is managed by New Mountain Credit CLO
Advisers LLC.

The preliminary ratings are based on information as of Oct. 25,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Oct. 29, 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-1R, C-R, D-R, and E-R notes are
expected to be issued at a lower spread than the original notes.

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

-- New class B-2R notes are expected to be issued at a fixed
coupon, partially replacing the current floating-rate notes.

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

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

  New Mountain CLO 1 Ltd./New Mountain CLO 1 LLC

  Class A-R, $310.00 million: AAA (sf)
  Class B-1R, $56.75 million: AA (sf)
  Class B-2R, $13.25 million: AA (sf)
  Class C-R (deferrable), $30.00 million: A (sf)
  Class D-R (deferrable), $30.00 million: BBB- (sf)
  Class E-R (deferrable), $17.50 million: BB- (sf)
  Subordinated notes, $42.60 million: Not rated



OAKTOWN RE VII: Moody's Assigns Ba3 Rating to Cl. M-1B Notes
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to two
classes of mortgage insurance credit risk transfer notes issued by
Oaktown Re VII Ltd.

Oaktown Re VII Ltd. is the second transaction issued under the
Oaktown Re program in 2021, which transfers to the capital markets
the credit risk of private mortgage insurance (MI) policies issued
by National Mortgage Insurance Corporation (NMI, the ceding
insurer) on a portfolio of residential mortgage loans. The notes
are exposed to the risk of claims payments on the MI policies, and
depending on the notes' priority, may incur principal and interest
losses when the ceding insurer makes claims payments on the MI
policies.

On the closing date, Oaktown Re VII Ltd. (the issuer) and the
ceding insurer will enter into a reinsurance agreement providing
excess of loss reinsurance on mortgage insurance policies issued by
the ceding insurer on a portfolio of residential mortgage loans.
Proceeds from the sale of the notes will be deposited into the
reinsurance trust account for the benefit of the ceding insurer and
as security for the issuer's obligations to the ceding insurer
under the reinsurance agreement. The funds in the reinsurance trust
account will also be available to pay noteholders, following the
termination of the trust and payment of amounts due to the ceding
insurer. Funds in the reinsurance trust account will be used to
purchase eligible investments and will be subject to the terms of
the reinsurance trust agreement.

Following the instruction of the ceding insurer, the trustee will
liquidate assets in the reinsurance trust account to (1) make
principal payments to the notes as the insurance coverage in the
reference pool reduces due to loan amortization or policy
termination, and (2) reimburse the ceding insurer whenever it pays
MI claims after the coverage level B2 (or coverage level B-3 if a
Class B-2 Reopening has occurred) written off. While income earned
on eligible investments is used to pay interest on the notes, the
ceding insurer is responsible for covering any difference between
the investment income and interest accrued on the notes' coverage
levels.

The complete rating actions are as follows:

Issuer: Oaktown Re VII Ltd.

Cl. M-1A, Assigned Baa3 (sf)

Cl. M-1B, Assigned Ba3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expect this insured pool's aggregate exposed principal
balance to incur a baseline scenario-mean loss of 2.38%, a baseline
scenario-median loss of 2.04%, and a loss of 15.85% at a stress
level consistent with Moody's Aaa ratings. The aggregate exposed
principal balance is the product, for all the mortgage loans
covered by MI policies, of (i) the unpaid principal balance of each
mortgage loan, (ii) the MI coverage percentage, and (iii) the
reinsurance coverage percentage. Reinsurance coverage percentage is
100% minus existing quota share reinsurance through unaffiliated
insurer, if any. The existing quota share reinsurance applies to
about 98.8% of unpaid principal balance of the reference pool,
covering approximately 20% to 25% of risk in force. The ceding
insurer has purchased quota share reinsurance from unaffiliated
third parties, which provides proportional reinsurance protection
to the ceding insurer for certain losses.

Moody's considered that for this transaction, similar to other
mortgage insurance credit risk transfer deals, payment deferrals
are not claimable events and thus are not treated as losses; rather
they would only result in a loss if the borrower ultimately
defaults after receiving the payment deferral and a mortgage
insurance claim is filed.

Moody's calculated losses on the pool using US Moody's Individual
Loan Analysis (MILAN) model based on the loan-level collateral
information as of the cut-off date. Loan-level adjustments to the
model results included, but were not limited to, adjustments for
origination quality.

Collateral Description

The mortgage loans in the reference pool have an insurance coverage
reporting date from July 1, 2019 through September 30, 2021. The
reference pool consists of 122,629 prime, fixed- and
adjustable-rate, one-to four-unit, first-lien fully-amortizing,
predominantly conforming mortgage loans with a total insured loan
balance of approximately $40 billion. There are 3,524 loans (3.42%
of total unpaid principal balance) which were not underwritten
through GSE guidelines. Moody's analyzed non-GSE eligible loans
using Moody's private-label model to assess the loan default
probability, which will result in a more conservative outcome than
the GSE model. All loans in the reference pool had a loan-to-value
(LTV) ratio at origination that was greater than 75% with a
weighted average of 91.6%. The borrowers in the pool have a
weighted average FICO score of 752, a weighted average
debt-to-income ratio of 34.5% and a weighted average mortgage rate
of 3.1%. The weighted average risk in force (MI coverage percentage
net of existing reinsurance coverage) is approximately 19.6% of the
reference pool unpaid principal balance. The aggregate exposed
principal balance is the portion of the pool's risk in force that
is not covered by existing quota share reinsurance through
unaffiliated parties.

The weighted average LTV of 91.6% is far higher than those of
recent private label prime jumbo deals, which typically have LTVs
in the high 60's range, however, it is in line with those of recent
STACR high LTV CRT transactions and slightly lower than recent
comparable Mortgage Insurance CRT transactions. 100% of insured
loans were covered by mortgage insurance at origination with 98.6%
covered by BPMI and 1.4% covered by LPMI based on risk in force.

Underwriting Quality

Moody's took into account several key qualitative factors during
the ratings process, including qualities of NMI's insurance
underwriting, risk management and claims payment process, as well
as the scope and results of the independent third-party due
diligence review.

Mortgage insurance underwriting

Lenders submit mortgage loans to NMI for insurance either through
delegated underwriting or non-delegated underwriting program. Under
the delegated underwriting program, lenders can submit loans for
insurance without NMI re-underwriting the loan file. NMI issues an
MI commitment based on the lender's representation that the loan
meets the insurer's underwriting requirement. Lenders eligible
under this program must be pre-approved by NMI's risk management
group and are subject to targeted internal quality assurance
reviews. Under the non-delegated underwriting program, insurance
coverage is approved after full-file underwriting by the insurer's
underwriters. NMI performs independent validation of the entire
loan file (underwriting file and closing package) on most of the
mortgage loans underwritten through delegated program. For the 12
months ended June 2021, approximately 74% of NMI's new insurance
written was insured through delegated underwriting, of which 48%
was subject to post-close validation and 26% of new insurance
written for the period was insured through non-delegated
underwriting. NMI broadly follows the GSE underwriting guidelines
via DU/LP, subject to certain additional limitations and
requirements. NMI performs an internal quality assurance review on
a sample basis of delegated and non-delegated underwritten loans.
NMI utilizes third party vendors in the quality assurance reviews
as well as re-verifications and investigations. Vendors must meet
stringent approval requirements. 10% of all third party reviewed
loans deemed as having no findings, are evaluated by NMI's staff to
ensure accuracy.

Third-Party Review

NMI engaged Wipro Opus Risk Solutions (Opus) to perform a data
analysis and diligence review of a sampling of mortgage loans files
submitted for mortgage insurance. This review included validation
of credit qualifications, verification of the presence of material
documentation as applicable to the mortgage insurance application,
updated valuation analysis and comparison, and a tape-to-file data
integrity validation to identify possible data discrepancies. The
scope does not include a compliance review.

The scope of the third-party review is weaker because the sample
size was small (only 360 of the total loans, or 0.29% of the
transaction population). The representative sample of 360 files was
determined using the methodology. Once the sample size was
determined, the files were selected randomly to meet the final
sample count of 360 files out of a total of 29,888 loan files
available for sampling.

In spite of the small sample size and a limited TPR scope for
Oaktown Re VII Ltd., Moody's did not make an additional adjustment
to the loss levels because, (1) approximately 23.9% of the insured
loans were re-underwritten by the ceding insurer through the
non-delegated underwriting channel, 76.1% of the insured loans were
underwritten through delegated channels (the majority of which are
subject to post-close validation by approved underwriting vendors),
(2) the underwriting quality of the insured loans is monitored
under the ceding insurer's stringent quality control system that
satisfies GSE PMIER's requirements, and (3) MI policies will not
cover any costs related to compliance violations.

In addition, the TPR available sample does not cover a subset of
pool that have MI coverage reporting date after August 13, 2021,
representing 23.0% of the pool by loan count. Moody's did not make
any adjustment because Moody's found no material difference in
credit characteristics between the post-August 13, 2021 subset and
the pre-August 13, 2021 subset, including the percentage of loans
with MI policies underwritten through non-delegated underwriting
program, which ceding insurer requires full loan file and performs
independent re-underwriting and quality assurance. Moody's took
this into consideration in Moody's TPR review.

Scope and results. The third-party due diligence scope focuses on
the following:

Appraisals: The third-party diligence provider also reviewed
property valuation on 360 loans in the sample pool. The third-party
review concluded a property grade of A for most of the loans. In
the diligence sample of 360 files, an AVM was first ordered on all
loans, in which 33 AVMs returned no results due to insufficient
property information, and 3 AVMs indicate a variance greater than
10%. The AVM variance is calculated as difference between AVM value
and the lesser of original appraisal or sales price. If the
resulting negative variance of the AVM was greater than 10%, or if
no results were returned, a BPO was ordered on the property. If the
resulting value of the BPO was less than 90% of the value reflected
on the original appraisal a field review was ordered on the
property.

Credit: The third-party diligence provider reviewed credit on 360
loans in the sample pool. The third-party diligence provider
reviewed each mortgage loan file to determine the adherence to
stated underwriting or credit extension guidelines, standards,
criteria or other requirements provided by NMI. For GSE eligible
mortgage loan files, the review of the Automated Underwriting
System (AUS) output was also performed. Per the TPR report, 358
loans have credit grade A, 1 loan has credit grade B and 1 loan has
a grade C. The grade C exception was due to DTI exceeding guideline
or missing appraisal. Moody's did not make adjustment to its losses
for these exceptions because these were all GSE eligible loans
underwritten to full documentation. Such exceptions will likely to
be cured after transaction closing.

Data integrity: The third-party review firm was provided a data
file with loan level data, which was audited against origination
documents to determine the accuracy of data found within the data
tape. A total of 16 data fields were reviewed against the loan
files to confirm the integrity of data tape information. As the TPR
report suggests, there are two discrepancy findings under DTI.

Reps & Warranties Framework

The ceding insurer does not make any representations and warranties
to the noteholders in this transaction. Since the insured mortgages
are predominantly GSE loans, the individual sellers would provide
exhaustive representations and warranties to the GSEs that are
negotiated and actively monitored. In addition, the ceding insurer
may rescind the MI policy for certain material misrepresentation
and fraud in the origination of a loan, which would benefit the MI
CRT noteholders.

Transaction Structure

The transaction structure is very similar to GSE CRT transactions
that Moody's have rated. The ceding insurer will initially retain
the coverage level A and coverage levels B-2 and B-3. The offered
notes benefit from a sequential pay structure. The transaction
incorporates structural features such as a 12.5-year bullet
maturity and a sequential pay structure for the non-senior notes,
resulting in a shorter expected weighted average life on the
notes.

Funds raised through the issuance of the notes are deposited into a
reinsurance trust account and are distributed either to the
noteholders, when insured loans amortize or MI policies terminate,
or to the ceding insurer for reimbursement of claims paid when
loans default. Interest on the notes is paid from income earned on
the eligible investments and the coverage premium from the ceding
insurer.

Credit enhancement in this transaction is comprised of
subordination provided by junior notes. The M-1A, M-1B, M-1C, M-2,
B-1 and B-2 notes have credit enhancement levels of 4.85%, 3.45%,
2.75%, 2.10%, 1.85% and 1.00% respectively. The credit risk
exposure of the notes depends on the actual MI losses incurred by
the insured pool. MI losses are allocated in a reverse sequential
order starting with the coverage level B-3. Investment deficiency
amount losses are allocated in a reverse sequential order starting
with the Class B-1 Notes (or Class B-2 Notes following any Class
B-2 Reopening).

So long as the senior coverage level is outstanding, and no
performance trigger event occurs, the transaction structure
allocates principal payments on a pro-rata basis between the senior
and non-senior reference tranches. Principal is then allocated
sequentially amongst the non-senior tranches. Principal payments
are all allocated to senior reference tranches when trigger event
occurs.

A trigger event with respect to any payment date will be in effect
if the coverage level amount of coverage level A for such payment
date has not been reduced to zero and either (i) the preceding
three month average of the sixty-plus delinquency amount for that
payment date equals or exceeds 75.00% of Class A subordination
amount or (ii) the subordinate percentage (or with respect to the
first payment date, the original subordinate percentage) for that
payment date is less than the target CE percentage (minimum C/E
test: 7.45%).

Premium Deposit Account (PDA)

The premium deposit account will benefit the transaction upon a
mandatory termination event (e.g. the ceding insurer fails to pay
the coverage premium and does not cure, triggering a default under
the reinsurance agreement), by providing interest liquidity to the
noteholders, when combined with the income earned on the eligible
investments, of approximately 70 days while the reinsurance trust
account and eligible investments are being liquidated to repay the
principal of the notes.

On the closing date, the ceding insurer will establish a cash and
securities account (the PDA) but no initial deposit amount will be
made to the account by the ceding insurer unless the premium
deposit event is triggered. The premium deposit event will be
triggered (1) with respect to any class of notes, if the rating of
that class of notes exceeds the insurance financial strength (IFS)
rating of the ceding insurer or (2) with respect to all classes of
notes, if the ceding insurer's IFS rating falls below Baa2. If the
note ratings exceed that of the ceding insurer, the insurer will be
obligated to deposit into and maintain in the premium deposit
account the required PDA amount (see next paragraph) only for the
notes that exceeded the ceding insurer's rating. If the ceding
insurer's rating falls below Baa2, it will be obligated to deposit
the required PDA amount for all classes of notes.

The required PDA amount for each class of notes and each month is
equal to the excess, if any, of (i) the coupon rate of the note
multiplied by (a) the applicable funded percentage, (b) the
coverage level amount for the coverage level corresponding to such
class of notes and (c) a fraction equal to 70/360, over (ii) two
times the investment income collected (but not yet distributed) on
the eligible investments.

Moody's believe the requirement that the PDA be funded only upon a
rating trigger event does not establish a linkage between the
ratings of the notes and the IFS rating of the ceding insurer
because, 1) the required PDA amount is small relative to the entire
deal, 2) the risk of PDA not being funded could theoretically occur
only if the ceding insurer suddenly defaults, causing a rating
downgrade from investment grade to default in a very short period,
which is a highly unlikely scenario, and 3) even if the insurer
becomes insolvent, there would be a strong incentive for the
insurer's insolvency regulator to continue to make the interest
payments to avoid losing reinsurance protection provided by the
deal.

Claims Consultant

To mitigate risks associated with the ceding insurer's control of
the trust account and discretion to unilaterally determine the MI
claims amounts (i.e. ultimate net losses), the ceding insurer will
engage Consolidated Analytics, Inc., as claims consultant, to
verify MI claims and reimbursement amounts withdrawn from the
reinsurance trust account once the coverage level B-2 has been
written down. The claims consultant will review on a quarterly
basis a sample of claims paid by the ceding insurer covered by the
reinsurance agreement. In verifying the amount, the claims
consultant will apply a permitted variance to the total paid loss
for each MI Policy of +/- 2%. The claims consultant will provide a
preliminary report to the ceding insurer containing results of the
verification. If there are findings that cannot be resolved between
the ceding insurer and the claims consultant, the claims consultant
will increase the sample size. A final report will be delivered by
the claims consultant to the trustee, the issuer and the ceding
insurer. The issuer will be required to provide a copy of the final
report to the noteholders and the rating agencies.

Unlike RMBS transactions where there is typically some level of
independent third party oversight by the trustee, the master
servicer and/or the securities administrator, MI CRT transactions
typically do not have such oversight. As noted, the ceding insurer
not only has full control of the trust account but can also
determine, at its discretion, the MI claims amount. The ceding
insurer will then direct the trustee to withdraw the funds to
reimburse for the claims paid. Since the trustee is not required to
verify the MI claims amount, there could be a scenario where funds
are withdrawn from the reinsurance trust account in excess of the
amounts necessary to reimburse the ceding insurer. As such, Moody's
believe the claims consultant in this transaction will provide the
oversight to mitigate such risks.

SOFR benchmark rate

In this transaction, the notes' coupon is indexed to SOFR. Based on
the transaction's synthetic structure, the particular choice of
benchmark has no credit impact. Interest payments to the notes are
made from income earned on the eligible investments in the
reinsurance trust account and the coverage premium from the ceding
insurer, which prevents the notes from incurring interest
shortfalls as a result of increases in the benchmark index.

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

Down

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

Up

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

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
August 2021.


OBX TRUST 2021-INV2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 48
classes of residential mortgage-backed securities (RMBS) issued by
OBX 2021-INV2 Trust (OBX 2021-INV2). The ratings range from (P)Aaa
(sf) to (P)B3 (sf).

OBX 2021-INV2, the eighth rated issue from Onslow Bay Financial LLC
(Onslow Bay) in 2021, is a prime RMBS securitization of 30-year
fixed-rate, predominantly agency-eligible mortgage loans secured by
first liens on non-owner occupied residential properties
(designated for investment purposes by the borrower). 95.0% of the
loans were underwritten using one of the government-sponsored
enterprises' (GSE) automated underwriting systems (AUS) and
received an "Approve" or "Accept" recommendation, whereas the
remaining 5.0% were underwritten to Rocket Mortgage's Jumbo Smart
prime jumbo underwriting standards. As of the cut-off date, no
borrower under any mortgage loan is currently in an active Covid-19
related forbearance plan with the related servicer.

All of the mortgage loans in the pool were originated by Rocket
Mortgage, LLC (Rocket Mortgage, f/k/a Quicken Loans, LLC, rated Ba1
(CFR) with Positive outlook). NewRez LLC d/b/a Shellpoint Mortgage
Servicing (Shellpoint) will service all the mortgage loans on
behalf of the issuing entity, starting December 1, 2021. Wells
Fargo Bank, N.A. (Wells Fargo; long term deposit Aa1, long term
debt Aa2) will act as master servicer. Certain servicing advances
and advances for delinquent scheduled interest and principal
payments will be funded, unless the related mortgage loan is 120
days or more delinquent or the servicer determines that such
delinquency advances would not be recoverable. The master servicer
is obligated to fund any required monthly advances if the servicer
fails in its obligation to do so. The master servicer and servicer
will be entitled to reimbursements for any such monthly advances
from future payments and collections with respect to those mortgage
loans.

The sponsor, directly or through a majority-owned affiliate,
intends to retain an eligible horizontal residual interest with a
fair value of at least 5% of the aggregate fair value of the notes
issued by the trust.

OBX 2021-INV2 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordination floor. In Moody's analysis of tail risk, Moody's
considered the increased risk from borrowers with more than one
mortgage in the pool.

The complete rating actions are as follows:

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-11IO*, 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)Aa1 (sf)

Cl. A-19, Assigned (P)Aa1 (sf)

Cl. A-20, Assigned (P)Aa1 (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-IO-1*, Assigned (P)Aaa (sf)

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

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

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

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

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

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

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

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

Cl. A-IO-20*, Assigned (P)Aa1 (sf)

Cl. A-IO-21*, Assigned (P)Aa1 (sf)

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

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

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

Cl. B-IO1*, Assigned (P)Aa3 (sf)

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

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

Cl. B-IO2*, Assigned (P)A2 (sf)

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

Cl. B-3A, Assigned (P)Baa2 (sf)

Cl. B-IO3*, Assigned (P)Baa2 (sf)

Cl. B-4, Assigned (P)Ba2 (sf)

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

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected losses in a base case scenario are 0.88% and reach
6.74% at a stress level consistent with Moody's Aaa rating
scenario.

Moody's base its ratings on the notes 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

The OBX 2021-INV2 transaction is a securitization of 932 mortgage
loans secured by 30-year fixed-rate, non-owner occupied first liens
on one-to four-family residential properties, planned unit
developments and condominiums with an unpaid principal balance of
approximately $343,571,140. The notes are backed by 914 (95.0% by
loan balance) agency-eligible (conforming) and 18 (5.0% by loan
balance) prime jumbo (non-conforming) investment property mortgage
loans. The mortgage pool has a WA seasoning of about 2 months. The
loans in this transaction have strong borrower credit
characteristics with a weighted average original FICO score of 772
and a weighted-average original combined loan-to-value ratio (CLTV)
of 66.3%. In addition, 19.5% of the borrowers are self-employed and
refinance loans comprise about 45.0% of the aggregate pool. The
pool has a high geographic concentration with 48.5% of the
aggregate pool located in California, with 5.5% located in the Los
Angeles-Long Beach-Anaheim MSA and 2.7% located in the San Jose.
The characteristics of the loans underlying the pool are generally
comparable to other recent prime RMBS transactions backed by
investment property mortgage loans that Moody's have rated.

As of the cut-off date, no borrower under any mortgage loan is
currently in an active Covid-19 related forbearance plan with the
related servicer. In the event that, after cut-off date, a borrower
enters into or requests an active Covid-19 related forbearance
plan, such mortgage loan will remain in the mortgage pool.

Appraisal Waiver (AW) loans, all of which are agency-eligible
loans, which constitute approximately 2.9% of the mortgage loans by
aggregate cut-off date balance, may present a greater risk as the
value of the related mortgaged properties may be less than the
value ascribed to such mortgaged properties. Moody's made an
adjustment in Moody's analysis to account for the increased risk
associated with such loans. However, Moody's have tempered this
adjustment by taking into account the GSEs' robust risk modeling,
which helps minimize collateral valuation risk, as well as the
GSEs' conservative eligibility requirements for AW loans which
helps to support deal collateral quality.

Origination Quality

100.0% of the mortgage loans in the pool were originated by Rocket
Mortgage. 95.0% of the mortgage loans comply with Freddie Mac and
Fannie Mae underwriting guidelines, receiving an "Approve" or
"Accept" recommendation, which take into consideration, among other
factors, the income, assets, employment and credit score of the
borrower. Moody's increased Moody's loss assumption for such loans
originated by Rocket Mortgage due to the relatively weaker
performance of their agency-eligible investment property mortgage
loans compared to similar loans from other originators in the
Freddie Mac and Fannie Mae database.

The remaining 5.0% of mortgage loans were underwritten to Rocket
Mortgage's Jumbo Smart prime jumbo underwriting standards. Moody's
consider this origination of prime jumbo loans as acceptable based
on a detailed review of its underwriting guidelines, quality
control processes, policies and procedures, technology
infrastructure, disaster recovery plan and satisfactory performance
history. Moody's analyze the prime jumbo loans using Moody's
private-label model to assess the loan default probability and loss
severity.

Servicing Arrangement

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

Shellpoint will be the named primary servicer for this transaction
and will service 100% of the pool, starting December 1, 2021.
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.

The P&I Advancing Party (Onslow Bay) will make principal and
interest advances (subject to a determination of recoverability)
for the mortgage loans but only to the extent that such delinquency
advances are not funded by amounts held for future distribution, a
reduction in the excess servicing strip fee or a reduction in the
P&I advancing party fee.

Similarly to the OBX 2021-INV1 transaction Moody's have rated, and
in contrast to the OBX 2021-J shelf, no advances of delinquent
principal or interest will be made for mortgage loans that become
120 days or more delinquent under the MBA method. Subsequently, if
there are mortgage loans that are 120 days or more delinquent on
any payment date, there will be a reduction in amounts available to
pay principal and interest otherwise payable to note holders.
Moody's did not make an adjustment for the stop advance feature due
to the strong reimbursement mechanism for liquidated mortgage
loans. Proceeds from liquidated mortgage loans are included in the
available distribution amount and are paid according to the
waterfall.

Third Party Review (TPR)

One independent TPR firm, AMC Diligence, LLC (AMC), was engaged to
conduct due diligence for the credit, compliance, property
valuation and data integrity for approximately 32.0% of the final
mortgage pool (by loan count). The original population included 307
loans. During the course of the review, 9 loans were removed for
various reasons. The final population of the review consisted of
298 loans. The TPR results indicated compliance with the
originators' underwriting guidelines for most of the loans without
any material compliance issues or appraisal defects. 97.1% of the
loans reviewed in the original population received a grade B or
higher with 93.5% of loans receiving an A grade.

Reps & Warranties (R&W)

Moody's analysis of the R&W framework considers the adequacy of the
R&Ws and enforcement mechanisms, and the creditworthiness of the
R&W provider.

Moody's assessed OBX 2021-INV2's R&W framework for this transaction
as adequate, consistent with that of other prime transactions for
which an independent reviewer is named at closing, the breach
review process is thorough, transparent and objective, and the
costs and manner of review are clearly outlined at issuance.
However, Moody's applied an adjustment to Moody's losses to account
for the risk that Rocket Mortgage, rated Ba1 (CFR) with Positive
outlook, may be unable to repurchase defective mortgage loans in a
stressed economic environment. Moody's also took into account
Rocket Mortgage's relative financial strength and strong TPR
results which suggest a lower probability that poorly performing
mortgage loans will be found defective following review by the
independent reviewer.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility, as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.20% of the closing pool balance,
and a subordination lock-out amount equal to 1.20% of the closing
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.


OCP CLO 2021-22: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OCP CLO
2021-22 Ltd./OCP CLO 2021-22 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. 25,
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

  OCP CLO 2021-22 Ltd./OCP CLO 2021-22 LLC

  Class A, $346.50 million: AAA (sf)
  Class B-1, $56.00 million: AA (sf)
  Class B-2, $15.50 million: AA (sf)
  Class C (deferrable), $33.00 million: A (sf)
  Class D (deferrable), $33.00 million: BBB- (sf)
  Class E (deferrable), $22.00 million: BB- (sf)
  Subordinated notes, $51.00 million: Not rated



OCTAGON 57: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Octagon 57
Ltd./Octagon 57 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 Octagon Credit Investors LLC.

The preliminary ratings are based on information as of Oct. 22,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool.

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

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

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

  Preliminary Ratings Assigned

  Octagon 57 Ltd./Octagon 57 LLC

  Class X(i), $1.00 million: AAA (sf)
  Class A, $315.00 million: AAA (sf)
  Class B-1, $50.00 million: AA (sf)
  Class B-2, $15.00 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $48.30 million: Not rated

(i)The class X note is expected to be paid down using interest
proceeds over the course of 12 payment dates starting on the Jan.
15, 2024, payment date.



OCTAGON LTD 56: Moody's Assigns Ba3 Rating to $21.25MM Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Octagon 56, Ltd. (the "Issuer" or "Octagon 56").

Moody's rating action is as follows:

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

US$60,000,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned Aa2 (sf)

US$27,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

US$31,250,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

US$21,250,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Assigned Ba3 (sf)

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

RATINGS RATIONALE

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

Octagon 56 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans and eligible investments, and up to 10.0% of
the portfolio may consist of assets other than senior secured loans
and eligible investments, provided that not more than 5.0% of the
portfolio consists of permitted non-loan assets. The portfolio is
approximately 80% ramped as of the closing date.

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

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

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

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

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

Par amount: $500,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2800

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 7.0%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


OHA CREDIT 4: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-R, B-R,
C-R, D-R, and E-R replacement notes from OHA Credit Funding 4
Ltd./OHA Credit Funding 4 LLC, a CLO originally issued in October
2019 that is managed by Oak Hill Advisors L.P.

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, and D-R notes were issued
at a lower spread than the original notes.

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

-- The replacement class B-R notes were fully issued at a floating
spread, replacing the current fixed- and floating-rate mix.

-- The reinvestment period, non-call period, and stated maturity
were extended two, two, and four years, respectively.

-- 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."

  Ratings Assigned

  OHA Credit Funding 4 Ltd./
  OHA Credit Funding 4 LLC (Refinancing And Extension)

  Class X-R, $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

  Ratings Withdrawn

  OHA Credit Funding 4 Ltd./
  OHA Credit Funding 4 LLC (Refinancing And Extension)

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

  NR--Not rated.



PALMER SQUARE 2021-4: Moody's Assigns Ba3 Rating to Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Palmer Square Loan Funding 2021-4, Ltd. (the
"Issuer" or "Palmer Square 2021-4").

Moody's rating action is as follows:

US$680,000,000 Class A-1 Senior Secured Floating Rate Notes due
2029, Assigned Aaa (sf)

US$120,000,000 Class A-2 Senior Secured Floating Rate Notes due
2029, Assigned Aa1 (sf)

US$60,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2029, Assigned A1 (sf)

US$35,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029, Assigned Baa2 (sf)

US$35,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2029, Assigned Ba2 (sf)

US$10,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2029, Assigned Ba3 (sf)

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

RATINGS RATIONALE

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

Palmer Square 2021-4 is a cash flow static CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. The portfolio is 100% ramped as of the
closing date.

Palmer Square Capital Management LLC (the " Servicer") may engage
in disposition of the assets on behalf of the Issuer during the
life of the transaction. Reinvestment is not permitted and all sale
and unscheduled principal proceeds received will be used to
amortize the notes in sequential order.

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

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

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

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

Par amount: $1,000,000,000

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2506

Weighted Average Spread (WAS): 3.24% (actual spread vector of the
portfolio)

Weighted Average Recovery Rate (WARR): 48.06%

Weighted Average Life (WAL): 5.36 years (actual amortization vector
of the portfolio)

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.


PPM CLO 5: Moody's Assigns Ba3 Rating to $17.6MM Class E Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by PPM CLO 5 Ltd.(the "Issuer").

Moody's rating action is as follows:

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

US$48,000,000 Class B Floating Rate Notes due 2034, Assigned Aa2
(sf)

US$23,200,000 Class C Deferrable Floating Rate Notes due 2034,
Assigned A2 (sf)

US$23,200,000 Class D Deferrable Floating Rate Notes due 2034,
Assigned Baa3 (sf)

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

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

RATINGS RATIONALE

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

PPM CLO 5 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10% of the portfolio may consist of non-senior secured loans and
bonds. The portfolio is approximately 95% ramped as of the closing
date.

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 Rated Notes, the Issuer issued subordinated
notes.

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

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

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

Par amount: $400,000,000

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2829

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 46.5%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


PRKCM 2021-AFC1: DBRS Finalizes B(low) Rating on Class B-2 Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Notes, Series 2021-AFC1 issued by PRKCM 2021-AFC1
Trust (the Trust):

-- $248.6 million Class A-1 at AAA (sf)
-- $17.0 million Class A-2 at AA (sf)
-- $16.3 million Class A-3 at A (sf)
-- $13.9 million Class M-1 at BBB (low) (sf)
-- $7.7 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 19.70% of
credit enhancement provided by subordinated Notes. The AA (sf), A
(sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings
reflect 14.20%, 8.95%, 4.45%, 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 is 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.

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



RR 19: S&P Assigns Prelim BB- (sf) Rating on Class D Notes
----------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to RR 19
Ltd./RR 19 LLC's floating-rate notes.

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

The preliminary ratings are based on information as of Oct. 22,
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 subordination, excess
spread, and overcollateralization;

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

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

  Preliminary Ratings Assigned

  RR 19 Ltd./RR 19 LLC

  Class A-1, $423.50 million: AAA (sf)
  Class A-2, $87.50 million: AA (sf)
  Class B (deferrable), $58.80 million: A (sf)
  Class C (deferrable), $44.45 million: BBB- (sf)
  Class D (deferrable), $25.55 million: BB- (sf)
  Subordinated notes, $65.85 million: Not rated



SDART 2021-1: Moody's Hikes Rating on Class E Notes to Ba2
----------------------------------------------------------
Moody's Investors Service has upgraded 14 classes of bonds issued
by seven auto loan securitizations. The bonds are backed by pools
of retail automobile loan contracts originated and serviced by
Santander Consumer USA Inc.

The complete rating actions are as follows:

Issuer: Santander Consumer Auto Receivables Trust 2021-A

Class C Notes, Upgraded to Aa1 (sf); previously on Jul 12, 2021
Upgraded to Aa2 (sf)

Class D Notes, Upgraded to A2 (sf); previously on Jul 12, 2021
Upgraded to Baa1 (sf)

Issuer: Santander Drive Auto Receivables Trust 2019-3

Class E Notes, Upgraded to A2 (sf); previously on Jun 24, 2021
Upgraded to Baa3 (sf)

Issuer: Santander Drive Auto Receivables Trust 2020-2

Class D Notes, Upgraded to Aa1 (sf); previously on Jun 24, 2021
Upgraded to Aa2 (sf)

Class E Notes, Upgraded to Baa2 (sf); previously on Jun 24, 2021
Upgraded to Baa3 (sf)

Issuer: Santander Drive Auto Receivables Trust 2020-3

Class D Notes, Upgraded to Aa2 (sf); previously on Jun 24, 2021
Upgraded to A1 (sf)

Class E Notes, Upgraded to Ba1 (sf); previously on Jun 24, 2021
Upgraded to Ba2 (sf)

Issuer: Santander Drive Auto Receivables Trust 2020-4

Class D Notes, Upgraded to Aa2 (sf); previously on Jun 24, 2021
Upgraded to A1 (sf)

Class E Notes, Upgraded to Ba1 (sf); previously on Jun 24, 2021
Upgraded to Ba2 (sf)

Issuer: Santander Drive Auto Receivables Trust (SDART) 2021-1

Class C Notes, Upgraded to Aaa (sf); previously on Feb 17, 2021
Definitive Rating Assigned Aa1 (sf)

Class D Notes, Upgraded to Aa3 (sf); previously on Feb 17, 2021
Definitive Rating Assigned Baa1 (sf)

Class E Notes, Upgraded to Ba2 (sf); previously on Feb 17, 2021
Definitive Rating Assigned B1 (sf)

Issuer: Santander Drive Auto Receivables Trust 2021-2

Class C Notes, Upgraded to Aaa (sf); previously on May 26, 2021

Definitive Rating Assigned Aa1 (sf)

Class D Notes, Upgraded to A3 (sf); previously on May 26, 2021
Definitive Rating Assigned Baa2 (sf)

RATINGS RATIONALE

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

Moody's lifetime cumulative net loss expectations range between 10%
and 15% for the Santander Drive Auto Receivables Trust transactions
and 3.25% for the Santander Consumer Auto Receivables Trust 2021-A.
The loss expectations reflect updated performance trends on the
underlying pools. More recently US consumers have shown a high
degree of resilience owing to the government stimulus and the
relief options offered by servicers.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
September 2021.

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

Up

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

Down

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


SG RESIDENTIAL 2021-2: S&P Assigns Prelim B- Rating on B-2 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to SG
Residential Mortgage Trust 2021-2's residential mortgage
pass-through certificates.

The certificate issuance is an RMBS securitization backed by a pool
of first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans secured primarily by single-family
residential properties, planned-unit developments, condominiums,
and two- to four-family residential properties to both prime and
nonprime borrowers.

The preliminary ratings are based on information as of Oct. 21,
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 credit enhancement provided for this transaction;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework for this
transaction;

-- The mortgage aggregator, SG Capital Partners LLC, as well as
the mortgage originator, ClearEdge Lending;

-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool; and

-- The liquidity available in the transaction.

  Preliminary Ratings Assigned

  SG Residential Mortgage Trust 2021-2

  Class A-1, $158,391,000: AAA (sf)
  Class A-2, $16,172,000: AA (sf)
  Class A-3, $26,379,000: A (sf)
  Class M-1, $10,437,000: BBB (sf)
  Class B-1, $8,487,000: BB (sf)
  Class B-2, $6,538,000: B- (sf)
  Class B-3, $2,982,504: Not rated
  Class B-3-C, $2,982,504: Not rated
  Class A-IO-S, Notional(i) : Not rated
  Class C, $1,000: Not rated
  Class XS, Notional(ii) : Not rated
  Class XS-1, Notional(ii) : Not rated
  Class XS-2, Notional(ii) : Not rated
  Class XS-2-C, Notional(ii) : Not rated
  Class P, $100: Not rated
  Class R, N/A: Not rated
  Class LT-R, N/A: Not rated

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

(ii)Notional amount will equal to the aggregate certificate
principal balance of the class A-1, A-2, A-3, M-1, B-1, B-2, and
B-3 or B-3-C certificates (immediately before such distribution
date).

N/A--Not applicable.



SIERRA TIMESHARE 2021-2: Fitch Gives Final 'BB' Rating to D Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Outlooks to notes
issued by Sierra Timeshare 2021-2 Receivables Funding LLC
(2021-2).

DEBT      RATING              PRIOR
----      ------              -----
Sierra Timeshare 2021-2 Receivables Funding LLC

A    LT AAAsf  New Rating    AAA(EXP)sf
B    LT Asf    New Rating    A(EXP)sf
C    LT BBBsf  New Rating    BBB(EXP)sf
D    LT BBsf   New Rating    BB(EXP)sf

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 considers 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 classes 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 11.9% 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 BB (sf) Rating on Cl. D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect S&P's view of the credit enhancement available
in the form of subordination, overcollateralization, a reserve
account, and available excess spread. The ratings also reflect
S&P's view of Wyndham Consumer Finance Inc.'s servicing ability and
experience in the timeshare market.

  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)



SIGNAL PEAK 4: S&P Assigns Prelim B- (sf) Rating on Class F-R Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, E-R, and F-R replacement notes and the proposed
new class X-R notes from Signal Peak CLO 4 Ltd./Signal Peak CLO 4
LLC, a CLO originally issued in October 2017 that is managed by
ORIX Advisers LLC, a wholly owned subsidiary of ORIX Corp. USA,
which is a subsidiary of ORIX Corp.

The preliminary ratings are based on information as of Oct. 25,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Oct. 26, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

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

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

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

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

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

-- The class X-R notes are being issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds over 12 payment dates beginning with the payment
date in October 2023.

Replacement And Original Note Issuances

  Replacement notes

  Class X-R, $6.00 million: Three-month Libor +0.95%
  Class A-R, $384.00 million: Three-month LIBOR + 1.18%
  Class B-R, $72.00 million: Three-month LIBOR + 1.75%
  Class C-R, $36.00 million: Three-month LIBOR + 2.15%
  Class D-R, $36.00 million: Three-month LIBOR + 3.20%
  Class E-R, $19.50 million: Three-month LIBOR + 6.75%
  Class F-R, $10.50 million: Three-month LIBOR + 8.53%
  Subordinated notes, $58.45 million: Residual

  Original notes

  Class A, $369.90 million: Three-month LIBOR + 1.21%
  Class B, $72.00 million: Three-month LIBOR + 1.72%
  Class C, $50.10 million: Three-month LIBOR + 2.10%
  Class D, $34.00 million: Three-month LIBOR + 3.05%
  Class E, $25.00 million: Three-month LIBOR + 6.45%
  Class F, $10.80 million: Three-month LIBOR + 7.70%
  Subordinated notes, $46.20 million: Residual

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

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

  Preliminary Ratings Assigned

  Signal Peak CLO 4 Ltd./Signal Peak CLO 4 LLC

  Class X-R, $6.00 million: AAA (sf)
  Class A-R, $384.00 million: AAA (sf)
  Class B-R, $72.00 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), $19.50 million: BB- (sf)
  Class F-R (deferrable), $10.50 million: B- (sf)
  Subordinated notes, $58.45 million: Not rated


SIXTH STREET XX: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned ratings to Sixth Street CLO XX
Ltd./Sixth Street CLO XX LLC's floating-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool;

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

-- The experience of the collateral management 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

  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



SLM STUDENT 2008-3: S&P Lowers Class A-3 Notes Rating to 'D (sf)'
-----------------------------------------------------------------
S&P Global Ratings lowered its rating on SLM Student Loan Trust
2008-3's class A-3 notes to 'D (sf)' from 'CC (sf)'and removed it
from CreditWatch negative.

This class has faced liquidity constraints, as the loans have not
amortized at a pace that allows for the class to be repaid by its
legal final maturity date. The trust has agreements in place that
provide Navient Corp. with the option to purchase collateral out of
the trust or provide a subordinated loan to the trust on the legal
final maturity date. Neither option was exercised, and the class
A-3 notes were not repaid on their legal final maturity date of
Oct. 25, 2021.

This transaction is backed by student loans originated through the
U.S. Education Department's (ED) Federal Family Education Loan
Program (FFELP). ED reinsures at least 97% of the principal and
interest on defaulted loans serviced, according to the FFELP
guidelines. Due to the high level of recoveries from ED on
defaulted loans, defaults effectively function similarly to
prepayments. Thus, S&P expects net losses to be minimal and the
bond to be repaid subsequent to the legal final maturity date.



SOUND POINT XXVII: 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-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. At the same time, S&P withdrew its ratings
on the original class X, A-1, B-1, B-2, C, D, and E notes following
payment in full on the Oct. 25, 2021, refinancing date.

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

-- The replacement class X-R, A-R, B-1-R, D-R, and E-R notes were
issued at a lower spread over three-month LIBOR than the original
notes.

-- The replacement class B-2-R notes were issued at a higher
coupon than the original notes.

-- The original class C notes were 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 were
issued at a new floating spread. The replacement class B-2-R notes
were 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 were extended three
years, while the non-call period was extended two years.

--There was 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 to be Jan. 25, 2022.

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

-- The transaction amended its ability to purchase workout-related
assets and conformed to updated rating agency methodology. It also
amended the required minimums on the overcollateralization tests.

-- New class X-R notes were 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."

  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: NR

  Ratings Withdrawn

  Sound Point CLO XXVII Ltd./Sound Point CLO XXVII LLC

  Class X to NR from 'AAA (sf)'
  Class A-1 to NR from 'AAA (sf)'
  Class B-1 (deferrable) to NR from 'AA (sf)'
  Class B-2 (deferrable) 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



SREIT TRUST 2021-PALM: S&P Assigns B- (sf) Rating on Class F Certs
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to SREIT Trust 2021-PALM's
commercial mortgage pass-through certificates.

The note issuance is a U.S. CMBS securitization backed by the
borrower's fee simple interests in a two-building multifamily
rental property located in Dadeland, Fla.

The ratings reflect S&P's view of the collateral's historical and
projected performance, the experience of the sponsor and the
manager, the trustee-provided liquidity, the mortgage loan terms,
and the transaction's structure.

  Ratings Assigned(i)

  SREIT Trust 2021-PALM

  Class A, $93,680,000: AAA (sf)
  Class B, $22,520,000: AA- (sf)
  Class C, $16,750,000: A- (sf)
  Class D, $17,140,000: BBB- (sf)
  Class E, $19,930,000: BB- (sf)
  Class F, $20,930,000: B- (sf)
  Class G, $55,860,000: NR
  Class HRR(ii), $12,990,000: NR

(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Horizontal risk retention certificates.
NR--Not rated.



TCW CLO 2017-1: S&P Assigns BB- (sf) Rating on Class ERR Notes
--------------------------------------------------------------
S&P Global Ratings assigned its 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.
At the same time, S&P withdrew its ratings on the original class
AR, BR, CR, DR, and ER 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 will be extended to Oct. 29, 2023.

-- The reinvestment period will be by 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 + 1.03%
  Class BR, $42.50 million: Three-month LIBOR + 1.55%
  Class CR, $28.00 million: Three-month LIBOR + 2.05%
  Class DR, $22.00 million: Three-month LIBOR + 3.15%
  Class ER, $16.50 million: Three-month LIBOR + 6.75%
  Subordinated notes, $40.60 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

  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

  Ratings Withdrawn

  TCW CLO 2017-1 Ltd./TCW CLO 2017-1

  Class AR to NR from 'AAA (sf)'
  Class BR to NR from 'AA (sf)'
  Class CR to NR from 'A (sf)'
  Class DR to NR from 'BBB- (sf)'
  Class ER to NR from 'BB- (sf)'

  NR--Not rated.



TRALEE CLO V: S&P Assigns B- (sf) Rating on Class F-R Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, B-R,
C-1-R, C-F-R, D-R, E-R, F-R, and A-X-R replacement notes from
Tralee CLO V Ltd., a CLO originally issued in October 2018 that is
managed by Par Four Investment Management LLC. On August 20, 2021,
the original class B, C, D, and E notes were placed on CreditWatch
with positive implications.

On the Oct. 20, 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 assign
ratings to the replacement notes.

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

-- The replacement class A-1-R, B-R, D-R, and E-R notes were
issued at a higher spread over three-month LIBOR than the original
notes.

-- The replacement class C-1-R notes were issued at a floating
spread, and the replacement class C-F-R notes were issued at a
fixed coupon, replacing the current class C floating spread notes.

-- The stated maturity was extended six years, and the
reinvestment period was 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."

  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: NR

  Ratings Withdrawn

  Tralee CLO V Ltd.

  Class A-X to NR from AAA (sf)
  Class A-1 to NR from AAA (sf)
  Class B to NR from AA (sf)/Watch Pos
  Class C (deferrable) to NR from A (sf)/Watch Pos
  Class D (deferrable) to NR from BBB- (sf)/Watch Pos
  Class E (deferrable) to NR from B+ (sf)/Watch Pos

  NR--Not rated.



TRALEE CLO VI: S&P Raises Class E Notes Rating to 'BB- (sf)'
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-J-R,
B-1-R, B-J-R, C-R, and D-R replacement notes from Tralee CLO VI
Ltd./Tralee CLO VI LLC, a CLO originally issued in 2019 managed by
Par-Four Investment Management LLC. At the same time, S&P withdrew
its ratings on the class A-1, A-F, A-S, B-1, B-F, B-S, C-1, C-F,
D-1, and D-F notes following payment in full on the Oct. 25, 2021,
refinancing date. S&P also raised its rating on the class E note,
which was not refinanced.

The replacement notes were issued via a supplemental indenture,
which outlined the terms of the replacement notes. According to the
supplemental indenture, class A-1-R is senior to class A-J-R, class
B-1-R is senior to class B-J-R, and the non-call period will be
extended to Oct. 25, 2022.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1-R, $212.00 million: Three-month LIBOR + 1.17%
  Class A-J-R, $15.50 million: Three-month LIBOR + 1.50%
  Class B-1-R, $36.63 million: Three-month LIBOR + 1.85%
  Class B-J-R, $3.63 million: Three-month LIBOR + 2.05%
  Class C-R, $22.75 million: Three-month LIBOR + 2.85%
  Class D-R, $17.50 million: Three-month LIBOR + 4.00%

  Original notes

  Class A-1, $130.00 million: Three-month LIBOR + 1.45%
  Class A-F, $25.00 million: 2.72%
  Class A-S, $72.50 million: Step Up
  Class B-1, $11.00 million: Three-month LIBOR + 2.15%
  Class B-F, $10.00 million: 3.50%
  Class B-S, $19.25 million: Step Up
  Class C-1, $12.75 million: Three-month LIBOR + 3.17%
  Class C-F, $10.00 million: 4.62%
  Class D-1, $12.50 million: Three-month LIBOR + 4.63%
  Class D-F, $5.00 million: 5.84%

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.

"On Aug. 12, 2020, we lowered our rating on the class E note to 'B+
(sf)' from its original rating of 'BB- (sf)' due to credit
deterioration as 'CCC' and default exposures increased, leading to
failing cash flow results. Since then, the credit quality of this
transaction has improved as exposure to 'CCC' and defaults have
declined to $21.40 million and $0, respectively, as of September
2021 from $26.48 million and $9.07 million as of July 2020, while
the class E par value ratio test has increased to 107.8% from
106.9% during the same time period. Additionally, the proposed
refinancing reduces the cost of funds of the capital structure,
resulting in greater excess spread, which further improves the cash
flow results for the class E notes. We raised our rating on the
class E note to 'BB- (sf)' from 'B+ (sf)'. Although our cash flow
analysis indicated a higher rating, we raised our rating on the
class E notes back to its original rating as the transaction is
still within its reinvestment period and the portfolio
characteristics may be subject to change.

"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

  Tralee CLO VI Ltd./Tralee CLO VI LLC

  Class A-1-R, $212.00 million: AAA (sf)
  Class A-J-R, $15.50 million: AAA (sf)
  Class B-1-R, $36.63 million: AA (sf)
  Class B-J-R, $3.63 million: AA (sf)
  Class C-R, $22.75 million: A (sf)
  Class D-R, $17.50 million: BBB- (sf)

  Ratings Withdrawn

  Tralee CLO VI Ltd./Tralee CLO VI LLC

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

  Ratings Raised

  Tralee CLO VI, Ltd./Tralee CLO VI, LLC

  Class E to 'BB- (sf)' from 'B+ (sf)'

  Other Outstanding Ratings

  Tralee CLO VI Ltd./Tralee CLO VI LLC

  Subordinated notes: Not rated



TRIMARAN CAVU 2021-2: S&P Assigns Prelim 'BB-' Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Trimaran
CAVU 2021-2 Ltd./Trimaran CAVU 2021-2 LLC's floating- and
fixed-rate notes.

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

The preliminary ratings are based on information as of Oct. 21,
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, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans.

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

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

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

  Preliminary Ratings Assigned

  Trimaran CAVU 2021-2 Ltd./Trimaran CAVU 2021-2 LLC

  Class A, $252.00 million: AAA (sf)
  Class B-1, $39.00 million: AA (sf)
  Class B-2, $13.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D-1 (deferrable), $16.00 million: BBB (sf)
  Class D-2 (deferrable), $8.00 million: BBB- (sf)
  Class E (deferrable), $15.40 million: BB- (sf)
  Subordinated notes, $40.05 million: Not rated



TRK 2021-INV2: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to TRK
2021-INV2 Trust's mortgage pass-through certificates series
2021-INV2.

The certificate issuance is an RMBS transaction backed by
first-lien, fixed-rate, adjustable-rate, fully amortizing, and
interest-only residential mortgage loans secured by single-family
residences, planned unit developments, condominiums, townhouses,
two- to four-family homes, five- to 10-unit residential properties,
and a manufactured home to both prime and nonprime borrowers. The
pool consists of 1,246 business-purpose rental, non-owner-occupied
residential mortgage loans (including 112 cross-collateralized
loans) backed by 1,657 properties that are exempt from qualified
mortgage and ability-to-repay rules.

The preliminary ratings are based on information as of Oct. 25,
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;

-- The transaction's credit enhancement, associated structural
mechanics, geographic concentration, and representation and
warranty framework;

-- The mortgage aggregator and mortgage originator; and

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

  Preliminary Ratings Assigned(i)

  TRK 2021-INV2 Trust

  Class A-1, $208,140,000: AAA (sf)
  Class A-2, $23,080,000: AA (sf)
  Class A-3, $36,950,000: A (sf)
  Class M-1, $17,250,000: BBB (sf)
  Class B-1, $15,510,000: BB (sf)
  Class B-2, $11,780,000: B (sf)
  Class B-3, $10,026,001: Not rated
  Class A-IO-S, notional(ii): Not rated
  Class XS, notional(ii): Not rated
  Class P, $100: Not rated
  Class R, not applicable: Not rated

(i)The collateral and structural information in this report
reflects the term sheet dated Oct. 22, 2021. The preliminary
ratings address the ultimate payment of interest and principal;
they do not address payment of the cap carryover amounts.

(ii)The notional amount equals the loans' aggregate unpaid
principal balance.



VERUS SECURITIZATION 2021-6: S&P Assigns B(sf) Rating on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its 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.

Since S&P assigned its preliminary ratings and published its
presale report on Oct. 15, 2021, S&P received final bond coupons
and, as a result, an updated structure on the pool. The sponsor
(NQM Purchaser LLC) decreased the size of classes A-1 and A-3 and
increased the sizes of classes A-2, M-1, and B-2, such that credit
support remained sufficient on all classes for the assignment of
final ratings that are unchanged from the preliminary ratings.

The ratings reflect S&P's view of:

-- The pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The 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.

  Ratings Assigned

  Verus Securitization Trust 2021-6(i)

  Class A-1, $344,404,000: AAA (sf)
  Class A-2, $31,744,000: AA (sf)
  Class A-3, $44,154,000: A (sf)
  Class M-1, $22,912,000: BBB (sf)
  Class B-1, $15,037,000: BB (sf)
  Class B-2, $9,547,000: 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 ratings address the ultimate payment of interest and
principal.

(ii)The notional amount equals the aggregate stated principal
balance of loans in the pool.



WELLS FARGO 2016-C37: Fitch Affirms B- Rating on 2 Tranches
-----------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Wells Fargo Commercial
Mortgage Trust 2016-C37. Fitch has also revised the Rating Outlooks
to Stable from Negative on classes D, E and F. The Outlook on class
G remains Negative.

    DEBT                RATING            PRIOR
    ----                ------            -----
WFCM 2016-C37

A-3 95000PAC8      LT AAAsf   Affirmed    AAAsf
A-4 95000PAD6      LT AAAsf   Affirmed    AAAsf
A-5 95000PAE4      LT AAAsf   Affirmed    AAAsf
A-S 95000PAG9      LT AAAsf   Affirmed    AAAsf
A-SB 95000PAF1     LT AAAsf   Affirmed    AAAsf
B 95000PAK0        LT AA-sf   Affirmed    AA-sf
C 95000PAL8        LT A-sf    Affirmed    A-sf
D 95000PAX2        LT BBB-sf  Affirmed    BBB-sf
E 95000PAZ7        LT BB+sf   Affirmed    BB+sf
F 95000PBB9        LT BB-sf   Affirmed    BB-sf
G 95000PBD5        LT B-sf    Affirmed    B-sf
X-A 95000PAH7      LT AAAsf   Affirmed    AAAsf
X-B 95000PAJ3      LT AA-sf   Affirmed    AA-sf
X-D 95000PAM6      LT BBB-sf  Affirmed    BBB-sf
X-EF 95000PAP9     LT BB-sf   Affirmed    BB-sf
X-G 95000PAR5      LT B-sf    Affirmed    B-sf

KEY RATING DRIVERS

Improved Loss Expectations: Fitch's base case loss has decreased
since the last rating action primarily due to better than expected
2020 performance from larger loans in the pool and some of the
Fitch Loans of Concern (FLOCs), including two loans that were
previously in special servicing. Fitch's ratings incorporate a base
case loss of 3.8% and a sensitivity that reflects losses that could
reach 5.1% when factoring additional stresses to two hotel loans,
one retail loan and one student housing loan. Ten loans (17.9%)
have been flagged as Fitch Loans of Concern (FLOCs) for high
vacancy, low NOI DSCR, 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 reflects concerns over
the loans still recovering from the coronavirus pandemic and the
Uconn Apartment Portfolio (2.5%) loan. The Outlook revisions on
classes D, E and F to Stable reflects the two loans that have
returned to the master servicer, improved pool performance and
significant paydown. As of the October 2021 payment date, there
were no loans in special servicing.

The largest contributor to modelled losses is The Uconn Apartment
Portfolio (2.5%), which consists of five student-housing
communities located within three miles of the University of
Connecticut (UConn) campus. This loan transferred to special
servicing in July 2020 for payment as a result of pandemic-related
hardship. The loan was cured following a forbearance agreement and
returned to the master servicer in September 2020.

Year-end 2020 NOI DSCR and portfolio occupancy were 0.68x and 75%,
respectively. The borrower attributes this drastic underperformance
to new supply in the subject's submarket. In order to improve the
subject's position in its competitive set, the borrower has hired a
new management company and renovated units in the portfolio.
Fitch's base case loss of approximately 21% is based on a cash flow
analysis with a 20% haircut and 9.25% cap rate to reflect
uncertainty regarding the effect of renovations on property
performance. Fitch considered an additional scenario that assumed a
40% loss assumption to reflect the potential for the coronavirus
pandemic to have a prolonged impact on property performance and the
performance volatility associated with the student housing property
type. This loss assumption reflects annualized June 2021 NOI with a
5% haircut and a 10.25% cap rate.

Increased Credit Enhancement: Class credit enhancement has
increased primarily due to prepayments and loans maturing. As of
the October 2021 distribution date, the pool's aggregate balance
has been reduced by 19.7% to $602.5 million from $750.5 million at
issuance. Since Fitch's prior rating review, four loans, comprising
approximately $111.3 million in outstanding principal balance, have
paid in full, including the previously second largest loan in the
pool, Quantum Park. Four loans (21.1%) are classified as interest
only.

Coronavirus Exposure: Ten loans (22.7%) are secured by lodging
properties, seven of which are flagged as FLOCs. Fourteen (28.4%)
are secured by retail properties, one of which is 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. In addition,
the student housing loan, Uconn Apartment Portfolio has experience
underperformance, in part, due to the coronavirus pandemic. Fitch
ran an additional sensitivity scenario with a 26% stress to the YE
2019 NOI for two hotels and a 20% stress to YE 2019 NOI for one
retail property to test the durability of the cash flows. These
additional stresses did not impact the ratings or Outlooks.

RATING SENSITIVITIES

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

-- The Negative Outlook on class G reflect the potential for
    downgrades due to concerns surrounding the ultimate impact of
    the coronavirus pandemic and the underperformance of the Uconn
    Apartment Portfolio loan.

-- 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 likely due to
    their position in the capital structure but may occur at the
    'AAAsf' or 'AA-sf' levels should interest shortfalls occur.

-- Downgrades to classes C through E may occur if overall pool
    performance declines or loss expectations increase. Downgrades
    to classes F and G 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 interest shortfalls are likely.

-- Upgrades of classes C, D and E would only occur with
    significant improvement in credit enhancement and
    stabilization of the FLOCs. An upgrade to classes F and G 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.


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

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

The ratings reflect:

-- The high-quality collateral in the pool;

-- The available credit enhancement;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework;

-- The geographic concentration;

-- The experienced originator;

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

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

  Ratings Assigned

  Wells Fargo Mortgage Backed Securities 2021-INV1 Trust

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

  (i)Notional balance.



ZAIS CLO 16: S&P Assigns BB- (sf) Rating on Class E-R Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-F-R,
A-J-R, B-R, C-R, D-1-R, D-F-R, D-J-R, and E-R replacement notes
from Zais CLO 16 Ltd./Zais CLO 16 LLC, a CLO originally issued in
September 2020 that is managed by Zais Leveraged Loan Master
Manager LLC.

On the Oct. 27, 2021, refinancing date, the proceeds from the
replacement notes were used to redeem the original notes. At that
time, we withdrew our ratings on the original notes and assigned
ratings to the replacement notes.

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

-- The replacement class A-1-R, A-J-R, B-R, C-R, D-1-R, D-J-R, and
E-R notes were issued at a lower spread over three-month LIBOR than
the original notes.

-- The replacement class A-F-R were issued at a higher coupon than
the original notes.

-- The replacement class D-1-R and D-F-R notes were issued at a
floating spread and a fixed coupon, respectively, both replacing
the current floating spread class D-1 notes.

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

-- Workout language and a restriction to environmental, social,
and governance credit factor-prohibited collateral obligations were
added to the transaction.

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

  Zais CLO 16 Ltd./Zais CLO 16 LLC

  Class A-1-R, $145.00 million: AAA (sf)
  Class A-F-R, $35.00 million: AAA (sf)
  Class A-J-R, $12.00 million: AAA (sf)
  Class B-R, $36.00 million: AA (sf)
  Class C-R (deferrable), $15.00 million: A (sf)
  Class D-1-R (deferrable), $13.00 million: BBB (sf)
  Class D-F-R (deferrable), $5.00 million: BBB (sf)
  Class D-J-R (deferrable), $5.00 million: BBB- (sf)
  Class E-R (deferrable), $7.00 million: BB- (sf)
  Subordinated notes, $25.74 million: Not rated

  Ratings Withdrawn

  Zais CLO 16 Ltd./Zais CLO 16 LLC

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



ZAIS CLO 16: S&P Assigns Prelim BB-(sf) Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-F-R, A-J-R, B-R, C-R, D-1-R, D-F-R, D-J-R, and E-R
replacement notes from Zais CLO 16 Ltd./Zais CLO 16 LLC, a CLO
originally issued in September 2020 that is managed by ZAIS
Leveraged Loan Master Manager LLC.

The preliminary ratings are based on information as of Oct. 21,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Oct. 27, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. At
that time, we expect to withdraw our ratings on the original notes
and assign ratings to the replacement notes. However, if the
refinancing doesn't occur, we may affirm our ratings on the
original notes and withdraw our preliminary ratings on the
replacement notes.

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

-- The replacement class A-1-R, A-J-R, B-R, C-R, D-1-R, D-J-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-F-R are expected to be issued at a
higher coupon than the original notes.

-- The replacement class D-1-R and D-F-R notes are expected to be
issued at a floating spread and a fixed coupon, respectively, both
replacing the current floating spread class D-1 notes.

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

-- Workout language and a restriction to ESG prohibited collateral
obligations were added to the transaction.

-- Of the identified underlying collateral obligations, 100% have
credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligation, 93.09% 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

  Zais CLO 16 Ltd./Zais CLO 16 LLC

  Class A-1-R, $145.00 million: AAA (sf)
  Class A-F-R, $35.00 million: AAA (sf)
  Class A-J-R, $12.00 million: AAA (sf)
  Class B-R, $36.00 million: AA (sf)
  Class C-R (deferrable), $15.00 million: A (sf)
  Class D-1-R (deferrable), $13.00 million: BBB (sf)
  Class D-F-R (deferrable), $5.00 million: BBB (sf)
  Class D-J-R (deferrable), $5.00 million: BBB- (sf)
  Class E-R (deferrable), $7.00 million: BB- (sf)
  Subordinated notes, $25.74 million: Not rated



[*] S&P Takes Various Actions on 146 Classes from 23 US CLO Deals
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on 28 classes of notes from
23 U.S. cash flow CLO transactions and affirmed its ratings on 118
classes. Thirty-seven of these ratings were removed from
CreditWatch, where they were placed with positive implications on
August 20, 2021.

A list of Affected Ratings can be viewed at:

            https://bit.ly/3pFncaq

The rating actions followed the application of our global corporate
CLO criteria and S&P's credit and cash flow analysis of each
transaction. Its analysis of the transactions entailed a review of
their performance, and the ratings list below highlights key
performance metrics behind specific rating changes.

Nearly all the CLOs in the actions are still in their reinvestment
period. Most had one or more tranche ratings lowered during the
pandemic last year. Since then, credit conditions in the leveraged
finance market have improved markedly, and a significant number of
corporate loan issuers have seen their ratings raised out of the
'CCC' range. The reduction in exposure to 'CCC' assets benefited
our quantitative analysis for many of the tranches and was one of
the primary factors for the upgrades.

S&P said, "For CLO tranches with ratings of 'B-' or lower, we rely
primarily on our 'CCC' criteria and guidance. If, in our view,
payment of principal or interest when due is dependent on favorable
business, financial, or economic conditions, we will generally
assign a rating in the 'CCC' category. If, on the other hand, we
believe a tranche can withstand a steady-state scenario without
being dependent on such favorable conditions to meet its financial
commitments, we will generally raise the rating to 'B- (sf)' even
if our CDO Evaluator and S&P Cash Flow Evaluator models would
indicate a lower rating. In assessing how a CLO tranche might
perform under a steady-state scenario, we considered the
speculative-grade nonfinancial corporate default rate (the default
rate of nonfinancial corporations rated 'BB+' or lower) over the
decade prior to the 2020 pandemic and determined whether the
tranche currently has sufficient credit enhancement, in our view,
to withstand the average corporate default rate from this time
frame."

The upgrades of tranches rated 'B (sf)' and higher primarily
reflect improvement in the credit quality of the portfolio,
improvement in overcollateralization levels, and passing cash flow
results at higher ratings.

S&P said, "The affirmations indicate that the current credit
enhancement available to those classes is still commensurate, in
our view, with the current ratings. Although our cash flow analysis
indicated higher ratings for some classes of notes, our
affirmations of these ratings allow for turnover in the underlying
portfolios given that the transactions are still within their
reinvestment periods.

"In line with our criteria, our cash flow analysis applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries under various interest rate scenarios. This
was done to assess the transactions' ability to pay timely interest
and/or ultimate principal to each of the rated classes under the
stresses outlined in our criteria. The results of the cash flow
analysis, along with qualitative factors as applicable,
demonstrated to us that the rated outstanding classes have adequate
credit enhancement available at the current rating levels following
the rating actions.

"While each class' indicative cash flow results were a primary
factor in our rating decisions, we also incorporate other
qualitative considerations when reviewing the indicative ratings
suggested by our projected cash flows." These considerations
typically include:

-- Existing subordination or overcollateralization and recent
trends;

-- The cushion available for coverage ratios and comparative
analysis with other CLO classes with similar ratings;

-- Forward-looking scenarios for 'CCC' and 'CCC-' rated
collateral, as well as collateral with stressed market values;

-- Current obligor and industry concentration levels; and

-- Additional sensitivity runs (if applicable) to account for any
of the above.

S&P will continue to review whether the ratings assigned to the
notes remain consistent with the credit enhancement available to
support them and take further rating actions as we deem necessary.


[*] S&P Takes Various Actions on 67 Classes from 20 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 67 classes from 20 U.S.
RMBS transactions issued between 2002 and 2007. All these
transactions are backed by subprime collateral. The review yielded
25 upgrades, two downgrades, 39 affirmations and one
discontinuance.

A list of Affected Rating can be viewed at:

           https://bit.ly/3BnXI3B

Analytical Considerations

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:

-- Factors related to the COVID-19 pandemic;
-- Collateral performance or delinquency trends;
-- Historical and/or outstanding missed interest payments;
-- Available subordination and/or overcollateralization;
-- Erosion of or increases in credit support; and
-- Payment priority.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, as well as the application of specific
criteria applicable to these classes. Please see the ratings list
above for the specific rationales associated with each of the
classes with rating transitions.

"The rating affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections."



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