/raid1/www/Hosts/bankrupt/TCR_Public/211107.mbx          T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, November 7, 2021, Vol. 25, No. 310

                            Headlines

3650R 2021-PF1: Fitch Assigns B- Rating on Class J-RR Certs
AASET 2021-1: S&P Assigns Prelim B (sf) Rating on Series C Notes
AFFIRM ASSET: DBRS Takes Rating Actions on Five Trust Deals
AIMCO CLO 11: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
AMERICAN CREDIT 2019-3: S&P Raises Class F Notes Rating to BB+ (sf)

AMERICAN CREDIT 2021-4: S&P Assigns BB- (sf) Rating on Cl. F Notes
AMMC CLO 23: S&P Assigns BB- (sf) Rating on Class E-R Notes
ANCHORAGE CREDIT 9: Moody's Ups Rating on Class E-a Notes to Ba1
ASSET 2018-1 TRUST: Fitch Cuts Rating on Class A Debt to 'B-(sf)'
BANK 2019-BNK21: DBRS Confirms BB Rating on Class X-G Certs

BATTALION CLO XXII: Moody's Assigns B2 Rating to Class F Notes
BENCHMARK 2019-B11: DBRS Confirms B Rating on Class G Certs
BENCHMARK 2019-B12: DBRS Confirms B(high) Rating on Cl. G-RR Certs
BETHPAGE PARK CLO: Moody's Assigns (P)Ba3 Rating to $20MM E Notes
BLUEMOUNTAIN CLO XXVI: S&P Assigns BB-(sf) Rating on Cl. E-R Notes

BREAN ASSET 2021-RM2: DBRS Gives Prov. B Rating on Class M5 Notes
BSPDF 2021-FL1: DBRS Finalizes B(low) Rating on Class H Notes
BX 2021-PAC: DBRS Gives Prov. B(low) Rating on Class G Certs
BX TRUST 2018-GW: DBRS Confirms B(low) Rating on Class G Certs
BX TRUST 2021-ARIA: DBRS Gives Prov. BB Rating on Class G Certs

BX TRUST 2021-LGCY: DBRS Gives Prov. B(low) Rating on Class G Certs
CIM TRUST 2021-R6: DBRS Finalizes BB Rating on Class B1 Notes
CITIGROUP MORTGAGE 2021-INV3: DBRS Finalizes BB(low) on B5 Certs
CITIGROUP MORTGAGE 2021-RP5: Fitch Gives B Rating to B-2 Debt
COMM 2015-LC19: Fitch Affirms CCC Rating on Class F Debt

COMM 2016-DC2: Fitch Affirms CCC Rating on 2 Tranches
CSMC 2021-NQM7: Fitch Gives Final 'B' Rating to Class B2 Notes
DT AUTO 2021-4: S&P Assigns Prelim BB (sf) Rating on Class E Notes
ELEVATION CLO 2021-14: Moody's Assigns Ba3 Rating to Class E Notes
EXETER AUTOMOBILE 2020-3: S&P Raises Cl. F Notes Rating to BB (sf)

FREDDIE MAC 2021-3: DBRS Gives Prov. B(low) Rating on Class M Certs
FREDDIE MAC 2021-DNA6: S&P Assigns BB- (sf) Rating on B-1B Notes
FS RIALTO 2021-FL3: DBRS Gives Prov. B(low) Rating on Class G Notes
GENERATE CLO 9: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
GS MORTGAGE 2021-HP1: Moody's Assigns B3 Rating to Cl. B-5 Certs

GS MORTGAGE 2021-IP: DBRS Finalizes BB Rating on Class F Certs
GS MORTGAGE 2021-PJ10: DBRS Gives Prov. B Rating on Class B5 Certs
GS MORTGAGE 2021-PJ10: Moody's Assigns B3 Rating to Cl. B-5 Certs
HONO 2021-LULU: DBRS Finalizes B(low) Rating on Class F Certs
HOTWIRE FUNDING: Fitch to Rates 2021-1 Class C Debt 'BB'

IMPERIAL FUND 2021-NQM3: DBRS Gives Prov. B Rating on B-2 Certs
JP MORGAN 2017-FL11: DBRS Confirms BB(low) Rating on Class E Certs
JP MORGAN 2021-13: Moody's Assigns B3 Rating to Cl. B-5 Certs
JP MORGAN 2021-1MEM: DBRS Finalizes B(high) Rating on HRR Certs
JP MORGAN 2021-INV6: S&P Assigns Prelim B- Rating on B-5 Certs

JP MORGAN 2021-INV7: Moody's Assigns B3 Rating to Cl. B-5 Certs
KKR CLO 36: Moody's Assigns Ba3 Rating to $20MM Class E Notes
LAKE SHORE IV: S&P Assigns BB- (sf) Rating on Class E Notes
LENDMARK FUNDING 2021-2: DBRS Gives Prov. BB Rating on D Notes
MADISON PARK XXI: S&P Assigns B+ (sf) Rating on Class D-RR Notes

MADISON PARK XXXIX: S&P Assigns BB- (sf) Rating on Class E Notes
MCF CLO IV: S&P Assigns BB+ (sf) Rating on Class E-RR Notes
MFA 2021-AEINV1: DBRS Gives Prov. B Rating on Class B-5 Certs
MORGAN STANLEY 2015-C21: Fitch Lowers Rating on Class F Certs to C
MORGAN STANLEY 2019-L2: DBRS Confirms B(high) Rating on G-RR Certs

MSC 2011-C3: DBRS Confirms BB(low) Rating on Class X-B Certs
NAVIGATOR AIRCRAFT 2021-1: Moody's Gives (P)Ba2 Rating to C Notes
NEW MOUNTAIN 1: S&P Assigns BB- (sf) Rating on Class E-R Notes
NEW RESIDENTIAL: DBRS Hikes Long-Term Issuer Rating to BB(low)
OAKTOWN RE VII: DBRS Gives Prov. B Rating on 2 Classes

OBX 2021-J3: DBRS Finalizes B Rating on Class B-5 Notes
OPG TRUST 2021-PORT: DBRS Finalizes B(low) Rating on Class G Certs
OPORTUN ISSUANCE 2021-C: DBRS Gives Prov. BB(high) on D Notes
PAWNEE EQUIPMENT 2020-1: DBRS Confirms BB Rating on Class E Notes
PAWNEE EQUIPMENT 2021-1: DBRS Gives Prov. BB Rating on E Notes

PRESTIGE AUTO 2021-1: S&P Assigns Prelim BB-(sf) Rating on E Notes
PROGRESS RESIDENTIAL 2021-SFR9: DBRS Gives (P) BB Rating on F Certs
PRPM 2021-RPL2: DBRS Gives Prov. BB Rating on Class M-2 Notes
RADNOR RE 2021-2: Moody's Assigns (P)Ba3 Rating to Cl. M-1B Notes
RATE MORTGAGE 2021-J3: DBRS Finalizes B Rating on Class B-5 Certs

SANDSTONE PEAK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
SG RESIDENTIAL 2021-2: S&P Assigns 'B-' Rating on Class B-2 Certs
SIGNAL PEAK 4: S&P Assigns B- (sf) Rating on Class F-R Notes
SKOPOS AUTO 2019-1: DBRS Confirms B Rating on Class E Notes
SLM STUDENT 2008-3: Fitch Lowers Rating on 2 Tranches to 'D'

SLM STUDENT 2008-4: Fitch Lowers Rating on 2 Tranches to CC
SOLRR AIRCRAFT 2021-1: Moody's Gives (P)Ba3 Rating to Serie C Notes
SOUND POINT XXIV: Moody's Assigns Ba3 Rating to $22.5MM E-R Notes
SREIT TRUST 2021-IND: DBRS Gives Prov. B(low) Rating on F Certs
STARWOOD MORTGAGE 2021-5: Fitch Gives 'B-(EXP)' Rating to B-2 Debt

VELOCITY COMMERCIAL 2021-3: DBRS Gives Prov. B Rating on 3 Classes
VINE 2020-1: DBRS Confirms BB Rating on Class C Notes
WELLS FARGO 2015-LC22: DBRS Confirms B Rating on Class F Certs
WELLS FARGO 2016-NXS6: DBRS Confirms BB(high) Rating on E Certs
WELLS FARGO 2021-INV2: Moody's Assigns (P)B3 Rating to B-5 Certs

[*] DBRS Reviews 51 Classes from 6 U.S. RMBS Transactions
[*] Moody's Cuts Ratings on $16.8MM US RMBS Deals Issued 1999-2005
[*] Moody's Takes Actions on 65 RMBS Bonds Issued 2006-2007
[*] S&P Takes Various Actions on 54 Classes from 10 US CLO Deals
[*] S&P Takes Various Actions on 61 Classes from 24 US RMBS Deals

[*] S&P Takes Various Actions on 71 Classes from 18 US RMBS Deals

                            *********

3650R 2021-PF1: Fitch Assigns B- Rating on Class J-RR Certs
-----------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
3650R 2021-PF1 Commercial Mortgage Trust commercial mortgage
pass-through certificates, series 2021-PF1, as follows:

-- $26,952,000 class A-1 'AAAsf'; Outlook Stable;

-- $141,041,000 class A-3 'AAAsf'; Outlook Stable;

-- $97,500,000 (a) class A-4 'AAAsf'; Outlook Stable;

-- $354,798,000 (a) class A-5 'AAA'sf; Outlook Stable;

-- $22,719,000 class A-SB 'AAAsf'; Outlook Stable;

-- $691,236,000 (b) class X-A 'AAAsf'; Outlook Stable;

-- $90,710,000 (b) class X-B 'A-sf'; Outlook Stable;

-- $48,226,000 class A-S 'AAAsf'; Outlook Stable;

-- $43,633,000 class B 'AA-sf'; Outlook Stable;

-- $47,077,000 class C 'A-sf'; Outlook Stable;

-- $40,648,000 (b)(c) class X-D 'BBB-sf'; Outlook Stable;

-- $29,854,000 (c) class D 'BBBsf'; Outlook Stable;

-- $10,794,000 (c) class E 'BBB-sf'; Outlook Stable;

-- $14,468,000 (c) (d) class F-RR 'BBB-sf'; Outlook Stable;

-- $26,409,000 (c) (d) class G-RR 'BB-sf'; Outlook Stable;

-- $11,482,000 (c)(d) class J-RR 'B-sf'; Outlook Stable;

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

-- $43,633,611 (c)(d) class NR-RR;

(a) The initial certificate balances of class A-4 and A-5 are not
yet known and are expected to be $452,298,000 in 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-$195,000,000, and the expected class
A-5 balance range is $257,290,000-$452,298,000. The class balances
for A-4 and A-5 as shown above reflect the midpoints of each
range.

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

(c) Privately places and pursuant to Rule 144A.

(d) Horizontal risk retention interest.

The expected ratings are based on information provided by the
issuer as of Nov. 1, 2021.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 35 fixed-rate loans secured by
42 commercial properties having an aggregate principal balance of
$918,586,612 as of the cut-off date. The loans were contributed to
the trust by 3650 Real Estate Investment Trust 2 LLC, German
American Capital Corporation and Citi Real Estate Funding Inc. The
Master Servicer is expected to be Midland Loan Services and the
Special Servicer is expected to be 3650 REIT Loan Servicing LLC.

KEY RATING DRIVERS

Higher Fitch Leverage: The transaction's Fitch leverage is higher
than other recent U.S. multiborrower transactions rated by Fitch
Ratings. The pool's Fitch loan-to-value ratio (LTV) of 108.5% is
higher than the YTD 2021 and 2020 averages of 102.9% and 99.6%,
respectively. Additionally, the pool's Fitch trust debt service
coverage ratio (DSCR) of 1.24x is lower than the YTD 2021 and 2020
averages of 1.39x and 1.32x, respectively. Excluding credit opinion
loans, the pool's weighted average (WA) Fitch DSCR is 1.25x and WA
Fitch LTV is 114.7%.

Investment-Grade Credit Opinion Loans: The pool includes three
loans, representing 16.1% of the pool, that received an
investment-grade credit opinion. This falls between the YTD 2021
and 2020 average credit opinion concentrations of 13.3% and 24.5%,
respectively. The largest loan, CX - 350 & 450 Water Street (8.5%
of the pool), The Westchester (4.9% of the pool) and SoHo Square
(2.7% of the pool) all have credit opinions of 'BBB-sf*' on a
stand-alone basis.

High Concentration of Full-Term Interest-Only (IO) Loans: Of the 35
loans in the pool, 26 loans totaling 80.7% of the pool 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.
multiborrower transactions rated by Fitch. Additionally, four loans
with a partial interest-only period total 5.7% of the pool. This
contributes to a scheduled principal paydown for the transaction of
just 5.5% by maturity. While this is slightly higher than the
average scheduled paydown for recent Fitch-rated U.S. multiborrower
transactions of 5.0% for YTD 2021 and 5.3% for 2020, the overall
paydown for the transaction is somewhat buoyed by the Marina
Pacifica loan (3.6% of the pool) that is scheduled to amortize
67.4% over its seven-year term.

Significant Retail Concentration; No Hotel Properties: The largest
three property types in this transaction are office (36.0% of the
pool), retail (28.9%) and multifamily (24.5%). The pool's office
property concentration is lower than the YTD 2021 average of 36.6%
and the 2020 average of 41.2% for other Fitch-rated U.S.
multiborrower 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 also higher than recent averages compared with
16.9% and 16.3% for YTD 2021 and 2020, respectively. Additionally,
the pool does not have any loans secured by hotel properties.

Average Pool Concentration: The pool's 10 largest loans represent
53.5% of the pool, which is falls between the YTD 2021 and 2020
averages of 50.7% and 56.8%, respectively. This contributes to a
loan concentration index (LCI) score of 407, which likewise falls
between the YTD 2021 and 2020 averages of 374 and 440, respectively
for other recent Fitch-rated multiborrower transactions.

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' / 'BBBsf' / '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 ratings 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' / 'AAAsf' / 'AAsf' / 'Asf'
    / 'BBBsf' / '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.



AASET 2021-1: S&P Assigns Prelim B (sf) Rating on Series C Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AASET 2021-1
Trust's series A, B, and C notes.

The collateral consists of two aircraft-operating entity issuers'
series A, B, and C notes, which are in turn backed by 34 aircraft
and the related leases and shares and beneficial interests in
entities that directly and indirectly receive aircraft portfolio
lease rental and residual cash flows, among others.

The preliminary ratings are based on information as of Nov. 2,
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 likelihood of timely interest on the series A notes
(excluding step up interest) on each payment date, the timely
interest on the series B notes (excluding step up interest) on each
payment date when the series A notes are no longer outstanding, the
ultimate interest on the series C notes (excluding step up
interest), and the ultimate principal payment on the series A, B,
and C notes on or prior to the legal final maturity date at their
respective rating stress.

-- The portfolio comprising a pool of 34 aircraft, including 30
narrowbody aircraft (A319/A320/A321: 25%, 737-700/737-800: 47%) and
four widebody aircraft, one of which is a freighter
(B777-200/B777-300ER/B77-200LRF: 28%).

-- The weighted average age (by LMM of the half-life values) of
the aircraft in the portfolio being 10.47 years. Currently, all 34
aircraft are on lease, with a weighted average remaining term of
approximately 5.28 years. Weighted average age and remaining term
are calculated as of Sept. 1, 2021.

-- The existing and future lessees' estimated credit quality and
diversification. The 34 aircraft are currently leased to 23
airlines in 15 countries.

-- Each series' scheduled amortization profile, which has a per
aircraft principal amortization of approximately 10-14 years for
the series A notes and 9-13 years for the series B notes, and
straight line over seven years based on aircraft-specific principal
amortization for the series C notes.

-- The transaction's debt service coverage ratios (DSCRs) and
utilization trigger--a failure of which will result in the series A
and B notes' turbo amortization. Turbo amortization for the series
A and B notes will also occur if they are outstanding after year
seven or if the number of aircraft in the portfolio is less than
eight.

-- The cash sweep for the series A and B notes, which provides for
a percentage of remaining available collections after all payments
entitled to priority, to pay principal on the notes. The series A
cash sweep of 5% of remaining available collections begins on the
fourth anniversary of the closing date and increases to 15% on the
fifth anniversary and 25% on the sixth anniversary.

-- The series B cash sweep of 10% of remaining available
collections begins on the fourth anniversary of the closing date
and increases to 30% on the fifth anniversary and 40% on the sixth
anniversary.

-- The series C supplemental amortization, which, from the first
payment date up to month 48 of the transaction, pays 15% of
available collection to principal on the series C notes, and from
month 49 to month 75, pays 55% of available collections to
principal on the series C notes.

-- The end-of-lease payment, which will be paid to the series A,
B, and C notes according to a percentage equaling each series'
then-current LTV ratio.

-- The subordination of series C principal and interest to the
series A and B principal and interest.

== The revolving credit facility from BNP Paribas, which is
available to cover senior expenses, including hedge payments and
interest on the series A and B notes. The amount available under
the facility will equal nine months of interest on the series A and
B notes.

-- MBA maintenance analysis before closing. After closing, the
servicer will perform a forward-looking 24-month maintenance
analysis at least semiannually, which will be reviewed by MBA
Aviation for reasonableness and achievability.

-- The maintenance reserve account (approximately $40 million
balance at closing), which is used to cover maintenance costs. The
account gets topped up to a senior and a junior required amount,
which are sized based on a forward-looking schedule of maintenance
outflows. The excess amounts in the account over the required
maintenance amount will be transferred to the waterfall beginning
on the first payment date.

-- The security deposit reserve account, which can be used to
repay security deposits due and applied to the waterfall to the
extent of shortfalls on senior expenses and series A and B interest
and scheduled principal, to the extent the amount on deposit
exceeds the target amount.

-- The expense reserve account, which will be funded at closing
from note proceeds with approximately $202,000 that is expected to
cover the next three months' expenses.

-- The series C reserve account, which will be funded at closing
from note proceeds of approximately $4 million, and which may be
used until the 48th payment date, to pay interest and principal on
the series C notes. The account is not replenished in the priority
of payments.

-- The senior indemnification (excluding indemnification amounts
to lessees under leases entered into before the transaction closing
date), which is capped at $10 million and is modelled to occur in
the first 12 months.

-- The junior indemnification (uncapped), which is subordinated to
the rated series' principal payment.

-- CAML, an affiliate of Carlyle, will act as servicer of the
transaction.

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

  Preliminary Ratings Assigned

  AASET 2021-1 Trust

  Series A, $620.000 million: A (sf)
  Series B, $124.157 million: BBB- (sf)
  Series C, $73.425 million: B (sf)



AFFIRM ASSET: DBRS Takes Rating Actions on Five Trust Deals
-----------------------------------------------------------
DBRS, Inc., on October 11, 2021, upgraded two ratings and confirmed
nine ratings from five Affirm Asset Securitization Trust
transactions.

The issuers are:

-- Affirm Asset Securitization Trust 2020-Z1
-- Affirm Asset Securitization Trust 2021-A
-- Affirm Asset Securitization Trust 2021-Z1
-- Affirm Asset Securitization Trust 2020-Z2
-- Affirm Asset Securitization Trust 2020-A

The Affected Ratings are available at https://bit.ly/3G9OtYl

The rating actions are based on the following analytical
considerations:

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

-- The collateral performance to date and DBRS Morningstar's
assessment of future performance, including upward revisions to the
expected cumulative net loss (CNL) assumptions.

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

-- The transactions' capital structure and form and sufficiency of
available credit enhancement. The current level of hard credit
enhancement and estimated excess spread are sufficient to support
the DBRS Morningstar-projected remaining CNL assumption at a
multiple of coverage commensurate with the ratings.


AIMCO CLO 11: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from AIMCO CLO 11
Ltd./AIMCO CLO 11 LLC, a CLO originally issued in September 2020
that is managed by Allstate Investment Management Co.

The preliminary ratings are based on information as of Nov. 2,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Nov. 8, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

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

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

-- The initial target par amount will increase 14.29% to $600
million.

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

-- The transaction added the ability to flush par on a refinancing
date and the ability to purchase rated notes non-sequentially.

-- Of the identified underlying collateral obligations, 99.00%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 96.80%
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

  AIMCO CLO 11 Ltd./AIMCO CLO 11 LLC

  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), $24.00 million: BB- (sf)
  Subordinated notes, $48.44 million: NR



AMERICAN CREDIT 2019-3: S&P Raises Class F Notes Rating to BB+ (sf)
-------------------------------------------------------------------
S&P Global Ratings raised its ratings on 35 classes and affirmed
its ratings on nine classes of notes from 11 American Credit
Acceptance Receivables Trust transactions.

S&P said, "The rating actions reflect each series' collateral
performance to date and our expectations regarding each
transaction's future collateral performance, structure, and credit
enhancement. Additionally, we incorporated secondary credit
factors, including credit stability, payment priorities under
various scenarios, and sector- and issuer-specific analyses.

"The transactions are performing better than our prior cumulative
net loss (CNL) expectations. Extensions, which were elevated during
the first couple of months of the COVID-19 pandemic, have since
returned to pre-pandemic levels. As a result, we lowered our loss
expectations for the series. Considering all these factors, we
believe the notes' creditworthiness is consistent with the raised
and affirmed ratings."

  Table 1

  Collateral Performance (%)

  As of the October 2021 distribution date

                   Pool   Current                60+ day
  Series   Mo.   factor       CNL   Extensions   delinq.

  2018-1    43    17.58     21.42         2.74      9.98
  2018-2    40    23.58     20.57         2.66     10.10
  2018-3    37    23.71     19.50         2.72      9.36
  2018-4    34    27.71     18.72         2.68     11.33
  2019-1    31    35.08     16.78         3.05     10.81
  2019-2    29    36.97     15.45         2.77     10.38
  2019-3    26    43.48     13.64         2.97     10.63
  2019-4    23    47.28     11.79         3.04     10.72
  2020-1    20    53.91      9.42         2.93     10.10
  2020-2    17    59.83      8.78         3.00     11.23
  2020-3    14    65.76      6.57         2.59     10.07

  Mo.--Month. Delinq.—Delinquencies.
  CNL--Cumulative net loss.

  Table 2

  CNL Expectations (%)

                   Original        Former         Revised
                   lifetime      lifetime        lifetime
  Series           CNL exp.      CNL exp.   CNL exp.(iii)

  2018-1(i)     28.25-29.25   26.50-27.50     Up to 22.50
  2018-2(i)     28.00-29.00   27.50-28.50     22.50-23.50
  2018-3(i)     27.00-28.00   27.00-28.00     21.50-22.50
  2018-4(ii)    27.00-28.00   24.75-25.75     22.00-23.00
  2019-1(ii)    28.00-29.00   25.75-26.75     22.75-23.75
  2019-2(ii)    27.00-28.00   25.00-26.00     22.25-23.25
  2019-3(i)     27.75-28.75   28.50-29.50     22.25-23.25
  2019-4(ii)    27.25-28.25   25.25-26.25     22.00-23.00
  2020-1(ii)    27.25-28.25   25.50-26.50     22.00-23.00
  2020-2        32.00-33.00           N/A     22.50-23.50
  2020-3        31.50-32.50           N/A     22.00-23.00

(i)The former lifetime CNL expectations were revised in 2020.
(ii)The former lifetime CNL expectations were revised in May 2021.

(iii) The revised lifetime CNL expectations are as of October 2021.

CNL exp.--Cumulative net loss expectations.
N/A–-Not applicable.

S&P said, "The transactions have sequential principal payment
structures that will increase the credit enhancement for the senior
notes as the pool amortizes. Each transaction has credit
enhancement consisting of overcollateralization (O/C), a
non-amortizing reserve account, subordination for the more senior
classes, and excess spread. As of the October 2021 distribution
date, each transaction was at its target O/C level, calculated as a
percentage of the current pool balance.

"We incorporated an analysis of the current hard credit enhancement
compared to the remaining expected CNL for those classes in which
hard credit enhancement alone--without credit to the stressed
excess spread--was sufficient, in our opinion, to raise or affirm
the ratings. For the other classes, we incorporated a cash flow
analysis to assess the loss coverage level, giving credit to
stressed excess spread. Our various cash flow scenarios included
forward-looking assumptions on recoveries, the timing of losses,
and voluntary absolute prepayment speeds that we believe are
appropriate given each transaction's performance to date and the
assigned ratings. The results demonstrated, in our view, that all
of the classes have adequate credit enhancement at their respective
raised and affirmed rating levels."

  Table 3

  Hard Credit Support(i)

  As of the October 2021 distribution date

                        Total hard   Current total hard
                    credit support       credit support
  Series   Class   at issuance (%)       (% of current)
  2018-1   D                 24.75                98.22
  2018-1   E                 16.75                52.72
  2018-1   F                 11.75                24.28
  2018-2   D                 23.75                73.02
  2018-2   E                 16.75                43.33
  2018-2   F                 11.75                22.11
  2018-3   D                 25.50                85.70
  2018-3   E                 16.50                47.74
  2018-3   F                 10.00                20.33
  2018-4   D                 22.60                63.38
  2018-4   E                 15.60                38.12
  2018-4   F                 10.10                18.26
  2019-1   C                 36.60                91.49
  2019-1   D                 24.95                58.28
  2019-1   E                 15.70                31.91
  2019-1   F                 10.60                17.38
  2019-2   C                 34.90                84.34
  2019-2   D                 21.90                49.17
  2019-2   E                 15.60                32.13
  2019-2   F                  9.90                16.71
  2019-3   C                 36.50                77.73
  2019-3   D                 22.90                46.44
  2019-3   E                 15.40                29.20
  2019-3   F                  9.75                16.20
  2019-4   C                 35.05                70.70
  2019-4   D                 20.35                39.60
  2019-4   E                 13.15                24.37
  2019-4   F                  8.30                14.12
  2020-1   B                 53.80                98.25
  2020-1   C                 35.05                63.47
  2020-1   D                 20.35                36.21
  2020-1   E                 13.15                22.85
  2020-1   F                  8.30                13.85
  2020-2   A                 65.25               102.12
  2020-2   B                 54.75                84.57
  2020-2   C                 36.25                53.65
  2020-2   D                 27.25                38.61
  2020-2   E                 23.50                32.34
  2020-3   A                 62.75                98.13
  2020-3   B                 51.75                81.41
  2020-3   C                 33.20                53.20
  2020-3   D                 23.95                39.14
  2020-3   E                 18.25                30.47
  2020-3   F                 13.95                23.93

(i)Calculated as a percentage of the total gross receivable pool
balance, consisting of a reserve account, overcollateralization,
and, if applicable, subordination.

S&P said, "We also conducted sensitivity analyses to determine the
impact that a moderate ('BBB') stress scenario would have on our
ratings if losses began trending higher than our revised base-case
loss expectations. Our results showed that the raised and affirmed
ratings are consistent with our ratings stability criteria, which
outline the outer bounds of credit deterioration for any given
security under specific, hypothetical stress scenarios.

"We will continue to monitor the performance of all outstanding
transactions to evaluate if the credit enhancement remains
sufficient, in our view, to cover our CNL expectations under our
stress scenarios for each of the rated classes."

  RATINGS RAISED

  American Credit Acceptance Receivables Trust 2018-1
              Rating
  Class   To          From
  E       AAA (sf)    A-(sf)
  F       AAA (sf)    BB (sf)

  American Credit Acceptance Receivables Trust 2018-2
              Rating
  Class   To          From
  D       AAA (sf)    AA- (sf)
  E       AAA (sf)    BBB+ (sf)
  F       AA (sf)     BB (sf)

  American Credit Acceptance Receivables Trust 2018-3
              Rating
  Class   To          From
  D       AAA (sf)    AA (sf)
  E       AAA (sf)    BBB+ (sf)
  F       AA- (sf)    BB (sf)

  American Credit Acceptance Receivables Trust 2018-4
              Rating
  Class   To          From
  D       AAA (sf)    AA (sf)
  E       AA (sf)     BBB+ (sf)
  F       A- (sf)     BB+ (sf)

  American Credit Acceptance Receivables Trust 2019-1
              Rating
  Class   To          From
  D       AAA (sf)    AA (sf)
  E       A (sf)      BBB+ (sf)
  F       BBB (sf)    BB (sf)

  American Credit Acceptance Receivables Trust 2019-2
              Rating
  Class   To          From
  D       AA (sf)     A+ (sf)
  E       A- (sf)     BBB+ (sf)
  F       BBB- (sf)   BB (sf)

  American Credit Acceptance Receivables Trust 2019-3
              Rating
  Class   To          From
  C       AAA (sf)    AA (sf)
  D       AA- (sf)    A- (sf)
  E       BBB+ (sf)   BBB- (sf)
  F       BB+ (sf)    B+ (sf)

  American Credit Acceptance Receivables Trust 2019-4
              Rating
  Class   To          From
  C       AAA (sf)    AA+ (sf)
  F       BB (sf)     B+ (sf)

  American Credit Acceptance Receivables Trust 2020-1
              Rating
  Class   To          From
  C       AAA (sf)    AA (sf)
  D       A (sf)      A- (sf)
  F       BB (sf)     B+ (sf)

  American Credit Acceptance Receivables Trust 2020-2
              Rating
  Class   To          From
  B       AAA (sf)    AA (sf)
  C       AA+ (sf)    A (sf)
  D       A+ (sf)     BBB (sf)
  E       BBB+ (sf)   BB (sf)

  American Credit Acceptance Receivables Trust 2020-3
              Rating
  Class   To          From
  B       AAA (sf)    AA (sf)
  C       AA (sf)     A (sf)
  D       A+ (sf)     BBB (sf)
  E       A- (sf)     BB- (sf)
  F       BBB (sf)    B (sf)


  RATINGS AFFIRMED

  American Credit Acceptance Receivables Trust 2018-1

  Class   Rating
  D       AAA (sf)

  American Credit Acceptance Receivables Trust 2019-1

  Class   Rating
  C       AAA (sf)

  American Credit Acceptance Receivables Trust 2019-2

  Class   Rating
  C       AAA (sf)

  American Credit Acceptance Receivables Trust 2019-4

  Class   Rating
  D       A (sf)
  E       BBB (sf)

  American Credit Acceptance Receivables Trust 2020-1

  Class   Rating
  B       AAA (sf)
  E       BBB (sf)

  American Credit Acceptance Receivables Trust 2020-2

  Class   Rating
  A       AAA (sf)

  American Credit Acceptance Receivables Trust 2020-3

  Class   Rating
  A       AAA (sf)



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

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

The ratings reflect S&P's view of:

-- The availability of approximately 62.11%, 57.39%, 48.13%,
41.49%, 36.18%, and 33.79% credit support, including excess spread,
for the class A, B, C, D, E, and F notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
more than 2.35x, 2.10x, 1.70x, 1.48x, 1.29x, and 1.20x coverage of
our expected net loss range of 25.50%-26.50% for the class A, B, C,
D, E, and F notes, respectively.

-- The hard credit enhancement in the form of subordination,
overcollateralization, and a reserve account in addition to excess
spread.

-- The expectation that under a moderate ('BBB') stress scenario
(1.37x our expected loss level), all else being equal, S&P's
ratings on the class A, B, C, D, E, and F notes, will be within the
credit stability limits specified by section A.4 of the Appendix of
"S&P Global Ratings Definitions," published Jan. 5, 2021.

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

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

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

-- The transaction's payment and legal structure.

  Ratings Assigned

  American Credit Acceptance Receivables Trust 2021-4

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



AMMC CLO 23: 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-R, and E-R replacement notes from AMMC CLO 23 Ltd./AMMC
CLO 23 LLC, a CLO originally issued in November 2020 that is
managed by American Money Management Corp. At the same time, S&P
withdrew its ratings on the original class A-1-F, A-1-L, A-2, B-F,
B-L, C, D-1, D-2, and E notes following payment in full on the Nov.
3, 2021, refinancing date.

The replacement notes were issued via a supplemental indenture,
which outlined the terms of the replacement notes. According to the
supplemental indenture, the non-call period will be extended to
Oct. 17, 2022.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1-F, $32.00 million: 1.74%
  Class A-1-L, $148.00 million: Three-month LIBOR + 1.40%
  Class A-2, $15.00 million: Three-month LIBOR + 1.65%
  Class B-F, $6.50 million: 2.30%
  Class B-L, $26.50 million: Three-month LIBOR + 1.80%
  Class C, $18.00 million: Three-month LIBOR + 2.65%
  Class D-1, $13.50 million: Three-month LIBOR + 4.15%
  Class D-2, $4.50 million: Three-month LIBOR + 5.62%
  Class E, $7.50 million: Three-month LIBOR + 8.25%

  Refinanced notes

  Class A-1-R, $180.00 million: Three-month LIBOR + 1.04%
  Class A-2-R, $15.00 million: Three-month LIBOR + 1.30%
  Class B-R, $33.00 million: Three-month LIBOR + 1.55%
  Class C-R, $18.00 million: Three-month LIBOR + 2.00%
  Class D-R, $18.00 million: Three-month LIBOR + 3.05%
  Class E-R, $7.50 million: Three-month LIBOR + 6.40%

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

"We will continue to review whether, 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

  AMMC CLO 23 Ltd./AMMC CLO 23 LLC

  Class A-1-R, $180.00 million: AAA (sf)
  Class A-2-R, $15.00 million: AAA (sf)
  Class B-R, $33.00 million: AA (sf)
  Class C-R, $18.00 million: A (sf)
  Class D-R, $18.00 million: BBB- (sf)
  Class E-R, $7.50 million: BB- (sf)

  Ratings Withdrawn

  AMMC CLO 23 Ltd./AMMC CLO 23 LLC

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

  Other Outstanding Classes

  AMMC CLO 23 Ltd./AMMC CLO 23 LLC

  Subordinated notes: NR

  NR--Not rated.



ANCHORAGE CREDIT 9: Moody's Ups Rating on Class E-a Notes to Ba1
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
CDO refinancing notes issued by Anchorage Credit Funding 9, Ltd.
(the "Issuer").

Moody's rating action is as follows:

US$58,000,000 Class B-R Senior Secured Fixed Rate Notes Due 2037
(the "Class B-R Notes"), Assigned Aa2 (sf)

US$22,000,000 Class C-R Mezzanine Secured Deferrable Fixed Rate
Notes Due 2037 (the "Class C-R Notes"), Assigned A2 (sf)

US$20,000,000 Class D-R Mezzanine Secured Deferrable Fixed Rate
Notes Due 2037 (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 October 31,
2019 (the "Original Closing Date"):

US$20,000,000 Class E-a Junior Secured Deferrable Fixed Rate Notes
Due 2037 (the "Class E-a Notes"), Upgraded to Ba1 (sf); previously
on October 31, 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
CDO's portfolio and structure.

The Issuer is a managed cash flow collateralized debt obligation
(CDO). The issued notes are collateralized primarily by a portfolio
of corporate bonds and loans.

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

The Issuer previously issued another 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, including the extension of non-call period.

Moody's rating action on the Class E-a Notes is primarily a result
of the refinancing, which increases excess spread available as
credit enhancement to the rated notes. Additionally, the Notes
benefited from a shortening of the weighted average life (WAL).

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

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

Performing par and principal proceeds balance: $400,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 3300

Weighted Average Coupon (WAC): 5.31%

Weighted Average Recovery Rate (WARR): 38.57%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


ASSET 2018-1 TRUST: Fitch Cuts Rating on Class A Debt to 'B-(sf)'
-----------------------------------------------------------------
Fitch Ratings has taken the following rating actions on three
outstanding AASET aircraft ABS transactions: AASET 2018-1 Trust
(2018-1) series A notes were downgraded, and series B and C
affirmed; AASET 2018-2 Trust (2018-2) series A, B and C notes were
affirmed; and AASET 2019-1 (2019-1) series C notes were affirmed.
The series A and B notes on 2019-1 were placed on Rating Watch
Negative (RWN). The Rating Outlooks remain Negative for the 2018-1
class A notes, and 2018-2 class A and B notes.

   DEBT                   RATING                  PRIOR
   ----                   ------                  -----
AASET 2018-1 Trust

A 000367AA0          LT B-sf   Downgrade          Bsf
B 000367AB8          LT CCCsf  Affirmed           CCCsf
C 000367AC6          LT CCCsf  Affirmed           CCCsf

AASET 2018-2 Trust

A 04546KAA6          LT BBBsf  Affirmed           BBBsf
B 04546KAB4          LT BBsf   Affirmed           BBsf
C 04546KAC2          LT CCCsf  Affirmed           CCCsf

AASET 2019-1 Trust

Class A 00256DAA0    LT BBBsf  Rating Watch On    BBBsf
Class B 00256DAB8    LT BBsf   Rating Watch On    BBsf
Class C 00256DAC6    LT CCCsf  Affirmed           CCCsf

TRANSACTION SUMMARY

The rating actions reflect ongoing stress and deterioration of
airline lessee credits backing the leases in each transaction pool,
downward pressure on aircraft values, Fitch's updated assumptions
and stresses, and resulting impairments to modeled cash flows and
coverage levels. The prior review on all three transactions was in
November 2020.

Fitch maintained the Negative Outlook on certain notes on the three
transactions reflecting Fitch's base case expectation for the
structure to withstand immediate and near-term stresses at the
updated assumptions, and stressed scenarios commensurate with their
respective ratings. Furthermore, continued global travel
restrictions and overall airline recovery driven by the pandemic,
including ongoing regional flareups and potential for and
occurrence of new virus variants, all combined resulting in
continued delays in recovery of the airline industry.

This remains a credit negative for these aircraft ABS and airlines
globally remain under pressure despite opening up of borders and
pick in air travel globally. This can lead to additional near-term
lease deferrals, airline defaults and bankruptcies, lower aircraft
demand and value impairments, which can be more impactful on these
three pools since they contain a large percent of older aircraft.
Ultimately, these negative factors can manifest in the transactions
resulting in lower ABS transaction cash flows and pressure
ratings.

Fitch updated rating assumptions for both rated and non-rated
airlines which was a key driver of these rating actions along with
modeled cash flows. Recessionary timing was assumed to start
immediately, consistent with the prior review. This scenario
stresses airline credits, asset values and lease rates while
incurring remarketing and repossession costs and downtime at each
relevant rating stress level.

Cash flow modeling for 2018-2 and 2019-1 were not conducted as
performance has been within expectations, and the transactions were
modeled within the past 18 months, consistent with criteria. Since
the last review, 2019-1 performance has been within expectations,
including stability in airline lessee credit with the CCC rated
bucket improving noticeably, and other metrics being fairly
stable.

However, for 2019-1 loan-to-values (LTV) have risen since the last
review in late 2020, driven by declining aircraft values, while
uncertainty surrounding the potential impact of upcoming end of
lease (EOL) events in the next six months and any resulting further
declines in values (with the next set of appraisal values occurring
in early 2022), are key drivers of assigning RWN on the class A and
B notes.

Carlyle Aviation Partners Ltd. (CAP) (parent: The Carlyle Group
rated BBB+/Stable) and its affiliates manage certain funds (the
SASOF Funds). The three AASET trusts purchased the initial aircraft
in their respective pools from the SASOF Funds. Carlyle Aviation
Management Limited (CAML; not rated (NR) by Fitch), an indirect
subsidiary of CAP, is the servicer for both transactions. Fitch
believes the servicer can adequately service these transactions
based on its experience as a lessor and overall servicing
capabilities.

KEY RATING DRIVERS

Deteriorating Airline Lessee Credit:

The credit profiles of the airline lessees in the pools remain
stable-to-improved or have deteriorated further due to the
coronavirus-related impact on global airlines since 2020. The
proportion of the airline lessees assumed at a 'CCC' Issuer Default
Rating (IDR) and below in the 2018-1 pool increased to 69.5% from
58%, but when including off-lease aircraft remain within range of
the prior review. For 2018-2, the 'CCC' and below airlines did
improve declining to 86.7%, but with off-lease aircraft are
marginally lower at 94.2% from 96.2% (versus the prior review).
Lastly, 'CCC' and below lessees in 2019-1 exhibited noticeable
improvements declining down to 78.4% from 92.8% since the prior
review.

The assumptions reflect the airlines' ongoing credit profiles and
fleets in the current operating environment, due to the continued
pandemic-related impact on the sector. Any publicly rated airlines
in the pool whose ratings have shifted have been updated.

Asset Quality and Appraised Pool Value:

Each pool features mostly liquid narrowbody (NB) aircraft, which is
viewed positively. Widebody (WB) aircraft total 33.1%, 30.8% and
23.2% in 2018-1, 2018-2 and 2019-1, respectively. Four aircraft
remain off-lease in each of the 2018-1 (17%) and 2018-2 (7.5%)
pools. There are two off-lease aircraft in 2019-1 currently
totaling 1.0% of the pool. Uncertainty remains over ongoing
pressure on aircraft market values (MV) and how the current
environment will impact near-term lease maturities.

The 2018-1 appraisers are AVITAS, Inc. (AVITAS), morten beyer &
agnew Inc. (mba) and BK Associates Inc (BK). Appraisers for both
2018-2 and 2019-1 are AVITAS, mba and Collateral Valuations, Inc.
(CV). The transaction document values are $247.4 million for
2018-1; $586.9 million for 2018-2; and $291.5 million for 2019-1,
as of the October 2021 report.

Fitch utilized conservative asset values for each transaction as
there is continued pressure and weaker market values for certain
aircraft variants, particularly WBs. Fitch utilized the average
excluding highest value (AEH) of the maintenance-adjusted base
values (MABVs) for NBs, and AEH of the maintenance-adjusted MV
(MAMVs) for WBs, consistent with the prior review. This resulted in
Fitch modeled values of $199.0 million for 2018-1. This value
assumption is approximately a 21% haircut down from the current
transaction value, which was modeled for this review as mentioned
prior.

Transaction Performance:

Lease deferrals occurred across all three transactions since March
2020. As of the September 2021 collection period, 2018-1, 2018-2,
and 2019-1 had five, 15, and 10 lessees that are delinquent and
behind on lease payments by at least one-month, respectively, and
each 45%, 56%, and 81% of their respective pools.

Lease collections have fluctuated in 2021 remaining relatively
rangebound from the beginning of the year for each transaction, but
have been stable in the past six months. As of the September
period, 2018-1 and 2019-1 received $1.8 million and $2.9 million in
basic rent collections, which is consistent with the average
monthly receipts of $1.8 million and $2.8 million over the last 12
months. 2018-2 received $4.4 million which is marginally lower than
the average monthly receipt of $5.0 million over the last 12
months, but cash flow remains fairly stable since the last review.

Loan-to-values (LTVs) across the 2018-1 notes being fairly stable
based on the updated Fitch LTVs and values utilized in this review
versus the prior review, while 2018-2 LTVs have shown improvement
declining 4%-5% across the note classes. However, 2019-1 LTVs did
increase since the last review for each note class and remained
pressured, and combined with the potential impact on LTVs from
upcoming EOL events over the next six months as mentioned, are
drivers of the RWN on the class A and B notes.

All series A and B notes continue to receive interest payments
through the September period. Available cashflow has been
sufficient to pay a portion of note A principal amount since the
prior review for each transaction. During the August period, 2019-1
had sufficient cashflow to pay a portion of the class B principal
amount, which was the first month principal was paid since the
March 2020 collection period.

Large end-of-lease EOL payments occurring in 1H21 for 2019-1
amortized the deal's A notes supporting the class A notes to
paydown further and more in line with its amortization schedule.
The debt-service-coverage-ratios (DSCRs) remain below their
respective cash trap triggers and early amortization event triggers
on 2018-1 and 2018-2; however, 2019-1's DSCR moved back above the
cash trap and early amortization event triggers, primarily due to
the large EOL payments supporting cash flows in the past 6 months
which is a positive.

Fitch Modeling Assumptions:

Nearly all servicer-driven assumptions are consistent from closing
for each transaction. These include costs and certain downtime
assumptions relating to aircraft repossessions and remarketing,
terms of new leases and extension terms.

For any leases whose maturities are up in two years, or whose
lessee credit ratings are 'CC' or 'D', Fitch assumed an additional
three-month downtime for NBs and six months for WBs, on top of
lessor-specific remarketing downtime assumptions, to account for
potential remarketing challenges in placing this aircraft with a
new lessee in the current distressed environment.

Near term lease maturities are a credit negative for the
transactions given the challenging environment as many airlines are
returning aircraft and not renewing, it is difficult to place
returned aircraft on new lease, and selling aircraft (particularly
older aircraft) may result in highly stressed, lower values, and
Fitch took these factors into account during this review including
for 2019-1 which has a number of upcoming EOL events occurring
through early 2022.

With the significant reduction in air travel, maintenance revenue
and costs will be impacted and are expected to decline due to
airline lessee credit issues and grounded aircraft. Maintenance
revenues were reduced by 50% over the next immediate 12 months, and
such missed payments were assumed to be recouped in the following
12 months thereafter.

Maintenance costs over the immediate next six months were assumed
to be incurred as reported. Costs in the following month were
reduced by 50% and assumed to increase straight line to 100% over a
12-month period. Any deferred costs were incurred in the following
12 months.

RATING SENSITIVITIES

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

-- The Negative Outlook on certain classes for 2018-1 and 2018-2
    and the RWN on class A and B on 2019-1 reflects the potential
    for further negative rating actions due to concerns over the
    ultimate impact of the coronavirus pandemic, the resulting
    concerns associated with airline performance and aircraft
    values and other assumptions across the aviation industry due
    to the severe decline in travel and grounding of airlines. Due
    to the correlation between global economic conditions and the
    airline industry, the ratings can be affected by the strength
    of the macro-environment over the remaining terms of these
    transactions.

-- The pools contain high concentrations of WB aircraft at 33.1%,
    30.8% and 23.2% for 2018-1, 2018-2 and 2019-1, respectively.
    Due to continuing MV pressure on WB and worsening supply and
    demand dynamics, Fitch explored the potential cash flow
    decline if WB values were haircut by an additional 10% of
    Fitch's modeled values.

-- For 2018-1, net cash flow declines by approximately $3.1
    million at the 'BBBsf' rating stress. Under this scenario,
    series A, B, and C do not pass under the 'Bsf' scenario.

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

-- The aircraft ABS sector has a rating cap of 'Asf'. All
    subordinate tranches carry one category of ratings lower than
    the senior tranche and below the ratings at close. However, if
    the assets in this pool display stronger asset values than
    Fitch modeled and therefore stronger lease collections than
    Fitch's stressed scenarios, the transaction could perform
    better than expected.

-- In this scenario, Fitch increased the model value up to the
    average MABV, the transaction document value as of the October
    2021 report. For 2018-1, net cash flow increases by
    approximately $37 million at the 'BBBsf' rating stress. Under
    the scenario, series A, and series B notes are able to pass
    under the 'BBBsf' and 'BBsf' stress scenario while class C
    does not pass under the 'Bsf' stress scenarios.

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.


BANK 2019-BNK21: DBRS Confirms BB Rating on Class X-G Certs
-----------------------------------------------------------
DBRS Morningstar confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2019-BNK21 issued by BANK
2019-BNK21 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class D at A (low) (sf)
-- Class X-D at A (low) (sf)
-- Class E at BBB (high) (sf)
-- Class X-F at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class X-G at BB (sf)
-- Class G at BB (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall performance of the
transaction, which has remained in line with DBRS Morningstar's
expectations since issuance. At issuance, the transaction consisted
of 87 loans secured by commercial and multifamily properties, with
an original trust balance of $1.18 billion. As of the September
2021 remittance, there has been a collateral reduction of 0.5%
since issuance and all loans remain in the pool. The transaction is
concentrated in loans backed by office properties, representing
44.7% of the pool, with the next-largest concentrations in hotel
properties, representing 22.4% of the pool, and retail properties,
representing 13.9% of the pool. While the Coronavirus Disease
(COVID-19) pandemic has disproportionately affected loans secured
by hotel and retail properties, the retail loans in the subject
transaction have generally performed well. There are five loans,
representing 9.1% of the pool, that are secured by hotel properties
and are currently on the watchlist related to a decline in
performance as a result of the pandemic. However, these loans are
current and have generally shown signs of recovery as the overall
tourism industry begins to rebound. With this review, DBRS
Morningstar analyzed these loans with an elevated probability of
default.

As of the September 2021 remittance, there is one loan in special
servicing and nine loans on the servicer's watchlist, representing
0.7% and 27.0% of the pool, respectively. The 4440 East Tropicana
Avenue (Prospectus ID#33, 0.7% of the pool) loan is secured by a
two-tenant retail building in Las Vegas and transferred to special
servicing in September 2020 for monetary default as a result of the
pandemic. The largest tenant, 24 Hour Fitness (79.8% of the net
rentable area (NRA)), declared bankruptcy and vacated the subject
in June 2020. As a result, only one tenant remains at the property,
H&P Tires Express, LLC, which represents 20.2% of NRA on a lease
through July 2029. The borrower had requested relief related to the
pandemic and the servicer is currently reviewing the proposal while
also dual tracking foreclosure proceedings. According to the June
2021 appraisal, the property was valued at $6.0 million, which is a
56.5% decrease from the appraised value at issuance of $13.8
million and below the current loan balance of $8.7 million. Given
the continued challenges the property is facing to back-fill the
dark space amid the pandemic, DBRS Morningstar performed a
hypothetical liquidation scenario for the loan, resulting in a loss
severity in excess of 55.0%.

Three loans, representing a combined 22.5% of the pool, are
shadow-rated investment grade by DBRS Morningstar, including Park
Tower at Transbay (Prospectus ID#1, 9.7% of the pool), 230 Park
Avenue South (Prospectus ID#2, 9.3% of the pool), and Grand Canal
Shoppes (Prospectus ID#10, 3.4% of the pool). The Grand Canal
Shoppes loan has several pari passu pieces secured in a number of
commercial mortgage-backed securities (CMBS) transactions,
including three other CMBS transactions rated by DBRS Morningstar
(GSMS 2019-GC42, CGCMT 2019-GC41, and BMARK 2019-B12). Various pari
passu pieces were placed on servicers' watchlist because of a
trigger event tied to the debt yield falling below the minimum
threshold. It is unclear as to why the subject's pari passu piece
was not on the watchlist, but DBRS Morningstar has been monitoring
this loan closely as a result of the concerns of the pandemic,
particularly its effects on the Las Vegas economy. Local and
international tourism are showing signs of recovery and DBRS
Morningstar believes the collateral property's prime location,
historically strong performance, relatively low leverage, and
tenant mix are significant mitigating factors for the near- to
medium-term risks introduced by the pandemic. With this review,
DBRS Morningstar confirmed the Park Tower at Transbay, 230 Park
Avenue South, and Grand Canal Shoppes loans continue to perform in
line with investment-grade loan characteristics.

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



BATTALION CLO XXII: Moody's Assigns B2 Rating to Class F Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued and one class of loans incurred by Battalion CLO XXII
Ltd. (the "Issuer" or "Battalion XXII").

Moody's rating action is as follows:

US$75,000,000 Class A Senior Secured Floating Rate Notes due 2035,
Assigned Aaa (sf)

US$177,000,000 Class A-L Loans maturing 2035, Assigned Aaa (sf)

Up to US$ 177,000,000 Class A-N Senior Secured Floating Rate Notes
due 2035, Assigned Aaa (sf)

US$52,000,000 Class B Senior Secured Floating Rate Notes due 2035,
Assigned Aa2 (sf)

US$24,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned A2 (sf)

US$24,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned Baa3 (sf)

US$16,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2035, Assigned Ba3 (sf)

US$5,250,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2035, Assigned B2 (sf)

The notes listed are referred to herein, collectively, as the
"Rated Debt." The Class A-L Loans may be exchanged or converted
into notes, subject to certain conditions.

On the closing date, the Class A-L Loans and the Class A-N Notes
have a principal balance of $177,000,000 and $0, respectively. At
any time, the Class A-L Loans may be converted in whole or in part
to Class A-N Notes, thereby decreasing the principal balance of the
Class A-L Loans and increasing, by the corresponding amount, the
principal balance of the Class A-N Notes. The aggregate principal
balance of the Class A-L Loans and Class A-N Notes will not exceed
$177,000,000, 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.

Battalion XXII is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans,
unsecured loans and bonds. The portfolio is approximately 80%
ramped as of the closing date.

Brigade Capital Management, LP (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's approximately 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: 70

Weighted Average Rating Factor (WARF): 2790

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

The performance of the Rated 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.


BENCHMARK 2019-B11: DBRS Confirms B Rating on Class G Certs
-----------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2019-B11 issued by Benchmark
2019-B11 Commercial Mortgage Trust as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class X-F at BB (sf)
-- Class F at BB (low) (sf)
-- Class X-G at B (high) (sf)
-- Class G at B (sf)

DBRS Morningstar also changed the trend on Classes F, G, X-F, and
X-G to Negative; all other trends are Stable. The Negative trends
are reflective of DBRS Morningstar's concerns with the largest loan
in special servicing, Greenleaf at Howell (Prospectus ID#15, 2.4%
of the current pool balance).

Outside of the specially-serviced loan mentioned above, the overall
performance of the other loans in the transaction remains in line
with DBRS Morningstar's expectations, supporting the Stable trends
for most classes. There are two other loans in special servicing,
as detailed below, but that number has declined from a total of
five loans in special servicing at the time of the last full
transaction review by DBRS Morningstar, in November 2020.

As of the September 2021 remittance, all of the original 40 loans
remain in the pool with a negligible amortization of 0.5% since
issuance. The transaction is concentrated in loans backed by office
properties, representing 43.5% of the pool, with the next-largest
concentrations in hotel properties, representing 14.9% of the pool
and multifamily properties, representing 14.4% of the pool. As of
the September 2021 remittance, three loans, representing 4.3% of
the pool, are in special servicing. Additionally, nine loans,
representing 19.8% of the pool, are on the servicer's watchlist.
Loans on the servicer's watchlist have been flagged for various
reasons including low debt service coverage ratios (DSCRs),
servicing trigger events, deferred maintenance, and monitoring
after a return from the special servicer.

The Greenleaf at Howell loan is secured by a 227,045 square foot
(sf) anchored retail center located in Howell, New Jersey. At
issuance, the largest tenants included Xscape Theatres (25.0% of
the net rentable area (NRA)), LA Fitness (16.3% of the NRA), and
ClimbZone Howell (10.7% of the NRA). However, Xscape Theatres,
which initially closed temporarily last year in response to the
Coronavirus Disease (COVID-19) pandemic, has since permanently
closed, bringing the property's physical occupancy rate down
considerably. The loan transferred to the special servicer in
September 2020 and the borrower's forbearance request remains under
review by the special servicer over a year later. The September
2021 remittance report shows the loan remains 121+ days delinquent.
An August 2021 appraisal obtained by the special servicer showed an
as-is value of $30.0 million, down from the December 2020 appraisal
value of $32.9 million and well below the issuance value of $66.9
million. Based on the August 2021 value, DBRS Morningstar assumed a
liquidation scenario for this review, resulting in a loss severity
in excess of 50.0% for this loan.

The second-largest loan in special servicing is Magnolia Hotel St.
Louis (Prospectus ID#24, 1.5% of the current pool balance), secured
by a 182-room full-service hotel. The loan transferred to special
servicing in April 2020 as a result of imminent monetary default.
The loan was delinquent until January 2021, when the terms of a
forbearance agreement executed in December 2020 came into effect.
The agreement allowed for the deferral of payments from July 2020
to March 2021, with interest-only payments to resume in April 2021
through December 2021. In addition, seasonality reserve payments
were waived during the deferral period. The deferred payments will
be repaid from January 2022 to June 2023.

Of these nine loans on the servicer's watchlist, three are top 10
loans that have been flagged for credit concerns, including SWVP
Portfolio (Prospectus ID#5, 4.6% of the current pool balance),
Arbor Hotel Portfolio (Prospectus ID#6, 4.6% of the current pool
balance), and Green Hills Corporate Center (Prospectus ID#7, 4.6%
of the current pool balance). The SWVP Portfolio is secured by a
portfolio of four full-service hotels in New Orleans; Durham, North
Carolina; Charlotte, North Carolina; and Sunrise, Florida. The
portfolio has seen significant revenue declines as a result of the
coronavirus pandemic, with a trailing three months ended March 2021
DSCR of -0.37 times (x), relative to the DBRS Morningstar DSCR of
1.79x derived at issuance. Although the collateral hotel portfolio
performance has been significantly affected, the loan has remained
current and the sponsor, Southwest Value Partners, has not
requested any relief to date. The loan is also modestly leveraged
with a loan-to-value (LTV) ratio of 62.2%, suggesting cushion
against near to moderate term value declines as the effects of the
pandemic continue to impact hotel properties across the country.

The Arbor Hotel Portfolio loan is secured by six limited-service
hotels in major cities, including Salt Lake City; Santa Barbara,
California; Minneapolis; and Arlington, Texas. The borrower has
been granted two separate relief requests since the start of the
coronavirus pandemic, the most recent of which was executed in June
2021. According to the terms of the second modification, the
servicer approved a waiver of all furniture, fixtures, and
equipment (FF&E) reserve deposits for the entirety of 2021. All
used FF&E reserve deposits were to be paid over a 12-month period
beginning January 2022, all cash management triggers were suspended
until January 2022, and a $1.4 million letter of credit was
required to be on file with the servicer until all reserves have
been repaid. The borrower continues to comply with the terms of the
granted modifications and the loan has reported current or less
than 30-days delinquent since the start of the pandemic.

With this review, DBRS Morningstar confirms that the performance of
the 3 Columbus Circle loan (Prospectus ID#1, 9.1% of pool) remains
in line with the investment-grade shadow rating derived when DBRS
Morningstar assigned ratings to the subject transaction in December
2019.

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



BENCHMARK 2019-B12: DBRS Confirms B(high) Rating on Cl. G-RR Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates Series 2019-B12 issued by Benchmark
2019-B12 Commercial Mortgage Trust as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class D at BBB (high) (sf)
-- Class X-D at BBB (high) (sf)
-- Class E at BBB (sf)
-- Class F-RR at BB (high) (sf)
-- Class G-RR at B (high) (sf)

DBRS Morningstar also changed the trends on Classes F-RR and G-RR
to Negative from Stable as a reflection of performance challenges
associated with the specially serviced loans as discussed below,
caused primarily by the Coronavirus Disease (COVID-19) pandemic.
All other trends are Stable.

The rating confirmations reflect the transaction's overall stable
performance since issuance. At issuance, the transaction consisted
of 47 fixed-rate loans secured by 117 commercial and multifamily
properties with a trust balance of $1.2 billion. In addition, there
are non-offered loan-specific certificates for the Woodlands Mall
(Prospectus ID#2, 6.5% of the pool) and The Centre (Prospectus
ID#15, 6.0% of the pool) loans, which are not rated by DBRS
Morningstar and are not included in the percent of pool metrics.
According to the September 2021 remittance, all loans remained in
the pool and there has been negligible amortization to date. The
transaction is concentrated by property type, with 13 loans secured
by office collateral, representing 31.9% of the pool, and 14 loans
secured by retail collateral, representing 24.9% of the pool. In
addition, the pool is concentrated by state as 59.9% of the
portfolio's properties are concentrated in five states: California,
New York, Texas, Florida, and Delaware.

According to the September 2021 remittance, 19 loans representing
37.3% of the pool were on the servicer's watchlist. Some of the
watchlisted loans are being monitored following pandemic-related
forbearance requests, with most loans on the watchlist exhibiting
performance declines from issuance expectations. The largest loan
on the watchlist is the Woodlands Mall loan. The collateral for
this loan is a super-regional mall in the Houston metro area and is
on the watchlist for a trigger event related to a debt service
coverage ratio (DSCR) decline that was driven by lower revenues
reported for 2020 and 2021. Occupancy remains high (reported at
95.0% as of June 2021), and the cash flow declines appear to be
related to the pandemic, with the loan still reporting a DSCR well
above breakeven.

As of the September 2021 remittance, two loans, representing 1.5%
of the pool, were in special servicing. The largest loan in special
servicing, Greenleaf at Howell (Prospectus ID#34, 0.9% of the
pool), is secured by a 227,045-square-foot anchored retail center
in Howell, New Jersey. The loan transferred to special servicing in
September 2020 for imminent monetary default related to the
coronavirus pandemic. When the loan transferred to special
servicing, the servicer reported a DSCR of 0.74 times (x). The
three largest tenants at issuance included BJ's Wholesale Club,
Xscape Theatres, and LA Fitness, which collectively represented
81.1% of the net rentable area. However, the second-largest tenant,
Xscape Theatres, has since closed, bringing the physical occupancy
rate down by 25.0% from the YE2020 occupancy rate of 99.0% reported
by the servicer.

Although the loan has been in special servicing for a year and has
reported 90+ days delinquent since the November 2020 remittance,
the workout strategy remains unclear. DBRS Morningstar recently
obtained an updated appraisal dated August 2021 that showed an
updated value of $30.0 million, down from the $32.9 million value
in the November 2020 appraisal and the $66.9 million value at
issuance. Given the sharp value decline, as well as the extended
period of time in special servicing without any material progress
toward a resolution, DBRS Morningstar expects that a significant
loss will be realized with the workout for this loan. Based on the
most recent valuation, a liquidation scenario that resulted in a
loss severity in excess of 50.0% was applied for this review.

The remaining loan in special servicing, Hampton Inn Terre Haute
(Prospectus ID#38, 0.7% of the pool), is secured by a five-story,
112-key limited-service Hampton Inn in Terre Haute, Indiana. The
loan transferred to special servicing in June 2020 because of
delinquency. As of the September 2021 remittance, the last loan
payment was made in August 2020, when a receiver was appointed to
manage and market the property for sale. As of the Q2 2021
reporting period, the loan reported a DSCR of 0.18x compared with
the issuance DSCR of 1.93x. The most recent occupancy as of June
2021 was 50%. The special servicer obtained an updated value in
September 2020 that showed an as-is value of $8.7 million, down
from the issuance figure of $11.5 million. A July 2021 appraisal
was reported with the September 2021 remittance, showing another
value decline to $8.0 million. Based on a haircut to the valuations
obtained by the special servicer, DBRS Morningstar expects a loss
severity in excess of 25.0% at resolution for this loan.

The liquidation scenarios assumed by DBRS Morningstar for the two
loans in special servicing contributed to erosion in credit support
for the Class F-RR and G-RR certificates, contributing to the
Negative trends carried by those classes.

At issuance, DBRS Morningstar shadow-rated 3 Columbus Circle
(Prospectus ID#8, 4.2% of pool) as investment grade. DBRS
Morningstar confirmed the shadow rating on 3 Columbus Circle at BBB
(high), given its stable performance and low leverage.

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



BETHPAGE PARK CLO: Moody's Assigns (P)Ba3 Rating to $20MM E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to two
classes of notes to be issued by Bethpage Park CLO, Ltd. (the
"Issuer" or "Bethpage Park").

Moody's rating action is as follows:

US$320,000,000 Class A Senior Secured Floating Rate Notes due 2036,
Assigned (P)Aaa (sf)

US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2036, Assigned (P)Ba3 (sf)

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

RATINGS RATIONALE

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

Bethpage Park 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 loans, cash, and eligible investments, and up to 10% of
the portfolio may consist of second lien loans, first lien last out
loans, unsecured loans and bonds. Moody's expect the portfolio to
be approximately 100% ramped as of the closing date.

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

In addition to the Rated Notes, the Issuer will issue three classes
of secured notes and one class of subordinated notes.

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

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

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

Par amount: $500,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 3175

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

The performance of the 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.


BLUEMOUNTAIN CLO XXVI: S&P Assigns BB-(sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-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 replacement notes were issued via a supplemental indenture,
which outlines the terms of the replacement notes. According to the
supplemental indenture:

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

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

-- The replacement class A-R notes were 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
were extended two years.

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

  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."

  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: NR

  Ratings Withdrawn

  BlueMountain CLO XXVI Ltd./BlueMountain CLO XXVI LLC

  Class A-1, to NR from AAA (sf)

  Class A-2, to NR from AAA (sf)

  Class B, to NR from AA (sf)

  Class C, to NR from A (sf)

  Class D-1, to NR from BBB- (sf)

  Class D-2, to NR from BBB- (sf)

  Class E, to NR from BB- (sf)



BREAN ASSET 2021-RM2: DBRS Gives Prov. B Rating on Class M5 Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Asset-Backed Notes, Series 2021-2, to be issued by Brean
Asset-Backed Securities Trust 2021-RM2 (BABS 2021-RM2):

-- $202.2 million Class A at AAA (sf)
-- $7.5 million Class M1 at AA (sf)
-- $6.1 million Class M2 at A (sf)
-- $5.5 million Class M3 at BBB (sf)
-- $2.3 million Class M4 at BB (sf)
-- $2.2 million Class M5 at B (sf)

The AAA (sf) rating reflects 110.8% of cumulative advance rate. The
AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect
114.9%, 118.3%, 121.3%, 122.5%, and 123.7% of cumulative advance
rates, respectively.

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

Lenders typically offer reverse mortgage loans to people who are at
least 62 years old. Through reverse mortgage loans, borrowers have
access to home equity through a lump sum amount or a stream of
payments without periodically repaying principal or interest,
allowing the loan balance to accumulate over a period of time until
a maturity event occurs. Loan repayment is required (1) if the
borrower dies, (2) if the borrower sells the related residence, (3)
if the borrower no longer occupies the related residence for a
period (usually a year), (4) if it is no longer the borrower's
primary residence, (5) if a tax or insurance default occurs, or (6)
if the borrower fails to properly maintain the related residence.
In addition, borrowers must be current on any homeowner's
association dues if applicable. Reverse mortgages are typically
nonrecourse; borrowers don't have to provide additional assets in
cases where the outstanding loan amount exceeds the property's
value (the crossover point). As a result, liquidation proceeds will
fall below the loan amount in cases where the outstanding balance
reaches the crossover point, contributing to higher loss severities
for these loans.

As of the September 1, 2021, cut-off date, the collateral had
approximately $182.5 million in current unpaid principal balance
from 167 performing, nonrecourse, fixed-rate jumbo reverse mortgage
loans secured by first liens on single-family residential
properties, condominiums, townhomes, and multifamily (two- to
four-family) properties. The loans were originated in 2021.

The transaction uses a structure in which cash distributions are
made sequentially to each rated note until the rated amounts with
respect to such notes are paid off. No subordinate note shall
receive any payments until the balance of senior notes has been
reduced to zero. Interest is capitalized to the note and the senior
notes will accrue cap carryover for any interest shortfalls.

The note rate for Class A Notes will reduce to 0.25% if the Home
Price Percentage (as measured using the S&P CoreLogic Case-Shiller
National Index) declines by 30% or more compared with the value on
the cut-off date.

If the notes are not be paid in full or redeemed by the issuer on
September 2026, the Expected Repayment Date, the issuer will be
required to conduct an auction within 180 calendar days of the
Expected Repayment Date to offer all the mortgage assets and use
the proceeds, net of fees and expenses due to auction, to be
applied to payments to all amounts owed. If the proceeds of the
auction are not sufficient to cover all the amounts owed, the
issuer will be required to conduct an auction within six months of
the previous auction.

If, during any six-month period, the average one month conditional
prepayment rate is equal to or greater than 20%, then on such date,
50% of available funds remaining after payment of fees and expenses
and interest to the Class A Notes will be deposited into the
Refunding Account, which may be used to purchase additional
mortgage loans.

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




BSPDF 2021-FL1: DBRS Finalizes B(low) Rating on Class H Notes
-------------------------------------------------------------
DBRS, Inc. finalized provisional ratings on the following classes
of notes issued by BSPDF 2021-FL1 Issuer, Ltd:

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

All trends are Stable.

The initial collateral consists of 21 floating-rate mortgage loans
and participation interest in mortgage loans secured by 49 mostly
transitional properties with a cut-off balance totaling $621.8
million, excluding $67.9 million of remaining future funding
commitments (inclusive of junior participations) and $88.7 million
of pari passu debt. The transaction is a managed vehicle, which
includes a 24-month reinvestment period. As part of the
reinvestment period, the transaction includes a 180-day ramp-up
acquisition period that will be used to increase the trust balance
by $153.2 million to a total target collateral principal balance of
$775.0 million. DBRS Morningstar assessed the $153.2 million ramp
component using a conservative pool construct, and, as a result,
the ramp loans have expected losses above the pool weighted-average
(WA) loan expected loss. During the reinvestment period, so long as
the note protection tests are satisfied and no event of default has
occurred and is continuing, the collateral manager may direct the
reinvestment of principal proceeds to acquire reinvestment
collateral interest, including funded companion participations,
meeting the eligibility criteria. The eligibility criteria have,
among other things, debt service coverage ratio (DSCR),
loan-to-value ratio (LTV), Herfindahl score, and property type
limitations.

Of the 21 loans, one (Bradford Gwinnett Apartments & Townhomes
(Prospectus ID#13), representing a total initial pool balance of
3.6%) is a delayed-close loan, unclosed as of October 15, 2021. The
Issuer has 90 days after closing to acquire the delayed-close
assets. If the Delayed Close Collateral Interest are not acquired
within 90 days of the closing date, the Issuer can use the
allocated balance of the delayed-close loan to acquire additional
ramp loans. In addition, the transaction is structured with a
Replenishment Period, where the collateral manager may acquire up
to $70.0 million of funded companion participations. The
transaction stipulates that any acquisition of any ramp-up
collateral interests, reinvestment collateral interests or
replenishment collateral interests will need a rating agency
confirmation (RAC) regardless of balance size. The loans are mostly
secured by cash flowing assets, many of which are in a period of
transition with plans to stabilize and improve the asset value.

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

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

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

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

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

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

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

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

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

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

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

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



BX 2021-PAC: DBRS Gives Prov. B(low) Rating on Class G Certs
------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates to be issued by BX
2021-PAC:

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

All trends are Stable.

The Class X-CP and Class X-EXT balances are notional. Class X-CP is
an IO certificate that references multiple rated tranches. Class
X-EXT is an IO certificate that references multiple rated tranches.
The IO classes will not have a certificate balance and will not be
entitled to receive distributions of principal. The Class X-EXT
Certificates are notional with respect to the Class B, Class C, and
Class D certificates. The Class X-CP Certificates are notional with
respect to 70% of each of the Class B, Class C, and Class D
certificates.

The BX 2021-PAC single-asset/single-borrower transaction is
collateralized by the borrower's fee-simple and leasehold interests
in a portfolio of 41 industrial properties totaling more than nine
million sf across six markets and three states in some of the
nation's most densely populated areas. The portfolio is largely
concentrated in California and the Western U.S., with infill, core
assets located in leading gateway distribution markets. LBA
acquired the portfolio over the past 10 years and in 2016,
Blackstone Property Partners purchased a 99% interest in the
portfolio with LBA retaining a 1% interest and control of
day-to-day operations. DBRS Morningstar continues to take a
favorable view on the long-term growth and stability of the
warehouse and logistics sector, despite the uncertainties and risks
that the Coronavirus Disease (COVID-19) pandemic has created across
all commercial real estate asset classes.

The subject portfolio has benefited from the strength in the
industrial sector of the economy. The 59 new or renewal leases
signed since July 2020 have a weighted-average (WA) base rent that
is approximately 16.0% above the WA in-place base rents for similar
properties within the portfolio's six markets. With 240 unique
tenants the portfolio realizes significant granularity and
diversification that protects it from significant net operating
income (NOI) volatility. No tenant comprises more than 8.9% of the
portfolio net rentable area or greater than 5.0% of total base
rent. Investment-grade-rated tenants pay approximately 16.8% of the
portfolio's base rent, providing further stability.

The majority of the portfolio consists of functional bulk warehouse
product with strong functionality metrics and comparatively low
proportions of office square footage. The percentage of office is
9.4%, which compares favorably with other industrial portfolios
recently analyzed by DBRS Morningstar.

The portfolio has demonstrated very strong and occupancy
performance with a WA occupancy at or above 95% since 2018. The
portfolio's NOI increased 9.2% between 2019 and the trailing 12
months ended June 2021. The portfolio is expected to benefit from
continued NOI growth through the loan term. The loan sponsor
estimates that the portfolio's WA rent is 17% below market rents.

The portfolio benefits from locations across numerous
strong-performing west-coast gateway industrial markets, including
the markets in Los Angeles, Orange County, and Inland Empire in
California and Seattle. The portfolio's WA in-place base rent of
$9.48 per square foot (psf) is above the major national index of
$8.32 psf (reported by Newmark Knight Frank as of Q2 2021). The
portfolio benefits from high in-fill locations with dense
populations. The pool WA population within a five, 10, and 15-mile
radius is 402,948, 1,375,084, and 2,556,084, respectively.

DBRS Morningstar continues to believe that functional bulk
warehouse product and last-mile delivery facilities near major
population centers will outperform other property subtypes, and
maintains a bullish outlook on industrial property based on
ever-growing e-commerce demand.

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



BX TRUST 2018-GW: DBRS Confirms B(low) Rating on Class G Certs
--------------------------------------------------------------
DBRS, Inc. confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2018-GW issued by BX
Trust 2018-GW as follows:

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

DBRS Morningstar also changed the trends on Classes A, B, C, X-EXT,
D, and E to Stable from Negative. The trends on Classes F and G
remain Negative as the underlying collateral continues to face
performance challenges associated with the Coronavirus Disease
(COVID-19) pandemic. These factors are reflected in the most recent
revenue and occupancy figures reported for the property, as further
discussed below.

The rating confirmations reflect DBRS Morningstar's view that,
despite a significant impact to revenue in 2020 related to the
pandemic, the underlying hotel is generally well positioned to
capture increased demand as travel begins to rebound. Before the
pandemic, the loan maintained stable performance as the YE2019 net
cash flow was up nearly 10% compared with the issuance figure. The
YE2020 debt service coverage ratio was -0.25 times, the most recent
the servicer reported. The loan has remained current throughout the
pandemic, and the borrower has not requested any coronavirus relief
to date.

The subject loan consists of a $510.5 million first mortgage, with
$289.5 million in mezzanine debt held outside the Trust, for a
total of $800.0 million. The collateral for this transaction is the
Grand Wailea Maui, a Waldorf Astoria Resort, a 776-key luxury
beachfront resort on the Hawaiian island of Maui. In addition to
the collateral portion of the property, there are 120 villas that
are third-party owned. However, 62 of the third-party owners
participate in a rental management program whereby the hotel
receives a fee for use of its amenity space. The underlying loan is
interest-only (IO) throughout the initial 24-month term and all
five one-year extension options. Since issuance, the borrower has
exercised two extension options, most recently extending the
maturity date to May 2022.

The Four-Diamond oceanfront resort was developed in 1991 and
features 776 hotel keys, eight food and beverage outlets, 100,000
square feet (sf) of meeting/event space, a 50,000-sf spa, and a
20,000-sf recreation outlet center for children. Between 2013 and
2018, the hotel received renovations totaling more than $61.1
million to upgrade common areas and guest rooms.

The loan sponsor is Blackstone Real Estate Partners, which acquired
the portfolio from GIC Private Limited. Loan proceeds facilitated
the acquisition of the subject as part of a three-property
portfolio transaction, which included the Arizona Biltmore and the
La Quinta Resort & Club, for an aggregate purchase price of $1.6
billion, $980 million of which was for the subject. The hotel
manager has been Waldorf Astoria, an affiliate of Hilton Worldwide
Holdings Inc., since 2013, with the current management agreement
running through 2024 with one 10-year extension option remaining.

The coronavirus pandemic severely affected traffic at the hotel for
most of 2020, which was closed from March to November of that year.
The prolonged lag in travel demand as a result of new coronavirus
strains, and the travel restrictions implemented as a response,
will continue to put significant stress on the hotel's performance
in the short to medium term. These impacts will be greater for
international travelers, which represent a significant portion of
the property's historical customer base. In August 2021, the
governor of Hawaii issued a statement urging tourists to limit
travel to the islands to essential purposes only, but the state or
local governments have not implemented formal travel to date.

As of the trailing 12 months ended June 2021 STR report, the
subject reported an occupancy rate, average daily rate (ADR), and
revenue per available room (RevPAR) of 25.7%, $773.70, and $199.11,
respectively, compared with the competitive set's average figures
of 37.1%, $629.14, and $233.37, respectively. While the property
outperformed its competitors in terms of ADR, with a penetration
rate of 123.0%, the hotel is trailing its competition in both
occupancy and RevPAR, with penetration rates of 69.4% and 85.3%,
respectively.

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



BX TRUST 2021-ARIA: DBRS Gives Prov. BB Rating on Class G Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-ARIA to
be issued by BX Trust 2021-ARIA:

-- Class A at AAA (sf)
-- Class A-1 at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class D at AA (low) (sf)
-- Class E at A (low) (sf)
-- Class F at BBB (low) (sf)
-- Class G at BB (sf)
-- Class HRR at BB (low) (sf)
-- Class X-CP at AAA (sf)
-- Class X-EXT at AAA (sf)

All trends are Stable.

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

BX Trust 2021-ARIA is a single-asset/single-borrower transaction
collateralized by the borrower's leased-fee interest in the Aria
Resort & Casino (Aria) and Vdara Hotel & Spa (Vdara) hotel and
casino properties located on Las Vegas Boulevard in Las Vegas,
Nevada.

Despite the disruptions and ongoing uncertainty in the lodging and
gaming sectors attributable to the Coronavirus Disease (COVID-19)
pandemic, DBRS Morningstar takes a generally positive view on
Blackstone Real Estate Partners IX L.P.'s (BREP) acquisition of the
Aria and Vdara properties. The transaction represents their third
major resort casino sale-leaseback transaction in the past two
years in Las Vegas; previous transactions using the same structure
were collateralized by the Bellagio and the MGM Grand/Mandalay Bay
properties. The sale-leaseback strategy allows experienced gaming
operators like MGM Resorts International (MGM) to optimize capital
allocation away from the ownership of real estate while maintaining
operational control over their portfolios.

The Aria and Vdara properties are well located along the central
portion of the Las Vegas Strip, which results in a critical mass of
foot traffic attributable to numerous nearby attractions and
properties, including the Bellagio and Cosmopolitan. Furthermore,
the properties are the centerpiece of the 16.7 million-square-foot
mixed-use development known as CityCenter, which includes the
high-end Shops at Crystals retail complex, among other attractions.
Finally, the Aria Express (formerly known as the CityCenter Tram)
monorail system connects the properties via the Shops at Crystals
with Bellagio to the north and Park MGM to the south.

Predictably, performance at the Aria and Vdara properties has
suffered over the last 18 months as the ongoing coronavirus
pandemic besieged the economy, crippled domestic and international
travel, and resulted in mandated closures and other operating
restrictions. However, the properties experienced a robust rebound
in performance as vaccinations rolled out and as Americans emerged
from months of quarantine. In 2021, combined monthly EBITDAR during
the months of May, June, July, and August exceeded the same periods
in 2019. Additionally, the combined financials for both properties
for the trailing-12-month (T-12) period ended August 31, 2021,
which include several heavily depressed months of performance
during the second wave of the pandemic, have rebounded to
approximately 70% of their stabilized 2019 levels, compared with
only 52% in the T-12 period ended June 30, 2021 (further
illustrating the strong rebound over the summer).

MGM Resorts has invested a significant amount of capital, nearly
$700 million, into both properties since 2012 in order to maintain
and improve their performance. MGM is planning to invest several
hundred million dollars across both properties over the next four
years, including a major room renovation at Aria. Furthermore,
under the terms of the master lease, MGM is required to invest a
minimum of 4.0% of actual net revenues per year into the properties
throughout the five-year loan term and between 2.5% and 3.0% per
year thereafter.

The transaction benefits from a guaranty provided by MGM, which
covers payment and performance of all monetary obligations and
certain other obligations of the MGM Tenant under the master lease
agreement. However, unlike prior transactions, MGM has not provided
a shortfall guaranty for the mortgage loan. While MGM is not an
investment grade-rated entity, the firm is well capitalized and had
revenues of approximately $12.9 billion and EBITDA of approximately
$3 billion in 2019.

The ongoing coronavirus pandemic continues to pose challenges and
risks to virtually all major commercial real estate property types,
creating a substantial element of uncertainty around the recovery
of demand in the hospitality sectors, even in stronger markets that
have historically been highly liquid. Both properties were closed
from April 2020 through June 2020 because of government
restrictions as a result of the pandemic and experienced combined
occupancy and revenue per available room declines to 50.2% and
$125.14 as of YE2020 from 90.6% and $231.89 as of YE2019. As
previously discussed, the properties have rebounded sharply in
2021, but the recovery could be hampered by unforeseen changes in
public health circumstances or the emergence of new variants.

DBRS Morningstar's net cash flow and value reflects normalized
occupancy assumptions of 90.2% for Aria and 90.8% for Vdara, which
are above the 55.5% and 56.0% occupancy rates for the properties,
respectively, as of the T-12 period ended August 31, 2021. DBRS
Morningstar elected to stabilize the properties and assumed
occupancy in line with pre-pandemic performance given the robust
recovery trajectory, MGM's extensive experience operating casino
and hospitality properties, strong operating history, and superior
location in the center of the Las Vegas Strip. DBRS Morningstar
accounted for this stabilization risk by applying a penalty to its
qualitative adjustments.

A substantial component of revenue across the properties is derived
from non-room revenue, including gaming revenue (27.3% of DBRS
Morningstar Revenue) and revenue from food and beverage outlets
(29.5%). These revenue sources are generally more volatile than
room revenue; however, the proportion of gaming revenue across both
properties is consistent with most other properties on the Las
Vegas Strip, which generally derive around 30% of revenue from
casino operations. Gaming revenue is also disproportionately
dependent on the trends and habits of high-end international
gamblers, who have been slower to return to Las Vegas than domestic
gamblers because of international travel restrictions.

The borrowers have entered into a master lease agreement with MGM
Lessee III, LLC (the Master Tenant or the MGM Tenant). While the
borrowers and the Master Tenant are not under common control and a
true lease opinion was provided, master lease arrangements may
still pose a risk of recharacterization of the master lease as a
financing from the borrowers to the Master Tenant. Furthermore, the
master lease allows the Master Tenant to obtain leasehold mortgage
and/or mezzanine financing. The master lease and loan documents
also contain certain restrictions that may affect the lender's
rights and remedies. For example, the master lease restricts
certain transfers of the property to designated competitors of the
Master Tenant, which could significantly reduce the pool of
qualified buyers and therefore reduce liquidity.

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



BX TRUST 2021-LGCY: DBRS Gives Prov. B(low) Rating on Class G Certs
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-LGCY
(the Certificates) to be issued by BX Trust 2021-LGCY (BX
2021-LGCY), as follows:

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

All trends are Stable.

The collateral for BX Trust 2021-LGCY (BX 2021-LGCY or the Trust)
includes the borrower's fee-simple interest in 11 Class A
multifamily properties totaling 2,882 units across six states.
After the Origination Date, it is expected that the Mortgage Loan
will be secured by the fee simple interest in one additional
multifamily property (Bell Quarry Hill or the Earn-Out Property)
that is not currently collateral for the Mortgage Loan. It is
expected that Bell Quarry Hill will become collateral for the
mortgage loan upon repayment of the existing debt on the property.
At origination, the Borrowers funded an earn-out reserve in the
amount of $24,600,000. If and when the Earn-Out Property becomes
collateral for the Mortgage Loan, such reserve will be distributed
to the Borrowers. However, if the Borrowers are unable to repay the
existing debt encumbering the Earn-Out Property and satisfy the
other applicable earn-out conditions on or before March 22, 2022
after using commercially reasonable efforts, then the Borrowers
will be permitted to instruct the Lender to apply such reserve to
prepay the Mortgage Loan, without payment of a spread maintenance
premium, and such Earn-Out Property will not become collateral for
the Mortgage Loan. Such prepayment amount, if made, will be applied
to the prepayment of the Mortgage Loan on a pro rata basis.
Allocated Mortgage Loan Amounts are based on the Original Mortgaged
Properties and the Earn-Out Property, collectively, and the
Allocated Mortgage Loan Amount for the Earn-Out Property has been
reserved for at origination. For the purposes of NCF, valuation,
and sizing analyses, DBRS Morningstar assumed that the loan sponsor
completed the outstanding debt repayment for Bell Quarry Hill. All
metrics within this report are generally based on the portfolio
inclusive of Bell Quarry Hill, unless otherwise noted. The addition
of Bell Quarry Hill would increase the collateral for the Trust to
12 Class A/B multifamily properties totaling 3,030 units across six
states. BREIT Operating Partnership L.P. (the Loan Sponsor) is
using mortgage loan proceeds of $575.0 million ($189,769 per unit)
in addition to a borrower equity contribution of nearly $247.3
million ($81,614 per unit) to finance the $807.4 million
acquisition of the collateral and cover closing costs associated
with the transaction.

The properties comprising the portfolio generally exhibit favorable
finish qualities and comprehensive amenity offerings with a WA year
built of 2007 and four properties, representing 36.0% of the
portfolio's June 2021 T-12 NOI, were delivered after 2011. In
addition to the generally favorable asset quality of the underlying
collateral, DBRS Morningstar generally views the markets to which
the portfolio is exposed as highly desirable for multifamily
development, with strong growth potential and favorable population
statistics. Eight properties, representing 69.2% of the portfolio's
June 2021 T-12 NOI, are located in areas with appraisal-projected
population growth rates that more than quadruple the U.S. 2020
national average of 0.351%, and all properties are located in areas
with projected population growth rates in excess of the U.S. 2020
national average. The generally favorable market conditions are
further evidenced by relatively tight submarket vacancy rates,
which averaged 6.3% across the portfolio per the Q2 2021 Reis
reports and are generally projected to decline through the
fully-extended loan maturity. While 10 of the 12 properties
(representing 77.6%% of the portfolio by allocated loan amount) are
located in areas characterized as having a DBRS Morningstar market
rank of between 2 and 4 (ranks generally associated with more
suburban locations that exhibit higher historical PODs within
conduit securitizations), the cross-collateralized and
geographically diversified nature of the portfolio generally
mitigates some of the market risk.

As of July 2021, the portfolio was 96.9% occupied with favorably
increasing portfolio occupancy and rent trends demonstrated from
YE2018 through the T-12 ended June 30, 2021. Additionally, despite
the noise surrounding lease defaults and nonpayment of rent in the
U.S. through the recent and ongoing coronavirus pandemic, the
portfolio demonstrated relatively stable collections (averaging
97.7% monthly) between July 2020 and July 2021. These collection
figures are generally above the national averages provided by the
National Multifamily Housing Council, which reported collection
rates ranging from 93.2% to 95.9% between January and May 2021. As
part of their acquisition thesis, the Loan Sponsor has shared
capital investment plans that contemplate renovating approximately
80.0% of portfolio units, potentially further elevating the cash
flowing potential and stability of the portfolio. While the Loan
Sponsor's renovation plans are neither required by nor reserved for
as part of this transaction, the portfolio's generally favorable
asset quality, strong amenity packages, and location in high-growth
markets make it well positioned to maintain stable operating
performance through the loan term. Additionally, DBRS Morningstar
expects there to be no issues funding any planned renovations,
given the Loan Sponsor's strong access to capital and generally
significant financial wherewithal.

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



CIM TRUST 2021-R6: DBRS Finalizes BB Rating on Class B1 Notes
-------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage-Backed Notes, Series 2021-R6 issued by CIM Trust 2021-R6:

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

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

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

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

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

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

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

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

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

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

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

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

Coronavirus Disease (COVID-19) Impact

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

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

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



CITIGROUP MORTGAGE 2021-INV3: DBRS Finalizes BB(low) on B5 Certs
----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates, Series 2021-INV3 issued by
Citigroup Mortgage Loan Trust 2021-INV3:

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

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

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

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

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

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

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

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

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

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

CORONAVIRUS PANDEMIC IMPACT

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

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

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



CITIGROUP MORTGAGE 2021-RP5: Fitch Gives B Rating to B-2 Debt
-------------------------------------------------------------
Fitch Ratings has assigned Final ratings to Citigroup Mortgage Loan
Trust 2021-RP5 (CMLTI 2021-RP5).

DEBT           RATING               PRIOR
----           ------               -----
CMLTI 2021-RP5

A-1       LT AAAsf  New Rating     AAA(EXP)sf
A-2       LT AAsf   New Rating     AA(EXP)sf
A-3       LT AAsf   New Rating     AA(EXP)sf
A-4       LT Asf    New Rating     A(EXP)sf
A-5       LT BBBsf  New Rating     BBB(EXP)sf
M-1       LT Asf    New Rating     A(EXP)sf
M-2       LT BBBsf  New Rating     BBB(EXP)sf
B-1       LT BBsf   New Rating     BB(EXP)sf
B-2       LT Bsf    New Rating     B(EXP)sf
B-3       LT NRsf   New Rating     NR(EXP)sf
B-4       LT NRsf   New Rating     NR(EXP)sf
B-5       LT NRsf   New Rating     NR(EXP)sf
B         LT NRsf   New Rating     NR(EXP)sf
A-IO-S    LT NRsf   New Rating     NR(EXP)sf
X         LT NRsf   New Rating     NR(EXP)sf
SA        LT NRsf   New Rating     NR(EXP)sf
R         LT NRsf   New Rating     NR(EXP)sf

TRANSACTION SUMMARY

Fitch has rated the residential mortgage-backed notes to be issued
by Citigroup Mortgage Loan Trust 2021-RP5 (CMLTI 2021-RP5) as
indicated above. The transaction is expected to close on Oct. 29,
2021. The notes are supported by a collateral group consisting of
14,320 seasoned performing loans (SPLs) and reperforming loans
(RPLs), with a total balance of approximately $1.57 billion,
including $117.4 million, or 7.5% of the aggregate pool balance in
non-interest-bearing deferred principal amounts as of the cutoff
date.

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

KEY RATING DRIVERS

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage SPLs and RPLs. After adjusting
for coronavirus-related forbearance loans, 2.7% of the pool was 30
days' delinquent as of the cutoff date, and 36% of loans are
current but have had delinquencies within the past 24 months (after
being adjusted for Fitch's treatment of coronavirus-related
forbearance and deferral loans). Roughly 86% by unpaid principal
balance (UPB) have been modified. Fitch increased its loss
expectations to account for the delinquent loans and a high
percentage of "dirty current" loans.

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

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

Updated Sustainable Home Prices (Positive): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 11.6% above a long-term sustainable level (vs.
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.

Social Impact Rating Relevant (Positive): CMLTI 2021-RP5 has an ESG
Relevance Score of '4[+]' for transaction parties and operational
risk. Operational risk is well controlled for in CMLTI 2021-RP5,
including strong R&Ws and transaction due diligence, as well as a
strong servicer, which resulted in a reduction in expected losses.

RATING SENSITIVITIES

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

-- The defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
    addition to the model-projected 42.6% at 'AAA'. The analysis
    indicates there is some potential for rating migration with
    higher MVDs for all rated classes compared with the model
    projection. Specifically, a 10.0% 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
    10.0% with no assumed overvaluation. Excluding the senior
    class, which is already rated 'AAAsf', the analysis indicates
    there is potential for positive rating migration for all of
    the rated classes. Specifically, a 10.0% gain in home prices
    would result in a full category upgrade for the rated classes
    excluding those assigned 'AAAsf' ratings.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence review was
completed on 100% of the loans in this transaction. The scope of
the due diligence review was consistent with Fitch criteria for
seasoned collateral. While all but nine loans are seasoned 24
months or greater, 622 loans received a credit and property
valuation review in additional to a regulatory compliance review.
All loans received an updated tax and title search and review of
servicing comments.

Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustments to its analysis: increased the
loss severity due to HUD-1 issues, material TRID exceptions and
delinquent tax or outstanding liens. These adjustments resulted in
an increase in the 'AAAsf' expected loss of approximately 117bps.

ESG CONSIDERATIONS

CMLTI 2021-RP5 has an ESG Relevance Score of '4' [+] for
Transaction Parties & Operational Risk due to a highly-rated
servicer, strong R&Ws and transaction due diligence, which has a
positive impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.

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


COMM 2015-LC19: Fitch Affirms CCC Rating on Class F Debt
--------------------------------------------------------
Fitch Ratings has affirmed 14 classes of COMM 2015-LC19 Mortgage
Trust, and revised the Outlooks on two classes to Stable from
Negative.

    DEBT               RATING            PRIOR
    ----               ------            -----
COMM 2015-LC19

A-2 200474AY0     LT AAAsf   Affirmed    AAAsf
A-3 200474BB9     LT AAAsf   Affirmed    AAAsf
A-4 200474BC7     LT AAAsf   Affirmed    AAAsf
A-M 200474BE3     LT AAAsf   Affirmed    AAAsf
A-SB 200474AZ7    LT AAAsf   Affirmed    AAAsf
B 200474BF0       LT AA-sf   Affirmed    AA-sf
C 200474BH6       LT A-sf    Affirmed    A-sf
D 200474AE4       LT BBB-sf  Affirmed    BBB-sf
E 200474AG9       LT Bsf     Affirmed    Bsf
F 200474AJ3       LT CCCsf   Affirmed    B-sf
PEZ 200474BG8     LT A-sf    Affirmed    A-sf
X-A 200474BD5     LT AAAsf   Affirmed    AAAsf
X-B 200474AA2     LT AA-sf   Affirmed    AA-sf
X-C 200474AC8     LT BBB-sf  Affirmed    BBB-sf

Classes X-A, X-B and X-C are interest only.

The PEZ certificates may be exchanged for the A-M, B, or C
certificates.

KEY RATING DRIVERS

Decreased Loss Expectations: The affirmations and Outlook revisions
to Stable reflect improved loss expectations on the overall pool
since the last rating action. Fitch's ratings reflect a base case
loss of 4.8%, and a sensitivity scenario where losses could reach
5.5%. The sensitivity applied higher losses to two hotel loans that
have seen significant impact from the ongoing pandemic. Thirteen
loans (31.8% of the pool) are considered Fitch Loans of Concern
(FLOCs), including three loans (4%) in special servicing.

The largest contributor to base case loss is the AHIP Oklahoma City
Portfolio loan (2% of the pool). This FLOC is secured by a
portfolio of four hotels (440 keys) located in Oklahoma; three are
located in Oklahoma City (Holiday Inn Oklahoma City Airport,
Staybridge Suites Oklahoma City Airport, and Holiday Inn Oklahoma
City North Quail Springs), and one in Woodward (Hampton Inn &
Suites Woodward).

Performance declined pre-pandemic with YE 2019 NOI DSCR at only
0.62x, due to the softening of the oil and gas industry, which is a
key demand driver in the Oklahoma market; as well as new supply in
the submarkets. Fitch YE 2020 portfolio cash flow was negative. Two
of the hotels have reportedly received poor franchise inspection
results recently, with one hotel in default on its franchise
agreement. Fitch will continue to monitor the loan.

Fitch's base case loss of 32% assumes a 10% haircut on YE 2019 NOI.
Fitch ran an additional sensitivity on this loan that assumed an
outside loss of approximately 45% based on a 26% haircut to 2019
NOI to account for pandemic impact.

The next largest contributor to base case loss is the specially
serviced DoubleTree Arctic Club loan (1.8%). The loan transferred
to special servicing in June 2020, due to pandemic-related default.
The loan is now 90+ days delinquent; a receiver was appointed in
March 2021. A note sale, as well as other resolution strategies are
currently under consideration by the servicer.

The loan is secured by a 120-key full-service hotel located in
downtown Seattle, WA, proximate to many local attractions. The
landmark property was built in 1916 and last renovated in 2008. The
property suffered a reported 10%+ decline in room revenue in 2019
prior to the pandemic, with 2020 cash flow being negative. The
hotel was closed in March 2020 at the onset of the pandemic and
remains closed due to pandemic-related market conditions. Fitch's
modeled loss of 29% reflects a value per key of $164,000.

The next largest contributor to loss is the Gateway Center Phase II
loan (8.1%), which is secured by a 602,164-sf anchored retail power
center located in Brooklyn, New York. The collateral includes 2,087
parking spaces and three pad sites. The property is located
adjacent to Gateway Brooklyn Phase I, which is anchored by Home
Depot, Target, and BJ's Wholesale. The collateral is 100% leased as
of June 2021 with de minimis tenant roll until 2024. Large
collateral tenants include JC Penney, 20.4% of NRA through 2034),
Shoprite (14.9%, through 2034), and Burlington Coat Factory (12.3%,
through 2030). The servicer reported YE 2020 NOI DSCR was 1.79x for
this full-term interest only loan. No recent tenant sales were
provided by the servicer. Per the servicer, several tenants
received rent relief in 2020, and Fitch continues to monitor the
loan.

Credit Enhancement Improvement/Substantial Defeasance: As of the
October 2021 distribution date, the pool's aggregate principal
balance has been paid down by 9% to $1.295 billion from $1.423
billion at issuance. Realized losses since issuance total $4.5
million, including approximately $811,000 from last year from the
resolution and disposal of a specially serviced loan. Of the
current pool, 13 loans (44.7%) are full-term interest-only, the
rest are amortizing. Nine loans (20.2%) have been defeased. No
performing loans mature or have an ARD prior to 2024 (44.7%) and
2025 (51.4%).

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans/assets. Downgrades to the AAA through
    A- classes are not currently considered likely due to the
    expectation of continued increase in credit enhancement from
    amortization and future dispositions, but may occur with
    continued performance declines should pandemic-impacts
    continue.

-- In addition, classes rated 'AAA' or 'AA' would be downgraded
    should interest shortfalls occur. Downgrades to classes BBB-
    and B are possible should performance of the FLOCs continue to
    decline, should loans susceptible to the coronavirus pandemic
    not stabilize, and/or should further loans transfer to special
    servicing. Downgrades to the CCC class could happen if losses
    occur or become more certain.

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

-- Stable to improved asset performance, coupled with additional
    paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf'
    rated classes are not expected but would likely occur with
    significant improvement in CE and/or defeasance along with
    continued stabilization to the properties impacted by the
    pandemic.

-- Upgrades of the 'BBB-sf' and below rated classes are
    considered unlikely and would be limited based on the
    sensitivity to concentrations or the potential for future
    concentrations. Classes would not be upgraded above 'Asf' if
    there were likelihood of interest shortfalls. An upgrade to
    the 'Bsf' and 'CCCsf' rated classes is not likely unless the
    performance of the remaining pool stabilizes and the senior
    classes pay off.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


COMM 2016-DC2: Fitch Affirms CCC Rating on 2 Tranches
-----------------------------------------------------
Fitch Ratings has affirmed 12 classes and revised four Rating
Outlooks to Stable from Negative of COMM 2016-DC2 Mortgage Trust,
commercial mortgage pass-through certificates. Fitch has also
removed three classes from Rating Watch Negative and assigned them
Negative Outlooks.

    DEBT               RATING           PRIOR
    ----               ------           -----
COMM 2016-DC2 Mortgage Trust

A-4 12594CBE9     LT AAAsf  Affirmed    AAAsf
A-5 12594CBF6     LT AAAsf  Affirmed    AAAsf
A-M 12594CBH2     LT AAAsf  Affirmed    AAAsf
A-SB 12594CBD1    LT AAAsf  Affirmed    AAAsf
B 12594CBJ8       LT AA-sf  Affirmed    AA-sf
C 12594CBK5       LT A-sf   Affirmed    A-sf
D 12594CAL4       LT BBsf   Affirmed    BBsf
E 12594CAN0       LT Bsf    Affirmed    Bsf
F 12594CAQ3       LT CCCsf  Affirmed    BB-sf
X-A 12594CBG4     LT AAAsf  Affirmed    AAAsf
X-C 12594CAC4     LT BBsf   Affirmed    BBsf
X-D 12594CAE0     LT CCCsf  Affirmed    BB-sf

KEY RATING DRIVERS

Improved Loss Expectations: The Negative Watch removals and Rating
Outlook revisions reflect that pool loss expectations have improved
since the prior rating action, due to better than expected 2020
performance on some Fitch Loans of Concern (FLOCs) and larger
loans. One previously specially serviced loan (Intercontinental
Kansas City Hotel; 6.4% of pool) has returned to the master
servicer after the borrower received coronavirus relief and another
specially serviced loan (Comfort Suites Locust Grove; $3.3 million)
was repaid in full in September 2021.

There are 14 FLOCs (33.8%), including four specially serviced loans
(5.6%). Fitch's current ratings incorporate a base case loss of
6.80%. The Negative Outlooks reflect losses that could reach 7.70%
when factoring in additional coronavirus-related stresses and a
potential outsized loss on the Birch Run Premium Outlets loan.

The largest increase in loss since the prior rating action is the
Columbus Park Crossing loan (5.5%), which is secured by a
638,028-sf anchored retail center located in Columbus, GA,
approximately 100 miles from Atlanta. Property performance declined
pre-pandemic due to two major tenant vacancies, and has
deteriorated further during the pandemic. Occupancy was 68.3% as of
June 2021, compared with 68.2% in June 2020, 71.5% in September
2018 and 100% at issuance. Occupancy remains low after collateral
tenants Sears (previously 22.2% of NRA) and Toys R Us (7.7%) closed
in 2017 and 2018, respectively, after filing for bankruptcy. The
increased vacancy has led to declining cash flow, with YE 2020 NOI
7.4% below that at YE 2019 and 15.6% below the issuer's
underwritten NOI. The servicer-reported YTD June 2021 NOI DSCR was
0.76x, down from 1.13x at YE 2020 and 1.22x at YE 2019.

According to the servicer, the borrower is currently negotiating
with multiple tenants to fill the vacancies at the property. Recent
news reports indicate that discount retailer pOpshelf would be
opening a 10,000-sf store at the subject property during the fall
of 2021. Fitch has an outstanding inquiry to the servicer for
details on this new tenant. If and when pOpshelf takes occupancy,
property occupancy is expected to improve to approximately 70%.

Major tenants include AMC Classic Columbus Park (13.2% NRA leased
through September 2023), Haverty Furniture Company (5.2%; December
2025) and Ross Dress for Less (4.7%; January 2023). Upcoming
rollover includes 1.9% of the NRA in 2021, 11.8% in 2022 and 35.2%
in 2023. The 2023 rollover is mostly concentrated in the lease
expirations of AMC Classic Columbus Park and Ross Dress for Less.
Fitch's base case loss of 43% is based on a 15% cap rate and 15%
haircut to the YE 2020 NOI to reflect continued performance
deterioration, upcoming tenant rollover and the lack of progress in
re-leasing the large portion of vacant space at the property.

The next largest increase in loss since the prior rating action is
the Williamsburg Premium Outlets loan (7.4%), which is secured by a
522,133-sf outlet center located in Williamsburg, VA. Collateral
occupancy was 80.2% as of June 2021, compared with 86.2% at YE
2020, 86.3% at YE 2019 and 95% at issuance. Occupancy has declined
due to nine tenants totaling 5.5% of the NRA vacating between June
2020 and June 2021. Major tenants include Food Lion (6.1% NRA;
April 2025), Nike Factory Store (2.6%; January 2026), Polo Ralph
Lauren (2.4%; August 2023) and Coach (1.9%; January 2024). Upcoming
rollover includes 6.8% of the NRA in 2021, 16.1% in 2022 and 11.2%
in 2023. With the exception of Polo Ralph Lauren (2.4% NRA; August
2023), no tenant scheduled to roll through YE 2023 represents
greater than 1.8% of the NRA.

Sales of $341 psf were reported as of YE 2020 for tenants with less
than 20,000 sf, compared with $439 psf at YE 2019, $403 psf at YE
2018 and $414 psf at YE 2017. Food Lion reported sales of $329 psf
at YE 2020, compared with $322 at YE 2019.

Despite declining occupancy, property cash flow has remained stable
throughout the pandemic, and YE 2020 NOI was only 1.9% below YE
2019, with strong NOI DSCR of 2.58x for YE 2020 compared with 2.64x
at YE 2019. Fitch's base case loss of 6% is based on a 10% cap rate
and 20% haircut to the YE 2020 NOI to reflect the declining
occupancy, upcoming lease rollover risk and concerns surrounding
the retail outlet center property type.

Coronavirus Exposure: Loans secured by retail, hotel and
multifamily properties represent 34.9% (20 loans), 13.7% (eight
loans) and 11.0% (nine loans) of the pool, respectively. Fitch's
sensitivity analysis applied an additional stress to the
pre-pandemic cash flows for three hotel loans (7.7%) and one
multifamily loan (0.7%) given significant pandemic-related 2020 NOI
declines. These additional stresses contributed to the Negative
Outlooks.

Alternative Loss Considerations: Fitch applied an additional
sensitivity that assumed an outsized loss of 15% to the maturity
balance of the Birch Run Premium Outlets loan (2.9% of pool),
reflecting refinance concerns, the outlet nature of the property in
a secondary market and potential negative impact from the pandemic;
the Negative Outlooks reflect this analysis. This outsized
sensitivity loss implies a cap rate of approximately 15% on YE 2020
NOI.

The loan, secured by an outlet center in Birch Run, MI
approximately 85 miles north of Detroit, is sponsored by Simon
Property Group. Major tenants include Pottery Barn (4.4% of NRA;
January 2023), V.F. Factory Outlet (3.5%; December 2021) and Old
Navy (2.9%; July 2022). While property NOI has remained relatively
stable since issuance, the property has reported declining
occupancy and faces substantial upcoming lease rollover. Collateral
occupancy was 64.6% as of June 2021, compared with 70.2% at YE
2020, 83% in June 2020, 86.9% at YE 2019 and 87.1% at issuance. The
drop in occupancy was caused by 13 tenants totaling 9.3% of the NRA
vacating between June 2020 and March 2021. Upcoming rollover
includes 17.7% of the NRA in 2021, 19.6% in 2022 and 10.3% in
2023.

Updated tenant sales were requested, but not received as per the
servicer, the borrower is not required to provide sales reports. As
of the most recently available sales report, sales of $355 psf were
reported at YE 2018, compared with $344 psf at issuance for tenants
occupying less than 10,000 sf.

The servicer-reported YE 2020 NOI DSCR was 2.95x, compared with
3.11x at YE 2019. Fitch's base case loss of 4% is based on an 11%
cap rate and a 20% haircut to the YE 2020 NOI to reflect the recent
occupancy decline, significant upcoming rollover and the potential
for further declines in performance.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans. Downgrades to classes A-4, A-5, A-
    SB, A-M and X-A are not likely due to the position in the
    capital structure, but may occur should interest shortfalls
    affect these classes. Downgrades to classes B and C may occur
    should expected losses for the pool increase significantly
    and/or the FLOCs and/or loans susceptible to the coronavirus
    pandemic all suffer losses.

-- Downgrades to classes D, X-C and E are possible should loss
    expectations increase from continued performance decline of
    the FLOCs, loans susceptible to the pandemic not stabilize and
    deteriorate further, additional loans default or transfer to
    special servicing, higher realized losses than expected are
    incurred on the specially serviced loans and/or with an
    outsized loss on the Birch Run Premium Outlets loan. Further
    downgrades to classes F and X-D would occur as losses are
    realized and/or become more certain.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with additional paydown and/or defeasance.
    Upgrades to classes B and C would only occur with significant
    improvement in CE, defeasance and/or performance stabilization
    of FLOCs and other properties affected by the coronavirus
    pandemic. Classes would not be upgraded above 'Asf' if there
    were likelihood of interest shortfalls. Upgrades to classes D,
    X-C and E may occur as the number of FLOCs are reduced,
    properties vulnerable to the pandemic return to pre-pandemic
    levels and there is sufficient CE to the classes.

-- The Negative Outlooks on classes D, X-C and E may be revised
    back to Stable should performance of the retail outlet center
    properties, Williamsburg Premium Outlets and Birch Run Premium
    Outlets, as well as the properties negatively affected by the
    pandemic, stabilize. Upgrades to classes F and X-D are
    unlikely absent significant performance improvement on the
    FLOCs and substantially higher recoveries than expected on the
    specially serviced loans, and there is sufficient CE to the
    classes.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

COMM 2016-DC2 Mortgage Trust has an ESG Relevance Score of '4' for
Exposure to Social Impacts due to the underperformance of the
Columbus Park Crossing loan as a result of a sustained structural
shift in consumer preference to shopping, which has a negative
impact on the credit profile, and is relevant to the rating[s] in
conjunction with other factors.

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


CSMC 2021-NQM7: Fitch Gives Final 'B' Rating to Class B2 Notes
---------------------------------------------------------------
Fitch Ratings assigns final ratings to the CSMC 2021-NQM7
mortgage-backed notes, series 2021-NQM7 (CSMC 2021-NQM7). The notes
are supported by 502 loans with a balance of $334.19 million as of
the cutoff date.

DEBT         RATING              PRIOR
----         ------              -----
CSMC 2021-NQM7

A1      LT AAAsf  New Rating    AAA(EXP)sf
A2      LT AAsf   New Rating    AA(EXP)sf
A3      LT Asf    New Rating    A(EXP)sf
AIOS    LT NRsf   New Rating    NR(EXP)sf
B1      LT BBsf   New Rating    BB(EXP)sf
B2      LT Bsf    New Rating    B(EXP)sf
B3      LT NRsf   New Rating    NR(EXP)sf
M1      LT BBBsf  New Rating    BBB(EXP)sf
PT      LT NRsf   New Rating    NR(EXP)sf
R       LT NRsf   New Rating    NR(EXP)sf
XS      LT NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The notes are mainly secured by nonqualified mortgages (non-QM) as
defined by the Ability to Repay (ATR) Rule. Of the pool, 74%
comprises loans designated as non-QM and 20% are investment
properties not subject to the ATR Rule. The remaining loans
comprise a mix of Safe Harbor Qualified Mortgages (SHQMs) and
Higher Priced Qualified Mortgages (HPQMs).

Credit Suisse (CS) aggregated the loans in the pool from various
originators. Approximately 25% of the pool was originated or
acquired by AmWest Funding Corp. (AmWest), 21% was originated or
acquired by Sprout Mortgage, LLC (Sprout), 12% was originated or
acquired by LendSure Mortgage Corp. (LendSure) and 10% was
originated or acquired by Newfi Lending (NewFi). The remaining
loans were originated or acquired by various entities that each
contributed less than 10% to the pool.

Select Portfolio Servicing, Inc. (SPS), Selene Finance, LP
(Selene), AmWest and Fay Servicing, LLC (Fay) are the named
servicers on the transaction. SPS will service approximately 42% of
the loans, Selene will service approximately 30% of the loans,
AmWest will service approximately 25% of the loans and Fay will
service approximately 2% of the loans. Nationstar Mortgage, LLC
will be the master servicer.

Distributions of principal and interest (P&I) and loss allocations
are based on a modified sequential payment structure.

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 10.1% 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 the 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.

Nonprime Credit Quality (Mixed): The collateral consists of 15-,
30- and 40-year fixed-rate and adjustable-rate loans (30.8% are
adjustable rate); 18.3% of the loans are IO loans, and the
remaining 81.7% are fully amortizing loans. The pool is seasoned at
approximately 12 months in aggregate. The borrowers in this pool
have moderate credit profiles with a 743 weighted average (WA),
Fitch-calculated model FICO and relatively low leverage (a 74.4%
sustainable loan-to-value ratio).

As of the cutoff date, no loans are currently delinquent.
Approximately 12.8% of the pool has experienced a delinquency
within the past 24 months (Fitch did not penalize for delinquencies
related to servicing transfers or borrowers who experienced a
delinquency while on a coronavirus relief plan that began cash
flowing afterwards). A 7% portion of the loans in the pool was
underwritten to foreign national or nonpermanent resident
borrowers. The pool characteristics resemble recent nonprime
collateral and, therefore, the pool was analyzed using Fitch's
nonprime model.

Alternative Documentation Loans (Negative): For approximately 84.5%
of the loans, alternative documentation was used to underwrite the
loans. Of this, 32.2% were underwritten to a 12-month or 24-month
bank statement program to verify income, which is not consistent
with Appendix Q standards or Fitch's view of a full documentation
program. To reflect the additional risk, Fitch increases the
probability of default (PD) by 1.5x on the bank statement loans.
The pool also contains a meaningful concentration of loans that are
underwritten to a written verification of employment product
(17.6%), a debt service coverage ratio or no ratio product (14.6%),
an asset depletion product (6.5%) and a P&L product (11.5%).

Geographic and Loan Count Concentration (Negative): Approximately
63.2% of the pool is concentrated in California. The largest MSA
concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA
(42.0%), followed by the New York-Northern New Jersey-Long Island,
NY-NJ-PA MSA (10.8%) and the San Francisco-Oakland-Fremont, CA MSA
(9.6%). The top three MSAs account for 62.4% of the pool. As a
result, there was a 1.23x PD penalty for geographic concentration.

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

For loans serviced by SPS, AmWest or Fay, advances of delinquent
P&I will be made on the mortgage loans for the first 180 days of
delinquency to the extent such advances are deemed recoverable. For
loans serviced by Selene, advances of delinquent P&I will be made
on the mortgage loans for the first 30 days of delinquency to the
extent such advances are deemed recoverable. The 30-day
stop-advance offers significantly less liquidity as compared to 180
days; however, the limited advancing is expected to lower loss
severities.

If the servicers fail to make required advances, the master
servicer, Nationstar Mortgage LLC (Nationstar), will be obligated
to make such advances. If the master servicer fails to make
advances, the paying agent (Citibank, N.A.) will fund advances.

Excess Cash Flow (Positive): The transaction benefits from a
material amount of excess cash flow that provides benefit to the
rated notes before being paid out to the class XS notes. The excess
is available to pay timely interest and protect against realized
losses. To the extent the collateral WA 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 PD, 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 not ultimately
default. Further, this approach had the largest impact on the
backloaded benchmark scenario, which is also the most probable
outcome, as defaults and liquidations are not likely to be
extensive over the next 12-18 months given the ongoing borrower
relief and eviction moratoriums.

RATING SENSITIVITIES

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

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

-- The defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model projected 41.6% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

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.

SUMMARY OF FINANCIAL ADJUSTMENTS

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 reviewed and used as part of the
rating process for this transaction. 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 or third parties affiliated with
the sponsor engaged SitusAMC (Tier 1), Consolidated Analytics (Tier
3), Clayton (Tier 1), Covius (Tier 2), Digital Risk (Tier 2),
Evolve (Tier 3), EdgeMac (Tier 3), Mission Global (Tier 3) and Opus
(Tier 2) to perform the review. Loans reviewed under this
engagement were given compliance, credit and valuation grades and
assigned initial grades for each subcategory.

DATA ADEQUACY

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

ESG CONSIDERATIONS

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


DT AUTO 2021-4: S&P Assigns Prelim BB (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to DT Auto
Owner Trust 2021-4's asset-backed notes.

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

The preliminary ratings are based on information as of Oct. 28,
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:

-- Credit support of 61.3%, 55.4%, 45.4%, 37.4%, and 34.9% for the
class A, B, C, D, and E notes, respectively, based on stressed
break-even cash flow scenarios (including excess spread). These
credit support levels provide approximately 2.35x, 2.10x, 1.70x,
1.37x, and 1.25x coverage of S&P's expected net loss range of
25.25%-26.25% for the class A, B, C, D, and E notes, respectively.
Credit enhancement also covers cumulative gross losses of
approximately 87.5%, 79.2%, 69.8%, 57.6%, and 53.6%, respectively,
assuming a 30% recovery rate for the class A and B notes, and a 35%
recovery rate for the class C, D, and E notes.

-- The timely interest and principal payments by the legal final
maturity dates made under stressed cash flow modeling scenarios
that S&P deems appropriate for the assigned preliminary ratings.
-- The expectation that under a moderate ('BBB') stress scenario
(1.37x S&P's expected loss level), all else being equal, its
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in S&P Global Rating
Definitions.

-- The collateral characteristics of the subprime pool being
securitized, including a high percentage (approximately 74%) of
obligors with higher payment frequencies (more than once a month),
which S&P expects will result in a somewhat faster paydown on the
pool.

-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.

  Preliminary Ratings Assigned

  DT Auto Owner Trust 2021-4

  Class A, $196.8 million: AAA (sf)
  Class B, $46.0 million: AA (sf)
  Class C, $53.2 million: A (sf)
  Class D, $54.8 million: BBB (sf)
  Class E, $16.0 million: BB (sf)



ELEVATION CLO 2021-14: Moody's Assigns Ba3 Rating to Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Elevation CLO 2021-14, Ltd. (the "Issuer" or
"Elevation 2021-14").

Moody's rating action is as follows:

US$3,750,000 Class X Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$25,000,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$53,250,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned Aa2 (sf)

US$25,000,000 Class C Secured Deferrable Floating Rate Notes due
2034, Assigned A2 (sf)

US$21,750,000 Class D-1 Secured Deferrable Floating Rate Notes due
2034, Assigned Baa3 (sf)

US$15,000,000 Class D-2 Secured Deferrable Floating Rate Notes due
2034, Assigned Ba1 (sf)

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

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

RATINGS RATIONALE

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

Elevation 2021-14 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 second lien loans and unsecured
loans. The portfolio is approximately 92% ramped as of the closing
date.

ArrowMark Colorado Holdings 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): 2930

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


EXETER AUTOMOBILE 2020-3: S&P Raises Cl. F Notes Rating to BB (sf)
------------------------------------------------------------------
S&P Global Ratings raised its ratings on five classes of notes and
affirmed its rating on one class from the Exeter Automobile
Receivables Trust 2020-3 transaction.

S&P said, "The rating actions reflect our view of the transaction's
collateral performance to date, expected future collateral
performance, structures, and available credit enhancement. In
addition, we incorporated secondary credit factors, including
credit stability, payment priorities under various scenarios, and
sector- and issuer-specific analysis, including our most recent
macroeconomic outlook that incorporates a baseline forecast for
U.S. GDP and unemployment. Based on these factors, we believe the
notes' creditworthiness is consistent with the raised ratings.

"The transaction is performing better than our initial cumulative
net loss (CNL) expectation, and we have revised our loss
expectation accordingly.

  Table 1

  Collateral Performance (%)(i)

                       Pool   Current    60+ day
  Series      Mo.    factor       CNL    delinq.
  2020-3       13     65.93      3.04       5.44

(i)As of the October 2021 distribution date.
Mo.--Month.
Delinq.--Delinquencies.
CNL--Cumulative net loss.

  Table 2

  CNL Expectations (%)

                Original            Revised
                lifetime           lifetime
  Series        CNL exp.           CNL exp.
  2020-3     23.50-24.50        18.75-19.75

CNL exp.--Cumulative net loss expectations.
N/A--Not applicable.

The transaction contains a sequential principal payment structure
in which the notes are paid principal by seniority. The transaction
also has credit enhancement in the form of a non-amortizing reserve
account, overcollateralization, subordination for the higher-rated
tranches, and excess spread. The overcollateralization and reserve
account for the transaction is currently at the specified target or
floor, and each class' credit support continues to increase as a
percentage of the amortizing collateral balance.

  Table 3

  Hard Credit Support (%)(i)
                             Total hard    Current total hard
                         credit support        credit support
  Series      Class     at issuance (ii)    (% of current)(ii)
  2020-3      A                   57.20                 96.03
  2020-3      B                   44.20                 77.06
  2020-3      C                   29.20                 55.17
  2020-3      D                   19.60                 41.17
  2020-3      E                    9.80                 26.87
  2020-3      F                    5.80                 21.03

(i)As of the October 2021 distribution date.

(ii)Calculated as a percentage of the total gross receivable pool
balance, which consists of a reserve account,
overcollateralization, and, if applicable, subordination. Excess
spread is excluded from the hard credit support and can also
provide additional enhancement.

S&P said, "We incorporated an analysis of the current hard credit
enhancement compared to the remaining expected cumulative net loss
for those classes where hard credit enhancement alone without
credit to the expected excess spread was sufficient, in our view,
to upgrade the notes to or affirm the notes at 'AAA (sf)'. For
other classes, we incorporated a cash flow analysis to assess the
loss coverage level and liquidity risks related to payment of
timely interest and full principal by legal final maturity, giving
credit to stressed excess spread. Our various cash flow scenarios
included forward-looking assumptions on recoveries, timing of
losses, and voluntary absolute prepayment speeds that we believe
are appropriate, given the transaction's performance to date. In
addition to our break-even cash flow analysis, we also conducted a
base-case analysis to assess the expected loss coverage levels over
time and sensitivity analyses for the series to determine the
impact that a moderate ('BBB') stress scenario would have on our
ratings if losses began trending higher than our revised loss
expectation.

"In our view, the results demonstrated that all of the classes have
adequate credit enhancement at the current rating levels. We will
continue to monitor the performance of the outstanding transactions
to ensure that the credit enhancement remains sufficient, in our
view, to cover our CNL expectations under our stress scenarios for
each of the rated classes."

  RATINGS RAISED

  Exeter Automobile Receivables Trust

                               Rating
  Series        Class     To            From
  2020-3        B         AAA (sf)      AA (sf)
  2020-3        C         AA (sf)       A (sf)
  2020-3        D         A (sf)        BBB (sf)
  2020-3        E         BBB+ (sf)     BB (sf)
  2020-3        F         BB (sf)       B (sf)

  RATING AFFIRMED

  Exeter Automobile Receivables Trust

  Series        Class     Rating
  2020-3        A         AAA (sf)



FREDDIE MAC 2021-3: DBRS Gives Prov. B(low) Rating on Class M Certs
-------------------------------------------------------------------
DBRS, Inc. assigned a provisional rating to the following
Mortgage-Backed Security, Series 2021-3 issued by Freddie Mac
Seasoned Credit Risk Transfer Trust, Series 2021-3:

-- $18.6 million Class M at B (low) (sf)

DBRS Morningstar did not rate the other classes in the Trust.

This transaction is a securitization of a portfolio of seasoned,
reperforming first-lien residential mortgages funded by the
issuance of the certificates, which are backed by 3,738 loans with
a total principal balance of $564,029,507 as of the Cut-Off Date.

Freddie Mac either purchased the mortgage loans from securitized
Freddie Mac Participation Certificates or Uniform Mortgage Backed
Securities, or retained them in whole-loan form since their
acquisition. The loans are currently held in Freddie Mac's retained
portfolio and will be deposited into the Trust on the Closing
Date.

The loans are approximately 153 months seasoned. Approximately
85.6% have been modified under the Government-Sponsored Enterprise
(GSE) Home Affordable Modification Program (HAMP), GSE non-HAMP
modification program, or under or subject to a Freddie Mac payment
deferral program (PDP). The remaining loans (14.4%) were never
modified. Within the pool, 664 mortgages have forborne principal
amounts as a result of modification, which equates to 5.4% of the
total unpaid principal balance as of the Cut-Off Date. For 44.3% of
the modified loans, the modifications happened more than two years
ago.

The loans are all current as of the Cut-Off Date. Furthermore,
70.5% and 14.0% of the mortgage loans have been zero times 30 days
delinquent (0 x 30) for at least the past 12 and 24 months,
respectively, under the Mortgage Bankers Association (MBA)
delinquency methods. DBRS Morningstar assumed all loans within the
pool are exempt from the qualified mortgage rules because of their
eligibility to be purchased by Freddie Mac.

NewRez LLC, d/b/a Shellpoint Mortgage Servicing (SMS), and
Community Loan Servicing (CLS) will service the mortgage loans.
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicers; however, the Servicers are
obligated to advance to third parties any amounts necessary for the
preservation of mortgaged properties or real estate owned (REO)
properties acquired by the Trust through foreclosure or a loss
mitigation process.

Freddie Mac will serve as the Sponsor, Seller, and Trustee of the
transaction as well as the Guarantor of the senior certificates
(i.e., Class MAU, MAW, MA, MA-IO, MB, MBU, MBW, MB-IO, MT, MT-IO,
MTU, MTW, MV, MZ, TAU, TAW, TAY, TA, TA-IO, TBU, TBW, TBY, TB,
TB-IO, TT, TT-IO, TTU, TTW, TTY, M5AU, M5AW, M5AY, M55A, M5AI,
M5BU, M5BW, M5BY, M55B, M5BI, M55T, M5TI, M5TU, M5TW, and M5TY
certificates). Wilmington Trust, National Association (Wilmington
Trust) will serve as the Trust Agent. Wells Fargo Bank, N.A. will
serve as the Custodian for the Trust. U.S. Bank National
Association will serve as the Securities Administrator for the
Trust and will also initially act as the Paying Agent, Certificate
Registrar, Transfer Agent, and Authenticating Agent.

Freddie Mac, as the Seller, will make certain representations and
warranties (R&W) with respect to the mortgage loans. It will be the
only party from which the Trust may seek indemnification (or, in
certain cases, a repurchase) as a result of a breach of R&Ws. If a
breach review trigger occurs during the warranty period, the Trust
Agent, Wilmington Trust, will be responsible for the enforcement of
R&Ws. The warranty period will be effective only through October
13, 2024 (approximately three years from the Closing Date), for
substantially all R&Ws other than the real estate mortgage
investment conduit (REMIC) R&W and the R&W related mortgage loans
whose high-cost regulatory compliance was unable to be tested,
which will not expire.

Furthermore, on the Closing Date, as a result of Hurricane Ida,
Freddie Mac, as Trustee, will direct the Servicers to inspect the
mortgaged properties that are in major disaster areas and where
FEMA has authorized individual assistance through Closing. The
Servicers will have 30 days from the closing date to complete such
inspection or as soon as practicable. Within 10 days of receiving
an inspection report from the Servicers, the Trustee, in its sole
discretion, will determine whether the related mortgaged property
was damaged and whether such damage (i) materially affects in an
adverse manner the value of such mortgaged property as security for
the related mortgage loan or the use for which the premises were
intended or (ii) would render the entire mortgaged property
uninhabitable. If in the Trustee's sole discretion, the mortgaged
property is so damaged, the Seller will repurchase the related
mortgage loan within 120 days. The costs and expenses associated
with the completion of the inspections will be reimbursable to the
Servicers as servicing advances.

The mortgage loans will be divided into three loan groups: Group M,
Group M55, and Group T. The Group M loans (73.9% of the pool) and
Group M55 loans (9.2% of the pool) were subject to either
fixed-rate modifications or step-rate modifications that have
reached their final step rates and, as of the Cut-Off Date, the
borrowers have made at least one payment after such mortgage loans
reached their respective final step rates. Each Group M loan has a
mortgage interest rate less than or equal to 5.5% and has no
forbearance, or may have forbearance and any mortgage interest
rate. Each Group M55 loan has a mortgage interest rate higher than
5.5%. Group T loans (16.9% of the pool) were never modified or were
subject to a PDP.

Freddie Mac will guarantee principal and interest (P&I) on the
senior certificates (the Guaranteed Certificates). The Guaranteed
Certificates will be primarily backed by collateral from each
group. The remaining certificates, including the subordinate,
nonguaranteed interest-only (IO) mortgage insurance and residual
certificates, will be cross-collateralized among the three groups.

The transaction employs a pro rata pay cash flow structure among
the senior group certificates with a sequential pay feature among
the subordinate certificates as described further in the Priority
of Payments section of the related Presale Report. Certain
principal proceeds can be used to cover interest shortfalls on the
rated Class M certificates. Senior classes, other than Class A-IO,
benefit from P&I payments that are guaranteed by the Guarantor,
Freddie Mac; however, such guaranteed amounts, if paid, will be
reimbursed to Freddie Mac from the P&I collections prior to any
allocation to the subordinate certificates. The senior principal
distribution amounts vary subject to the satisfaction of a
step-down test. Realized losses are allocated reverse
sequentially.

In this transaction, in addition to the servicing fee, the trust
agent fee, the securities administrator fee, the custodian fee, the
independent reviewer fees, and the guarantor oversight fee, a
supplemental guarantor oversight fee of 20 basis points will also
be deducted from the Interest Remittance Amount before any
distribution of interest payments to senior and subordinate
certificates.

CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT

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

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

As of the Cut-Off Date, there are 20 loans that are subject to an
active coronavirus-related forbearance plan with the Servicers.

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



FREDDIE MAC 2021-DNA6: S&P Assigns BB- (sf) Rating on B-1B Notes
----------------------------------------------------------------
S&P Global Ratings assigned its 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 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.

  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.



FS RIALTO 2021-FL3: DBRS Gives Prov. B(low) Rating on Class G Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by FS Rialto 2021-FL3 Issuer, Ltd:

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

All trends are Stable.

Coronavirus Overview

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

The DBRS Morningstar Sovereign group releases baseline
macroeconomic scenarios for rated sovereigns.

The initial collateral consists of 26 short-term, floating-rate
mortgage assets with an aggregate cutoff date balance of $1.1
billion secured by 68 properties. The aggregate unfunded future
funding commitment of the future funding participations as of the
cutoff date is approximately $95.1 million. The holder of the
future funding companion participations will be FS CREIT Finance
Holdings LLC (the Seller), a wholly-owned subsidiary of FS Credit
REIT, or an affiliate of the Seller. The holder of each future
funding participation has full responsibility to fund the future
funding companion participations. The collateral pool for the
transaction is managed with a 30-month reinvestment period, which
includes the Delayed Close Extension Period. During this period,
the Collateral Manager will be permitted to acquire Reinvestment
Collateral Interests, which may include Funded Companion
Participations, subject to the satisfaction of the Eligibility
Criteria and the Acquisition Criteria. The Acquisition Criteria
requires that, among other things, the Note Protection Tests are
satisfied; no event of default is continuing; and Rialto Capital
Management, LLC (Rialto) or one of its affiliates acts as the
sub-advisor to the Collateral Manager. The Eligibility Criteria has
a minimum debt service coverage ratio (DSCR), loan-to-value ratio
(LTV), 19.5 Herfindahl score, and property-type limitations, among
other items. Of the 26 loans, one (Paradise Plaza, Prospectus ID#2;
representing a total initial pool balance of 6.6%) is a
delayed-close loan, unclosed as of October 14, 2021. The Issuer has
90 days after closing to acquire the delayed-close interest. If the
Delayed Close Collateral Interest is not acquired within 90 days of
the closing date, the Issuer can use the allocated balance of the
delayed-close loan to acquire Reinvestment Collateral Interests
during the Delayed Close Extension Period. The transaction
stipulates that any acquisition of any Funded Companion
Participation over $1 million and any Reinvestment Collateral
Interest will need a rating agency confirmation regardless of
balance size. The loans are mostly secured by cash flowing assets,
many of which are in a period of transition with plans to stabilize
and improve the asset value. The transaction will have a
sequential-pay structure.

Of the 68 properties, 58 are multifamily assets (83.6% of the
mortgage asset cutoff date balance). No other property type exceeds
6.6% of the mortgage asset cutoff date balance. The loans are
mostly secured by cash flowing assets, most of which are in a
period of transition with plans to stabilize and improve the asset
value. Nine loans are whole loans and the other 17 are
participations with companion participations that have remaining
future funding commitments totaling $95.1 million. The future
funding for each loan is generally to be used for capital
expenditures to renovate the property or build out space for new
tenants. All of the loans in the pool have floating interest rates
initially indexed to Libor and are interest-only (IO) through their
fully extended loan term. To determine a stressed interest rate
over the loan term, DBRS Morningstar used the one-month Libor
index, which was the lower of DBRS Morningstar's stressed rates
that corresponded to the remaining fully extended term of the loans
and the strike price of the interest rate cap with the respective
contractual loan spread added. When the debt service payments were
measured against the DBRS Morningstar As-Is Net Cash Flow (NCF), 11
loans, comprising 47.9% of the initial pool balance, had a DBRS
Morningstar As-Is DSCR of 1.00 times (x) or below, a threshold
indicative of default risk. However, the DBRS Morningstar
Stabilized DSCR of only two loans, comprising 6.8% of the initial
pool balance, was 1.00x or below, which is indicative of elevated
refinance risk. The properties are often transitioning with
potential upside in cash flow; however, DBRS Morningstar does not
give full credit to the stabilization if there are no holdbacks or
if the other loan structural features are insufficient to support
such treatment. Furthermore, even if the structure is acceptable,
DBRS Morningstar generally does not assume the assets will
stabilize above market levels.

The securitization sponsor, FS Credit REIT, is an experienced
commercial real estate collateralized loan obligation issuer and
collateral manager. FS Credit REIT is externally managed by FS Real
Estate Advisor, LLC, an affiliate of Franklin Square Holdings, L.P.
(FS Investments) and FS Credit REIT Sub-Advisor (Rialto). Founded
in 2007, FS Investments had $25 billion in total assets under
management as of June 30, 2021. Rialto houses a vertically
integrated operating platform and has $7.8 billion in total current
assets under management.

FS Rialto 2021-FL3 Holder, LLC, a subsidiary of the Seller, will
acquire the Class F Notes, the Class G Notes, and the Preferred
Shares, representing the most subordinate 18.1% of the transaction
by principal balance.

Four loans, comprising 20.3% of the total pool balance, are secured
by properties DBRS Morningstar deemed to be Above Average in
quality, with three loans, totaling 12.8% of the total pool
balance, secured by properties identified as Average + in quality.
Equally importantly, no loans were secured by a property DBRS
Morningstar deemed to be Below Average, and only four loans,
comprising 9.6% of the total pool balance, are secured by
properties DBRS Morningstar deemed to be Average –.

As no loans in the pool were originated prior to the onset of the
coronavirus pandemic, the weighted-average remaining fully extended
term is 58 months, which gives the Sponsor enough time to execute
its business plans without risk of imminent maturity. In addition,
the appraisal and financial data provided are reflective of
conditions after the onset of the pandemic.

Eighteen loans, representing 62.5% of the pool balance, represent
acquisition financing. Acquisition financing generally requires the
respective sponsor(s) to contribute material cash equity as a
source of funding in conjunction with the mortgage loan, resulting
in a higher sponsor cost basis in the underlying collateral, and
aligns the financial interests between the Sponsor and lender.

The DBRS Morningstar Business Plan Scores (BPS) for loans DBRS
Morningstar analyzed range between 1.30 and 2.38, with an average
of 1.96. Higher DBRS Morningstar BPS indicate more risk in the
Sponsor's business plan. DBRS Morningstar considered the
anticipated lift at the properties from current performance,
planned property improvements, sponsor experience, projected time
horizon, and the business plan's overall complexity. Compared with
similar mixed-property-type transactions, the subject has a low
average BPS, which is indicative of lower risk.

DBRS Morningstar analyzed the loans to a stabilized cash flow that
is, in some instances, above the in-place cash flow. It is possible
that the Sponsor will not successfully execute its business plans
and that the higher stabilized cash flow will not materialize
during the loan term, particularly with the ongoing coronavirus
pandemic and its impact on the overall economy. The Sponsor's
failure to execute the business plans could result in a term
default or the inability to refinance the fully funded loan
balance. DBRS Morningstar sampled a large portion of the loans,
representing 76.5% of the pool cutoff date balance. DBRS
Morningstar made relatively conservative stabilization assumptions
and, in each instance, considered the business plans to be rational
and the loan structure to be sufficient to execute such plans. In
addition, DBRS Morningstar analyzes loss given defaults based on
the as-is credit metrics, assuming the loan is fully funded with no
NCF or value upside.

The deal is concentrated by property type with 23 loans,
representing 83.6% of the mortgage loan cutoff date balance,
secured by multifamily properties. Multifamily properties benefit
from staggered lease rollover and generally have low expense ratios
compared with other property types. While revenue is quick to
decline in a downturn because of the short-term nature of the
leases, it is also quick to respond when the market improves.
Furthermore, the average expected loss of the loans secured by
multifamily properties is roughly 30% lower than the average
expected loss of the overall pool. DBRS Morningstar sampled 76.5%
of the pool, representing 71.9% of the total multifamily loan
cutoff balance, thereby providing comfort for the DBRS Morningstar
NCF.

All loans have floating interest rates and are IO during the fully
extended loan term. Initial loan terms range from 24 months to 60
months, creating interest rate risk. The borrowers of all 26 loans
have purchased Libor rate caps that have a range of 0.5% to 3.00%
to protect against a rise in interest rates over the term of the
loan. All loans are short term and, even with extension options,
have a fully extended maximum loan term of six years. Additionally,
all loans have extension options, and, in order to qualify for
these options, the loans must meet minimum DSCR and LTV
requirements.

DBRS Morningstar conducted property tours on only 12 properties,
representing 14.9% of the initial pool, because of health and
safety constraints associated with the ongoing coronavirus
pandemic. As a result, DBRS Morningstar relied more heavily on
third-party reports, online data sources, and information provided
by the Issuer to determine the overall DBRS Morningstar property
quality assigned to each loan. Recent third-party reports were
provided for all loans and contained property quality commentary
and photos.

The underlying mortgages for the transaction will pay the floating
rate, which presents potential benchmark transition risks as the
deadline approaches for the elimination of Libor. The transaction
documents provide an alternative benchmark rate for the transition,
which is primarily contemplated to be either Term Secured Overnight
Financing Rate (SOFR) plus the applicable Alternative Rate Spread
Adjustment or Compounded SOFR plus the Alternative Rate Spread
Adjustment.

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



GENERATE CLO 9: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Generate CLO
9 Ltd./Octagon 57 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 Generate Advisors LLC.

The preliminary ratings are based on information as of Oct. 28,
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

  Generate CLO 9 Ltd./Generate CLO 9 LLC

  Class A, $283.50 million: AAA (sf)
  Class B-1, $35.00 million: AA (sf)
  Class B-2, $23.50 million: AA (sf)
  Class C (deferrable), $27.00 million: A (sf)
  Class D (deferrable), $27.00 million: BBB- (sf)
  Class E (deferrable), $15.75 million: BB- (sf)
  Subordinated notes, $43.30 million: Not rated



GS MORTGAGE 2021-HP1: Moody's Assigns B3 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 38
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust (GSMBS) 2021-HP1. The ratings
range from Aaa (sf) to 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, Definitive Rating Assigned Aaa (sf)

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

Cl. A-3, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

Cl. A-9, Definitive Rating Assigned Aaa (sf)

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

Cl. A-10, Definitive Rating Assigned Aaa (sf)

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

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

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

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

Cl. A-13, Definitive Rating Assigned Aaa (sf)

Cl. A-14, Definitive Rating Assigned Aaa (sf)

Cl. A-15, Definitive Rating Assigned Aa1 (sf)

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

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

Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf)

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

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

Cl. A-X-6*, Definitive Rating Assigned Aa1 (sf)

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

Cl. B, Definitive Rating Assigned Baa1 (sf)

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

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

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

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

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

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

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

Cl. B-3, Definitive Rating Assigned Baa3 (sf)

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

Cl. B-3-X*, Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Definitive Rating Assigned B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
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. We 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.


GS MORTGAGE 2021-IP: DBRS Finalizes BB Rating on Class F Certs
--------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2021-IP issued by GS Mortgage Securities Corporation Trust 2021-IP
(GSMS 2021-IP or the Trust):

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

All trends are Stable.

The GSMS 2021-IP single-asset/single-borrower transaction is
collateralized by the borrower's fee-simple and leasehold interest
in the nondepartment store component of International Plaza, a 1.2
million-square-foot (sf; 736,997 collateral sf) Class A
super-regional mall approximately four miles west of downtown
Tampa, Florida. Constructed in 2001, the collateral originally
opened as a traditional, moderate shopping mall, but its tenant
base has evolved over the past two decades and now features a large
profile of luxury retailers such as Louis Vuitton, Gucci, and
Tesla, among others. The property is anchored by a Neiman Marcus,
Nordstrom, and Dillard's, all of which own their own stores and do
not serve as collateral for this transaction. While the
noncollateral anchor tenants are not required to report sales,
management reported that 2021 year-to-date sales have returned or
exceeded those of 2019 for Nordstrom and Dillard's. The property
features two additional anchor boxes on the first and second floors
of the same extension of the building. The first-floor space serves
as collateral and is primarily occupied by Lifetime Athletic, while
the second floor space was formerly occupied by Lord & Taylor. This
space was divided up and 20,001 sf was backfilled by Ballard
Designs, but there is a remaining 49,924 sf of the space that has
sat vacant for approximately 10 years and is currently used as
storage space. The sponsor is open to exploring an alternative use
for the space, such as converting it to a coworking facility, but
has no immediate intentions of doing so. The appraisal considers
the space as permanent vacancy, and the space has therefore been
excluded from the collateral square footage. Goldman Sachs Bank USA
originated the mortgage loan to Tampa Westshore Associates Limited
Partnership, which is indirectly owned and controlled by the
Taubman Realty Group LLC, Simon Property Group, L.P., Nuveen, and
the Teachers Insurance and Annuity Association of America-College
Retirement Equities Fund.

International Plaza is well located with regard to international
and domestic tourist demand as it is positioned adjacent to the
Tampa International Airport and four miles west of Port Tampa Bay,
which is the primary port for cruise ships in Tampa. According to a
study conducted by Neilsen, tourists account for approximately
46.0% of shoppers and 47.0% of sales at the subject. Additionally,
the property is well located with regard to local demand throughout
the greater Tampa area, benefiting from good connectivity and
accessibility via a plethora of surrounding transit options and
regional thoroughfares. As of August 31, 2021, the collateral was
99.0% leased and exhibited an occupancy excluding temporary in-line
stores (TILS) of 94.0%. The collateral has demonstrated generally
consistent occupancy rates in recent years, with an average annual
occupancy rate excluding TILS of 93.2% achieved between 2018 and
2020. Further, the overall property was (including the
noncollateral Neiman Marcus, Nordstrom, and Dillard's anchors)
99.4% leased. However, when including both the noncollateral
anchors and the vacant space formerly occupied by Lord & Taylor,
the overall property is approximately 95.5% leased and 92.6%
occupied, excluding TILS. The mall achieved strong overall sales of
$1,290 psf and total sales, excluding Apple and Tesla, of $789 psf
in 2019. Predictably, overall sales and total sales, excluding
Apple and Tesla, declined approximately 21.0% and 14.6%,
respectively, between 2019 and 2020, largely a result of ongoing
business closures and declining macroeconomic trends brought on by
the onset of the Coronavirus Disease (COVID-19) pandemic.
Nonetheless, the collateral has maintained monthly rent collections
above 90% throughout the pandemic and stabilized at approximately
95.0% as of June 8, 2021. Additionally, over the trailing 12 months
(T-12) ended May 31, 2021, the mall achieved total sales of $1,004
per sf (psf) and $820 psf when excluding Apple and Tesla. Although
overall sales over the T-12 period are down from peak 2019 levels,
total in-line sales, when excluding Apple and Tesla, have exceeded
peak 2019 levels, evidencing a recovery from hardships brought on
by the ongoing coronavirus pandemic. The in-line tenant average
occupancy cost of 12.1% and 14.4%, when excluding Apple and Tesla,
appears low, but there are a number of individual tenants that have
not recovered to prepandemic sales figures.

Considering the collateral's favorable location, generally
consistent occupancy trends, evidence of recovering in-line sales,
strong sponsorship, and ongoing transformation, DBRS Morningstar
has a generally positive view of the credit characteristics of the
collateral. Nonetheless, like most regional malls, the collateral
will likely continue to contend with secular headwinds facing
brick-and-mortar retailers in the long run, as e-commerce continues
to gain traction globally. Investors should carefully consider the
risks associated with investing in securities backed by regional
mall properties; DBRS Morningstar published research on November
17, 2020, that highlighted that regional mall delinquencies were
approaching $10 billion with an overall delinquency rate of 18.7%.


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



GS MORTGAGE 2021-PJ10: DBRS Gives Prov. B Rating on Class B5 Certs
------------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2021-PJ10 to be issued
by GS Mortgage-Backed Securities Trust 2021-PJ10:

-- $651.8 million Class A-1 at AAA (sf)
-- $651.8 million Class A-2 at AAA (sf)
-- $82.2 million Class A-3 at AAA (sf)
-- $82.2 million Class A-4 at AAA (sf)
-- $391.1 million Class A-5 at AAA (sf)
-- $391.1 million Class A-6 at AAA (sf)
-- $488.9 million Class A-7 at AAA (sf)
-- $488.9 million Class A-7-X at AAA (sf)
-- $488.9 million Class A-8 at AAA (sf)
-- $97.8 million Class A-9 at AAA (sf)
-- $97.8 million Class A-10 at AAA (sf)
-- $260.7 million Class A-11 at AAA (sf)
-- $260.7 million Class A-11-X at AAA (sf)
-- $260.7 million Class A-12 at AAA (sf)
-- $163.0 million Class A-13 at AAA (sf)
-- $163.0 million Class A-14 at AAA (sf)
-- $43.5 million Class A-15 at AAA (sf)
-- $43.5 million Class A-15-X at AAA (sf)
-- $43.5 million Class A-16 at AAA (sf)
-- $43.5 million Class A-17 at AAA (sf)
-- $43.5 million Class A-17-X at AAA (sf)
-- $43.5 million Class A-18 at AAA (sf)
-- $43.5 million Class A-18-X at AAA (sf)
-- $695.3 million Class A-19 at AAA (sf)
-- $695.3 million Class A-20 at AAA (sf)
-- $82.2 million Class A-21 at AAA (sf)
-- $777.5 million Class A-X-1 at AAA (sf)
-- $651.8 million Class A-X-2 at AAA (sf)
-- $82.2 million Class A-X-3 at AAA (sf)
-- $82.2 million Class A-X-4 at AAA (sf)
-- $391.1 million Class A-X-5 at AAA (sf)
-- $97.8 million Class A-X-9 at AAA (sf)
-- $163.0 million Class A-X-13 at AAA (sf)
-- $11.5 million Class B-1 at AA (sf)
-- $11.0 million Class B-2 at A (sf)
-- $8.2 million Class B-3 at BBB (sf)
-- $3.7 million Class B-4 at BB (sf)
-- $1.2 million Class B-5 at B (sf)

Classes A-7-X, A-11-X, A-15-X, A-17-X, A-18-X, A-X-1, A-X-2, A-X-3,
A-X-4, A-X-5, A-X-9, and A-X-13 are interest-only certificates. The
class balances represent notional amounts.

Classes A-1, A-2, A-4, A-6, A-7, A-7-X, A-8, A-10, A-11, A-11-X,
A-12, A-14, A-16, A-17, A-17-X, A-18, A-18-X, A-19, A-20, A-21, and
A-X-2 are exchangeable certificates. These classes can be exchanged
for combinations of exchange certificates as specified in the
offering documents.

Classes A-1, A-2, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13,
A-14, A-15, A-16, A-17, A-18, A-19, and A-20 are super-senior
certificates. These classes benefit from additional protection from
the senior support certificate (Classes A-3, A-4, and A-21) with
respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 4.95% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.55%, 2.20%,
1.20%, 0.75%, and 0.60% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 805 loans with a total principal
balance of $818,009,378 as of the Cut-Off Date (October 1, 2021).

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average loan
age of two months. Approximately 96.5% of the pool are traditional,
nonagency, prime jumbo mortgage loans. The remaining 3.5% of the
pool are conforming, high-balance mortgage loans that were
underwritten using an automated underwriting system designated by
Fannie Mae or Freddie Mac and were eligible for purchase by such
agencies. Details on the underwriting of conforming loans can be
found in the Key Probability of Default Drivers section of the
related presale report.

The originators for the mortgage pool are United Wholesale
Mortgage, LLC (UWM; 35.2%) and various other originators, each
comprising less than 10.0% of the mortgage loans. Goldman Sachs
Mortgage Company (GSMC) is the Sponsor and MTGLQ Investors, L.P.;
MCLP Asset Company, Inc.; and GSMC are the Mortgage Loan Sellers of
the transaction. For certain originators, the related loans were
sold to MAXEX Clearing LLC (4.6%) and were subsequently acquired by
the Mortgage Loan Seller.

NewRez LLC doing business as Shellpoint Mortgage Servicing and UWM
will service the mortgage loans within the pool. Cenlar FSB will
act as subservicer for the loans serviced by UWM. Wells Fargo Bank,
N.A. (rated AA with a Negative trend by DBRS Morningstar) will act
as the Master Servicer, Securities Administrator, Certificate
Registrar, Rule 17g-5 Information Provider, and Custodian. U.S.
Bank Trust National Association will serve as Delaware Trustee.
Pentalpha Surveillance LLC will serve as the representations and
warranties (R&W) File Reviewer.

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

No loans in this transaction, as permitted by the Coronavirus Aid,
Relief, and Economic Security Act, signed into law on March 27,
2020, had been granted forbearance plans because the borrowers
reported financial hardship related to the Coronavirus Disease
(COVID-19) pandemic.

Coronavirus Impact

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

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

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



GS MORTGAGE 2021-PJ10: Moody's Assigns B3 Rating to Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 38
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust 2021-PJ10. The ratings range
from Aaa to B3.

GS Mortgage-Backed Securities Trust 2021-PJ10 (GSMBS 2021-PJ10) is
the tenth prime jumbo transaction in 2021 issued by Goldman Sachs
Mortgage Company (GSMC), the sponsor and the primary mortgage loan
seller. Overall, pool strengths include the high credit quality of
the underlying borrowers, indicated by high FICO scores, strong
reserves for prime jumbo borrowers, mortgage loans with fixed
interest rates and no interest-only loans. As of the cut-off date,
none of the mortgage loans are subject to a COVID-19 related
forbearance plan.

GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA and
Goldman Sachs. The mortgage loans for this transaction were
acquired by GSMC, the sponsor and the primary mortgage loan seller
(98.3% by UPB), and MCLP Asset Company, Inc. (MCLP) (1.7% by UPB),
the mortgage loan sellers, from certain of the originators or the
aggregator, MAXEX Clearing LLC (which aggregated 4.6% of the
mortgage loans by UPB).

NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a
Shellpoint Mortgage Servicing (Shellpoint) will service 90.8% and
United Wholesale Mortgage, LLC (UWM) will service 9.2% of the pool.
Wells Fargo Bank, N.A. (Wells Fargo, long term deposit, Aa1; long
term debt Aa2) will be the master servicer and securities
administrator. U.S. Bank Trust National Association will be the
trustee. Pentalpha Surveillance LLC will be the representations and
warranties (R&W) breach reviewer.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, Moody's
adjusted its losses based on qualitative attributes, including
origination quality, the strength of the R&W framework and
third-party review (TPR) results.

Distributions of principal and interest and loss allocations are
based on a typical shifting interest structure with a five-year
lockout period that benefits from a senior and subordination floor.
Moody's coded the cash flow to each of the certificate classes
using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: GS Mortgage-Backed Securities Trust 2021-PJ10

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aa1 (sf)

Cl. A-4, Assigned Aa1 (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

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

Cl. A-8, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. A-11, Assigned Aaa (sf)

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

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aaa (sf)

Cl. A-15, Assigned Aaa (sf)

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

Cl. A-16, Assigned Aaa (sf)

Cl. A-17, Assigned Aaa (sf)

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

Cl. A-18, Assigned Aaa (sf)

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

Cl. A-19, Assigned Aaa (sf)

Cl. A-20, Assigned Aaa (sf)

Cl. A-21, Assigned Aa1 (sf)

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

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

Cl. A-X-3*, Assigned Aa1 (sf)

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

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

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

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

Cl. B-1, Assigned Aa3 (sf)

Cl. B-2, Assigned A3 (sf)

Cl. B-3, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba3 (sf)

Cl. B-5, Assigned B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
0.47%, in a baseline scenario-median is 0.30%, and reaches 3.67% at
stress level consistent with Moody's Aaa rating.

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

Collateral Description

As of the October 1, 2021 cut-off date, the aggregate collateral
pool comprises 735 (96.5% by UPB) prime jumbo (non-conforming) and
70 (3.5% by UPB) conforming, mostly 30-year loan-term with 2 loans
having 20-year loan term, fully-amortizing fixed-rate mortgage
loans, none of which have the benefit of primary mortgage guaranty
insurance, with an aggregate stated principal balance (UPB)
$818,009,378 and a weighted average (WA) mortgage rate of 3.1%.
The WA current FICO score of the borrowers in the pool is 774. The
WA Original LTV ratio of the mortgage pool is 70.0%, which is in
line with GSMBS 2021-PJ9 and also with other prime jumbo
transactions. Top 10 MSAs comprise 58.9% of the pool, by UPB. The
high geographic concentration in high cost MSAs is reflected in the
high average balance of the pool ($1,016,161).

All the mortgage loans in the aggregate pool are QM, with the prime
jumbo non-conforming mortgage loans meeting the requirements of the
QM-Safe Harbor rule (Appendix Q) or the new General QM rule (see
below), and the GSE eligible mortgage loans meeting the temporary
QM criteria applicable to loans underwritten in accordance with GSE
guidelines. The other characteristics of the mortgage loans in the
pool are generally comparable to that of GSMBS 2021-PJ9 and recent
prime jumbo transactions.

A portion of the loans purchased from various sellers into the pool
were originated pursuant to the new general QM rule (74.1% of the
pool by loan balance). The majority of these loans are UWM loans
underwritten to GS AUS underwriting guidelines. The third-party
reviewer verified that the loans' APRs met the QM rule's
thresholds. Furthermore, these loans were underwritten and
documented pursuant to the QM rule's verification safe harbor via a
mix of the Fannie Mae Single Family Selling Guide, the Freddie Mac
Single-Family Seller/Servicer Guide, and applicable program
overlays. As part of the origination quality review and in
consideration of the detailed loan-level third-party diligence
reports, which included supplemental information with the specific
documentation received for each loan, Moody's concluded that these
loans were fully documented loans, and that the underwriting of the
loans is acceptable. Therefore, Moody's ran these loans as "full
documentation" loans in Moody's MILAN model, but increased Moody's
Aaa and expected loss assumptions due to the lack of performance,
track records and substantial overlays of the AUS-underwritten
loans.

Aggregator/Origination Quality

GSMC is the loan aggregator and the primary mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.
The mortgage loans for this transaction were acquired by GSMC, the
sponsor and the primary mortgage loan seller (98.3% by UPB), and
MCLP Asset Company, Inc. (MCLP) (1.7% by UPB), the mortgage loan
sellers, from certain of the originators or the aggregator, MAXEX
Clearing LLC (which aggregated 4.6% of the mortgage loans by UPB).
The mortgage loans in the pool are underwritten to either GSMC's
underwriting guidelines, or seller's applicable guidelines. The
mortgage loan sellers do not originate any mortgage loans,
including the mortgage loans included in the mortgage pool.
Instead, the mortgage loan sellers acquired the mortgage loans
pursuant to contracts with the originators or the aggregator.

Overall, Moody's consider GSMC's aggregation platform to be
comparable to that of peer aggregators and therefore did not apply
a separate loss-level adjustment for aggregation quality. In
addition to reviewing GSMC's aggregation quality, Moody's have also
reviewed the origination quality of each of the originators which
contributed at least approximately 10% of the mortgage loans (by
UPB) to the transaction. For these originators, Moody's reviewed
their underwriting guidelines, performance history, and quality
control and audit processes and procedures (to the extent
available, respectively). Approximately 35.2% of the mortgage
loans, by a UPB as of the cut-off date, were originated by UWM. No
other originator or group of affiliated originators originated more
than approximately 10% of the mortgage loans in the aggregate.
Moody's made an adjustment to its losses for loans originated by
UWM primarily due to the fact that underwriting prime jumbo loans
mainly through DU is fairly new and no performance history has been
provided to Moody's on these types of loans. More time is needed to
assess UWM's ability to consistently produce high-quality prime
jumbo residential mortgage loans under this program.

Servicing Arrangement

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

Shellpoint will service 90.8% of the pool and United Wholesale
Mortgage, LLC will service 9.2% (by loan balance). Shellpoint is an
approved servicer in good standing with Ginnie Mae, Fannie Mae and
Freddie Mac. Shellpoint's primary servicing location is in
Greenville, South Carolina. Shellpoint services residential
mortgage assets for investors that include banks, financial
services companies, GSEs and government agencies. Wells Fargo will
act as master. Wells Fargo is a national banking association and a
wholly-owned subsidiary of Wells Fargo & Company. Moody's consider
the presence of an experienced master servicer such as Wells Fargo
to be a mitigant for any servicing disruptions. Wells Fargo is
committed to act as successor servicer if no other successor
servicer can be engaged.

Third-party Review

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

Similar to GSMBS 2021-PJ9 and GSMBS 2021-INV1, a relatively high
number of the B graded exceptions were related to title insurance,
compared to those in prime transactions we recently rated. While
many of these may be rectified in the future by the servicer or by
subsequent documentation, there is a risk that these exceptions
could impair the deal's insurance coverage if not rectified and
because the R&Ws specifically exclude these exceptions. Moody's
have considered this risk in Moody's analysis.

Representations & Warranties

GSMBS 2021-PJ10's R&W framework is in line with that of prior GSMBS
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Moody's review of the R&W framework takes
into account the financial strength of the R&W providers, scope of
R&Ws (including qualifiers and sunsets) and the R&W enforcement
mechanism. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. R&W
breaches are evaluated by an independent third-party using a set of
objective criteria. The transaction requires mandatory independent
reviews of mortgage loans that become 120 days delinquent and those
that liquidate at a loss to determine if any of the R&Ws are
breached. There is a provision for binding arbitration in the event
of a dispute between the trust and the R&W provider concerning R&W
breaches.

The creditworthiness of the R&W provider determines the probability
that the R&W provider will be available and have the financial
strength to repurchase defective loans upon identifying a breach.
An investment-grade rated R&W provider lends substantial strength
to its R&Ws. Moody's analyze the impact of less creditworthy R&W
providers case by case, in conjunction with other aspects of the
transaction. Here, because most of the R&W providers are unrated
and/or exhibit limited financial flexibility, Moody's applied an
adjustment to the mortgage loans for which these entities provided
R&Ws. In addition, a R&W breach will be deemed not to have occurred
if it arose as a result of a TPR exception disclosed in Appendix I
of the Private Placement Memorandum. There were a relatively high
number of B-grade exceptions in the TPR review, the disclosure of
which weakens the R&W framework.

Tail Risk and Locked Out Percentage

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.80% of the cut-off date pool
balance, and as subordination lock-out amount of 0.80% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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

Down

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

Up

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

Methodology

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


HONO 2021-LULU: DBRS Finalizes B(low) Rating on Class F Certs
-------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of HONO 2021-LULU Mortgage Trust Commercial Mortgage
Pass-Through Certificates issued by HONO 2021-LULU Mortgage Trust
(HONO 2021-LULU):

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

All trends are Stable.

The balances for Classes X-CP and X-EXT are notional.

The HONO 2021-LULU transaction is secured by the borrower's
leasehold interest in a 1,230-room, full-service luxury resort with
94,961 square feet (sf) of retail space in the Waikiki neighborhood
of Honolulu. The property is situated along the renowned Kalakaua
Avenue and directly across from the popular Waikiki Beach. Kalakaua
Avenue is one of the main thoroughfares on the island of Oahu and
widely considered a premier destination for shopping,
entertainment, and gastronomy. Built in 1976, the property
underwent a complete renovation in 2014 and 2015 for a reported
$100.0 million ($81,300 per room) and was subsequently acquired by
the sponsor in 2016 for $780.0 million (approximately $634,000 per
room). The property is managed by the Hyatt Corporation (Hyatt) and
has operated under the Hyatt Regency flag since it opened. The
sponsor is an affiliate of Mirae Asset Global Investments Co., Ltd
(Mirae), a global real estate investment firm with over $215
billion under management as of June 2021. The sponsorship group
currently owns a portfolio of 50 assets valued at nearly $14
billion across various property types, including office,
industrial, multifamily, and hospitality.

Historically, the property's hotel and retail components have
performed considerably well given its Hyatt brand affiliation and
irreplaceable location in Waikiki's main shopping and dining
district. Additionally, the property offers upscale accommodations
and amenities, which drive demand and help generate substantial
room nights. Between 2015 and 2019, the hotel's average occupancy
was 90.8%, with the average daily rate (ADR) averaging between
$253.67 and $275.74 annually during that five-year period.
Similarly to the rest of the global lodging industry, the subject
property has not been immune to the negative effects of the
Coronavirus Disease (COVID-19) pandemic and operations continue to
be affected by travel restrictions. The hotel is currently
operating at depressed occupancy and revenue per available room
(RevPAR) levels, and the trailing 12 months (T-12) financials are
not representative of stabilized performance. As of the T-12 ended
July 31, 2021, the hotel's occupancy, ADR, and RevPAR were 22.1%,
$210.38, and $46.56, respectively. At year-end (YE) 2019, the last
full year of stabilized operations prior to the start of the
pandemic, the hotel achieved occupancy, ADR, and RevPAR of 90.7%,
$275.74, and $250.03, respectively. The property's operations will
likely not improve anytime soon as rising coronavirus case counts
related to the delta variant continue to force local and state
authorities to implement new restrictions on social gatherings.
However, since the onset of the pandemic, the sponsor has invested
$90.9 million to establish reserves, maintain adequate working
capital, and cover operating and debt service shortfalls. The
sponsor has a total cost basis of $891.0 million, resulting in
equity invested after the loan proceeds equal to $441.0 million.

As is the case with most beachfront development in Hawaii, the
property is encumbered by ground leases. The improvements are
situated on one city block composed of nine separate tax parcels
that are subject to four long-term ground leases. The primary hotel
and retail structure is subject to two separate ground leases,
while the convention space and parking garage are each subject to a
separate ground lease. All four ground leases are scheduled to
expire on December 21, 2087, and contain rent provisions that
escalate at five- and 10-year intervals.

The collateral consists of a high-quality full-service hotel and
resort in Waikiki, a high-barrier-to-entry urban neighborhood in
Honolulu. The property features 1,230 guest rooms, nearly 95,000 sf
of open-air retail space, 20,510 sf of meeting and event space, and
various other amenities including a 10,000 sf full-service spa. In
addition to rooms revenue, the subject generates revenue from
alternative sources including food and beverage, retail, resort
fees, space rentals, and commissions, among other items.

The property benefits from its long-term affiliation with Hyatt,
one of the leading operators of hotels and resorts with a current
portfolio of more than 1,000 properties across 68 countries. The
collateral has operated under the Hyatt Regency flag since it
opened in 1976 and the current management agreement runs through
December 31, 2062.

The property demonstrated strong performance metrics prior to the
onset of the coronavirus pandemic with 2019 occupancy, ADR, and
RevPAR penetration rates of 107.9%, 97.7%, and 105.4%,
respectively. These figures were an improvement from the 2018
occupancy, ADR, and RevPAR penetration rates of 101.0%, 97.8%, and
98.8%, respectively. Even as disruptions from the pandemic began to
be felt in early 2020 as travel restrictions were implemented
throughout the world, the property achieved overall occupancy, ADR,
and RevPAR penetration levels of 107.7%, 97.1%, and 104.6%,
respectively, as of the T-12 ended March 31, 2020. Furthermore,
from 2015 to 2019, the hotel's average occupancy was 90.8%, with
ADR averaging between $253.67 and $275.74 annually during that
five-year period.

The property benefits from experienced, institutional quality
sponsorship in Mirae. Founded in 1997, the investment firm
currently owns and manages eight luxury hotels worldwide, including
the Fairmont San Francisco and the Fairmont Orchid in Hawaii. As of
June 2021, Mirae reported more than $215 billion in assets under
management.

The sponsor purchased the property in 2016 for $780.0 million,
contributing $288.0 million of cash equity as part of the
transaction. Since the acquisition, the sponsor has invested an
additional $10.9 million in capital expenditures. The sponsor is
injecting an additional $118.6 million of cash equity as part of
the current refinancing. Since the onset of the coronavirus
pandemic, the sponsor has invested $90.9 million to establish
reserves, maintain adequate working capital, and cover operating
and debt service shortfalls. All in all, the sponsor's total cost
basis is $891.0 million, representing an implied equity of $441.0
million.

The ongoing coronavirus pandemic continues to pose challenges and
risks to virtually all major commercial real estate property types,
creating a substantial element of uncertainty around the recovery
of demand in the hospitality sector, even in stronger markets that
have historically been highly liquid. As a result of the pandemic,
the hotel's occupancy and RevPAR declined from 90.7% and $248.31 as
of YE2019 to 22.1% and $46.56 as of the T-12 ended July 31, 2021.
The subject was the only hotel in its competitive set to remain
open throughout the coronavirus pandemic. All debt service
associated with the property's existing financing is current and
there have been no requests for forbearance.

DBRS Morningstar's net cash flow (NCF) and value reflects an
occupancy assumption of 89.0% which is well above the property's
22.1% occupancy as of the T-12 ended July 31, 2021. DBRS
Morningstar elected to stabilize the property and assumed occupancy
in line with its prepandemic performance given the long-term brand
affiliation and quality of the improvements, strong operating
history, location in a high barrier to entry market, and the
experienced management/sponsorship. DBRS Morningstar accounted for
this stabilization risk by applying minimal adjustments to its
loan-to-value thresholds. The property's various revenue streams
were considered credit neutral, and therefore, DBRS Morningstar did
not apply a penalty or credit related to Cash Flow Volatility.

The property recorded negative NCF during the YE2020 and T-12 ended
July 31, 2021 periods. Similar to the rest of the hospitality
industry, the hotel has been negatively affected by the coronavirus
pandemic as travel restrictions are still prevalent in most parts
of the world. The loan is structured with a 12-month debt service
reserve totaling $17.6 million, which should be sufficient to cover
any ongoing operating losses from depressed occupancy at the
property.

The property's last full renovation occurred in 2014 and 2015 when
the previous owner invested approximately $100 million to upgrade
the guest rooms, common areas, and building equipment/systems.
Since then, the property has continued to receive general capital
expenditures and preventive maintenance; however, a more
comprehensive renovation plan will be required to maintain the
property's quality. Failure to do so will lead to a deterioration
of the building and amenities, which could affect the hotel's
ability to achieve favorable occupancy and RevPAR levels. DBRS
Morningstar had the opportunity to tour the property and found the
improvements to be in very good condition with no deferred
maintenance observed. Since acquiring the property in September
2016, the sponsor has reportedly invested an additional $10.9
million ($8,845 per room) in various repairs and updates, including
$3.0 million on building coatings and sealers, and $2.7 million on
elevator modernizations.

The entire property is subject to four long-term ground leases,
which are scheduled to expire on December 21, 2087, and contain
rent provisions that escalate at five- and 10-year intervals. The
current ground rent totals approximately $14.4 million and
represents 9.7% of the DBRS Morningstar total revenue. The
appraisal forecasts that the ground rent will escalate to $18.4
million and $20.5 million by 2026 and 2027, respectively. The
increasing ground rent may negatively affect the property’s NCF
and, ultimately, the sponsor's ability to refinance the loan at the
fully extended maturity date. By 2026, the appraisal estimates the
property's occupancy and ADR will be 92.0% and $318.54,
respectively, which is considerably higher than the DBRS
Morningstar NCF assumptions. Furthermore, DBRS Morningstar
accounted for the leasehold interest risk in the concluded cap rate
of 10.09%, which is about 200 bps higher than the DBRS Morningstar
estimated cap rate of 8.0% for the fee simple. This results in a
discount of approximately $80 million in value versus the fee
simple.

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



HOTWIRE FUNDING: Fitch to Rates 2021-1 Class C Debt 'BB'
--------------------------------------------------------
Fitch Ratings expects to rate Hotwire Funding LLC's Secured Fiber
Network Revenue Notes, Series 2021-1 as follows:

-- $240 million(a) 2021-1 class A-1-VFN 'A'; Outlook Stable;

-- $895 million 2021-1 class A-2 'A'; Outlook Stable;

-- $150 million 2021-1 class B 'BBB'; Outlook Stable;

-- $295 million 2021-1 class C 'BB'; Outlook Stable.

(a) This note is a Variable Funding Note (VFN) and has a maximum
commitment of $240 million contingent on leverage consistent with
the class A-1 notes. This class will reflect a zero balance at
issuance.

The transaction is a securitization of the lease payments derived
from an existing Fiber to the Home (FTTH) network. The collateral
consists of conduits, cables, network-level equipment, access
rights, customer contracts, transaction accounts and an equity
pledge from the asset entities. Debt is secured by the net revenue
of operations and benefits from a perfected security interest in
the securitized assets.

RATING RATIONALE

The ratings reflect the cash flows of the transaction, as supported
by a best in class fiber network, which supports an essential
service at a price far below its competition. This is further
bolstered by meteoric growth in the usage of the internet and the
supporting data center infrastructure, which is expected to
continue growing over the near-to-medium term.

The ratings further reflect the protections afforded the collateral
assets and corresponding cash flows, which are protected by
first-mover advantage, substantially reducing the likelihood of a
new entrant given the barriers to entry. In addition, the majority
of capex have already been spent in deployment and there are
limited operating expenses which allow for stable cash flows. Total
leverage is low relative to comparable technological infrastructure
transactions and given the characteristics of the collateral. The
rating differentials between notes reflect the priority of payments
as well as the resultant spread in class leverage and payback
period.

KEY RATING DRIVERS

Exclusive Operator, Barriers to Entry, Creditworthy and Diverse
Counterparties (Revenue Risk: Stronger): Hotwire has deployed a
best-in-class fiber network to provide cable and internet to a
large and unique customer base in the Southeast United States.
Hotwire has exclusive rights to operate in the communities it
serves and benefits from significant barriers to entry, namely the
substantial upfront cost associated with deploying such a network.
Owing to its best in class network, the company can provide service
that is unrivalled by other market participants, at a cost that is
cheaper than the highest level or service offered by its retail
competitors.

The collateral fiber network is supported by 515 contracts which in
turn provide cable, internet, and voice services to 160,163 housing
units. These agreements are executed with the associations
themselves, making the obligation to pay effectively joint several.
The households backing the associations reflect positive credit
metrics, including a weighted-average FICO score of 753 and income
levels well-above the national median. In addition, should a
household stop paying the association will continue to pay the
contract and may put a lien on the delinquent party's house as well
as shut off service.

Text Driver 1

Anticipated Repayment Date and Prefunding Debt Structure (Debt
Structure (A-1, A-2, B): Midrange; (Debt Structure (C): Weaker):
Hotwire's current issuance of three tranches of debt is secured by
a first priority perfected security interest in the company's fiber
network and benefits from its related cash flow. The tranches
contemplate an Anticipated Repayment Date (ARD) in 2026, prior to
which each tranche will only receive interest unless cash sweep
conditions related to the total leverage (>13.0x), among other
things are breached. The tranches pay sequentially with the A and B
notes being senior to the C notes. Post-ARD, 100% of cash flow will
paydown each series sequentially in alphabetical order. The
structure includes reserves accounts for fixed expenses and
insurance, advance fees, and liquidity.

The A-1 VFN notes can be drawn upon during the prefunding period if
DSCR (>1.85x) and class A leverage (1.85x) and total leverage
(


IMPERIAL FUND 2021-NQM3: DBRS Gives Prov. B Rating on B-2 Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following Mortgage
Pass-Through Certificates, Series 2021-NQM3 to be issued by
Imperial Fund Mortgage Trust 2021-NQM3:

-- $193.0 million Class A-1 at AAA (sf)
-- $22.9 million Class A-2 at AA (sf)
-- $36.5 million Class A-3 at A (sf)
-- $19.7 million Class M-1 at BBB (sf)
-- $13.9 million Class B-1 at BB (sf)
-- $10.8 million Class B-2 at B (sf)

The AAA (sf) rating on the Class A-1 Certificates reflects 36.75%
of credit enhancement provided by subordinated Certificates. The AA
(sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 29.25%,
17.30%, 10.85%, 6.30%, and 2.75% of credit enhancement,
respectively.

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

This a securitization of a portfolio of fixed- and adjustable-rate
prime and non-prime first-lien residential mortgages funded by the
issuance of the Certificates. The Certificates are backed by 669
loans with a total principal balance of approximately $305,152,173
as of the Cut-Off Date (October 1, 2021).

All of the mortgage loans in the pool were originated by A&D
Mortgage LLC (ADM). ADM originated the mortgages primarily under
the following five programs:

-- Super Prime
-- Prime
-- DSCR
-- Foreign National – Full Doc
-- Foreign National – DSCR

ADM is the Servicer for all loans. Specialized Loan Servicing LLC
will subservice the mortgage loans beginning on or about the
Closing Date. Imperial Fund will act as the Sponsor and Servicing
Administrator and Nationstar Mortgage LLC will act as the Master
Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by
DBRS Morningstar) will act as the Securities Administrator and
Certificate Registrar. Wilmington Trust, National Association
(rated AA (low) with a Negative trend by DBRS Morningstar) will
serve as the Custodian, and Wilmington Savings Fund Society, FSB
will act as the Trustee.

In accordance with U.S. credit risk retention requirements,
Imperial Fund as the Sponsor, either directly or through a
Majority-Owned Affiliate, will retain an eligible horizontal
residual interest consisting of the Class X Certificates and the
requisite amount of the Class B-3 Certificates (together, the Risk
Retained Certificates) representing not less than 5% economic
interest in the transaction, to satisfy the requirements under
Section 15G of the Securities and Exchange Act of 1934 and the
regulations promulgated thereunder. Such retention aligns Sponsor
and investor interest in the capital structure.

Although the applicable mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ability-to-repay
(ATR) rules, they were made to borrowers who generally do not
qualify for agency, government, or private-label nonagency prime
products for various reasons described above. In accordance with
the CFPB Qualified Mortgage (QM)/ATR rules, 63.0% of the loans are
designated as non-QM. Approximately 37.0% of the loans are made to
investors for business purposes and are thus not subject to the
QM/ATR rules.

The Servicer will generally fund advances of delinquent principal
and interest (P&I) on any mortgage until such loan becomes 90 days
delinquent, contingent upon recoverability determination. The
Servicer is also obligated to make advances in respect of taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing of properties.

The Seller will have the option, but not the obligation, to
repurchase any nonliquidated mortgage loan that is 90 or more days
delinquent under the Mortgage Bankers Association (MBA) method (or,
in the case of any Coronavirus Disease (COVID-19) forbearance loan,
such mortgage loan becomes 90 or more days MBA Delinquent after the
related forbearance period ends) at the Repurchase Price, provided
that such repurchases in aggregate do not exceed 7.5% of the total
principal balance as of the Cut-Off Date.

On or after October 2024, Imperial Fund II Mortgage Depositor LLC
has the option to purchase all outstanding certificates (Optional
Redemption) at a price equal to the outstanding class balance plus
accrued and unpaid interest, including any cap carryover amounts.
After such a purchase, the Depositor then 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.

On any date following the date on which the collateral pool balance
is less than or equal to 10% of the Cut-Off Date balance, the
Servicing Administrator and the Servicer will have the option to
terminate the transaction by purchasing all of the mortgage loans
and any real estate owned (REO) property at a price equal to the
sum of the aggregate stated principal balance of the mortgage loans
(other than any REO property) plus applicable accrued interest
thereon, the lesser of the fair market value of any REO property
and the stated principal balance of the related loan, and any
outstanding and unreimbursed advances, accrued and unpaid fees, and
expenses that are payable or reimbursable to the transaction
parties (Optional Termination). An Optional Termination is
conducted as a qualified liquidation.

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 (Credit Event).
Principal proceeds can be used to cover interest shortfalls on the
Class A-1 and Class A-2 Certificates (IIPP) before being applied
sequentially to amortize the balances of the senior and
subordinated certificates after a Credit Event has occurred. For
the Class A-3 Certificates (only after a Credit Event) and for the
mezzanine and subordinate classes of certificates (both before and
after a Credit Event), principal proceeds will be available to
cover interest shortfalls only after the more senior certificates
have been paid off in full. Furthermore, the excess spread can be
used to cover realized losses and prior period bond writedown
amounts first before being allocated to unpaid cap carryover
amounts to Class A-1 down to Class B-1.

For this transaction, 98 loans comprising 20.5% of the pool balance
are backed by properties located in counties designated by the
Federal Emergency Management Agency as having been affected by a
natural disaster, not related to the coronavirus pandemic as of the
Cut-Off Date. The Sponsor confirmed that as of October 5, 2021, no
borrowers in these areas reported any property damage.

Coronavirus Impact

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

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

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



JP MORGAN 2017-FL11: DBRS Confirms BB(low) Rating on Class E Certs
------------------------------------------------------------------
DBRS, Inc. upgraded its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-FL11
issued by J.P. Morgan Chase Commercial Mortgage Securities Trust
2017-FL11 as follows:

-- Class B to AAA (sf) from AA (low) (sf)
-- Class C to AA (sf) from A (sf)

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

-- Class D at BBB (high) (sf)
-- Class E at BB (low) (sf)

In addition, DBRS Morningstar discontinued its ratings on Class A
as the class was repaid in full following the payoff of the Cooper
Hotel Portfolio as of the September 2021 remittance report.

DBRS Morningstar also changed the trends on Classes B, C, and D to
Stable from Negative while the trend on Class E remains Negative.
The upgrades and trend changes reflect the stable performance of
the transaction as well as the significant paydown since issuance.
The trend on Class E remains Negative given concerns surrounding
the loans on the servicer's watchlist, which are detailed below.

At issuance, the subject transaction consisted of seven
floating-rate mortgages secured by 20 commercial properties, with a
total mortgage balance of $519.1 million, which were divided into
two collateral groups. Collateral Group A consisted of six loans
secured by 19 commercial properties with a cumulative mortgage
balance of $496.6 million and Collateral Group B represented a
$22.5 million junior companion loan secured by the Park Hyatt
Beaver Creek. The pooled certificates in this transaction (Classes
A, B, C, D, E, F, X-CP, X-EXT, and VRR Interest) are backed by
Collateral Group A while the nonpooled certificates (Classes BC and
BC-RR Interest) are backed by Collateral Group B. The DBRS
Morningstar analysis of this transaction incorporates only
Collateral Group A as the nonpooled certificates are not rated by
DBRS Morningstar.

As of the September 2021 remittance, four of the original six loans
remain in the trust with an aggregate principal balance $260.9
million, representing a collateral reduction of 49.8% since
issuance because of the full repayment of two loans.

Three of the four remaining loans in the pool (71.9% of the current
trust balance) are on the servicer's watchlist: The Centre at
Purchase (Prospectus ID#3; 28.9% of the trust balance), Hyatt
Regency Jacksonville Riverfront (Prospectus ID#5; 25% of the trust
balance), and One Westchase Center (Prospectus ID#6; 18% of the
trust balance). The Centre at Purchase loan matured in August 2021
and the loan remains with the master servicer while the borrower
negotiates refinancing options with lenders. According to the
servicer, the borrower has provided a loan application from the
refinancing lender. The loan is secured by a Class A office campus
across four buildings totaling 681,983 square feet in Purchase, New
York, approximately 25 miles north of New York City. The property
was 87% occupied as of YE2020, down from 92% as of YE2019.
According to YE2020 reporting, the property generated a debt
service coverage ratio (DSCR) of 1.61 times (x). The loan includes
one 12-month extension option subject to a minimum debt yield of
13.0%; however, based on the YE2020 net cash flow (NCF), the debt
yield was 12.7%.

DBRS Morningstar also maintains a cautious view on the Hyatt
Regency Riverfront Jacksonville loan because of performance-related
concerns after the hotel reported negative cash flow in 2020. The
loan is backed by a 951-room full-service hotel within the
Jacksonville, Florida central business district (CBD). The loan was
previously in special servicing before transferring back to the
master servicer in January 2021. While in special servicing, the
borrower exercised its second extension option, extending the loan
to September 2021. In conjunction with the extension, the borrower
paid the loan down by $3.1 million. An updated appraisal valued the
hotel at $99.1 million, down from $126.5 million at issuance. In
September 2021, the borrower exercised its final maturity extension
option, extending the loan to September 2022. The loan remains on
the servicer's watchlist for performance concerns related to the
pandemic. Prior to the pandemic, the loan maintained a stable
performance as the YE2019 NCF was up nearly 4.0% compared with
issuance and the DSCR was 1.94x. Per the Smith Travel Research
report for the trailing 12 months ended June 30, 2019, the subject
reported an occupancy rate, average daily rate, and revenue per
available room of 71.9%, $130, and $94, respectively, compared with
the June 2018 figures of 58.7%, $132 and $77, respectively.

The Westchase Center loan remains on the servicer's watchlist for
performance-related issues because of weak submarket fundamentals.
The loan is secured by a Class A office property totaling 466,159
square feet in Houston's Westchase District, 15 miles west of the
CBD. The loan transferred to special servicing in June 2020 after
the borrower requested coronavirus relief and was unable to repay
the loan at loan maturity. During this time, the mezzanine lender
acquired the borrower's interest in the senior note and shortly
thereafter Nitya Capital acquired the property for an undisclosed
sale price in August 2020. The loan returned to the master servicer
after it was extended for 12 months to the current October 2021
maturity date. The loan reported negative cash flow in 2020 as the
occupancy rate had declined to 68.7% as of the July 2021 rent roll,
down from 80% at YE2020 and 87.2% at YE2017. Prior to the pandemic,
the YE2019 NCF was 33.2% below the issuance figure. In addition to
occupancy concerns, cash flow was also affected by increased rental
abatements and a decrease in expense reimbursements.

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



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

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aaa (sf)

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

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

Cl. A-4, Assigned Aaa (sf)

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

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

Cl. A-5, Assigned Aaa (sf)

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

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

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

Cl. A-6, Assigned Aaa (sf)

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

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

Cl. A-7, Assigned Aaa (sf)

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

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

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

Cl. A-8, Assigned Aaa (sf)

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

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

Cl. A-9, Assigned Aaa (sf)

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

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

Cl. A-10, Assigned Aaa (sf)

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

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

Cl. A-11, Assigned Aaa (sf)

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

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

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

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

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

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aa1 (sf)

Cl. A-15, Assigned Aa1 (sf)

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

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

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

Cl. A-16, Assigned Aaa (sf)

Cl. A-17, Assigned Aaa (sf)

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

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

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

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

Cl. B-1, Assigned Aa3 (sf)

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

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

Cl. B-2, Assigned A3 (sf)

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

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

Cl. B-3, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba3 (sf)

Cl. B-5, Assigned B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

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 Moody's 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,
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 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.

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 2021-1MEM: DBRS Finalizes B(high) Rating on HRR Certs
---------------------------------------------------------------
DBRS, Inc. finalized provisional ratings on the following classes
of Commercial Mortgage Pass-Through Certificates issued by J.P.
Morgan Chase Commercial Mortgage Securities Trust 2021-1MEM:

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

All trends are Stable.

On September 26, 2021, DBRS Morningstar updated the JPMCC 2021-1MEM
presale report to reflect the correct DBRS Morningstar
loan-to-value (LTV) figures in the Capital Structure and the
correct Class X notional amount. The analysis and ratings have not
changed as a result of this clarification.

Class X is an interest-only (IO) whose balance is notional. DBRS
Morningstar updated the rating on Class X from AA (sf) at
provisional to AAA (sf) at closing, based on the updated
information that the IO class references just Class A and no longer
Class A and B. The IO certificate references a single rated tranche
or multiple rated tranches and the IO rating mirrors the
lowest-rated applicable reference obligation tranche adjusted
upward by one notch if senior in the waterfall.

The JPMCC 2021-1MEM single-asset/single-borrower transaction is
collateralized by the borrower's fee-simple interest in One
Memorial Drive, a 17-story Class A, LEED Silver, 409,422-square
foot (sf) office building located in the Kendall Square submarket
of Cambridge, Massachusetts. The property is located directly
adjacent to the Massachusetts Institute of Technology (MIT) and
less than a quarter mile from the Red Line Kendall/MIT transit
stop. The property was built in 1985 and in 2018 a $49.0 million
capital improvement program was completed. Capital improvements
included $2.5 million for full elevator modernization, $1.4 million
for HVAC upgrades, $900,000 for roof replacement, $380,000 for a
fitness center and bike storage, $1.1 million for lobby and
exterior renovation, $7.8 million for tenant improvements (TIs) for
the Microsoft space and $19.6 million for tenant improvements for
InterSystems' space, and $14.1 million for conversion of the
parking garage Level P6 to a 42,760 sf fully-functioning office
suite for InterSystems. Building amenities include the fitness
center, a full service cafe managed by an affiliate of the
borrower, an on-site Blue Bike station, EV chargers, and bike
storage. The collateral also includes a five-story partially
below-grade parking garage that provides both tenant and public
parking. DBRS Morningstar takes a positive view of the credit
characteristics of the collateral, which is directly adjacent to
the MIT campus with unobstructed views of the Charles River and
Downtown Boston. The building is one of the few in the market not
subject to a ground lease.

Currently the property is 98.5% leased to two long-term tenants,
Microsoft and InterSystems. InterSystems is a provider of data
technology and has occupied the building as its headquarters since
1987 while Microsoft has occupied the building since 2007. Although
both are long-term tenants, each of their leases will expire in
2028, prior to the loan maturity. Both tenants have lease
extensions at the fair market rate. InterSystems has the right to
terminate its lease within six months after receiving a No
Availability Notice from the landlord indicating that no potential
expansion premises are available, which the borrower would be
expected to deliver in December 2023. The termination would be
effective 18 months after exercising the termination notice and the
termination fee is equal to unamortized leasing costs.

In a post-Coronavirus Disease (COVID-19) environment, DBRS
Morningstar expects increased growth in healthcare spending, which
is a key driver of the demand for life science and office space.
With this rise in spending, much of which is already devoted to
disease prevention and treatments for cancer and other chronic
conditions, companies focused in these fields will continue to
thrive. Given the specialized nature of these industries, coupled
with advancements in medical and other technology, a skilled and
educated workforce is necessary to sustain profitability of life
sciences enterprises. DBRS Morningstar believes the most important
factor for the long term sustainability of cash flow is proximity
to talent, which means access to research and educational
institutions as well as other technology and medical centers,
typically located in urban centers.

DBRS Morningstar has a positive outlook of the collateral's
performance because of the credit quality of the existing tenants,
the high barriers to entry in the market driven by space and land
constraints, the subject's proximity to MIT, and strong
institutional sponsorship. Traditional office space has benefited
from the increased concentration of life science companies in the
market, which has fueled the conversion of office space to
laboratory space. Prominent tech firms and other users of
traditional office space compete for the diminishing supply of
office space, thus continuing to push rents and reduce vacancy.

The building has two long-term tenants in InterSystems and
Microsoft. InterSystems is a critical data technology provider for
the healthcare, finance, manufacturing, and supply chain sectors.
Since its lease commencement in 1987, InterSystems has renewed four
times and expanded 10 times from its original 32,500 sf to its
current 239,417 sf, with the most recent expansion completed in
2018. Microsoft, the other major tenant, occupies 156,849 sf.
Microsoft comprises 38.3% of the NRA and is rated AAA by Moody's,
S&P, and Fitch. Microsoft is the biggest software company in the
world with a market cap of $2.1 trillion as of July 22, 2021, and
ranked Number 15 in the Fortune 500 rankings according to
Fortune.com. The property has a physical occupancy of 98.5% with
both tenants' leases expiring in 2028: Microsoft's on June 30 and
InterSystems on March 31. However, large blocks of space that could
accommodate either of the tenants is effectively nonexistent in the
market, giving further support to the likelihood that neither
tenant will vacate its respective space.

Kendall Square is the global hub of research and development (R&D)
for the life sciences industry, with 18 of the 20 largest
pharmaceutical companies and 11 of the largest 15 biotechnology
companies in the world having a presence in the submarket. The
concentration of such pharmaceutical and biotech companies has
driven technology companies like Apple, Google, and others to seek
traditional office spaces in close proximity to these life sciences
companies. The submarket's current vacancy rate is below 2% and
there is strong leasing activity for projects currently under
construction or in the predevelopment phase. Additionally,
Microsoft benefits from the collateral's proximity to MIT and
Harvard, creating ample opportunity to attract top talent both as
employees and as specialized contractors and consultants. The
Greater Boston area employs a total workforce within the life
sciences industry of approximately 116,000 people, which accounts
for nearly 4.4% of the total private employment within the market.

According to the appraisal, the average in-place rents for the two
major tenants are approximately 15.8% below market average. Market
rental rates are driven by growth in the life sciences sector,
historically low office vacancies, and the continued conversion of
traditional office to laboratory space further reducing traditional
office inventory. The limited tenant rollover presents minimal
opportunity to capture the benefit of increased rental income
during the loan term as neither tenant's existing lease expires
before 2028, but the collateral will likely benefit in the long run
from increased rental revenue as the leases expire and roll to
market, or the tenants extend their leases at the fair market
rate.

Many office and laboratory buildings in the market are built on
land leased from MIT and other owners. The subject collateral is
one of the few institutional-quality assets in the market not
subject to a ground lease. Project cash flow is not encumbered by
significant, and often increasing, ground rent payments.

The Sponsors are Metropolitan Life Insurance Company (Metlife), a
global insurance provider, and Norges Bank Investment Management
(NBIM). NBIM is effectively a sovereign wealth fund investing funds
generated by North Sea oil revenues for the Norwegian government.
The Metlife/NBIM partnership (the Sponsor) has invested in six
Class A office buildings in three major markets—Boston,
Washington, D.C., and San Francisco—for an aggregate gross asset
value of approximately $3.7 billion. Metlife Investment Management
is the investment advisor and asset manager. The loan is recourse
to the borrower only, and there is no separate recourse carveout
guarantor. A guarantor of the obligations of borrower for certain
recourse carveout events and the environmental indemnity is
customary for rated stand-alone transactions involving similar
collateral. The lack of a guarantor is a material limitation of the
powerful economic disincentives that are contained in a standard
commercial mortgage-backed security (CMBS) nonrecourse carveout and
environmental indemnity structure. Mitigating this is the high
amount of implied equity the borrower has remaining in the
property, as the appraised value indicates a relatively low 50%
loan-to-value ratio (LTV).

The DBRS Morningstar LTV is high at 93.29%, based on the whole loan
amount of $414.0 million in mortgage debt and the DBRS Morningstar
value of $443,772,454. DBRS Morningstar applied a -1% secured debt
penalty to its LTV thresholds for the transaction. The DBRS
Morningstar value represents a 46.4% discount to the appraised
value.

The loan proceeds, together with an estimated equity contribution
of approximately $413.8 million (50.0% of cost) from the sponsor,
were used to facilitate the acquisition of the property. DBRS
Morningstar typically views cash-in acquisition financings more
favorably, given the stronger alignment of borrower incentives
compared with situations in which a sponsor is refinancing and
cashing out of its equity position.

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



JP MORGAN 2021-INV6: S&P Assigns Prelim B- Rating on B-5 Certs
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to J.P. Morgan
Mortgage Trust 2021-INV6's mortgage pass-through certificates.

The certificate issuance is an RMBS securitization backed by
first-lien, fixed-rate, fully amortizing investment property
mortgage loans secured by one- to four-family residential
properties, planned-unit developments, and condominiums to
primarily prime borrowers.

The preliminary ratings are based on information as of Oct. 28,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The high-quality collateral in the pool;
-- The available credit enhancement;
-- The transaction's associated structural mechanics;
-- The representation and warranty framework for this
transaction;
-- The geographic concentration;
-- The experienced aggregator; and
-- The 100% due diligence results consistent with represented loan
characteristics.

  Preliminary Ratings Assigned

  J.P. Morgan Mortgage Trust 2021-INV6

  Class A-1, $580,966,000: AAA (sf)
  Class A-1-A, $580,966,000: AAA (sf)
  Class A-1-X, $580,966,000(i): AAA (sf)
  Class A-2, $548,690,000: AAA (sf)
  Class A-2-A, $548,690,000: AAA (sf)
  Class A-2-X, $548,690,000(i): AAA (sf)
  Class A-3, $411,518,000: AAA (sf)
  Class A-3-A, $411,518,000: AAA (sf)
  Class A-3-X, $411,518,000(i): AAA (sf)
  Class A-4, $137,172,000: AAA (sf)
  Class A-4-A, $137,172,000: AAA (sf)
  Class A-4-X, $137,172,000(i): AAA (sf)
  Class A-5, $32,276,000: AAA (sf)
  Class A-5-A, $32,276,000: AAA (sf)
  Class A-5-X, $32,276,000(i): AAA (sf)
  Class A-X-1, $580,966,000(i): AAA (sf)
  Class B-1, $19,689,000: AA- (sf)
  Class B-2, $13,878,000: A- (sf)
  Class B-3, $13,556,000: BBB- (sf)
  Class B-4, $8,069,000: BB- (sf)
  Class B-5, $5,487,000: B- (sf)
  Class B-6, $3,873,724: Not rated
  Class A-R, Not applicable: Not rated

(i)Notional balance.



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

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

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

Cl. A-2, Assigned Aaa (sf)

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

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

Cl. A-3, Assigned Aaa (sf)

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

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

Cl. A-4, Assigned Aaa (sf)

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

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

Cl. A-5, Assigned Aa1 (sf)

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

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

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

Cl. B-1, Assigned Aa3 (sf)

Cl. B-2, Assigned A3 (sf)

Cl. B-3, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba3 (sf)

Cl. B-5, Assigned B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

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 agency
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 93.0% 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 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.


KKR CLO 36: Moody's Assigns Ba3 Rating to $20MM Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by KKR CLO 36 Ltd. (the "Issuer" or "KKR 36").

Moody's rating action is as follows:

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

US$20,000,000 Class E Senior 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.

KKR 36 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
first lien senior secured loans, cash and eligible investments, and
up to 7.5% of the portfolio may consist of second lien loans,
unsecured loans and permitted non-loan assets; however, not more
than 5% of the portfolio may be invested in permitted non-loan
assets. The portfolio is approximately 100% ramped as of the
closing date.

KKR Financial Advisors II, 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 three other
classes of secured notes and one class of subordinated notes.

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

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

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

Par amount: $500,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 3074

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

The performance of the 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.


LAKE SHORE IV: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its 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 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.

  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 during the first
15 payment dates using interest proceeds 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-leverage the class D and E notes is made available below the
transaction's coverage tests and uncapped subordinated expenses in
the payment waterfall.


LENDMARK FUNDING 2021-2: DBRS Gives Prov. BB Rating on D Notes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the classes of notes
(the Notes) to be issued by Lendmark Funding Trust 2021-2 (Lendmark
2021-2), as follows:

-- $283,160,000 Class A Notes at AA (sf)
-- $38,320,000 Class B Notes at A (high) (sf)
-- $32,000,000, Class C Notes at BBB (high) (sf)
-- $46,520,000 Class D Notes at BB (high) (sf)

DBRS Morningstar based the provisional ratings on the Notes on its
review of the following considerations:

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

-- The transaction's form and sufficiency of available credit
enhancement.

-- Overcollateralization, note subordination, reserve account
amounts, and excess spread create credit enhancement levels that
are commensurate with the proposed ratings.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final maturity date.

-- Lendmark's capabilities with regard to originations,
underwriting, and servicing.

-- The credit quality and performance of the Lendmark's consumer
loan portfolio.

-- DBRS Morningstar has performed an operational review of
Lendmark and considers the entity an acceptable originator and
servicer of unsecured personal loans with an acceptable back-up
servicer.

-- The legal structure and expected legal opinions that will
address the true sale of the assets, the non-consolidation of the
trust, that the trust has a valid first-priority security interest
in the assets, and the consistency with DBRS Morningstar's "Legal
Criteria for U.S. Structured Finance."

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



MADISON PARK XXI: S&P Assigns B+ (sf) Rating on Class D-RR Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1a-RR,
A-2-RR, B-RR, C-1-RR, and D-RR replacement notes from Madison Park
Funding XXI Ltd./Madison Park Funding XXI LLC, a CLO originally
issued in November 2019 that is managed by Credit Suisse Asset
Management LLC. At the same time, S&P withdrew its ratings on the
class X, A-1a-R, A-2-R, B-F-R, B-R, C-1-R, C-2-R, C-2F-R, and D-R
notes following payment in full on the Oct. 29, 2021, refinancing
date. S&P did not rate the new class A-1b-RR and C-2-RR notes or
the class A-1b-R notes from the November 2019 issuance.

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

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1a-RR, $488 million: Three-month LIBOR + 1.08%
  Class A-1b-RR, $32 million: Three-month LIBOR + 1.40%
  Class A-2-RR, $88 million: Three-month LIBOR + 1.65%
  Class B-RR, $48 million: Three-month LIBOR + 2.20%
  Class C-1-RR, $40 million: Three-month LIBOR + 3.25%
  Class C-2-RR, $16 million: Three-month LIBOR + 5.15%
  Class D-RR, $24 million: Three-month LIBOR + 7.50%

  Refinanced notes

  Class A-1a-R, $488 million: Three-month LIBOR + 1.35%
  Class A-1b-R, $32 million: Three-month LIBOR + 1.75%
  Class A-2-R, $88 million: Three-month LIBOR + 1.95%
  Class B-F-R, $30 million: 4.64%
  Class B-R, $18 million: Three-month LIBOR + 2.85%
  Class C-1-R, $40 million: Three-month LIBOR + 4.25%
  Class C-2-R, $7 million: Three-month LIBOR + 5.72%
  Class C-2F-R, $9 million: 7.46%
  Class D-R, $24 million: Three-month LIBOR + 7.56%

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

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

  Ratings Assigned

  Madison Park Funding XXI Ltd./Madison Park Funding XXI LLC

  Class A-1a-RR, $488 million: AAA (sf)
  Class A-2-RR, $88 million: AA (sf)
  Class B-RR, $48 million: A (sf)
  Class C-1-RR, $40 million: BBB- (sf)
  Class D-RR, $24 million: B+ (sf)
  Subordinated notes: NR

  Ratings Withdrawn

  Madison Park Funding XXI Ltd./Madison Park Funding XXI LLC

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

  Other Outstanding Classes

  Madison Park Funding XXI Ltd./Madison Park Funding XXI LLC

  Class A-1b-RR: NR
  Class C-2-RR: NR

  NR--Not rated.



MADISON PARK XXXIX: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Madison Park Funding
XXXIX Ltd./Madison Park Funding XXXIX 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 Credit Suisse Asset Management LLC.

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  Madison Park Funding XXXIX Ltd./
  Madison Park Funding XXXIX LLC

  Class A, $465.00 million: AAA (sf)
  Class B, $105.00 million: AA (sf)
  Class C (deferrable), $45.00 million: A (sf)
  Class D (deferrable), $45.00 million: BBB- (sf)
  Class E (deferrable), $29.07 million: BB- (sf)
  Subordinated notes, $61.00 million: Not rated



MCF CLO IV: S&P Assigns BB+ (sf) Rating on Class E-RR Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-RR, B-RR,
C-RR, D-RR, and E-RR replacement notes from MCF CLO IV LLC, a CLO
originally issued in October 2017 that is managed by Madison
Capital Funding LLC. At the same time, S&P withdrew its ratings on
the original class A-R, B-R, C-R, D-R, and E-R notes following
payment in full on the Nov. 1, 2021, refinancing date.

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

-- The replacement class A-RR, B-RR, C-RR, D-RR, and E-RR notes
were issued at a floating rate spread over three-month LIBOR that
is lower than the original notes.

-- The stated maturity and reinvestment and the non-call periods
were extended four years.

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

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

  Ratings Assigned

  MCF CLO IV LLC

  Class A-RR, $262.50 million: AAA (sf)
  Class B-RR, $39.00 million: AA (sf)
  Class C-RR (deferrable), $40.00 million: A (sf)
  Class D-RR (deferrable), $27.00 million: BBB- (sf)
  Class E-RR (deferrable), $27.00 million: BB+ (sf)
  Subordinated notes, $66.32 million: Not rated


MFA 2021-AEINV1: DBRS Gives Prov. B Rating on Class B-5 Certs
-------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2021-AEINV1 to be issued
by MFA 2021-AEINV1 Trust:

-- $292.8 million Class A-1 at AAA (sf)
-- $265.5 million Class A-2 at AAA (sf)
-- $212.4 million Class A-3 at AAA (sf)
-- $212.4 million Class A-3-A at AAA (sf)
-- $212.4 million Class A-3-X at AAA (sf)
-- $159.3 million Class A-4 at AAA (sf)
-- $159.3 million Class A-4-A at AAA (sf)
-- $159.3 million Class A-4-X at AAA (sf)
-- $53.1 million Class A-5 at AAA (sf)
-- $53.1 million Class A-5-A at AAA (sf)
-- $53.1 million Class A-5-X at AAA (sf)
-- $127.4 million Class A-6 at AAA (sf)
-- $127.4 million Class A-6-A at AAA (sf)
-- $127.4 million Class A-6-X at AAA (sf)
-- $84.9 million Class A-7 at AAA (sf)
-- $84.9 million Class A-7-A at AAA (sf)
-- $84.9 million Class A-7-X at AAA (sf)
-- $31.9 million Class A-8 at AAA (sf)
-- $31.9 million Class A-8-A at AAA (sf)
-- $31.9 million Class A-8-X at AAA (sf)
-- $10.6 million Class A-9 at AAA (sf)
-- $10.6 million Class A-9-A at AAA (sf)
-- $10.6 million Class A-9-X at AAA (sf)
-- $42.5 million Class A-10 at AAA (sf)
-- $42.5 million Class A-10-A at AAA (sf)
-- $42.5 million Class A-10-X at AAA (sf)
-- $53.1 million Class A-11 at AAA (sf)
-- $53.1 million Class A-11-A at AAA (sf)
-- $53.1 million Class A-11-AI at AAA (sf)
-- $53.1 million Class A-11-B at AAA (sf)
-- $53.1 million Class A-11-BI at AAA (sf)
-- $53.1 million Class A-11-X at AAA (sf)
-- $53.1 million Class A-12 at AAA (sf)
-- $53.1 million Class A-13 at AAA (sf)
-- $27.3 million Class A-14 at AAA (sf)
-- $27.3 million Class A-15 at AAA (sf)
-- $234.2 million Class A-16 at AAA (sf)
-- $58.6 million Class A-17 at AAA (sf)
-- $292.8 million Class A-X-1 at AAA (sf)
-- $292.8 million Class A-X-2 at AAA (sf)
-- $53.1 million Class A-X-3 at AAA (sf)
-- $27.3 million Class A-X-4 at AAA (sf)
-- $5.8 million Class B-1 at AA (low) (sf)
-- $5.5 million Class B-2 at A (low) (sf)
-- $3.1 million Class B-3 at BBB (low) (sf)
-- $1.9 million Class B-4 at BB (low) (sf)
-- $1.1 million Class B-5 at B (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-11-AI, A-11-BI, A-X-1 A-X-2, A-X-3, and A-X-4 are
interest-only (IO) certificates. The class balances represent
notional amounts.

Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI,
A-11-B, A-11-BI, A-12, A-13, A-14, A-16, A-17, A-X-2, and A-X-3 are
exchangeable certificates. These classes can be exchanged for
combinations of exchange certificates.

Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7,
A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-11-A, A-11-B,
A-12, and A-13 are super-senior certificates. These classes benefit
from additional protection from the senior support certificates
(Classes A-14 and A-15) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 6.25% of credit
enhancement provided by subordinated certificates. The AA (low)
(sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf)
ratings reflect 4.40%, 2.65%, 1.65%, 1.05%, and 0.70% of credit
enhancement, respectively.

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

This is a securitization of a portfolio of first-lien, fixed-rate
prime conventional investment-property residential mortgages funded
by the issuance of the Mortgage Pass-Through Certificates, Series
2021-AEINV1 (the Certificates). The Certificates are backed by 660
loans with a total principal balance of approximately $312,315,683
as of the Cut-Off Date (September 1, 2021).

loanDepot.com, LLC (loanDepot) is the Originator and the Servicer
of the mortgage loans. MFA Financial, Inc. is the Sponsor of the
transaction. MFRA NQM Depositor, LLC will act as the Depositor of
the transaction. DBRS Morningstar performed a review of loanDepot's
origination and servicing platform and believes the company is an
acceptable mortgage loan originator and servicer.

MFA 2021-AEINV1 is the first securitization by the Sponsor composed
of fully-amortizing, fixed-rate mortgages on non-owner-occupied
residential investment properties. The portfolio consists of
conforming mortgages with original terms to maturity of primarily
30 years, which were underwritten by loanDepot using an automated
underwriting system (AUS) designated by Fannie Mae or Freddie Mac
and were eligible for purchase by such agencies. Details on the
underwriting of conforming loans can be found in the related
Report. The pool is, on average, four months seasoned with a
maximum age of six months.

Cenlar FSB will act as the Subservicer. Wells Fargo Bank, N.A.
(Wells Fargo; rated AA with a Negative trend by DBRS Morningstar)
will act as the Master Servicer, Securities Administrator, and
Custodian. Wilmington Savings Fund Society, FSB will serve as the
Trustee.

For this transaction, the servicing fee is composed of three
separate components: the aggregate base servicing fee, the
aggregate delinquent servicing fee, and the aggregate additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.

For this transaction, the Servicer will fund advances of delinquent
principal and interest (P&I) until deemed unrecoverable.
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 (servicing
advances). If the Servicer fails in its obligation to make P&I
advances, Wells Fargo, as a Master Servicer, will be obligated to
fund such P&I advances. The Master Servicer is responsible for only
P&I advances; the Servicer is responsible for P&I and servicing
advances.

The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible vertical interest consisting of
at least 5% of the Certificate Principal Amount or Class Notional
Amount, as applicable, of each class of Certificates (other than
the Class R Certificates) issued on the Closing Date to satisfy the
credit risk-retention requirements under Section 15G of the
Securities Exchange Act of 1934 and the regulations promulgated
thereunder.

On any date following the date on which the aggregate loan balance
is less than 10% of the Cut-Off Date balance, the Depositor will
have the option to terminate the transaction by purchasing all of
the mortgage loans and any real estate-owned (REO) property from
the issuer at the clean-up call price described in the transaction
documents (Clean-up Call). Similarly, on any date following the
date on which the loan balance is less than 5% of the Cut-Off Date
balance, the Servicer will have the option to terminate the
transaction by the Clean-up Call. However, once the Servicer
notifies the Depositor of its intent, the Depositor will have 30
days to exercise the Clean-up Call.

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

Coronavirus Pandemic Impact

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

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

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



MORGAN STANLEY 2015-C21: Fitch Lowers Rating on Class F Certs to C
------------------------------------------------------------------
Fitch Ratings has downgraded 10 and affirmed four classes of Morgan
Stanley Bank of America Merrill Lynch Trust, commercial mortgage
pass-through certificates, series 2015-C21 (MSBAM 2015-C21).

    DEBT                RATING            PRIOR
    ----                ------            -----
MSBAM 2015-C21

555A 61764XBA2    LT BBB-sf  Affirmed     BBB-sf
A-3 61764XBH7     LT AAAsf   Affirmed     AAAsf
A-4 61764XBJ3     LT AAAsf   Affirmed     AAAsf
A-S 61764XBL8     LT AAsf    Downgrade    AAAsf
A-SB 61764XBG9    LT AAAsf   Affirmed     AAAsf
B 61764XBM6       LT Asf     Downgrade    AAsf
C 61764XBP9       LT BBBsf   Downgrade    A-sf
D 61764XAN5       LT CCCsf   Downgrade    BB-sf
E 61764XAQ8       LT CCsf    Downgrade    B-sf
F 61764XAS4       LT Csf     Downgrade    CCCsf
PST 61764XBN4     LT BBBsf   Downgrade    A-sf
X-A 61764XBK0     LT AAsf    Downgrade    AAAsf
X-B 61764XAA3     LT Asf     Downgrade    AAsf
X-E 61764XAG0     LT CCsf    Downgrade    B-sf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades reflect increased loss
expectations since Fitch's prior rating action, primarily driven by
the specially serviced Westfield Palm Desert Mall loan (8% of
pool). There are nine Fitch Loans of Concern (29.3%), including six
specially serviced loans (25.2%). Fitch's current ratings
incorporate a base case loss of 10.1%. The Negative Outlooks for
classes A-S through C, and interest-only classes X-A and X-B
reflect the uncertainty regarding the ultimate resolution of the
specially serviced loans/assets.

Specially Serviced Loans Driving High Losses: Expected losses from
the specially serviced loans/assets account for nearly 90% of
expected pool losses. The largest specially serviced loan and
largest contributor to expected losses is the Westfield Palm Desert
Mall, a 977,888-sf regional mall built in 1983, renovated in 2014,
and located in Palm Desert, CA. Non-collateral anchors include
Macy's and JC Penney. Sears, a non-collateral anchor, closed in
early 2020 and the box remains vacant. The loan transferred to
special servicing in June 2020 for payment default. After failed
relief negotiations, the special servicer has moved forward with
foreclosure and the appointment of a receiver. The asset is
expected to be marketed for sale once documentation has been
finalized.

As of June 2021, the property is 82% occupied. Per the May 2021
sales report, in-line sales averaged $394 compared to $346 psf at
July 2020, $418 psf in 2019, $384 psf in 2018, $380 psf in 2017,
$377 psf in 2015, and $357 psf at issuance. The nearest enclosed
regional mall is approximately 60 miles away and the property's
main competitors are a high-end lifestyle center and an outlet
mall. Fitch's loss expectations of 67% represents a cap rate of
approximately 19.6% on the YE 2020 NOI.

The second largest contributor to expected losses is the specially
serviced Stone Ridge Plaza (2.3%), a shopping center located in the
Rochester, NY metro. Toys R Us (26.4% of NRA) vacated in 2018 and
Goodwill (5.9% of NRA) is expected to vacate at the December 2021
lease expiration. Occupancy is expected to decline to 62% after the
Goodwill vacancy. According to the special servicer, modification
terms are being negotiated while the borrower addresses vacancy
issues at the property. Fitch's loss expectations of approximately
55% represents a cap rate of 12.2% on the YE 2019 NOI.

Minimal Change in Credit Enhancement: As of the October 2021
distribution date, the pool's aggregate principal balance has been
paid down by 10.3% since issuance. Interest shortfalls are
currently impacting classes D, E, F, G, and H. Five loans (5.6%)
are defeased, and one loan ($1.8 million) prepaid in June 2021.
Seven loans (31.1%) are full-term interest-only and the remainder
of the pool is now amortizing.

Coronavirus Exposure: Retail and hotel loans represent 34.3% (21
loans) and 10.7% (five loans) of the pool, respectively. Fitch
applied an additional stress to pre-pandemic cash flows one hotel
loan (1.6%) given significant pandemic-related 2020 NOI declines.
This additional stress did not impact the existing ratings or
Outlooks.

Non-pooled Asset; Stable to Improved Performance: The transaction
contains a $30 million non-pooled senior B note related to 555 11th
NW Street, the second largest loan in the pool. The loan is secured
by an office building in Washington, D.C. that reported occupancy
and NOI DSCR of 89% and 2.34x at YE 2020. The property continues to
exhibit stable performance.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool-level losses
    from underperforming or specially serviced loans. Downgrades
    to classes A-3, A-4 and A-SB are not likely, due to the
    position in the capital structure, but may occur should
    interest shortfalls affect these classes. Further downgrades
    to class A-S and X-A may occur should expected pool losses
    increase significantly.

-- Further downgrades to classes B, C, X-B and PST are possible
    should loss expectations increase from continued performance
    decline of the FLOCs, loans susceptible to the pandemic not
    stabilize and deteriorate further, additional loans default or
    transfer to special servicing and/or higher than expected
    realized losses on the specially serviced loans. Further
    downgrades to classes D, E, F and X-E would occur as losses
    are realized and/or become more certain.

-- Class 555A could be downgraded if collateral performance and
    cash flow at 555 11th Street NW were to deteriorate.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with additional paydown and/or additional
    defeasance. Upgrades to classes A-S, X-A and X-B would only
    occur with significant improvement in CE, defeasance, and/or
    performance stabilization of FLOCs and other properties
    affected by the pandemic. Classes would not be upgraded above
    'Asf' if there were likelihood of interest shortfalls.

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

-- Class 555A could be upgraded with sustained cash flow
    improvement at 555 11th Street NW.

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.


MORGAN STANLEY 2019-L2: DBRS Confirms B(high) Rating on G-RR Certs
------------------------------------------------------------------
DBRS Limited confirmed the ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2019-L2 issued by Morgan
Stanley Capital I Trust 2019-L2 as follows:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (high) (sf)
-- Class X-D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F-RR at BB (sf)
-- Class G-RR at B (high) (sf)

DBRS Morningstar maintained the Negative trends on Classes F-RR and
G-RR as a reflection of continued performance challenges for select
loans, caused primarily by the Coronavirus Disease (COVID-19)
pandemic. All other trends are Stable.

At issuance, the transaction consisted of 50 fixed-rate loans
secured by 68 commercial and multifamily properties with a total
trust balance of $934.9 million. As of the September 2021
remittance report, all original loans and collateral remained in
the pool, with negligible collateral reduction of 0.6% since
issuance. The pool has a moderate concentration of loans secured by
retail and hospitality properties, representing 17.8% and 17.3% of
the current pool balance, respectively. These concentrations are
noteworthy because retail and hotel property types have been the
most severely affected by the coronavirus pandemic to date.

As of the September 2021 remittance, seven loans, representing
13.9% of the pool, were on the servicer's watchlist, primarily
because of cash flow declines and/or drops in occupancy rates. Two
top-10 loans are on the watchlist, including Ohana Waikiki Malia
Hotel & Shops (Prospectus ID#1, 6.8% of current pool balance) and
Lincoln Commons (Prospectus ID#9, 3.2% of the current pool
balance). In addition, there are five loans, representing 12.2% of
the current pool balance, in special servicing. The specially
serviced loans are backed by anchored retail, unanchored retail,
full-service hotel, and limited-service hotel property types.

The largest loan in special servicing is secured by Le Meridien
Hotel Dallas (Prospectus ID#4, 4.5% of the current pool balance), a
258-key full-service hotel in Dallas, approximately 12.0 miles
north of the Dallas central business district (CBD). The $42.8
million loan refinanced existing debt and returned approximately
$8.1 million of cash equity to the borrower. The most recently
reported financial metrics show a Q1 2020 occupancy rate of 79.4%,
with a debt service coverage ratio (DSCR) of 1.37 times (x). The
loan first fell delinquent in April 2020 and was transferred to
special servicing in June 2020. As of the September 2021
remittance, the loan was 121+ days delinquent. An April 2021
appraisal obtained by the special servicer showed an as-is value of
$53.9 million, down moderately from $61.2 million at issuance.
Although the April 2021 value suggests that the loan remains above
water, the extended delinquency and workout period for the loan
suggest significantly increased risks from issuance; as such, DBRS
Morningstar applied a probability of default penalty in the
analysis to increase the expected loss for this review.

The second-largest loan in special servicing is Shingle Creek
Crossing (Prospectus ID#14, 2.5% of the current pool balance),
secured by a 173,107-square-foot (sf) anchored retail center in
Brooklyn Center, Minnesota, approximately 10 miles north of the
Minneapolis CBD. The property is part of a larger 800,000-sf retail
redevelopment on the 65-acre former Brookdale Mall site. The
collateral portion of the property was anchored by LA Fitness,
TJMaxx, and Michaels at issuance, with a non collateral shadow
anchor in Walmart Supercenter. The loan was transferred to the
special servicer in July 2020 because of imminent monetary default,
and, as of the September 2021 remittance, the loan reported
current. The special servicer continues to negotiate with the
borrower regarding the loan workout, with commentary suggesting a
potential sale of the $3.5 million mezzanine loan that was in place
at issuance. The borrower and servicer are also in discussions
regarding the backfill of Michaels (12.5% of the net rentable
area), which vacated ahead of its May 2025 lease expiry in early
2021. Although the loan's transfer to special servicing and the
loss of Michaels suggests increased risks from issuance, DBRS
Morningstar believes that the overall outlook for the loan remains
generally stable, particularly given the loan's current status and
the servicer's reported DSCR for the loan of 1.81x as of Q1 2021,
which suggests cushion against occupancy declines for the near to
moderate term.

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



MSC 2011-C3: DBRS Confirms BB(low) Rating on Class X-B Certs
------------------------------------------------------------
DBRS Limited upgraded its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2011-C3 issued by MSC 2011-C3
Mortgage Trust as follows:

-- Class C to AAA (sf) from AA (sf)
-- Class D to AA (low) (sf) from A (sf)

In addition, DBRS Morningstar confirmed its ratings on the
following classes:

-- Class E at BBB (sf)
-- Class F at BBB (low) (sf)
-- Class X-B at BB (low) (sf)
-- Class G at B (high) (sf)

In addition, DBRS Morningstar discontinued its rating on Class B as
it was paid out as of the September 2021 remittance. DBRS
Morningstar changed the trend on Class E to Negative from Stable.
In addition, the trends on Classes F, X-B, and G remain Negative,
while the trends on Classes C and D remain Stable.

The rating upgrades reflect the significant collateral reduction in
the last nine months. Since December 2020, 34 loans were repaid,
resulting in a collateral reduction to $180.4 million as of the
September 2021 remittance from $637.8 million. As of September
2021, five loans remain in the pool. The pool is now concentrated
in two loans, Westfield Belden Village (Prospectus ID#2, 51.0% of
the pool) and Oxmoor Center (Prospectus ID#3, 43.5% of the pool),
both of which are specially serviced loans secured by regional mall
collateral. The Negative trends reflect DBRS Morningstar's concerns
with both loans, which are past their respective maturity dates and
are in the process of finalizing loan modifications.

The largest loan in special servicing and in the pool, Westfield
Belden Village, transferred to special servicing for imminent
monetary default in May 2020, and the special servicer is currently
negotiating terms for a loan modification. The loan is secured by a
portion of a single-level regional mall in Canton, Ohio, which
originally served to refinance existing debt for the Westfield
Group (Westfield); however, Starwood Capital Group (Starwood)
assumed the loan in 2013 as part of its acquisition of seven malls
from Westfield. To refinance the portfolio, Starwood raised a
significant amount of capital through Israeli-backed bonds that
have defaulted, triggering an accelerated payment clause enabling
the bondholders to seize control of the assets. A joint venture
between Pacific Retail Capital Partners and Golden East Investors
won the bid to take over the malls in September 2020. Despite some
issues with rent collections and struggling retailers amid the
pandemic, collateral occupancy was reported at 96.0% per the June
30, 2021, rent roll. Financials as of May 2021 reported a trailing
12-month (T-12) debt service coverage ratio (DSCR) of 1.53 times
(x).

The Oxmoor Center loan transferred to special servicing in July
2021 for maturity default. It is secured by a 941,756-square-foot
(sf) regional mall in Louisville, Kentucky, owned and operated by
Brookfield Property Partners. The borrower and lender are in the
process of discussing a potential loan extension. The property has
reported occupancy rates in the low 80% range since 2018 when its
collateral Sears (14.8% of net rentable area (NRA)) vacated its
space ahead of its lease expiry. A Topgolf has agreed to lease a
portion of the space (6.9% of NRA) on a ground lease expected to
commence in November 2022 starting at a rental rate of $5.00 per
square foot (psf). Although DSCR has trended lower every year since
2016, most recently being reported at 0.89x, the mall did report
healthy sales for tenants less than 10,000 sf of $666 psf as of the
T-12 period ended May 31, 2021.

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



NAVIGATOR AIRCRAFT 2021-1: Moody's Gives (P)Ba2 Rating to C Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
series A, B and C notes to be issued by Navigator Aircraft ABS LLC
("Navigator USA") and Navigator Aircraft ABS Limited ("Navigator
Cayman") (together the issuers). The ultimate assets backing the
rated notes will consist primarily of a portfolio of aircraft and
their related initial and future leases. The cash flows from the
initial and subsequent leases and proceeds from aircraft
dispositions (aircraft sales and part out) will be the primary
source of payment on the notes. As of the cut-off date, the initial
assets will consist of 22 aircraft subject to initial leases to 17
lessees domiciled in 16 countries. Dubai Aerospace Enterprise (DAE)
Ltd. (DAE, Baa3 stable) will be the servicer of the underlying
assets.

The issuers will use the proceeds from the issuance to acquire the
initial aircraft and the initial aircraft owning subsidiaries
(AOS).

The complete rating actions are as follows:

Issuer: Navigator Aircraft ABS Limited / Navigator Aircraft ABS
LLC, Series 2021-1

Series 2021-1 A Fixed Rate Notes, Assigned (P)A1 (sf)

Series 2021-1 B Fixed Rate Notes, Assigned (P)Baa2 (sf)

Series 2021-1 C Fixed Rate Notes, Assigned (P)Ba2 (sf)

RATINGS RATIONALE

The provisional ratings of the notes are based on (1) the credit
quality of the underlying aircraft portfolio which include mainly
young narrow body aircraft, the strong initial contractual cash
flows from scheduled lease payments and end-of-lease payments and
the expected cash flows from subsequent leases, (2) the
transaction's structure and priority of payments, (3) the ability,
experience and expertise of DAE as servicer, (4) the results of
Moody's quantitative modeling analyses, including sensitivity
analyses with respect to certain assumptions, (5) Moody's assessed
initial cumulative loan-to-value (CLTV) ratios for each series of
notes, (6) improving, albeit still challenging, operating
environment that heightens asset risks, and (7) qualitative
considerations for risks related to asset diversity, legal,
operational, country, data quality, bankruptcy remoteness, and ESG
(environmental, social and governance) factors, among others.

The series A, series B and series C notes have initial Moody's CLTV
ratios of approximately 79.7%, 95.4% and 100.2%, respectively.
Moody's assumed value reflects the minimum of several third-party
appraisers' initial half-life market values, adjusted by a portion
of the appraised maintenance adjustment. Moody's CLTV ratio
reflects the loan-to-value ratio of the combined amounts of each
series of notes and the series that are senior to it.

As of the closing date, Navigator Cayman and Navigator USA expects
to acquire the 18 aircraft from Navigator Aviation DAC. The sellers
will sell the AOSs to the issuer during the 12-month purchase
period. As a result, ownership of many of the aircraft will not
change and lease novation will not be required for much of the
portfolio, compared with cases where aircraft ownership is
changing. Four remaining aircraft will be acquired directly from
third party sellers into the trust after closing, increasing the
risk of novation on these aircraft. The risk of pool composition
deterioration due to failed novation is mitigated by a relatively
homogenous pool composition and structural features such as tight
substitution criteria.

Other considerations and modeling assumptions Moody's applied in
the analysis of this transaction include:

Credit quality of the underlying pool: The pool includes a
relatively homogeneous mix of mostly new technology (46%), mostly
young (76%) aircraft, with a weighted average (WA) remaining lease
term of 7.3 years. The long leases should support contractual cash
flows through the pandemic and beyond the anticipated repayment
date (ARD) in 2028. The pool consists of 22 aircraft on lease to 17
lessees in 16 countries The largest one and three lessees represent
22.2% and 46.0% of the portfolio, respectively.

Liquid narrowbody aircraft, which make up 87% of the pool, are
considered strong leasing assets owing to their large diversified
installed or expected operator bases.

Leases and credit quality of initial lessees: A majority of the
aircraft in the portfolio (97%) have leases that will expire after
2023, when Moody's expects a recovery in global air travel demand
to pre-pandemic (2019) levels, thus protecting the transaction from
COVID-19-related re-leasing risks.

Around 43% of the initial aircraft are leased to airlines domiciled
in the U.S, developed Europe and Asia Pacific. Additionally, only
around 3% of the initial contractual lease rent comes from airlines
that are Investment-grade rated. The remainder are unrated, for
some of which Moody's have obtained credit estimates.

Noteholders will benefit from any end of lease (EOL) payments
received from certain lessees at the end of their leases. Based on
projections from the appraisal firm Alton, the aggregate projected
EOL payments from the lessees total $234 million, or 41% of the
aggregate note balance. In its analysis, Moody's gave partial
credit to the EOL payments.

QUANTITATIVE MODELING ASSUMPTIONS

Initial value: Moody's initial assumed value of the aircraft in the
portfolio is $714.9 million.

Lessee defaults: Moody's inferred the probability of default of
each initial airline using either its (1) actual credit rating
where available, having a WA rating of around B3 (2) credit
estimate, or (3) a probability of default equivalent to a Caa1 or
Caa2 rating to reflect the weakened credit quality of the global
airline industry owing to COVID-19. Moody's assumed a subsequent
lessee has a default risk equivalent to a low speculative-grade
rating of B3.

Out-of-production adjustment: 12 years for the new technology
aircraft; 24 months for the current technology A320-200, A321-200,
A330-300 and B737-800.

Payment deferrals: Moody's assumed that 25% of the next six months
of lease rent under long term leases to airlines in South east Asia
and Latin America was deferred until the end of 2022, reflecting
current market conditions in those regions, and 100% of the
deferred rent was recovered in 2023. Additionally, Moody's cash
flow modeling analyses reflects the current reduced rent that two
lessees are paying as part of their deferral plan.

ENVIRONMENTAL RISK: The environmental risk for this aircraft lease
transaction is moderate owing to current and future carbon and air
emission regulations for airplanes, which could reduce demand for
these aircraft or relegate older aircraft to airlines with lower
credit quality. The risk is partially mitigated in this transaction
owing to the young pool of new technology aircraft.

SOCIAL RISK: The social risk for this transaction is moderate.
Aircraft lease ABS are exposed to social risks that could decrease
demand for aircraft, reducing the revenue available to repay the
notes. Demographic shifts can affect air travel demand, and in turn
aircraft values and lease rates. A health pandemic, terrorism, or a
global or regional economic slowdown could result in a sharp
decline in air travel demand growth, which could reduce demand for
aircraft or weaken the credit profiles of the airlines that are
lessees in the securitization. The coronavirus pandemic will
continue to have a residual impact on the ongoing performance of
aircraft lease ABS as the US economy continues on the path toward
normalization. Economic activity will continue to strengthen in
2021 because of several factors, including the rollout of vaccines,
growing household consumption and an accommodative central bank
policy. However, specific sectors and individual businesses will
remain weakened by extended pandemic related restrictions. Moody's
regard the coronavirus outbreak as a social risk under its ESG
framework, given the substantial implications for public health and
safety.

GOVERNANCE RISK: This securitization's governance risk is moderate
and typical of other aircraft lease transactions in the market. As
described in Moody's publication "Governance considerations are a
key determinant of credit quality for all issuers," September 2019,
Moody's examine five governance considerations in Moody's analysis
as described below.

1) Financial strategy and risk management -- this transaction
limits the ability of Navigator Cayman and Navigator USA and their
respective subsidiary asset entities to engage in activities other
than the ones related to the underlying assets and this
transaction, including in respect of the issuance of additional
notes and other actions.

2) Management credibility and track record -- while the sponsor is
not rated by Moody's, the legal structure and documentation of the
transaction mitigates the governance risk.

3) The organizational/transaction structure -- this transaction's
trust and issuer groups are structured as bankruptcy remote special
purpose entities that could have misalignment of interests among
the transaction parties, and specifically between the holder(s) of
the series E notes and the noteholders. For instance, the issuers'
board of directors of which the majority is appointed by the E note
holders could approve aircraft sales that are disadvantageous to
noteholders in order to unlock the equity.

4) The board structure -- includes a board of directors for the
issuers, with one independent director, that makes decisions that
will maximize the value of the collateral, such as engaging a
successor servicer upon termination of the servicer and selling
aircraft, and an independent trustee, managing agent, and paying
agent. However, the requirement for independent director is
somewhat weaker than those of many other ABS transactions Moody's
rate.

5) Compliance and reporting -- Moody's will consider the
sufficiency and frequency of this securitization's reporting in the
form of servicing reports.

In addition, Moody's note that this securitization has no objective
servicer standard of care for the servicer. Furthermore, the
servicer may have potential conflicts interests in servicing the
securitization aircraft because it also services its own aircraft
portfolio. However, the servicer covenants not to discriminate
among the securitization assets and its own assets, partially
mitigates this governance risk. Additionally, at transaction
closing, the securitized pool will represent a small portion of the
servicer's portfolio.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Securities Backed by Aircraft and Associated
Leases" published in July 2020.

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

Up

Factors that could lead to an upgrade of the ratings on the notes
are (1) collateral cash flows that are significantly greater than
Moody's initial expectations, (2) significant improvement in the
credit quality of the airlines leasing the aircraft, (3) slower
than expected deterioration in aircraft values. Moody's updated
expectations of collateral cash flows may be better than its
original expectations because of lower frequency of default by the
underlying lessees, recovery in aircraft values owing to stronger
global air travel demand, lower than expected depreciation in the
aircraft value, and higher realization of EOL payments that are
used to prepay the notes. As the primary drivers of performance,
positive changes in the global commercial aviation industry could
also affect the ratings.

Down

Factors that could lead to a downgrade of the ratings on the notes
are (1) collateral cash flows that are materially below Moody's
initial expectations, (2) a significant decline in the credit
quality of the airlines leasing the aircraft, (3) greater than
expected deterioration in aircraft values and credit drift as the
pool composition changes. Other reasons for worse-than-expected
transaction performance could include poor servicing of the assets,
for example sales disadvantageous to noteholders, or error on the
part of transaction parties.


NEW MOUNTAIN 1: S&P Assigns BB- (sf) Rating on Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-1R,
C-R, D-R, and E-R replacement notes and 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.

On the Oct. 29, 2021, refinancing date, the proceeds from the
replacement notes were used to redeem the original notes. S&P also
withdrew its ratings on the original class A-1, A-2, B, C, D, and E
notes.

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

-- The replacement class A-R, B-1R, C-R, D-R, and E-R notes were
issued at a lower spread than the original notes.

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

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

-- The stated maturity, reinvestment period, and non-call period
were extended by 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
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 further rating actions as we
deem necessary."

  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

  Ratings Withdrawn

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

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



NEW RESIDENTIAL: DBRS Hikes Long-Term Issuer Rating to BB(low)
--------------------------------------------------------------
DBRS, Inc. has upgraded the Long-Term Issuer Rating of New
Residential Investment Corp. (NRZ) and those of its subsidiaries to
BB (low) from B (high). The trend on all ratings is Stable. The
Company has been assigned a Support Assessment of SA3 resulting in
the Company's final rating being equalized with its Intrinsic
Assessment (IA) of BB (low). The Support Assessment for each of the
debt issuing subsidiaries is SA1.

Concurrently, the ratings have been removed from Under Review with
Positive Implications, where they were placed on April 22, 2021
following the announcement that the Company had entered into a
definitive agreement to acquire Caliber Home Loans, Inc (Caliber)
for approximately $1.675 billion in cash.

KEY RATING CONSIDERATIONS

The ratings action considers the benefits to NRZ's growing mortgage
operating business from the acquisition of Caliber given the
complementary strengths of NRZ and Caliber. Specifically, the
acquisition broadens NRZ's product diversity, strengthening its
home purchase mortgage business, expands its mortgage servicing
rights (MSRs) portfolio, and strengthens its overall recapture rate
across its current servicing portfolio. Importantly, the enhanced
scale, broader product set and increased geographic diversification
combined with modest cost synergies are expected to benefit
earnings generation through interest rate cycles. The ratings
action also considers the solid balance sheet fundamentals of NRZ
post-acquisition, which are expected to remain consistent and in
line with the current ratings per DBRS Morningstar methodology.
While improved, NRZ's funding profile remains reliant on secured
forms of funding and is a ratings constraint. As with any sizeable
acquisition, we see integration and operation risks associated with
the acquisition, but consider NRZ's history of successfully
integrating past acquisitions without material missteps as
mitigating this risk.

The Stable trend reflects DBRS Morningstar's view that the U.S.
housing market should remain strong through the remainder of 2021
and into 2022 despite increasing affordability issues and the
potential for rates to increase, albeit from historically low
levels. Indeed, we expect the U.S. residential mortgage market to
shift from a refinance-driven market to one that is more oriented
to home purchase. We see the acquisition of Caliber, which has a
strong retail, purchase mortgage business as positioning NRZ well
for the continued shift in market origination volumes.

RATING DRIVERS

A successful integration of Caliber's business while generating
solid results from the mortgage operations business and growing its
market share would lead to the ratings being upgraded. Maintenance
of the Company's current balance sheet leverage while reducing its
reliance on short-term repo financing would also lead to the
ratings being upgraded. Conversely, the ratings would be downgraded
if NRZ were to experience sustained losses. A weakening of the
Company's liquidity position or a sustained and notable increase in
the Company's leverage would also lead to the ratings being
downgraded.

RATING RATIONALE

DBRS Morningstar considers New York-based NRZ's franchise as
strengthening given its growing presence in the residential
mortgage marketplace as it evolves from an investment manager
focused on residential mortgage assets to an institution that is
more reliant on the operating businesses that it has acquired to
drive financial performance. With the addition of Caliber, NRZ is
the fourth largest non-bank mortgage originator with combined 2Q21
volumes of $5.1 billion, as well as the fifth largest non-bank
mortgage servicer with a servicing portfolio totaling $467 billion
in unpaid principal balance (UPB) (excluding MSRs held by NRZ but
serviced by third-parties) at June 30, 2021. The Company will
continue to also benefit from its ancillary business lines that
provide NRZ access to the whole mortgage life cycle, including
title, home appraisal, and property management.

Importantly for the ratings, we anticipate that NRZ will benefit
from Caliber's strong retail branch presence in capturing more home
purchase mortgage business as refinance activity moderates with the
expectation that mortgage rates will move higher in 2022. We expect
that NRZ's existing servicing portfolio will benefit from the
strong retention rates experienced at Caliber. Caliber reported a
65% retention rate in 2Q21 compared to 41% at NRZ. Strengthening
retention rates would improve NRZ cash flows, net margins on
originations and protect the MSR assets on the balance sheet.

We view NRZ's strengthening market positions as benefiting earnings
given the more consistent results generated from the operating
businesses, all of which are long-term positives. NRZ has
demonstrated an ability to consistently generate profits. Indeed,
the Company has only reported three quarterly losses (two of the
three quarters occurred in 2020) since the beginning of 2014 (a
span of 30 quarters) and has been profitable each year with the
exception of 2020. However, the quality of revenues is considered
below average as most of the Company's income (revenue) has been
generated through gains on fair value of assets or gains on sale,
both of which can be volatile.

For 1H21, NRZ generated net income of $555 million, a significant
improvement from the outsized loss to common shareholders of $1.6
billion reported in 1H20. Revenues, net of interest expense, in
1H21 more than tripled compared to the prior year to $1.4 billion
from $400 million in 1H20. The improvement was driven by improved
marks on the MSR valuation resulting in servicing revenue of $427
million compared to a $379 million loss in 1H20. Gains on sale of
mortgages were 44% higher year-on-year (YoY) at $690.3 million.
Revenues also benefited from a reduction in funding costs leading
to lower interest expense. Results in 1H21 also benefited from a
lower loss on the change in fair value of investments at $65
million compared to a $460.0 million charge in 1H20. Further, NRZ's
loss on the sale of investments was $88.3 million in 1H21 compared
to $874 million in the comparable period a year ago. We note that
the Company's operating businesses, the servicing and origination
business, generated a pre-tax profit of $338.1 million in 1H21,
benefiting from a growing servicing book and improved margins on
mortgage originations.

NRZ's risk profile is viewed as elevated with credit and
operational risk having been managed appropriately while market
risk is above average with 77% of total assets are carried at fair
value as of June 30, 2021. On June 30, 2021, New Residential held
total receivables and securities of $25.9 billion, up from $15.8
billion a year ago.

Market risk is primarily generated by the Company's sizeable
residential mortgage securities portfolio as well as the MSRs held
on its balance sheet. On June 30, 2021, the Company held $15.0
billion of residential mortgage securities at fair value, up from
$6.1 billion in the comparable period a year ago. Of the total
securities portfolio, 93% is comprised of Agency RMBS that are a
hedge for the Company's MSR portfolio. The Company also holds
Non-Agency RMBS securities totaling approximately $1.0 billion at
fair value, representing approximately 6% of the face amount of the
securities. The residential mortgage securities portfolio was in a
net unrealized loss position of approximately $140 million at June
30, 2021. Meanwhile, at 2Q21, NRZ held $4.8 billion of MSRs on its
balance sheet with an underlying UPB of mortgages totaling $398.6
billion. Of the underlying mortgages, 67.6% were Agency mortgages
with an additional 14.7% Ginnie Mae mortgages.

Overall, the credit performance of NRZ's servicing portfolio has
been solid throughout the pandemic. Through July 20, 2021, a total
of approximately 200,000 borrowers had requested and were granted
coronavirus-related forbearance from NRZ. Forbearance trends were
positive through the end of July with loans in forbearance
declining to 2.3% of the portfolio, down from a peak of 8.4% in May
2020, and from 7.8% a year ago. While the housing and mortgage
markets continue to be robust, DBRS Morningstar believes there is
still a level of uncertainty in the operating environment which
could lead to weaker asset performance as government stimulus and
support programs expire, as well as the potential for additional
restrictions in economic activity to combat the spread of the
coronavirus.

Funding has improved with NRZ completing its inaugural issuance of
unsecured senior debt as well as reducing the potential for
liquidity calls from facilities. Nevertheless, the Company
continues to be reliant on secured forms of wholesale funding. At
June 30, 2021, NRZ had $29.1 billion of debt outstanding, of which
$21.3 billion was repo financing. NRZ has focused on improving its
funding profile by removing mark-to-market exposure from its
facilities. As of June 30, 2021, 99% of the Company's investment
portfolio (MSRs, residential loans, non-agency MBS and servicer
advances) are funded with facilities without mark-to-market
exposure compared to 100% call exposure at year-end 2019. However,
NRZ continues to be reliant on short-term repo financing for
longer-dated but liquid assets in its investment portfolio. NRZ has
maintained access to the securitization markets, completing seven
transactions in 2021 through July. Importantly, the Company expects
to maintain its sound liquidity position post-closing, forecasting
approximately $1.1 billion of available cash liquidity
post-closing.

NRZ's equity position is acceptable with a reasonable cushion to
covenants. NRZ's total shareholder's equity was $6.2 billion on
June 30, 2021, 15% higher than in the comparable period a year ago,
reflecting the $522 million of common equity raised as part of the
financing of the Caliber acquisition. Leverage (debt-to-equity) has
increased with the higher business volumes. On June 30, 2021, the
Company's leverage was 4.7x, up from 3.3x a year ago.

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



OAKTOWN RE VII: DBRS Gives Prov. B Rating on 2 Classes
-------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the Mortgage
Insurance-Linked Notes, Series 2021-2 to be issued by Oaktown Re
VII Ltd:

-- $126.5 million Class M-1A at BBB (sf)
-- $110.7 million Class M-1B at BB (high)(sf)
-- $55.3 million Class M-1C at BB (low) (sf)
-- $51.4 million Class M-2 at B (sf)
-- $19.8 million Class B-1 at B (sf)

The BBB (sf), BB (high) (sf), BB (low) (sf), and B (sf) ratings
reflect 4.85%, 3.45%, 2.75% and 1.85% of credit enhancement,
respectively.

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

OMIR 2021-2 is National Mortgage Insurance Corporation's (NMI; the
ceding insurer) sixth-rated mortgage insurance (MI)-linked note
transaction. Payments to the Notes are backed by reinsurance
premiums, eligible investments, and related account investment
earnings, in each case relating to a pool of MI policies linked to
residential loans. The Notes are exposed to the risk arising from
losses that the ceding insurer pays to settle claims on the
underlying MI policies. As of the cut-off date, the pool of insured
mortgage loans consists of 122,629 fully amortizing first-lien
fixed- and variable-rate mortgages. They all have been underwritten
to a full documentation standard, have original loan-to-value
ratios (LTVs) less than or equal to 97%, have never been reported
to the ceding insurer as 60 or more days delinquent, and have not
been reported to be in payment forbearance plan. The mortgage loans
have MI policies effective on or after December 2018.

On March 1, 2020, a new master policy was introduced to conform to
government-sponsored enterprises' revised rescission relief
principles under the Private Mortgage Insurer Eligibility
Requirements (PMIERs) guidelines (see the Representations and
Warranties section in the related Presale Report for more details).
Approximately 99.4% of the mortgage loans were originated under the
new master policy.

On the closing date, the Issuer will enter into the Reinsurance
Agreement with the ceding insurer. Per the agreement, the ceding
insurer will receive protection for the funded portion of the MI
losses. In exchange for this protection, the ceding insurer will
make premium payments related to the underlying insured mortgage
loans to the Issuer.

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

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

The calculation of principal payments to the Notes will be based on
a reduction in the aggregate exposed principal balance on the
underlying MI policy. The subordinate Notes will receive their pro
rata share of available principal funds if the minimum credit
enhancement test and the delinquency test are satisfied. The
minimum credit enhancement test will purposely fail at the closing
date, thus locking out the rated classes from initially receiving
any principal payments until the subordinate percentage grows to
7.45% from 6.45%. The delinquency test will be satisfied if the
three-month average of 60+ days delinquency percentage is below 75%
of the subordinate percentage. Unlike earlier-rated NMI MILN
transactions where the delinquency test is satisfied when the
delinquency percentage falls below a fixed threshold, this
transaction incorporates a dynamic delinquency test.

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

On the Closing Date, the ceding insurer will establish a cash and
securities account, the premium deposit account. In case of the
ceding insurer's default in paying coverage premium payments to the
Issuer, the amount available in this account will be used to make
interest payments to the noteholders. The presence of this account
mitigates certain counterparty exposure that the trust has to the
ceding insurer. Unlike some prior OMIR transactions, the premium
deposit account will not be funded at closing. Instead, the ceding
insurer will make a deposit into this account up to the applicable
target balance only when one of the premium deposit events occur.
Please refer to the related presale report and/or offering circular
for more details.

The Notes are scheduled to mature on April 25, 2034, but will be
subject to early redemption at the option of the ceding insurer (1)
for a 10% clean-up call or (2) on or following the payment date in
October 2026, among others. The Notes are also subject to mandatory
redemption before the scheduled maturity date upon the termination
of the Reinsurance Agreement.

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

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

Such mortgage delinquencies were mostly in the form of forbearance,
which are generally short-term periods of payment relief that may
perform differently from traditional delinquencies. At the onset of
the pandemic, 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.



OBX 2021-J3: DBRS Finalizes B Rating on Class B-5 Notes
-------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage-Backed Notes, Series 2021-J3 issued by OBX 2021-J3 Trust
(OBX 2021-J3):

-- $385.6 million Class A-1 at AAA (sf)
-- $385.6 million Class A-2 at AAA (sf)
-- $385.6 million Class A-3 at AAA (sf)
-- $289.2 million Class A-4 at AAA (sf)
-- $289.2 million Class A-5 at AAA (sf)
-- $289.2 million Class A-6 at AAA (sf)
-- $96.4 million Class A-7 at AAA (sf)
-- $96.4 million Class A-8 at AAA (sf)
-- $96.4 million Class A-9 at AAA (sf)
-- $308.5 million Class A-10 at AAA (sf)
-- $308.5 million Class A-11 at AAA (sf)
-- $308.5 million Class A-12 at AAA (sf)
-- $77.1 million Class A-13 at AAA (sf)
-- $77.1 million Class A-14 at AAA (sf)
-- $77.1 million Class A-15 at AAA (sf)
-- $19.3 million Class A-16 at AAA (sf)
-- $19.3 million Class A-17 at AAA (sf)
-- $19.3 million Class A-18 at AAA (sf)
-- $47.6 million Class A-19 at AAA (sf)
-- $47.6 million Class A-20 at AAA (sf)
-- $47.6 million Class A-21 at AAA (sf)
-- $433.2 million Class A-22 at AAA (sf)
-- $433.2 million Class A-23 at AAA (sf)
-- $433.2 million Class A-24 at AAA (sf)
-- $433.2 million Class A-X-1 at AAA (sf)
-- $385.6 million Class A-X-2 at AAA (sf)
-- $385.6 million Class A-X-3 at AAA (sf)
-- $385.6 million Class A-X-4 at AAA (sf)
-- $289.2 million Class A-X-5 at AAA (sf)
-- $289.2 million Class A-X-6 at AAA (sf)
-- $289.2 million Class A-X-7 at AAA (sf)
-- $96.4 million Class A-X-8 at AAA (sf)
-- $96.4 million Class A-X-9 at AAA (sf)
-- $96.4 million Class A-X-10 at AAA (sf)
-- $308.5 million Class A-X-11 at AAA (sf)
-- $308.5 million Class A-X-12 at AAA (sf)
-- $308.5 million Class A-X-13 at AAA (sf)
-- $77.1 million Class A-X-14 at AAA (sf)
-- $77.1 million Class A-X-15 at AAA (sf)
-- $77.1 million Class A-X-16 at AAA (sf)
-- $19.3 million Class A-X-17 at AAA (sf)
-- $19.3 million Class A-X-18 at AAA (sf)
-- $19.3 million Class A-X-19 at AAA (sf)
-- $47.6 million Class A-X-20 at AAA (sf)
-- $47.6 million Class A-X-21 at AAA (sf)
-- $47.6 million Class A-X-22 at AAA (sf)
-- $433.2 million Class A-X-23 at AAA (sf)
-- $433.2 million Class A-X-24 at AAA (sf)
-- $433.2 million Class A-X-25 at AAA (sf)
-- $8.6 million Class B-1A at AA (sf)
-- $8.6 million Class B-X-1 at AA (sf)
-- $8.6 million Class B-1 at AA (sf)
-- $6.1 million Class B-2A at A (sf)
-- $6.1 million Class B-X-2 at A (sf)
-- $6.1 million Class B-2 at A (sf)
-- $1.4 million Class B-3 at BBB (sf)
-- $1.4 million Class B-4 at BB (sf)
-- $1.1 million Class B-5 at B (sf)

Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24,
A-X-25, B-X-1, and B-X-2 are interest-only notes. The class balance
represents notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12,
A-13, A-14, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-X-2, A-X-3,
A-X-4, A-X-5, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14,
A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, B-1, and B-2 are
exchangeable notes. These classes can be exchanged for combinations
of initial exchangeable notes as specified in the offering
documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, and A-18 are super senior
notes. These classes benefit from additional protection from senior
support notes (Classes A-19, A-20, and A-21) with respect to loss
allocation.

The AAA (sf) ratings on the Notes reflect 4.50% of credit
enhancement provided by subordinated notes. The AA (sf), A (sf),
BBB (sf), BB (sf), and B (sf) ratings reflect 2.60%, 1.25%, 0.95%,
0.65%, and 0.40% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien, fixed-rate, prime
residential mortgages funded by the issuance of the Notes. The
Notes are backed by 465 loans with a total principal balance of
$453,649,616 as of the Cut-Off Date (September 1, 2021).

The originators for the aggregate mortgage pool are Fairway
Independent Mortgage Corporation (26.2%); Guaranteed Rate, Inc.
(17.6%); Guaranteed Rate Affinity, LLC (5.4%) and Proper Rate, LLC
(1.2%) (collectively known as Guaranteed Rate Companies; GRC); and
various other originators, each comprising no more than 10% of the
pool by principal balance. On the Closing Date, the Seller, Onslow
Bay Financial LLC, will acquire the mortgage loans from Bank of
America, N.A. (BANA; rated AA (low) with a Stable trend and R-1
(middle) with a Stable trend by DBRS Morningstar).

Through bulk purchases, BANA generally acquired the mortgage loans
underwritten to

-- Its jumbo whole loan acquisition guidelines (87.9%), or

-- The related originator's guidelines (12.1%).

NewRez LLC doing business as Shellpoint Mortgage Servicing will
service 100% of the mortgage loans, directly or through
subservicers. Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a
Negative trend and R-1 (high) with a Negative trend by DBRS
Morningstar) will act as Master Servicer, Paying Agent, Note
Registrar, and Custodian. Wilmington Savings Fund Society, FSB will
serve as Indenture Trustee and Owner Trustee.

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

CORONAVIRUS PANDEMIC IMPACT

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

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

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



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

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

All trends are Stable.

The OPG Trust 2021-PORT single-asset/single-borrower transaction is
collateralized by the borrower's fee-simple interest in a portfolio
of 109 industrial properties totaling more than 14.4 million square
feet (sf) across 11 markets in seven states. DBRS Morningstar
continues to take a favorable view on the long-term growth and
stability of the warehouse and logistics sector, despite the
uncertainties and risks that the Coronavirus Disease (COVID-19)
pandemic has created across all commercial real estate asset
classes. Increased consumer reliance on e-commerce and home
delivery during the pandemic has only accelerated pre-pandemic
consumer trends, and DBRS Morningstar believes that retail's loss
continues to be industrial's gain. The portfolio benefits from both
favorable tenant granularity and favorable geographic
diversification, both of which contribute to potential cash flow
stability over time.

The portfolio is primarily composed of last-mile facilities in
urban infill locations with weighted-average (WA) clear heights of
26.5 feet and a WA year built of 1997. The portfolio's WA year
generally exceeds the WA year built of recently analyzed industrial
portfolios rated by DBRS Morningstar (1992), generally reflecting
the newer vintage of properties of the portfolio composition. The
average size of properties in the portfolio is 127,544 sf, though
properties range broadly in size from 24,030 sf to 535,385 sf.
Approximately 44.4% of the portfolio's net operating income is
derived from properties between 50,000 sf and 150,000 sf, which
further illustrates the last-mile, infill nature of the portfolio.
Properties in infill locations tend to have smaller footprints
because of the high cost of land, compared with larger distribution
facilities that can exceed 1 million sf and are often further away
from prominent urban centers.

The portfolio is spread across 11 markets spanning seven U.S.
states including Texas (26.2% of net rentable area (NRA) and 23.3%
of the base rent), California (14.6% of NRA and 19.4% of base
rent), Illinois (12.2% of NRA and 13.4% of base rent), Georgia
(13.6% of NRA and 12.3% of base rent), Florida (16.9% of NRA and
11.8% of base rent), Maryland (8.2% of portfolio NRA and 11.0% of
base rent), and Arizona (8.3% of NRA and 8.7% of base rent). The
collateral is generally well located, proximate to dense population
centers and industrial gateway markets with high demand for
industrial and distribution space. The portfolio's WA in-place base
rent of $6.46 per square foot (psf) is significantly below the
major national index of $8.32 psf (reported by Newmark Knight Frank
as of Q2 2021). Per the rent roll dated September 1, 2021, the
portfolio was 92.8% leased (7.2% vacant). By comparison, the
portfolio's markets exhibited a WA vacancy rate of 5.5% at the
close of 2020.

Despite the recent economic slowdown and continued fallout brought
on by the ongoing coronavirus pandemic, DBRS Morningstar continues
to take a positive view on the strength and growth of the
industrial asset class, especially as e-commerce continues its
prolific path to dominance and consumer demand for faster shipping
times becomes commonplace. While the coronavirus certainly presents
challenges, the nationwide industrial vacancy rate of 4.0%
(reported by CBRE Research's Q2 2021 Industrial & Logistics Report)
represents the lowest national vacancy rate since Q4 2019. Per CBRE
Research's Q2 2021 Industrial & Logistics Report, U.S. industrial
market conditions performed exceptionally well through the first
half of 2021, reaching record-high asking rents of $8.66 psf (a
2.9% quarter-over-quarter increase and 9.8% year-over-year
increase).

DBRS Morningstar continues to believe that functional bulk
warehouse product and last-mile delivery facilities near major
population centers will outperform other property subtypes, and
maintains a bullish outlook on industrial property based on
ever-growing e-commerce demand.

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



OPORTUN ISSUANCE 2021-C: DBRS Gives Prov. BB(high) on D Notes
-------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following notes (the
Notes) to be issued by Oportun Issuance Trust 2021-C (Oportun
2021-C or the Issuer):

-- $377,033,000 Class A Notes at AA (low) (sf)
-- $59,233,000 Class B Notes at A (low) (sf)
-- $48,734,000 Class C Notes at BBB (low) (sf)
-- $15,000,000 Class D Notes at BB (high) (sf)

The provisional rating on the Notes is based on DBRS Morningstar's
review of the following considerations:

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

-- DBRS Morningstar's projected losses include the assessment of
the impact of the coronavirus. The DBRS Morningstar cumulative net
loss assumption is 10.28% based on the worst-case loss pool
constructed, giving consideration to the concentration limits
present in the structure.

-- DBRS Morningstar incorporated a hardship deferment stress into
its analysis as a result of an increase in utilization related to
the impact of the coronavirus pandemic on borrowers. DBRS
Morningstar stressed hardship deferments to test liquidity risk
early in the life of the transaction's cash flows.

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

-- Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the Reserve Account, and excess
spread. Credit enhancement levels are sufficient to support DBRS
Morningstar's stressed assumptions under various stress scenarios.

(3) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and principal by the
legal final payment date.

(4) Oportun's capabilities with regard to originations,
underwriting, and servicing.

(5) The experience, underwriting, and origination capabilities of
MetaBank, N.A.

(6) The ability of Systems & Services Technologies, Inc. (SST) to
perform duties as a Back-Up Servicer. SST, as Back-Up Servicer, is
required to take over as successor servicer of the collateral in
the Oportun 2021-C transaction within 15 calendar days of notice of
a servicing termination event. SST and Oportun have developed a
detailed servicing transition plan to facilitate an orderly
transfer of servicing.

(7) On March 3, 2021, Oportun received a Civil Investigative Demand
(CID) from the Consumer Financial Protection Bureau (CFPB). The
stated purpose of the CID is to determine whether small-dollar
lenders or associated persons, in connection with lending and
debt-collection practices, have not been in compliance with certain
federal consumer protection laws over which the CFPB has
jurisdiction.

-- Oportun and PF Servicing believe that their practices have been
in full compliance with CFPB guidance and that they have followed
all published authority with respect to their practices, and
Oportun continues to cooperate with the CFPB with respect to this
matter. At this time, the Seller is unable to predict the outcome
of this CFPB investigation, including whether the investigation
will result in any action or proceeding or in any changes to the
Seller's or the Servicer's practices.

(8) The legal structure and expected legal opinions that will
address the true sale of the unsecured consumer loans, the
nonconsolidation of the trust, and that the trust has a valid
perfected security interest in the assets and consistency with the
DBRS Morningstar "Legal Criteria for U.S. Structured Finance."

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



PAWNEE EQUIPMENT 2020-1: DBRS Confirms BB Rating on Class E Notes
-----------------------------------------------------------------
DBRS, Inc. confirmed six ratings and upgraded four ratings on the
following classes of securities included in two Pawnee Equipment
Receivables transactions.

Pawnee Equipment Receivables (Series 2019-1) LLC:

-- Class A-2 Notes, confirmed at AAA (sf)
-- Class B Notes, upgraded to AAA (sf) from AA (high) (sf)
-- Class C Notes, upgraded to AA (low) (sf) from A (high) (sf)
-- Class D Notes, upgraded to A (sf) from BBB (high) (sf)
-- Class E Notes, upgraded to BBB (sf) from BB (high) (sf)

Pawnee Equipment Receivables (Series 2020-1) LLC:

-- Class A Notes, confirmed at AAA (sf)
-- Class B Notes, confirmed at AA (sf)
-- Class C Notes, confirmed at A (sf)
-- Class D Notes, confirmed at BBB (sf)
-- Class E Notes, confirmed at BB (sf)

The rating actions are based on the following analytical
considerations:

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

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

-- The collateral performance on the transactions are within
expectation with low levels of cumulative net loss to date.

-- Given the expectation of a generally improving economic
environment and the strong rebound in delinquency and charge-off
performance metrics for equipment lessors following the initial
negative impact from the coronavirus, DBRS Morningstar removed its
adjustment to its expected cumulative net loss assumption in
consideration of the impact from the pandemic.

-- The relative benefit from obligor and geographic
diversification of collateral pools.

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

Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (May 26, 2021), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



PAWNEE EQUIPMENT 2021-1: DBRS Gives Prov. BB Rating on E Notes
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Pawnee Equipment Receivables (Series 2021-1)
LLC:

-- $86,260,000 Class A-1 Notes at R-1 (high) (sf)
-- $198,740,000 Class A Notes at AAA (sf)
-- $28,310,000 Class B Notes at AA (sf)
-- $13,300,000 Class C Notes at A (sf)
-- $15,200,000 Class D Notes at BBB (sf)
-- $14,253,000 Class E Notes at BB (low) (sf)

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

-- Transaction capital structure, proposed ratings, and
sufficiency of available credit enhancement, which includes
overcollateralization, subordination, and amounts held in the
reserve account, to support the DBRS Morningstar-projected
cumulative net loss (CNL) assumption under various stressed cash
flow scenarios.

-- The respective coverage multiples of the expected CNL, which
are afforded to each class of Notes by the available credit
enhancement. Under various stressed cash flow scenarios, credit
enhancement can withstand the expected loss using DBRS Morningstar
multiples of 5.40 times (x) with respect to the Class A Notes and
4.40x, 3.55x, 2.50x, and 1.65x with respect to the Class B, C, D,
and E Notes, respectively. DBRS Morningstar assumes an expected
base-case CNL of 4.15% for this transaction.

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

-- Given the expectation of generally improving economic
environment and the strong rebound in delinquency and charge-off
performance metrics for equipment lessors following the initial
negative impact from the coronavirus, DBRS Morningstar does not
apply any adjustments to its expected CNL assumption for the
transaction in consideration of the impact from the COVID-19
pandemic.

-- The capabilities of Pawnee Leasing Corporation (Pawnee or the
Company) with regard to originations, underwriting, and servicing.
DBRS Morningstar performed an operational review of Pawnee and
considers the entity to be an acceptable originator and servicer of
equipment-backed lease and loan contracts. In addition, Vervent
will be the Backup Servicer for this transaction. DBRS Morningstar
reviewed Vervent and believes that the entity is an acceptable
backup servicer.

-- The expected Asset Pool does not contain any significant
concentrations of obligors, brokers, or geographies and consists of
a diversified mix of the equipment types similar to those included
in other small-ticket lease and loan securitizations rated by DBRS
Morningstar.

-- The Company focuses on small-ticket financing ($500,000 cap for
prime credits and lower for near prime and nonprime credits). No
nonprime credits will be included in the collateral for the Notes;
however, 24.28% of the collateral consists of B+ credits (with the
weighted-average nonzero guarantor Beacon Score of 714 as of the
Statistical Calculation Date compared with a score of 763 for A
credits as of the same date). Payment by automated clearinghouse is
in place for 95.05% of B+ credit contracts compared with about
75.02% for A credit contracts. In addition, as of the Statistical
Calculation Date, personal guarantees supported close to 99.90% of
B+ collateral in the Statistical Asset Pool compared with
approximately 86.81% for A credits.

-- The legal structure and presence of legal opinions that will
address the true sale of the assets to the Issuer the
non-consolidation of the special-purpose vehicle with Pawnee; and
that the Indenture Trustee, Deutsche Bank Trust Company Americas,
has a valid first-priority security interest in the assets. DBRS
Morningstar also reviews the transaction terms for consistency with
its "Legal Criteria for U.S. Structured Finance."

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



PRESTIGE AUTO 2021-1: S&P Assigns Prelim BB-(sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Prestige
Auto Receivables Trust 2021-1's automobile receivables-backed notes
series 2021-1.

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

The preliminary ratings are based on information as of Oct. 28,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The availability of approximately 54.1%, 46.0%, 35.8%, 27.7%,
and 22.9% of credit support for the class A, B, C, D, and E notes,
respectively (based on stressed cash-flow scenarios, including
excess spread), which provide coverage of more than 3.50x, 3.00x,
2.30x, 1.75x, and 1.37x our 14.50%-15.50% expected cumulative net
loss range for the class A, B, C, D, and E notes, respectively.
These credit support levels are commensurate with the assigned
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB-
(sf)' ratings on the class A, B, C, D, and E notes.

-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its preliminary ratings are
consistent with the credit stability limits specified by section
A.4 of the Appendix contained in our article "S&P Global Ratings
Definitions," published Jan. 5, 2021.

-- The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.

-- The timely interest and ultimate principal payments made under
the stressed cash flow modeling scenarios, which are consistent
with the assigned preliminary ratings.

-- The collateral characteristics of the securitized pool of
subprime auto loans.

-- Prestige Financial Services Inc.'s securitization performance
history since 2001.

-- The transaction's payment and legal structures.

  Preliminary Ratings Assigned

  Prestige Auto Receivables Trust 2021-1

  Class A-1, $41.90 million(i): A-1+ (sf)
  Class A-2, $90.00 million(i): AAA (sf)
  Class A-3, $42.46 million(i): AAA (sf)
  Class B, $42.91 million(i): AA (sf)
  Class C, $46.81 million(i): A (sf)
  Class D, $29.90 million(i): BBB (sf)
  Class E, $14.79 million(i): BB- (sf)

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



PROGRESS RESIDENTIAL 2021-SFR9: DBRS Gives (P) BB Rating on F Certs
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Single-Family Rental Pass-Through Certificates to be issued by
Progress Residential 2021-SFR9 Trust (PROG 2021-SFR9):

-- $174.1 million Class A at AAA (sf)
-- $64.8 million Class B at AA (high) (sf)
-- $27.0 million Class C at A (high) (sf)
-- $31.0 million Class D at A (low) (sf)
-- $47.2 million Class E-1 at BBB (sf)
-- $24.8 million Class E-2 at BBB (low) (sf)
-- $75.0 million Class F at BB (sf)
-- $49.9 million Class G at B (low) (sf)

The AAA (sf) rating on the Class A certificates reflects 67.6% of
credit enhancement provided by subordinated notes in the pool. The
AA (high) (sf), A (high) (sf), A (low) (sf), BBB (sf), BBB (low)
(sf), BB (sf), and B (low) (sf) ratings reflect 55.5%, 50.5%,
44.7%, 35.9%, 31.3%, 17.3%, and 8.0% credit enhancement,
respectively.

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

PROG 2021-SFR9's 1,808 properties are in 12 states, with the
largest concentration by BPO value in Florida (20.6%). The largest
metropolitan statistical area (MSA) by value is Phoenix (16.3%),
followed by Atlanta (14.0%). The geographic concentration dictates
the home-price stresses applied to the portfolio and the resulting
market value decline (MVD). The MVD at the AAA (sf) rating level
for this deal is 56.5%. PROG 2021-SFR9 has properties from 22 MSAs,
many of which experienced dramatic home price index (HPI) declines
in the housing crisis of 2008.

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

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



PRPM 2021-RPL2: DBRS Gives Prov. BB Rating on Class M-2 Notes
-------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Asset-Backed Notes, Series 2021-RPL2 to be issued by PRPM
2021-RPL2, LLC:

-- $188.0 million Class A-1 at AAA (sf)
-- $9.2 million Class A-2 at AA (sf)
-- $8.9 million Class A-3 at A (sf)
-- $9.5 million Class M-1 at BBB (sf)
-- $8.6 million Class M-2 at BB (sf)

The AAA (sf) rating on the Notes reflects 21.60% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), and BB (sf) ratings reflect 17.75%, 14.05%, 10.10%,
and 6.50% of credit enhancement, respectively.

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

The Trust is a securitization of a portfolio of seasoned performing
and reperforming first-lien residential mortgages funded by the
issuance of mortgage-backed securities (the Notes). The Notes are
backed by 1,452 loans with a total principal balance of
$239,816,435 as of the Cut-Off Date (August 31, 2021).

The mortgage loans are approximately 178 months seasoned. As of the
Cut-Off Date, all of the loans are current under the Mortgage
Bankers Association delinquency method, including 313 (19.1% of the
loans) bankruptcy-performing loans.

Although the number of months clean (consecutively zero times 30 (0
x 30) days delinquent) at issuance is weaker relative to other DBRS
Morningstar-rated seasoned transactions, the borrowers in this pool
demonstrate reasonable cash flow velocity (by number of payments
over time) in the past 12 months. Over the last 12 months, 1,446
loans, or 99.4%, have made six or more payments and 1,267 loans, or
86.1%, have made 12 or more payments.

Modified loans make up 84.3% of the portfolio. The modifications
happened more than two years ago for 77.4% of the modified loans.
Within the pool, 386 mortgages (26.6% of the pool by loan count)
have a total non-interest-bearing deferred amount of $14,546,894,
which equates to approximately 6.1% of the total principal
balance.

For the most part, the loans are single-family residential
first-lien mortgage notes where the borrowers are in a current
Chapter 13, Chapter 11, or Chapter 7 bankruptcy or have had their
bankruptcies dismissed or discharged. As of the Cut-off-date, 80.9%
of the portfolio is not in bankruptcy (never previously bankrupt or
bankruptcy was dismissed or discharged); 17.0% is in Chapter 13
bankruptcy; 1.9% is in Chapter 11 bankruptcy; and 0.2% is in
Chapter 7 bankruptcy.

To satisfy the credit risk retention requirements, as of the
Closing Date, the Sponsor or a majority-owned affiliate of the
Sponsors will hold the Class B Note and the Membership Certificate,
which represents the initial overcollateralization amount.

Following the transfer of servicing from BSI Financial Services to
Rushmore Loan Management Services LLC (Rushmore), Rushmore will
service approximately 10.7% of the loans and SN Servicing
Corporation will service approximately 89.3% of the loans in this
transaction. The Servicers will not advance any delinquent
principal and interest (P&I) on the mortgages; however, the
Servicers are obligated to make advances in respect of prior liens,
insurance, real estate taxes, and assessments as well as reasonable
costs and expenses incurred in the course of servicing and
disposing of properties.

The Issuer has the option to redeem the Notes in full at a price
equal to the sum of (1) the remaining aggregate Note Amount of the
Notes; (2) any accrued and unpaid interest due on the Notes through
the redemption date (including any Cap Carryover); and (3) any fees
and expenses of the transaction parties, including any unreimbursed
servicing advances (Redemption Price). Such Optional Redemption may
be exercised three years after the Closing Date.

In addition, the Issuer is expected (but is not required) to redeem
the offered Notes in full on the payment date in October 2026
(Expected Redemption Date). Assuming an Event of Default has not
occurred, the Class A-2, Class A-3, Class M-1, Class M-2, and Class
B Notes are not entitled to any payments of principal prior to the
Expected Redemption Date (other than from net sale proceeds after
the Class A-1 Notes have been paid in full) and all Available Funds
(other than the portion of Available Funds representing net sale
proceeds) that would otherwise be available to pay the principal on
the Class A-2, Class A-3, Class M-1, Class M-2, and Class B Notes
after the Class A-1 Notes have been paid in full will instead be
deposited into a redemption account and applied to pay interest and
principal on the Class A-2, Class A-3, Class M-1, Class M-2, and
Class B Notes on the earlier of the Expected Redemption Date or the
occurrence of a Credit Event. If the Issuer does not redeem the
offered Notes in full on the Expected Redemption Date or an Event
of Default occurs and is continuing, a Credit Event will occur.

The transaction employs a sequential-pay cash flow structure. P&I
collections are commingled and are first used to pay interest and
Cap Carryover Amounts to the Notes and then to pay the classes
until reduced to zero, which may provide for timely payment of
interest to the rated Notes. On or after the occurrence of a Credit
Event, the Class A-2, Class A-3, Class M-1, Class M-2, and Class B
Notes will become accrual Notes, in which case the interest payment
amount and any cap carryover that would otherwise be available to
be paid to the these Notes will be paid as principal to the Class
A-1 Notes until the payment date on which the Class A-1 Notes have
been paid in full, with any Class A-2 accrual amount in excess of
the amount needed to pay the Class A-1 Notes in full on such
payment date being paid as principal to the Class A-2 Notes.
Thereafter, the same waterfall treatment will apply to the next
senior Note. Any Note accrual amount paid to the Class A-1 Notes or
to the next most senior Note as principal, on or after the
occurrence of a Credit Event, will be added to the principal
balance of the outstanding accrual Notes.

Coronavirus Impact

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

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the pandemic, the option to forbear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low loan-to-value (LTV) 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.



RADNOR RE 2021-2: Moody's Assigns (P)Ba3 Rating to Cl. M-1B Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to two
classes of mortgage insurance (MI) credit risk transfer notes
issued by Radnor Re 2021-2 Ltd.

Radnor Re 2021-2 Ltd. is the seventh transaction issued under the
Radnor Re program, which transfers to the capital markets the
credit risk of private MI policies issued by Essent Guaranty
(Essent, 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, Radnor 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 coverage levels B-2 and B-3H are written off.
While income earned on eligible investments is used to pay interest
on the notes, the ceding insurer is responsible for covering any
difference between the investment income and interest accrued on
the notes' coverage levels.

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.

The complete rating actions are as follows:

Issuer: Radnor Re 2021-2 Ltd.

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

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

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expect this insured pool's aggregate exposed principal
balance to incur 2.84% losses in a base case scenario, and 17.90%
losses under a Aaa stress scenario. 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
and (ii) the MI coverage percentage.

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

Each mortgage loan has an insurance coverage effective date on or
after April 1, 2021, but on or before September 30, 2021. The
reference pool consists of 146,713 prime, fixed- and
adjustable-rate, one- to four-unit, first-lien fully-amortizing,
predominantly conforming mortgage loans with a total insured unpaid
principal 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 92.3%. The
borrowers in the pool have a weighted average FICO score of 744, a
weighted average debt-to-income ratio of 36.8% and a weighted
average mortgage rate of 3.1%.The weighted average risk in force
(MI coverage percentage) is approximately 26.3% of the reference
pool unpaid principal balance.

The weighted average LTV of 92.3% 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 MI at origination with 99.0% covered by BPMI
and 1.0% covered by LPMI based on risk in force.

Underwriting Quality

Essent is an insurance company domiciled in the Commonwealth of
Pennsylvania and is a subsidiary of Essent Group Ltd (Essent
Group). Essent Group, through its wholly-owned subsidiaries,
provides private mortgage insurance and reinsurance for mortgages
secured by residential properties located in the US, primarily
through Essent Guaranty. In Moody's analysis, Moody's took into
account the quality of Essent's insurance underwriting, risk
management processes, quality control and assurance practices
(including results), and claims payment procedures. Essent's
underwriting requirements address credit, capacity (income),
capital (asset/equity) and collateral, and it has two licensed
in-house appraisers to review appraisals. Overall, after
considering the aforementioned factors, Moody's didn't make
additional adjustments to Moody's losses for Essent's insurance
underwriting platform.

Third-Party Review

Essent engaged Wipro Opus Risk Solutions, LLC to perform a data
analysis and diligence review of a sampling of mortgage loans files
submitted for MI. This review included validation of credit
qualifications, verification of the presence of material
documentation as applicable to the MI 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 sample size of this transaction, 335 (or 0.2% by count), is
generally in line with the prior Radnor Re and other MI CRT
transactions that Moody's rated. Once the sample size was
determined, the files were selected randomly to meet the final
sample count of 335 files out of a total of 127,827 loan files
(using an August 31, 2021 cut-off date). In selecting mortgage
loans for review, the TPR provider was limited to mortgage loans
that were previously randomly selected and reviewed by the ceding
insurer on or prior to the cut-off date of August 31, 2021, where
lenders provide full loan files to the ceding insurer (thus
excluding the August and September production). In spite of the
small sample size in this transaction, Moody's did not make an
additional adjustment to the loss levels primarily because (1)
approximately 27.1% (by unpaid principal balance) of the loans in
the reference pool were submitted through non-delegated
underwriting, which have gone through full re-underwriting by the
ceding insurer, (2) the underwriting quality of the insured loans
is monitored under the GSEs' stringent quality control system, and
(3) MI policies will not cover any costs related to compliance
violations.

Additionally, it should be noted that the TPR available sample does
not cover a subset of pool that have an August and September MI
coverage effective date, representing approximately 30.2% of the
pool by loan count. While this unsampled count is higher than prior
RMIR transactions (in which one month of production is typically
not included in the diligence sample), Moody's did not make any
adjustments to Moody's losses for the reason that Moody's found no
material differences in credit characteristics between the
post-August 2021 subset and the pre-August 2021 subset (though the
August and September production carries a higher LTV and DTI
profile that can be observed in the collateral characteristics of
the production mix, this can largely be attributed to the company's
purchase business which increased significantly by
August/September), including the percentage of loans with MI
policies underwritten through non-delegated (27.1 by unpaid
principal balance) underwriting program, which ceding insurer
requires full loan file and performs independent re-underwriting
and quality assurance.

Finally, Moody's have reviewed the company's quality control and
assurance processes, procedures and metrics (March 2020 through
February 2021 data, as of September 2021) to better understand the
company's risk management practices that provided additional
insight into the performance of Essent's underwriters. The
company's internal quality control and assurance processes are the
same as it was to date, and as with all prior transactions, the
unsampled production will undergo the same internal review process
as all other months over the next several weeks. Overall, according
to the reviewed quality control and assurance results, the net
defect findings for both the non-delegated and delegated
underwriting channels appear to be low as of September 2021.
Moody's took the aforementioned factors into consideration and did
not apply an additional adjustment for TPR scope and results.

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 other MI CRT
transactions that Moody's have rated. The ceding insurer will
retain the senior coverage level A-H, coverage level B-2 (subject
to any class B-2 reopening) and the coverage level B-3H at closing.
The offered notes benefit from a sequential pay structure. The
transaction incorporates structural features such as a 10-year
bullet maturity and a sequential pay structure for the non-senior
tranches, resulting in a shorter expected weighted average life on
the offered notes.

Funds raised through the issuance of the notes are deposited into a
reinsurance trust account and are distributed either to the
noteholders, when insured loans amortize or MI policies terminate,
or to the ceding insurer for reimbursement of claims paid when
loans default. Interest on the notes is paid from income earned on
the eligible investments and the coverage premium from the ceding
insurer. Interest on the notes will accrue based on the outstanding
unpaid principal 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 M-1A,
M-1B, M-2, B-1 and B-2 coverage level have credit enhancement
levels of 5.70%, 4.00%, 2.50%, 2.25% 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-3H. Investment
and interest deficiency amount losses are also allocated in a
reverse sequential order starting with the class B-1 notes.

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

A trigger event with respect to any payment date will be in effect
if the coverage level amount of coverage level A-H for such payment
date has not been reduced to zero and either (i) the preceding
three month average of the sixty-plus delinquency amount for that
payment date equals or exceeds 75.00% of coverage level A-H
subordination amount or (ii) the subordinate percentage (or with
respect to the first payment date, the original subordinate
percentage) for that payment date is less than the target CE
percentage (minimum C/E test: 7.75%).

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) for any class of notes if the Median FSR of the
ceding insurer is lower than any rating assigned by any rating
agency to such class of notes or (2) for all classes of notes, if
the ceding insurer ceases to have a Median FSR of Baa2 (or BBB) or
higher. Median FSR means the lower of (i) the median of the
financial strength ratings assigned to the ceding insurer by any of
Moody's, S&P and Fitch (or if only two financial strength ratings
are assigned, the lower rating of such two ratings) and (ii) the
financial strength rating assigned to the ceding insurer by
Moody's.

In other words, if the note ratings exceed that of the Median FSR,
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 that of the
Median FSR, it will be obligated to deposit the required PDA amount
for all classes of notes.

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

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

Claims Consultant

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

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

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.


RATE MORTGAGE 2021-J3: DBRS Finalizes B Rating on Class B-5 Certs
-----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage Pass-Through Certificates issued by RATE Mortgage Trust
2021-J3:

-- $332.6 million Class A-1 at AAA (sf)
-- $332.6 million Class A-2 at AAA (sf)
-- $332.6 million Class A-3 at AAA (sf)
-- $199.5 million Class A-4 at AAA (sf)
-- $199.5 million Class A-5 at AAA (sf)
-- $199.5 million Class A-6 at AAA (sf)
-- $249.4 million Class A-7 at AAA (sf)
-- $249.4 million Class A-8 at AAA (sf)
-- $249.4 million Class A-9 at AAA (sf)
-- $266.0 million Class A-10 at AAA (sf)
-- $266.0 million Class A-11 at AAA (sf)
-- $266.0 million Class A-12 at AAA (sf)
-- $49.9 million Class A-13 at AAA (sf)
-- $49.9 million Class A-14 at AAA (sf)
-- $49.9 million Class A-15 at AAA (sf)
-- $16.6 million Class A-16 at AAA (sf)
-- $16.6 million Class A-17 at AAA (sf)
-- $16.6 million Class A-18 at AAA (sf)
-- $66.5 million Class A-19 at AAA (sf)
-- $66.5 million Class A-20 at AAA (sf)
-- $66.5 million Class A-21 at AAA (sf)
-- $66.5 million Class A-22 at AAA (sf)
-- $66.5 million Class A-23 at AAA (sf)
-- $66.5 million Class A-24 at AAA (sf)
-- $83.1 million Class A-25 at AAA (sf)
-- $83.1 million Class A-26 at AAA (sf)
-- $83.1 million Class A-27 at AAA (sf)
-- $133.0 million Class A-28 at AAA (sf)
-- $133.0 million Class A-29 at AAA (sf)
-- $133.0 million Class A-30 at AAA (sf)
-- $41.9 million Class A-31 at AAA (sf)
-- $41.9 million Class A-32 at AAA (sf)
-- $41.9 million Class A-33 at AAA (sf)
-- $374.4 million Class A-34 at AAA (sf)
-- $374.4 million Class A-35 at AAA (sf)
-- $374.4 million Class A-36 at AAA (sf)
-- $374.4 million Class A-X-1 at AAA (sf)
-- $332.6 million Class A-X-2 at AAA (sf)
-- $332.6 million Class A-X-3 at AAA (sf)
-- $332.6 million Class A-X-4 at AAA (sf)
-- $199.5 million Class A-X-5 at AAA (sf)
-- $199.5 million Class A-X-6 at AAA (sf)
-- $199.5 million Class A-X-7 at AAA (sf)
-- $249.4 million Class A-X-8 at AAA (sf)
-- $249.4 million Class A-X-9 at AAA (sf)
-- $249.4 million Class A-X-10 at AAA (sf)
-- $266.0 million Class A-X-11 at AAA (sf)
-- $266.0 million Class A-X-12 at AAA (sf)
-- $266.0 million Class A-X-13 at AAA (sf)
-- $49.9 million Class A-X-14 at AAA (sf)
-- $49.9 million Class A-X-15 at AAA (sf)
-- $49.9 million Class A-X-16 at AAA (sf)
-- $16.6 million Class A-X-17 at AAA (sf)
-- $16.6 million Class A-X-18 at AAA (sf)
-- $16.6 million Class A-X-19 at AAA (sf)
-- $66.5 million Class A-X-20 at AAA (sf)
-- $66.5 million Class A-X-21 at AAA (sf)
-- $66.5 million Class A-X-22 at AAA (sf)
-- $66.5 million Class A-X-23 at AAA (sf)
-- $66.5 million Class A-X-24 at AAA (sf)
-- $66.5 million Class A-X-25 at AAA (sf)
-- $83.1 million Class A-X-26 at AAA (sf)
-- $83.1 million Class A-X-27 at AAA (sf)
-- $83.1 million Class A-X-28 at AAA (sf)
-- $133.0 million Class A-X-29 at AAA (sf)
-- $133.0 million Class A-X-30 at AAA (sf)
-- $133.0 million Class A-X-31 at AAA (sf)
-- $41.9 million Class A-X-32 at AAA (sf)
-- $41.9 million Class A-X-33 at AAA (sf)
-- $41.9 million Class A-X-34 at AAA (sf)
-- $374.4 million Class A-X-35 at AAA (sf)
-- $374.4 million Class A-X-36 at AAA (sf)
-- $374.4 million Class A-X-37 at AAA (sf)
-- $5.3 million Class B-1 at AA (sf)
-- $5.3 million Class B-1A at AA (sf)
-- $5.3 million Class B-X-1 at AA (sf)
-- $4.7 million Class B-2 at A (sf)
-- $4.7 million Class B-2A at A (sf)
-- $4.7 million Class B-X-2 at A (sf)
-- $2.3 million Class B-3 at BBB (sf)
-- $2.3 million Class B-4 at BB (sf)
-- $0.8 million Class B-5 at B (sf)

Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24,
A-X-25, A-X-26, A-X-27, A-X-28, A-X-29, A-X-30, A-X-31, A-X-32,
A-X-33, A-X-34, A-X-35, A-X-36, A-X-37, B-X-1, and B-X-2 are
interest-only certificates. The class balances represent notional
amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12,
A-13, A-14, A-16, A-17, A-19, A-20, A-21, A-22, A-23, A-25, A-26,
A-27, A-28, A-29, A-30, A-31, A-32, A-34, A-35, A-36, A-X-2, A-X-3,
A-X-4, A-X-5, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14,
A-X-17, A-X-20, A-X-21, A-X-22, A-X-23, A-X-26, A-X-27, A-X-28,
A-X-29, A-X-30, Class A-X-31, Class A-X-32, A-X-35, A-X-36, A-X-37,
B-1, and B-2 are exchangeable certificates. These classes can be
exchanged for combinations of initial exchangeable certificates as
specified in the offering documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, A-20, A-21, A-22,
A-23, A-24, A-25, A-26, A-27, A-28, A-29, and A-30 certificates are
super-senior certificates. These classes benefit from additional
protection from the senior support certificates (Classes A-31,
A-32, and A-33) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 4.30% of credit
enhancement provided by subordinated certificates. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 2.95%, 1.75%,
1.15%, 0.55%, and 0.35% of credit enhancement, respectively.

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

This deal is a securitization of a portfolio of first-lien,
fixed-rate prime residential mortgages funded by the issuance of
the Mortgage Pass-Through Certificates (the Certificates). The
Certificates are backed by 426 loans with a total principal balance
of $391,265,956 as of the Cut-Off Date (September 1, 2021).

Guaranteed Rate, Inc. (Guaranteed Rate or GRI), as the Sponsor,
began issuing prime jumbo securitizations from its RATE shelf in
early 2021 and this transaction represents the third prime jumbo
RATE deal. The pool consists of fully amortizing fixed-rate
mortgages (FRMs) with original terms to maturity of primarily 30
years and a weighted-average (WA) loan age of one month.
Approximately 82.0% of the pool are traditional, nonagency, prime
jumbo mortgage loans, which includes loans that were underwritten
using an automated underwriting system (AUS) designated by Fannie
Mae (45.4%), but may be ineligible for purchase by such agencies
because of loan size. The remaining 18.0% of the pool are
conforming mortgage loans that were underwritten using an agency
AUS and were eligible for purchase by such agencies. Details on the
underwriting of conforming loans can be found in the Key
Probability of Default Drivers section.

All of the mortgage loans were originated by Guaranteed Rate.
Guaranteed Rate is also the Servicing Administrator and Sponsor of
the transaction. The loans will be serviced by ServiceMac, LLC.
Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Negative trend
by DBRS Morningstar) will act as the Master Servicer, Securities
Administrator, and Certificate Registrar. Deutsche Bank National
Trust Company will act as the Custodian. Wilmington Savings Fund
Society, FSB will serve as Trustee.

Similar to the prior RATE securitizations, the Servicing
Administrator will fund advances of delinquent principal and
interest (P&I) on any mortgage until such loan becomes 120 days
delinquent or such P&I advances are deemed to be unrecoverable by
the Servicer or the Master Servicer (Stop-Advance Loan). The
Servicing Administrator will also fund advances in respect of
taxes, insurance premiums, and reasonable costs incurred in the
course of servicing and disposing properties.

The interest entitlements for each class in this transaction are
reduced reverse sequentially by the delinquent interest that would
have accrued on the Stop-Advance Loans. In other words, investors
are not entitled to any interest on such severely delinquent
mortgages, unless such interest amounts are recovered. The
delinquent interest recovery amounts, if any, will be distributed
sequentially to the P&I certificates.

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

The Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 to 120 days delinquent
under the Mortgage Bankers Association (MBA) method at a price
equal to par plus interest and unreimbursed servicing advance
amounts, provided that such repurchases in aggregate do not exceed
10% of the total principal balance as of the Cut-Off Date.

For this transaction, three loans (0.8% of the pool by balance) are
in counties designated by the Federal Emergency Management Agency
(FEMA) as having been affected by a natural disaster, not related
to the Coronavirus Disease (COVID-19), as of September 16, 2021.
The Sponsor has elected to obtain third-party property disaster
inspection (PDI) reports for such FEMA zone loans, and for any FEMA
zone loan where the PDI indicates material damage, the Sponsor will
effect a remedy for the breach of the damage representation.

CORONAVIRUS PANDEMIC IMPACT

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

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

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



SANDSTONE PEAK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Sandstone
Peak Ltd.'s fixed- and 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 Nov. 3,
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

  Sandstone Peak Ltd.

  Class A-1, $279.00 million: AAA (sf)
  Class A-2, $9.00 million: Not rated
  Class B-1, $46.50 million: AA (sf)
  Class B-2, $7.50 million: AA (sf)
  Class C (deferrable), $27.00 million: A (sf)
  Class D (deferrable), $24.75 million: BBB- (sf)
  Class E (deferrable), $16.88 million: BB- (sf)
  Subordinated notes, $43.35 million: Not rated



SG RESIDENTIAL 2021-2: S&P Assigns 'B-' Rating on Class B-2 Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its 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.

S&P said, "After we assigned preliminary ratings on Oct. 21, 2021,
the collateral pool and bond sizes were updated to reflect one loan
that was paid off and removed from the pool. Our loss coverage
estimates went up by 10 basis points (bps) for the 'AAA (sf)'
rating and five bps for the 'AA+ (sf)', 'AA (sf)', 'AA- (sf)', 'A+
(sf)', 'A (sf)', 'A- (sf)', 'BBB+ (sf)', and 'BB (sf)' ratings. The
resized bonds reflect a higher credit enhancement for all rated
classes. After analyzing the updated collateral pool and bond
structure, we assigned final ratings that are unchanged from the
preliminary ratings we assigned for all classes."

The 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.

  Ratings Assigned

  SG Residential Mortgage Trust 2021-2

  Class A-1, $157,452,000: AAA (sf)
  Class A-2, $16,122,000: AA (sf)
  Class A-3, $26,300,000: A (sf)
  Class M-1, $10,405,000: BBB (sf)
  Class B-1, $8,462,000: BB (sf)
  Class B-2, $6,517,000: B- (sf)
  Class B-3, $3,431,677: Not rated
  Class B-3-C, $3,431,677: 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, not applicable: Not rated
  Class LT-R, not applicable: 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).



SIGNAL PEAK 4: S&P Assigns B- (sf) Rating on Class F-R Notes
------------------------------------------------------------
S&P Global Ratings assigned ratings to the class A-R, B-R, C-R,
D-R, E-R, and F-R replacement notes and the 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. At the same time, S&P withdrew its ratings on the
original class A, B, C, D, E, and F notes following payment in full
on the Oct. 26, 2021, refinancing date.

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

-- The replacement class A-R notes were 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 were
issued at a higher spread over three-month LIBOR than the original
notes.

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

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

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

-- The class X-R notes were 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 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

  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

  Ratings Withdrawn

  Signal Peak CLO 4 Ltd./Signal Peak CLO 4 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)'
  Class F, to NR from 'B- (sf)'

  NR--Not rated.



SKOPOS AUTO 2019-1: DBRS Confirms B Rating on Class E Notes
-----------------------------------------------------------
DBRS, Inc. upgraded four ratings, confirmed two ratings, and
discontinued one rating due to repayment from two Skopos Auto
Receivables Trust transactions.

Skopos Auto Receivables Trust 2018-1

-- Class C Notes Upgraded AAA (sf)
-- Class D Notes Upgraded BB (high)

Skopos Auto Receivables Trust 2019-1

-- Class B Notes Upgraded AAA (sf)
-- Class C Notes Upgraded AA (sf)
-- Class D Notes Confirmed BB (sf)
-- Class E Notes Confirmed B (sf)

The rating actions are based on the following analytical
considerations:

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

-- The collateral performance to date and DBRS Morningstar's
assessment of future performance, including upward revisions to the
expected cumulative net loss (CNL) assumptions.

-- The transaction parties' capabilities with regard to
servicing.

-- The transactions' capital structure and form and sufficiency of
available credit enhancement. The current level of hard credit
enhancement and estimated excess spread are sufficient to support
the DBRS Morningstar-projected remaining CNL assumption at a
multiple of coverage commensurate with the ratings.

Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (May 26, 2021), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



SLM STUDENT 2008-3: Fitch Lowers Rating on 2 Tranches to 'D'
------------------------------------------------------------
Fitch Ratings has downgraded the ratings assigned to the
outstanding notes of SLM Student Loan Trust (SLM) 2008-3 to 'Dsf'.
The 'Dsf' rating reflects the default on the senior notes in the
payment of their outstanding principal on their legal final
maturity date of Oct. 25, 2021.

Fitch downgraded the class B notes to 'Dsf' as interest payments
have been diverted to the class A notes until payment in full,
given the provisions in the indenture that change the cashflow
waterfall while an event of default is continuing. Under the terms
of the indenture non-payment of class B notes also constitutes an
event of default.

Fitch will continue monitoring remedies to the occurrence of the
event of default implemented by the noteholders or transaction
parties, as provided under the trust indenture, and take any
additional rating action based on the impact of those remedies as
needed.

    DEBT             RATING           PRIOR
    ----             ------           -----
SLM Student Loan Trust 2008-3

A-3 78444GAC8    LT Dsf  Downgrade    CCCsf
B 78444GAD6      LT Dsf  Downgrade    CCCsf

KEY RATING DRIVERS

Effects of Event of Default for Class A-3: Fitch downgraded the
outstanding senior A-3 class of SLM 2008-3 to 'Dsf' due to an event
of default on the legal final maturity date of this class of notes.
The notes will remain at 'Dsf' so long as the event of default is
continuing. According to the trust indenture, the event of default
may result in acceleration of the notes as declared by the
indenture trustee or by a majority of noteholders. The event of
default may also result in a liquidation of the trust depending
upon the remedies decided upon by the noteholders or the indenture
trustee, in accordance with the terms of the trust indenture. Under
Fitch's base case cashflow analysis, the outstanding notes on the
class A-3 are eventually paid in full with no principal shortfall
in this scenario.

Effects of Event of Default for Class B: Pursuant to the trust
indenture, the trust has switched to a post-event of default
waterfall following the default of the class A-3 notes, directing
all payments to the class A-3 notes until the balance is paid in
full. Therefore, the class B notes are not receiving interest, and
because of this diversion of interest Fitch has downgraded the
class B notes to 'Dsf' from 'CCCsf'.

RATING SENSITIVITIES

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

-- Upon the occurrence of the event of default, all notes will
    remain at 'Dsf' so long as the event of default is continuing.

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

-- Upon the occurrence of the event of default, all notes will
    remain at 'Dsf' so long as the event of default is continuing.
    Fitch expects the class B notes to be upgraded once the event
    of default is no longer continuing.

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.


SLM STUDENT 2008-4: Fitch Lowers Rating on 2 Tranches to CC
-----------------------------------------------------------
Fitch Ratings has downgraded the outstanding notes of SLM Student
Loan Trust 2007-7, 2008-1 and 2008-4.

     DEBT             RATING           PRIOR
     ----             ------           -----
SLM Student Loan Trust 2008-4

A-4 78445AAD8    LT CCsf  Downgrade    Bsf
B-1 78445AAE6    LT CCsf  Downgrade    Bsf

SLM Student Loan Trust 2007-7

A-4 78444EAD1    LT CCsf  Downgrade    Bsf
B 78444EAE9      LT CCsf  Downgrade    Bsf

SLM Student Loan Trust 2008-1

A-4 784439AD3    LT CCsf  Downgrade    Bsf
B 784439AE1      LT CCsf  Downgrade    Bsf

TRANSACTION SUMMARY

Fitch downgraded the class A and B notes of SLM 2007-7, 2008-1 and
2008-4 due to the legal final maturity date of the class A-4 notes
being approximately three months away in January 2022 for SLM
2007-7 and 2008-1 and less than 10 months in July 2022 for SLM
2008-4. The repayment by the legal final maturity date is unlikely
under Fitch's maturity stress scenarios without an extension of the
outstanding class A-4 legal final maturity date or without support
from the sponsor. Rating Watch Negative is removed from 2008-1.

If the class A notes miss their legal final maturity dates this
constitutes an event of default on each transaction's indenture,
which would result in diversion of interest from the class B notes
to pay class A notes until paid in full. This would cause the class
B notes to default as well. These classes are eventually paid in
full under Fitch's stressed cashflow analysis.

Each trust has entered into a revolving credit agreement with
Navient by which it may borrow funds at maturity in order to pay
off the notes. Due to the short amount of time to the legal final
maturity of the class A-4 notes, Fitch decreased the qualitative
credit to the revolving credit agreement available to the trust. If
this revolving credit facility is utilized it will result in
positive rating pressure to these transactions. Furthermore,
Navient has requested investor consent to extend the legal final
maturity dates for these transactions, which if approved by 100% of
shareholders would also lead to positive rating actions.

KEY RATING DRIVERS

U.S. Sovereign Risk: The trust collateral comprises Federal Family
Education Loan Program (FFELP) loans, with guaranties provided by
eligible guarantors and reinsurance provided by the U.S. Department
of Education for at least 97% of principal and accrued interest.
The U.S. sovereign rating is currently 'AAA'/Negative.

Collateral Performance for 2007-7: Based on transaction-specific
performance to date, Fitch assumes a cumulative default rate of
28.75% under the base case scenario and an 86.25% default rate
under the 'AAAsf' credit stress scenario. Fitch is maintaining a
sustainable constant default rate (sCDR) of 4.5% and a sustainable
constant prepayment rate (sCPR; voluntary & involuntary) of 11.5%.

The claim reject rate is assumed to be 0.25% in the base case and
2.0% in the 'AAA' case. The TTM levels of deferment, forbearance
and income-based repayment (IBR; prior to adjustment) are 6.5%,
17.9% and 28.5%, respectively, and are used as the starting point
in cash flow modeling. Subsequent declines and increases are
modeled as per criteria. The borrower benefit is assumed to be
approximately 0.03%, based on information provided by the sponsor.

Collateral Performance for 2008-1: Based on transaction-specific
performance to date, Fitch assumes a cumulative default rate of
35.0% under the base case scenario and an 100.0% default rate under
the 'AAAsf' credit stress scenario. Fitch is maintaining a sCDR of
5.2% and a sCPR (voluntary & involuntary) of 11.0%.

The claim reject rate is assumed to be 0.25% in the base case and
2.0% in the 'AAA' case. The TTM levels of deferment, forbearance
and IBR (prior to adjustment) are 6.6%, 19.1% and 26.0%,
respectively, and are used as the starting point in cash flow
modeling. Subsequent declines and increases are modeled as per
criteria. The borrower benefit is assumed to be approximately
0.02%, based on information provided by the sponsor.

Collateral Performance for 2008-4: Based on transaction-specific
performance to date, Fitch assumes a cumulative default rate of
27.0% under the base case scenario and an 81.0% default rate under
the 'AAAsf' credit stress scenario. Fitch is maintaining a sCDR of
4.0% and a sCPR (voluntary & involuntary) of 11.0%.

The claim reject rate is assumed to be 0.25% in the base case and
2.0% in the 'AAA' case. The TTM levels of deferment, forbearance
and IBR (prior to adjustment) are 5.9%, 18.5% and 25.6%,
respectively, and are used as the starting point in cash flow
modeling. Subsequent declines and increases are modeled as per
criteria. The borrower benefit is assumed to be approximately
0.05%, based on information provided by the sponsor.

Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for Special Allowance Payments and the securities. As
of October 2021, the majority of the loans are indexed to one month
LIBOR. All notes are indexed to three-month LIBOR. Fitch applies
its standard basis and interest rate stresses to this transaction
as per criteria.

Payment Structure for 2007-7: Credit enhancement (CE) is provided
by excess spread and, for the class A notes, subordination. As of
October 2021, senior and total effective parity ratios (including
the reserve) are 125.55% (20.35% CE) and 100.61% (0.64% CE).
Liquidity support is provided by a reserve account initially sized
at 0.25% of the outstanding pool balance and is currently sized at
its floor of $1,951,617. The trust will to release cash as long as
100.0% total parity is maintained.

Payment Structure for 2008-1: CE is provided by excess spread and,
for the class A notes, subordination. As of October 2021, senior
and total effective parity ratios (including the reserve) are
121.84% (17.93% CE) and 100.57% (0.57% CE). Liquidity support is
provided by a reserve account initially sized at 0.25% of the
outstanding pool balance and is currently sized at its floor of
$1,499,914. The trust will release cash as long as 100.0% total
parity is maintained.

Payment Structure for 2008-4: CE is provided by
overcollateralization, excess spread and, for the class A notes,
subordination. As of October 2021, senior and total effective
parity ratios (including the reserve) are 127.9% (21.81% CE) and
103.20% (0.3.10% CE). Liquidity support is provided by a reserve
account initially sized at 0.25% of the outstanding pool balance
and is currently sized at its floor of $999,985. The trust will
release cash as long as 102.55% total parity is maintained.

Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, LLC. Fitch believes Navient to be an acceptable
servicer, due to its extensive track record as the largest servicer
of FFELP loans.

RATING SENSITIVITIES

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

SLM Student Loan Trust 2007-7, 2008-1, 2008-4

-- 'AAAsf' rated tranches of most FFELP securitizations will
    likely move in tandem with the U.S. sovereign rating given the
    strong linkage to the U.S. sovereign, by nature of the
    reinsurance provided by the Department of Education. Aside
    from the U.S. sovereign rating, defaults, basis risk and loan
    extension risk account for the majority of the risk embedded
    in FFELP student loan transactions.

Credit Stress Rating Sensitivity

-- Default increase 25%: class A 'CCsf'; class B 'CCsf';

-- Default increase 50%: class A 'CCsf'; class B 'CCsf';

-- Basis Spread increase 0.25%: class A 'CCsf'; class B 'CCsf';

-- Basis Spread increase 0.50%: class A 'CCsf'; class B 'CCsf'.

Maturity Stress Rating Sensitivity

-- CPR decrease 25%: class A 'CCsf'; class B 'CCsf';

-- CPR decrease 50%: class A 'CCsf'; class B 'CCsf';

-- IBR Usage increase 25%: class A 'CCsf'; class B 'CCsf';

-- IBR Usage increase 50%: class A 'CCsf'; class B 'CCsf';

-- Remaining Term increase 25%: class A 'CCsf'; class B 'CCsf';

-- Remaining Term increase 50%: class A 'CCsf'; class B 'CCsf'.

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

SLM Student Loan Trust 2007-7, 2008-1, 2008-4

-- The current ratings are most sensitive to Fitch's maturity
    risk scenario; therefore, an extension of the legal final
    maturity date of the A-4 notes, which would effectively
    mitigate the maturity risk in Fitch's cash flow modeling,
    would result in upward rating pressure. Additional secondary
    factors that may lead to a positive rating action are:
    material increases in the payment rate and/or a material
    reduction in the weighted average remaining loan term.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. Fitch conducts credit and maturity stress
sensitivity analysis by increasing or decreasing key assumptions by
25% and 50% over the base case. The credit stress sensitivity is
viewed by stressing both the base case default rate and the basis
spread. The maturity stress sensitivity is viewed by stressing
remaining term, IBR usage and prepayments. The results below should
only be considered as one potential outcome, as the transaction is
exposed to multiple dynamic risk factors. It should not be used as
an indicator of possible future performance.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


SOLRR AIRCRAFT 2021-1: Moody's Gives (P)Ba3 Rating to Serie C Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
series A, B and C notes (the notes) to be issued by Solrr Aircraft
2021-1 LLC (SOLRR USA) and SOLRR Aircraft 2021-1 Limited (SOLRR
Ireland) (together the issuers). The ultimate assets backing the
rated notes will consist primarily of a portfolio of aircraft and
their related initial and future leases. The cash flows from the
initial and subsequent leases and proceeds from aircraft
dispositions (aircraft sales and part outs) will be the primary
source of payment on the notes. As of the cut-off date, the initial
assets will consist of 22 aircraft subject to initial leases to 10
lessees domiciled in eight countries. An affiliate of Sculpor
Capital LP (Sculptor) will be sponsor of the transaction and
initial E note holder. Stratos Aircraft Management Limited
(Stratos) will be servicer of the underlying assers, with Altavair
L.P. (Altavair) being the sub-servicer of the five Delta aircraft.

The issuers will use the proceeds from the issuance to acquire the
initial aircraft owning entities (AOE) that own the aircraft.

The complete rating actions are as follows:

Issuer: SOLRR Aircraft 2021-1 Limited

Series A Notes, Assigned (P)A1 (sf)

Series B Notes, Assigned (P)Baa2 (sf)

Series C Notes, Assigned (P)Ba3 (sf)

RATINGS RATIONALE

The provisional note ratings are based on (1) the credit quality of
the underlying aircraft portfolio which include mainly young
narrowbody aircraft, the strong initial contractual cash flows from
scheduled lease payments and end-of-lease payments and the expected
cash flows from subsequent leases, (2) the transaction's structure
and priority of payments, (3) the ability, experience and expertise
of Stratos and Altavair as servicer and sub-servicer, (4) the
results of Moody's quantitative modeling analyses, including
sensitivity analyses with respect to certain assumptions, (5)
Moody's assessed initial cumulative loan-to-value (CLTV) ratios for
each series of notes, (6) improving, albeit still challenging,
operating environment that heightens asset risks, and (7)
qualitative considerations for risks related to asset diversity,
legal, operational, country, data quality, bankruptcy remoteness,
and ESG (environmental, social and governance) factors, among
others.

The series A, B and C notes have initial Moody's CLTV ratios of
approximately 78.6%, 91.5% and 100.9%, respectively. Moody's
assumed value reflects the minimum of several third-party
appraisers' initial half-life market values, adjusted by a portion
of the appraised maintenance adjustment. Moody's CLTV ratio
reflects the loan-to-value ratio of the combined amounts of each
series of notes and the series that are senior to it.

Sculptor projects that, as of the transaction closing date,
subsidiaries of SOLRR USA and SOLRR Ireland will acquire 13 of the
aircraft from Lunar Aircraft HoldCo Limited and certain of its
subsidiaries or affiliates (the seller), although the seller
currently owns six of the aircraft. The sellers will sell the AOEs
that own the aircraft to the issuer during the nine-month purchase
period. The remaining nine aircraft will be acquired from third
party sellers after the transaction closing date, increasing the
risk of novation of these aircraft. The risk of pool composition
deterioration due to failed novations is mitigated by a relatively
homogenous pool composition and structural features such as the
aircraft substitution criteria.

Other considerations and modeling assumptions Moody's applied in
the analysis of this transaction include:

Liquid narrowbody aircraft, which make up 100% of the pool to be
securitized, are considered strong leasing assets owing to their
large diversified installed or expected operator bases.The pool
includes a relatively homogeneous mix of new technology (30.5%),
mostly young (91%) aircraft, with a weighted average (WA) remaining
lease term of 6.4 years. The long leases should support contractual
cash flows through the pandemic.

The pool consists of 22 aircraft on lease to 10 lessees in eight
countries. The largest one and three lessees represent 24% and
58.3% of the portfolio, respectively. Around 48% of the initial
contractual lease rent comes from airlines that are rated
investment grade. Moody's obtained credit estimates for the
remaining airlines. All lessees are current on their rental
payments. Additionally, a majority of the aircraft in the portfolio
(95%) have leases that will expire after 2023, when Moody's expects
a recovery in global air travel demand to pre-pandemic (2019)
levels, thus protecting the transaction from COVID-19-related
re-leasing risks. Around 81% of the initial aircraft are leased to
airlines domiciled in the U.S., developed Europe and Asia Pacific.

Noteholders will benefit from any end of lease (EOL) payments
received from certain lessees at the end of their leases. Based on
projections from the appraisal firm, Alton, the aggregate projected
EOL payments from the lessees total $128 million, or 18% of the
aggregate note balance. In its analysis, Moody's gave partial
credit to the EOL payments.

QUANTITATIVE MODELING ASSUMPTIONS

Initial value: Moody's initial assumed value of the aircraft in the
portfolio is $700.4 million.

Lessee defaults: Moody's inferred the probability of default of
each initial airline using either its (1) actual credit rating
where available, having a WA rating of around Ba1, or (2) credit
estimate. Moody's assumed a subsequent lessee has a default risk
equivalent to a low speculative-grade rating of B3.

Out-of-production adjustment: 12 years for the new technology
aircraft; 24 months for the current technology A320-200, A321-200,
B737-800 and B737-900ER.

Payment deferrals: Moody's assumed that 25% of the next 24 months
of lease rent under long term leases to airlines in Asia and Latin
America was deferred, reflecting current market conditions in those
regions, and 100% of the deferred rent was recovered in the
following 12 months of the respective leases. Additionally, Moody's
cash flow modeling analyses reflects the current reduced rent that
two lessees are paying as part of their deferral plan.

ENVIRONMENTAL RISK: The environmental risk for this aircraft lease
transaction is moderate owing to current and future carbon and air
emission regulations for airplanes, which could reduce demand for
these aircraft or relegate older aircraft to airlines with lower
credit quality. The risk is partially mitigated in this transaction
owing to the young pool of new technology aircraft.

SOCIAL RISK: The social risk for this transaction is moderate.
Aircraft lease ABS are exposed to social risks that could decrease
demand for aircraft, reducing the revenue available to repay the
notes. Demographic shifts can affect air travel demand, and in turn
aircraft values and lease rates. A health pandemic, terrorism, or a
global or regional economic slowdown could result in a sharp
decline in air travel demand growth, which could reduce demand for
aircraft or weaken the credit profiles of the airlines that are
lessees in the securitization. The coronavirus pandemic will
continue to have a residual impact on the ongoing performance of
aircraft lease ABS as the US economy continues on the path toward
normalization. Economic activity will continue to strengthen in
2021 because of several factors, including the rollout of vaccines,
growing household consumption and an accommodative central bank
policy. However, specific sectors and individual businesses will
remain weakened by extended pandemic related restrictions. Moody's
regard the coronavirus outbreak as a social risk under its ESG
framework, given the substantial implications for public health and
safety. Moody's regard the coronavirus outbreak as a social risk
under its ESG framework, given the substantial implications for
public health and safety.

GOVERNANCE RISK: This securitization's governance risk is moderate
and typical of other aircraft lease transactions in the market. As
described in Moody's publication "Governance considerations are a
key determinant of credit quality for all issuers," September 2019,
Moody's examine five governance considerations in Moody's
analysis.

1) Financial strategy and risk management -- this transaction
limits the ability of the issuers and their respective subsidiary
asset entities to engage in activities other than the ones related
to the underlying assets and this transaction, including in respect
of the issuance of additional notes and other actions.

2) Management credibility and track record -- while the sponsor and
servicer are not rated by Moody's, the legal structure and
documentation of the transaction mitigates the governance risk.

3) The organizational/transaction structure -- this transaction's
trust and issuer groups are structured as bankruptcy remote special
purpose entities that could have misalignment of interests among
the transaction parties, and specifically between the holder(s) of
the series E notes and the noteholders. For instance, the issuers'
board of directors of which the majority is appointed by the E note
holders could approve aircraft sales that are disadvantageous to
noteholders in order to unlock the equity.

4) The board structure -- includes a board of directors for the
issuers, with one independent director, that makes decisions that
will maximize the value of the collateral, such as engaging a
successor servicer upon termination of the servicer and selling
aircraft, and an independent trustee, managing agent, and paying
agent. However, the requirement for independent director is
somewhat weaker than those of many other ABS transactions Moody's
rate.

5) Compliance and reporting -- Moody's will consider the
sufficiency and frequency of this securitization's reporting in the
form of servicing reports.

In addition, Moody's note that this securitization has no objective
servicer standard of care for the servicer. The servicer may have
potential conflicts of interests in servicing the securitization
and other aircraft portfolios with similar aircraft assets.
However, the servicer covenants not to discriminate among the
various portfolios that Stratos manages, and the risk is further
mitigated because the servicer is independent of any class of
noteholders so would be less likely to make decisions that could
benefit equity at the expense of the senior notes.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Securities Backed by Aircraft and Associated
Leases" published in July 2020.

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

Up

Factors that could lead to an upgrade of the ratings on the notes
are (1) collateral cash flows that are significantly greater than
Moody's initial expectations, (2) significant improvement in the
credit quality of the airlines leasing the aircraft, and (3) slower
than expected deterioration in the value of the aircraft that
secure the transaction. Moody's updated expectations of collateral
cash flows may be better than its original expectations because of
lower frequency of default by the underlying lessees, recovery in
aircraft values owing to stronger global air travel demand, lower
than expected depreciation in the value of the aircraft that secure
the obligor's promise of payment, and higher realization of EOL
payments that are used to prepay the notes. As the primary drivers
of performance, positive changes in the global commercial aviation
industry could also affect the ratings.

Down

Factors that could lead to a downgrade of the ratings on the notes
are (1) collateral cash flows that are materially below Moody's
initial expectations, (2) a significant decline in the credit
quality of the airlines leasing the aircraft, and (3) greater than
expected deterioration in the value of the aircraft that secure the
transaction. Other reasons for worse-than-expected transaction
performance could include poor servicing of the assets, for example
sales disadvantageous to noteholders, or error on the part of
transaction parties.


SOUND POINT XXIV: Moody's Assigns Ba3 Rating to $22.5MM E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
CLO refinancing notes issued by Sound Point CLO XXIV, Ltd. (the
"Issuer").

Moody's rating action is as follows:

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

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

US$45,000,000 Class B-1-R Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

US$20,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2034,
Assigned Aa2 (sf)

US$25,500,000 Class C-1-R Mezzanine Secured Deferrable Floating
Rate Notes due 2034, Assigned A2 (sf)

US$4,500,000 Class C-2-R Mezzanine Secured Deferrable Fixed Rate
Notes due 2034, Assigned A2 (sf)

US$27,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

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

RATINGS RATIONALE

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

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

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

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

Performing par and principal proceeds balance: $500,000,000

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2826

Weighted Average Spread (WAS): 3.5%

Weighted Average Coupon (WAC): 7%

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.


SREIT TRUST 2021-IND: DBRS Gives Prov. B(low) Rating on F Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-IND to
be issued by SREIT Trust 2021-IND (SREIT 2021-IND), as follows:

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

All trends are Stable.

The SREIT Trust 2021-IND single-asset/single-borrower transaction
is collateralized by the borrowers' fee-simple interest in a
portfolio of 15 industrial properties totaling nearly 2.5 million
square feet. The portfolio is generally concentrated throughout
infill areas of the Phoenix (11 properties representing 83.0% of
the portfolio's allocated loan amount) and Las Vegas (four
properties representing 17.0% of the portfolio's net rentable area)
metropolitan statistical areas, both of which placed in the top 10
markets nationally in terms of population growth between 2017 and
2019 and are generally high-growth markets with favorable
industrial demand trends. DBRS Morningstar continues to take a
favorable view on the long-term growth and stability of the
warehouse and logistics sector, despite the uncertainties and risks
that the Coronavirus Disease (COVID-19) pandemic has created across
all commercial real estate asset classes. Increased consumer
reliance on e-commerce and home delivery during the pandemic has
only accelerated pre-pandemic consumer trends, and DBRS Morningstar
believes that retail's loss continues to be industrial's gain. The
portfolio benefits from favorable tenant granularity, strong
sponsor strength, favorable asset quality, and strong leasing
trends, all of which contribute to potential cash flow stability
over time.

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




STARWOOD MORTGAGE 2021-5: Fitch Gives 'B-(EXP)' Rating to B-2 Debt
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Starwood Mortgage
Residential Trust 2021-5.

DEBT                RATING
----                ------
STAR 2021-5

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
A-IO-S    LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by Starwood Mortgage Residential Trust
2021-5, Mortgage-Backed Certificates, Series 2021-5 (STAR 2021-5)
as indicated above. The certificates are supported by 644 loans
with a balance of approximately $421.01 million as of the cutoff
date. This will be the fourth Fitch-rated STAR transaction in
2021.

The certificates are secured primarily by mortgage loans that were
originated by third-party originators, with Luxury Mortgage
Corporation, HomeBridge Financial Services, Inc., CrossCountry
Mortgage LLC, and Hometown Equity Mortgage LLC sourcing 92.1% of
the pool. The remaining mortgage loans were originated by various
originators who contributed less than 5% each to the pool.

Of the loans in the pool, 54.2% are designated as nonqualified
mortgage (non-QM) and 45.7% are investment properties not subject
to the Ability to Repay (ATR) rule, while 0.1% of loans are
designated as QM.

There is very limited LIBOR exposure in this transaction. The
collateral consists of one adjustable-rate loan, which reference
one-year LIBOR, while the remaining adjustable-rate loans reference
one-month SOFR. The certificates are fixed rate and capped at the
net weighted average coupon.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Updated Sustainable
Home Prices: Due to Fitch's updated view on sustainable home
prices, Fitch views the home price values of this pool as 11% above
a long-term sustainable level (vs. 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-Prime Credit Quality (Mixed):The collateral consists mainly of
30-year, fixed-rate fully amortizing loans (63.4%). 21.0% are
adjustable rate loans (mainly 7/1 ARMs). The pool is seasoned
approximately five months in aggregate, as determined by Fitch. The
borrowers in this pool have strong credit profiles with a 741 WA
FICO score and 45% debt-to-income (DTI), as determined by Fitch,
and relatively high leverage with an original combined
loan-to-value (CLTV) of 66.8% that translates to a Fitch calculated
sustained LTV (sLTV) of 74.2%.

The borrowers in this pool have relatively strong credit profiles
with a 741 weighted average (WA) FICO score and 45% DTI ratio, as
determined by Fitch, and an original CLTV ratio of 66.8% that
translates to a Fitch-calculated sLTV ratio of 74.2%.

The Fitch DTI is higher than the DTI in the transaction documents
(non-zero DTI is 31.7% in the transaction documents), due to Fitch
assuming a 55% DTI for asset depletion loans and converting the
debt service coverage ratio (DSCR) to a DTI for the DSCR loans.

Of the pool, 50.5% consists of loans where the borrower maintains a
primary residence, while 49.5% comprises an investor property or
second home; 33.0% of the loans were originated through a retail
channel. Additionally, 54.2% are designated as non-QM, 0.1% are
designated as QM and 45.7% are exempt from QM because they are
investor loans.

The pool contains 133 loans over $1 million, with the largest being
$4.45 million. Self-employed non- DSCR borrowers make up 48.2% of
the pool, 9.6% are asset depletion loans and 38.1% are investor
cash flow DSCR loans.

Approximately 45.8% of the pool comprises loans on investor
properties (7.7% underwritten to the borrowers' credit profile and
38.1% comprising investor cash flow loans). Two-tenths of a percent
of the loans have subordinate financing, and there are no second
lien loans.

Two loans in the pool were underwritten to foreign nationals or
nonpermanent residents. Fitch treated these loans as being investor
occupied, having no documentation for income and employment, and
having no liquid reserves. Fitch assumed a FICO of 650 for
nonpermanent residents without a credit score.

Although the credit quality of the borrowers is higher than prior
non-QM transactions, the pool characteristics resemble nonprime
collateral, and therefore, the pool was analyzed using Fitch's
nonprime model.

Geographic Concentration (Negative): Approximately 61% of the pool
is concentrated in California. The largest MSA concentration is in
the Los Angeles-Long Beach-Santa Ana, CA MSA (35.2%), followed by
the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (12.2%)
and the Miami-Fort Lauderdale-Miami Beach MSA (6.5%). The top three
MSAs account for 53.9% of the pool. As a result, there was a 1.16x
PD penalty for geographic concentration which increased the 'AAA'
loss by 1.50%.

Loan Documentation (Negative): Approximately 86.9% of the pool was
underwritten to less than full documentation. 33.9% was
underwritten to a 12 or 24 month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program. A key distinction
between this pool and legacy Alt-A loans is that these loans adhere
to underwriting and documentation standards required under the
CFPB's Ability to Repay Rule (Rule), which reduces the risk of
borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigor
of the Rule's mandates with respect to the underwriting and
documentation of the borrower's ability to repay. Additionally,
9.6% is an Asset Depletion product, 0% is a CPA or PnL product, and
38.1% is DSCR product.

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

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

RATING SENSITIVITIES

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 42.2% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton Services LLC, and Recovco Mortgage
Management, LLC. The third-party due diligence described in Form
15E focused on compliance review, credit review, and valuation
review. Fitch considered this information in its analysis and, as a
result, Fitch did not make any adjustment(s) to its analysis due to
the due diligence findings. Based on the results of the 100% due
diligence performed on the pool, the overall expected loss was
reduced by 0.39%.

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,
Starwood Non-Agency Lending, LLC, engaged SitusAMC, Clayton
Services LLC, and Recovco Mortgage Management, LLC to perform the
review. Loans reviewed under these engagements were given
compliance, credit and valuation grades and assigned initial grades
for each subcategory.

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

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

ESG CONSIDERATIONS

STAR 2021-5 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk due to operational risk being well
controlled for in STAR 2021-5, strong transaction due diligence as
well as a 'RPS1-' Fitch-rated servicer, which resulted in a
reduction in expected losses and is relevant to the ratings in
conjunction with other factors.

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



VELOCITY COMMERCIAL 2021-3: DBRS Gives Prov. B Rating on 3 Classes
------------------------------------------------------------------
DBRS, Inc. assigned its provisional ratings to the Mortgage-Backed
Certificates, Series 2021-3 issued by Velocity Commercial Capital
Loan Trust 2021-3 (VCC 2021-3) as follows:

-- $139.7 million Class A at AAA (sf)
-- $139.7 million Class A-S at AAA (sf)
-- $139.7 million Class A-IO at AAA (sf)
-- $17.9 million Class M-1 at AA (low) (sf)
-- $17.9 million Class M1-A at AA (low) (sf)
-- $17.9 million Class M1-IO at AA (low) (sf)
-- $11.3 million Class M-2 at A (low) (sf)
-- $11.3 million Class M2-A at A (low) (sf)
-- $11.3 million Class M2-IO at A (low) (sf)
-- $9.6 million Class M-3 at BBB (sf)
-- $9.6 million Class M3-A at BBB (sf)
-- $9.6 million Class M3-IO at BBB (sf)
-- $5.6 million Class M-4 at BB (sf)
-- $5.6 million Class M4-A at BB (sf)
-- $5.6 million Class M4-IO at BB (sf)
-- $7.1 million Class M-5 at B (sf)
-- $7.1 million Class M5-A at B (sf)
-- $7.1 million Class M5-IO at B (sf)

Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, and M5-IO are
interest-only certificates. The class balances represent notional
amounts.

Classes A, M-1, M-2, M-3, M-4, and M-5 are exchangeable
certificates. These classes can be exchanged for combinations of
initial exchangeable certificates as specified in the offering
documents.

The AAA (sf) ratings on the Certificates reflect 31.60% of credit
enhancement provided by subordinated certificates. The AA (low)
(sf), A (low) (sf), BBB (sf), BB (sf), and B (sf) ratings reflect
22.85%, 17.30%, 12.60, 9.85%, and 6.35% of credit enhancement,
respectively.

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

VCC 2021-3 is a securitization of a portfolio of newly originated
fixed- and adjustable-rate, first-lien residential mortgages
collateralized by investor properties with one to four units
(residential investor loans) and small-balance commercial mortgages
(SBC) collateralized by various types of commercial, multifamily
rental, and mixed-use properties The Certificates are backed by 455
mortgage loans with a total principal balance of $204,205,367 as of
the Cut-Off Date (October 1, 2021).

Approximately 52.3% of the pool is comprised of residential
investor loans and about 47.7% of SBC loans. All of the loans in
this securitization (100.0% of the pool) were originated by
Velocity Commercial Capital, LLC (Velocity or VCC). The loans were
underwritten to program guidelines for business-purpose loans where
the lender generally expects the property (or its value) to be the
primary source of repayment (No Ratio). The lender reviews
mortgagor's credit profile, though it does not rely on the
borrower's income to make its credit decision. However, the lender
considers the property-level cash flows or minimum debt-service
coverage (DSCR) ratio in underwriting SBC loans with balances over
$750,000 for purchase transactions and over $500,000 for refinance
transactions. Since the loans were made to investors for business
purposes, they are exempt from the Consumer Financial Protection
Bureau's (CFPB's) Ability-to-Repay (ATR) rules and TILA-RESPA
Integrated Disclosure rule.

The pool is about one-month seasoned on a weighted average (WA)
basis, although seasoning may span from zero up to 12 months.
Except for nine loans (1.7% of the pool) that have missed one or
more payments, the loans have been performing since origination. Of
the eight loans that were delinquent, none have cured the
delinquency as of the Cut-Off Date and become current.

PHH Mortgage Corporation (PMC) will service all loans within the
pool for a servicing fee of 0.30% per annum. In addition, Velocity
will act as a Special Servicer servicing the loans that defaulted
or became 60 or more days delinquent under Mortgage Bankers
Association (MBA) method and other loans, as defined in the
transaction documents (Specially Serviced Loans). The Special
Servicer will be entitled to receive compensation based on an
annual fee of 0.75% and the balance of Specially Serviced Loans.
Also, the Special Servicer is entitled to a liquidation fee equal
to 2.00% of the net proceeds from the liquidation of a Specially
Serviced Loan, as described in the transaction documents.

The Servicer will fund advances of delinquent principal and
interest (P&I) until the advances deemed unrecoverable. Also, the
Servicer is obligated to make advances with respect to taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing properties.

U.S. Bank National Association (U.S. Bank; rated AA (high) by DBRS
Morningstar; Trend: Stable) will act as the Trustee, Paying Agent,
and Custodian.

The Sponsor, directly or indirectly through a majority-owned
affiliate, is expected to retain an eligible horizontal residual
interest consisting of the Class P and Class XS Certificates,
collectively representing at least 5% of the fair value of all
Certificates, 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 later of (1) the three year anniversary of the
Closing Date or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Closing Date
balance, the Depositor may purchase all outstanding Certificates
(Optional Purchase) at a price equal to the sum of the remaining
aggregate balance of the Certificates plus accrued and unpaid
interest, and any fees, expenses, and indemnity payments due and
unpaid to the transaction parties, including any unreimbursed P&I
and servicing advances, and other amounts due as applicable. The
Optional Purchase will be conducted concurrently with a qualified
liquidation of the Issuer.

Additionally, if on any date on which the unpaid mortgage loan
balance and the value of REO properties has declined to less than
10% of the initial mortgage loan balance as of the Cut-off Date,
the Directing Holder, the Special Servicer, or the Servicer, in
that order of priority, may purchase all of the mortgages, REO
properties, and any other properties from the Issuer (Optional
Termination) at a price specified in the transaction documents. The
Optional Termination will be conducted as a qualified liquidation
of the Issuer. The Directing Holder (initially, the Seller) is the
representative selected by the holders of more than 50% of the
outstanding subordinate certificates with the lowest priority of
principal distributions (the Controlling Class).

The transaction uses a structure sometimes referred to as a
modified pro rata structure. Prior to the Class A credit
enhancement (CE) falling below 10.0% of the loan balance as of the
Cut-off Date (Class A Minimum CE Event), the principal
distributions allow for amortization of all senior and subordinate
bonds based on CE targets set at different levels for performing
(same CE as at issuance) and nonperforming (higher CE than at
issuance) loans. Each Class' target principal balance is determined
based on the CE targets and the performing and nonperforming (those
that are 90 or more days MBA delinquent, in foreclosure and REO,
and subject to a servicing modification within the prior 12 months)
loan amounts. As such, the principal payments are paid on a pro
rata basis, up to each Class' target principal balance, so long as
no loans in the pool are nonperforming. If the share of
nonperforming loans grows the corresponding CE target increases.
Thus, the principal payment amount increases for the senior and
senior subordinate classes and falls for the more subordinate
bonds. The goal is to distribute the appropriate amount of
principal to the senior and subordinate bonds each month, to always
maintain the desired level of CE, based on the performing and
non-performing pool percentages. After the Class A Minimum CE
Event, the principal distributions are made sequentially.

Relative to the sequential pay structure, the modified pro rata
structure is more sensitive to the timing of the projected defaults
and losses as the losses may be applied at a time when the amount
of credit support is reduced as the bonds' principal balances
amortize over a life of the transaction. That said, the excess
spread can be used to cover realized losses after being allocated
to the unpaid net weighted average coupon shortfalls (Net WAC Rate
Carryover Amounts). Please see the Cash Flow Structure and Features
section of the report for more details.

COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY

Of the 153 loans, 151 loans, representing 99.7% of the small
balance commercial (SBC) portion of the pool, have a fixed interest
rate with a straight average of 7.88%. The two floating-rate loans
have interest rate floors (excluding rate margins) ranging from
4.49% to 4.99% with a straight average of 4.74% and interest rate
margins of 5.00%. To determine the probability of default (POD) and
loss given default (LGD) inputs in the CMBS Insight Model, DBRS
Morningstar applied a stress to the various indexes that
corresponded with the remaining fully extended term of the loans an
added the respective contractual loan spread to determine a
stressed interest rate over the loan term. DBRS Morningstar looked
to the greater of the interest rate floor or the DBRS Morningstar
stressed index rate when calculating stressed debt service. The
weighted-average (WA) modeled coupon rate was 7.58%. Most of the
loans have original loan term lengths of 30 years and fully
amortize over 30-year schedules. However, six loans that comprise
8.2% of the SBC pool have an initial IO period ranging from 60
months to 120 months and then fully amortize over shortened 20- to
25-year schedules.

All SBC loans were originated between June and August 2021,
resulting in minimal seasoning of 1.5 months on average. The SBC
pool has a WA original term length of 358.5 months, or 29.9 years.
Based on the current loan amount, which reflects approximately 11
basis points (bps) of amortization, and the current appraised
values, the SBC pool has a WA LTV ratio of 63.0%. However, DBRS
Morningstar made LTV adjustments to 28 loans that had an implied
capitalization rate more than 200 bps lower than a set of minimal
capitalization rates established by the DBRS Morningstar Market
Rank. The DBRS Morningstar minimum capitalization rates range from
5.0% for properties in Market Rank 8 to 8.0% for properties located
in Market Rank 1. This resulted in a higher DBRS Morningstar LTV of
74.0%. Lastly, all loans fully amortize over their respective
remaining terms, resulting in 100% expected amortization; this
amount of amortization is greater than what is typical for CMBS
conduit pools. DBRS Morningstar's research indicates that for CMBS
conduit transactions securitized between 2000 and 2019, average
amortization by year has ranged between 7.5% and 21.1%, with an
overall median rate of 18.8%.

As contemplated and explained in DBRS Morningstar's Rating North
American CMBS Interest-Only Certificates methodology, the most
significant risk to an IO cash flow stream is term default risk. As
noted in that methodology, for a pool of approximately 63,000 CMBS
loans that fully cycled through to their maturity defaults, DBRS
Morningstar noted that the average total default rate across all
property types was approximately 17%, the refinance default rate
was 6% (approximately one-third of the total rate), and the term
default rate was approximately 11%. DBRS Morningstar recognizes the
muted impact of refinance risk on IO certificates by notching the
IO rating up by one notch from the Reference Obligation rating.
When using the 10-year Idealized Default Table default probability
to derive a POD for a CMBS bond from its rating, DBRS Morningstar
estimates that, in general, a one-third reduction in the CMBS
Reference Obligation POD maps to a tranche rating that is
approximately one notch higher than the reference Obligation or the
Applicable Reference Obligation, whichever is appropriate.
Therefore, similar logic regarding term default risk supported the
rationale for DBRS Morningstar to reduce the POD in the CMBS
Insight Model by one notch because refinance risk is largely absent
for this SBC pool of loans.

The DBRS Morningstar CMBS Insight Model does not contemplate the
ability to prepay loans, which is generally seen as credit positive
because a prepaid loan cannot default. The CMBS predictive model
was calibrated using loans that have prepayment lockout features.
Those loans' historical prepayment performance is close to 0
conditional prepayment rate (CPR). If the CMBS predictive model had
an expectation of prepayments, DBRS Morningstar would expect the
default levels to be reduced. Any loan that prepays is removed from
the pool and can no longer default. This collateral pool does not
have any prepayment lockout features, and DBRS Morningstar expects
that this pool will have prepayments over the remainder of the
transaction. DBRS Morningstar applied the following to calculate a
default rate prepayment haircut: using Intex Dealmaker, a lifetime
constant default rate (CDR) was calculated that approximated the
default rate for each rating category. While applying the same
lifetime CDR, DBRS Morningstar applied a 2.0% CPR prepayment rate.
When holding the CDR constant and applying 2.0% CPR, the cumulative
default amount declined. The percentage change in the cumulative
default prior to and after applying the prepayments, subject to a
10.0% maximum reduction, was then applied to the cumulative default
assumption to calculate a fully adjusted cumulative default
assumption.

The SBC pool has a WA expected loss of 4.68%, which is lower than
recently analyzed comparable small-balance transactions.
Contributing factors to the low expected loss include pool
diversity, moderate leverage, and fully amortizing loans.

The SBC pool is quite diverse based on loan size, with an average
cut-off date loan balance of $636,327, a concentration profile
equivalent to that of a transaction with 70 equal-size loans, and a
top-10 loan concentration of 26.8%. Increased pool diversity helps
to insulate the higher-rated classes from event risk.

The loans are mostly secured by traditional property types (i.e.,
multifamily, retail, office, and industrial), with no exposure to
higher-volatility property types, such as hotels or other lodging
facilities.

All loans in the SBC pool fully amortize over their respective
remaining loan terms between 357 and 360 months, reducing refinance
risk.

As classified by DBRS Morningstar for modeling purposes, the SBC
pool contains a significant exposure to retail (20.4% of the SBC
pool) and a smaller exposure to office (15.7% of the SBC pool),
which are two of the higher-volatility asset types. Loans counted
as retail include those identified as automotive and potentially
commercial condominium. Combined, they represent more than
one-third of the SBC pool balance. Retail, which has struggled
because of the Coronavirus Disease (COVID-19) pandemic, comprises
the third-largest asset type in the transaction.

DBRS Morningstar applied a 20.0% reduction to the NCF for retail
properties and a 30.0% reduction for office assets in the SBC pool,
which is above the average NCF reduction applied for comparable
property types in CMBS analyzed deals.

Multifamily comprises the second-largest property type
concentration in the SBC pool (22.4%); based on DBRS Morningstar's
research, multifamily properties securitized in conduit
transactions have had lower default rates than most other property
types.

DBRS Morningstar did not perform site inspections on loans within
its sample for this transaction. Instead, DBRS Morningstar relied
upon analysis of third-party reports and online searches to
determine property quality assessments. Of the 50 loans DBRS
Morningstar sampled, 11 were Average quality (17.9%), 25 were
Average - (72.2%), 12 were Below Average (8.9%), and two were Poor
(1.0%).

DBRS Morningstar assumed unsampled loans were Average - quality,
which has a slightly increased POD level. This is more conservative
than the assessments from sampled loans and is consistent with
other small-balance commercial transactions.

Limited property-level information was available for DBRS
Morningstar to review. Asset summary reports, property condition
reports (PCRs), Phase I/II environmental site assessment (ESA)
reports, and historical cash flows were generally not available for
review in conjunction with this securitization.

DBRS Morningstar received and reviewed appraisals for the top 30
loans, which represent 50.2% of the SBC pool balance. These
appraisals were issued between January 2021 and August 2021 when
the respective loans were originated. DBRS Morningstar was able to
perform loan-level cash flow analysis on 29 of the top 30 loans.
The haircuts ranged from -3.8% to -81.1%, with an average of
-24.4%; however, DBRS Morningstar generally applied more
conservative haircuts on the unsampled loans.

No ESA reports were provided and are not required by the Issuer;
however, all of the loans are placed onto an environmental
insurance policy that provides coverage to the Issuer and the
securitization trust in the event of a claim.

DBRS Morningstar received limited borrower information, net worth
or liquidity information, and credit history.

DBRS Morningstar generally initially assumed loans had Weak
sponsorship scores, which increases the stress on the default rate.
The initial assumption of Weak reflects the generally less
sophisticated nature of small-balance borrowers and assessments
from past small-balance transactions.

Furthermore, DBRS Morningstar received a 12-month pay history on
each loan as of October 1, 2021. If any loan had more than two late
pays within this period or was currently 30 days past due, DBRS
Morningstar applied an additional stress to the default rate. This
occurred for only three loans, representing 3.5% of the SBC pool
balance.

Finally, DBRS Morningstar received a borrower FICO score as of
October 1, 2021, for all loans, with an average FICO score of 723.
While the CMBS Methodology does not contemplate FICO scores, the
RMBS Methodology does and would characterize a FICO score of 723 as
near-prime, whereas prime is considered greater than 750. Borrowers
with a FICO score of 723 could generally be described as
potentially having had previous credit events (foreclosure,
bankruptcy, etc.) but, if they did, it is likely that these credit
events were cleared about two to five years ago.

RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY

The collateral pool consists of 302 mortgage loans with a total
balance of approximately $106.8 million collateralized by one- to
four-unit investment properties. The mortgage loans were
underwritten by Velocity to No Ratio program guidelines for
business-purpose loans.

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

Such mortgage delinquencies were mostly in the form of
forbearances, which are generally short-term periods of payment
relief that may perform very differently from traditional
delinquencies. At the onset of the pandemic, the option to forbear
mortgage payments was widely available, driving forbearances to an
elevated level. When the dust settled, loans with
coronavirus-induced forbearance in 2020 performed better than
expected, thanks to government aid, low loan-to-value ratios
(LTVs), 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.



VINE 2020-1: DBRS Confirms BB Rating on Class C Notes
-----------------------------------------------------
DBRS, Inc. confirmed its ratings on the following classes of notes
issued by Vine 2020-1:

-- Class A at A (sf)
-- Class B at BBB (sf)
-- Class C at BB (sf)

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

-- Transaction capital structure, current rating, and form and
sufficiency of available credit enhancement.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay timely interest on a quarterly basis and
principal by the final maturity date.

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

-- The credit quality of the collateral pool and historical
performance as of June 2021, in addition to DBRS Morningstar's
assessment of future performance.

-- The transaction parties' capabilities in the film rights
exploitation space.

-- The operational history of Village Roadshow Entertainment Group
(VREG) and the strength of the overall company and its management
team.

-- The assets supporting this transaction are a combination of the
existing film library from VREG and the Virtual film library. The
transaction benefits from perpetual revenue generated from the
exploitation of the titles across various media platforms and
merchandising.

-- Because this is a film library transaction, there is no
production risk in the portfolios. All films have been released and
are through their theatrical windows.

Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (May 26, 2021), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



WELLS FARGO 2015-LC22: DBRS Confirms B Rating on Class F Certs
--------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2015-LC22 issued by Wells Fargo
Commercial Mortgage Trust 2015-LC22 as follows:

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

All trends are Stable, with the exception of Classes E, F, X-E, and
X-F, which maintained Negative trends as a reflection of the
potential for further declines in the outlook for the loans in the
pool that are in special servicing and on the servicer's watchlist
because of the effects of the Coronavirus Disease (COVID-19)
pandemic, as further detailed below. As of the September 2021
remittance, six loans are in special servicing and 22 loans are on
the servicer's watchlist, representing 5.8% and 27.8% of the pool,
respectively. In addition, the transaction is concentrated by
property type as retail and hospitality properties represent 21.9%
and 15.1% of the pool, respectively. These property types
experienced some of the worst initial effects of the pandemic with
forced closures and capacity limitations. While the overall
conditions have incrementally improved in the last year, there
remain risks as the pandemic's effects linger.

As of the September 2021 remittance, 94 of the original 100 loans
remain in the pool, representing a collateral reduction of 14.8%
since issuance. Ten loans, representing 13.2% of the current pool
balance, are fully defeased.

The largest loan in special servicing is the Clearwater Collection
loan (Prospectus ID#17; 1.5% of the current trust balance), which
is secured by a 134,00 square foot (sf) retail property in
Clearwater, Florida. The loan was transferred to the special
servicer in July 2018 because of a payment default. According to
the servicer, the sponsor, Gary J. Dragul, was indicted for
fraudulent activities unrelated to the subject asset in April 2018
and a receiver was appointed for all assets controlled by the
sponsor. However, the court-appointed receiver abandoned the
property in April 2020 and, as a result, the special servicer
appointed a new receiver. In March 2020, the largest tenant, LA
Fitness (33.5% of the net rentable area (NRA)), stopped paying rent
and has since defaulted on its lease, which was set to expire in
April 2022. Before the pandemic, LA Fitness indicated that it
planned to vacate the subject, but had agreed to continue paying
rent for the remainder of the lease. The sponsor had previously
filed a suit to retrieve rents owed by the tenant but it is
uncertain whether this is recoverable.

According to the YE2020 financials, the property was 54.4% occupied
with a debt service coverage ratio (DSCR) of 0.24 times (x). The
largest tenant is Floor & Decor Outlets of America, Inc., which
represents 48.9% of NRA with a lease expiring in May 2022. The
special servicer is currently pursuing a foreclosure and an update
regarding the status of the workout was requested from the
servicer. According to the July 2021 appraisal, the property was
valued at $10.8 million, which is a 41.6% decrease from the
issuance value of $18.5 million and is below the current loan
balance of $13.2 million. DBRS Morningstar analyzed this loan with
a liquidation scenario, which resulted in a loss severity in excess
of 35.0%.

The largest loan in the pool is 40 Wall Street (Prospectus ID#1;
9.7% of pool), which is secured by the leasehold interest in a 71
story, 1.2 million sf office building located at 40 Wall Street,
one block from the New York Stock Exchange in New York City. The
loan is on the watchlist for a low DSCR, with the trailing three
months ended March 31, 2021 figure reported at 0.88x compared with
the YE2020 DSCR of 1.25x and YE2019 DSCR of 1.67x. The decline in
net cash flow was mainly driven by a decrease in base rental
revenue as the borrower had offered rent concessions to some of its
tenants amid the pandemic while other tenants had delayed move-in
dates. According to the servicer, the borrower will not be
forgiving any rents and is expecting revenues to rebound.

According to the July 2021 rent roll, the property was 84.4%
occupied, which is slightly below the YE2020 occupancy rate of
86.2%. The third largest tenant at the subject, Thorton Tomasetti
(5.2% of NRA, lease expires in January 2033), is reportedly
relocating its headquarters as per a January 2020 news article
published by The Real Deal. DBRS Morningstar has requested a
leasing update from the servicer. Other large tenants at the
property include Green Ivy (7.4% of NRA, lease expires in November
2061) and Country Wide Insurance (7.3% of NRA, lease expires in
August 2036). There is minimal tenant rollover risk as tenants
representing 8.7% of NRA have leases expiring in the next 12
months. Additionally, according to an article published by
Commercial Observer in September 2021, Liakas Law P.C. signed a
15-year lease at the subject for 13,445 sf of space (1.2% of NRA).
Considering the decline in performance and general challenges that
the sponsor is currently encountering, DBRS Morningstar analyzed
this loan with an elevated probability of default (POD) to increase
the expected loss with this review.

The second-largest loan on the servicer's watchlist loan is West
Palm Beach Marriott (Prospectus ID#6; 3.4% of pool), which is
secured by a 352 key, full-service hotel in West Palm Beach,
Florida. The loan was assumed in December 2019 when the property
was sold to LR West Palm Beach, LLC, a joint venture between
Jackson, Wyoming-based Willow Lake Holdings and London + Regional
Properties. This loan is on the servicer's watchlist because of a
low DSCR, which at YE2020 was reported at -0.45x compared with the
YE2019 DSCR of 1.96x. Despite the poor performance metrics, the
loan is current and the borrower did not request relief during the
pandemic. According to the YE2020 operating statement analysis
report, the property reported an occupancy rate, average daily rate
(ADR), and revenue per available room (RevPAR) of 42.3%, $154.94,
and $65.46, respectively. In comparison, the YE2019 occupancy rate,
ADR, and RevPAR were 80.3%, $159.19, and $127.74, respectively.
Considering the decline in performance and general uncertainty
surrounding the subject's recovery from the effects of the
pandemic, DBRS Morningstar analyzed this loan with an elevated POD
to increase the expected loss with this review.

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



WELLS FARGO 2016-NXS6: DBRS Confirms BB(high) Rating on E Certs
---------------------------------------------------------------
DBRS, Inc downgraded its ratings on two classes of Commercial
Mortgage Pass-Through Certificates, Series 2016-NXS6 issued by
Wells Fargo Commercial Mortgage Trust 2016-NXS6 as follows:

-- Class F to B (high) (sf) from BB (low) (sf)
-- Class G to CCC (sf) from B (sf)

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

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

DBRS Morningstar discontinued its rating on Class X-FG as it
references a class with a CCC (sf) rating. In addition, DBRS
Morningstar changed the trends on Classes E and X-E to Negative
from Stable. The trends on all other classes remain Stable with the
exception of Class G, which has a rating that does not carry a
trend.

The downgrades and Negative trends reflect the elevated risk
profile of two loans in the top 10, which have been adversely
affected by the ongoing Coronavirus Disease (COVID-19) pandemic. In
addition, the pool has a high concentration of loans backed by
retail properties, representing 27.1% of the pool balance. As
retail properties have been particularly hard hit amid the
coronavirus pandemic, this concentration is noteworthy.

As of the September 2021 remittance, 48 of the original 50 loans
remain in the pool, and there has been collateral reduction of 5.2%
since issuance. Additionally, three loans, representing 1.7% of the
current pool balance, are fully defeased. Twelve loans,
representing 35.8% of the current trust balance, are on the
servicer's watchlist. The servicer is monitoring these loans for a
variety of reasons, including low debt service coverage ratio
(DSCR) and occupancy issues; however, the primary reason for the
increase of loans on the servicer's watchlist is the
coronavirus-driven stress for retail and hospitality properties as
loans on the servicers watchlist secured by those property types
are generally reporting a low DSCR.

Per the September 2021 remittance, there were two loans in special
servicing, totaling 8.9% of the trust balance. The loan of primary
concern is Cassa Times Square Mixed-Use (Prospectus ID #6, 4.8% of
the pool balance), which is secured by a mixed-use property
consisting of an 86-key boutique hotel along with 8,827 square feet
(sf) of retail space. The loan transferred to special servicing in
May 2020 for imminent default and currently remains delinquent.
While the property maintained stable performance prior to the
pandemic with an occupancy rate above 90%, the hotel's average
daily rate (ADR) had been declining over the past few years,
decreasing to $175.88 in 2019 from $208.67 in 2017. Furthermore,
the property's two retail tenants have vacated the property since
the onset of the pandemic. An updated appraisal completed in
February 2021 reported a property value of $31 million, a 55%
decline compared with the issuance appraisal value of $68.9
million. Given the sharp value decline and the challenges facing
the property amid the pandemic, DBRS Morningstar analyzed the loan
with a loss severity in excess of 30.0%.

The second-largest loan in special servicing, Plaza Mexico
(Prospectus ID#7; 4.18% of the pool balance), is secured by a
404,064-sf open-air, grocery-anchored shopping center in Lynwood,
California. The loan transferred to special servicing in October
2020 for payment default, and, since its transfer, the borrower
filed for bankruptcy protection in April 2021. In addition, the
loan matured in July 2021 complicating the workout process. Despite
its recent maturity default, the loan has maintained stable
performance to date, and, as of the June 2021 rent roll, the
property was 89.6% occupied, a slight decline compared with the Q2
2020 and year-end (YE) 2019 occupancy rates of 91.4% and 94%,
respectively. Prior to the pandemic, the YE2019 net cash flow was
similar to issuance levels and with a 1.90 times (x) DSCR. An
updated appraisal completed in October 2020 valued the property at
$170.0 million, a 7.0% decrease from the issuance appraisal of
$184.0 million. The updated appraisal reflects a loan-to-value
ratio (LTV) of 62.4%. Given the sponsor concerns and maturity
default, DBRS Morningstar increased its probability of default on
the loan in its analysis, increasing the expected loss on the
loan.

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



WELLS FARGO 2021-INV2: Moody's Assigns (P)B3 Rating to B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned Provisional ratings to 25
classes of residential mortgage-backed securities (RMBS) issued by
Wells Fargo Mortgage Backed Securities 2021-INV2 Trust (WFMBS
2021-INV2). The ratings range from (P)Aaa (sf) to (P)B3 (sf).

WFMBS 2021-INV2 is the second ever 100% agency-eligible
"investor-only" RMBS issuance sponsored by Wells Fargo Bank, N.A.
(Wells Fargo Bank, the sponsor and mortgage loan seller) consisting
of 1,277 primarily 30-year, fixed rate, prime residential mortgage
loans with an unpaid principal balance (UPB) of $362,368,153. The
mortgage loans for this transaction were originated by Wells Fargo
Bank, through its retail and correspondent channels, in accordance
with its agency underwriting that generally conform to either or
both of the Federal National Mortgage Association (Fannie Mae) and
the Federal Home Loan Mortgage Corporation (Freddie Mac)
(collectively, GSEs) guidelines.

Wells Fargo Bank (Aa1 long term deposit; Aa2 long term debt) will
service all the mortgage loans and Computershare Trust Company,
N.A. (Computershare) will act as master servicer.

The transaction is subject to the Dodd-Frank Act's risk retention
rules. The sponsor or one or more majority owned affiliates of the
sponsor will retain a 5% vertical residual interest in all the
offered certificates. The sponsor or one or more majority owned
affiliates of the sponsor will also be the holder of the residual
certificate.

WFMBS 2021-INV2 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.

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.

The complete rating actions are as follows:

Issuer: Wells Fargo Mortgage Backed Securities 2021-INV2 Trust

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-17, Assigned (P)Aa1 (sf)

Cl. A-18, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

RATINGS RATIONALE

Moody's expected loss for this pool in a baseline scenario-mean is
1.37%, in a baseline scenario-median is 1.08%, and reaches 7.01% at
a stress level consistent with Moody's Aaa ratings.

Collateral Description

Moody's have assessed the collateral pool based on UPB of the
mortgage loans rolled forward to November 1, 2021 to take into
account the scheduled amortization of the mortgage loans and
curtailments received and applied through October 21, 2021. The
statistical characteristics as of the actual cut-off date for the
final pool of mortgage loans may thus vary.

The deal will be backed by approximately 1,277 fully amortizing,
fixed-rate mortgage loans with a UPB of approximately $362,368,153
and an original term to maturity of up to 30 years. All of the
mortgage loans are secured by first liens on single family
residential properties, two-to-four family residential properties,
planned unit developments, townhouses and condominiums,
underwritten through Fannie Mae's Desktop Underwriter Program or
Freddie Mac's Loan Product Advisor. Overall, the pool is of strong
credit quality and includes borrowers with high FICO scores
(weighted average (WA) primary borrower FICO of 764), low
loan-to-value ratios (WA CLTV 66.9%), WA borrower total monthly
income of $18,725, and clean pay histories. Approximately 24.3% (by
UPB) of the borrowers are self-employed. The WA seasoning of the
pool is approximately 4 months.

Approximately 51.3% (by UPB) of the properties backing the mortgage
loans are located in five states: California, Texas, Florida, New
York, and Washington with 24.1% (by stated principle balance) of
the properties located in California. Properties located in the
states of North Carolina, Virginia, Tennessee, Pennsylvania and New
Jersey round out the top ten states by UPB. Approximately 67.5% (by
UPB) of the properties backing the mortgage loans included in WFMBS
2021-INV2 are located in these ten states.

Origination Quality

Wells Fargo Bank is an indirect, wholly-owned subsidiary of Wells
Fargo & Company (long term debt A1). Wells Fargo & Company is a
U.S. bank holding company with approximately $1.97 trillion in
assets and approximately 266,000 employees as of June 30, 2020,
which provides banking, insurance, trust, mortgage and consumer
finance services throughout the United States and internationally.
Wells Fargo Bank has sponsored or has been engaged in the
securitization of residential mortgage loans since 1988. The
company uses a solid loan origination system which include embedded
features such as a proprietary risk scoring model, role based
business rules and data edits that ensure the quality of loan
production.

After considering Wells Fargo Bank 's agency underwriting
guidelines, staff and processes, quality control procedures, risk
management practices and performance history, Moody's made no
additional adjustments to Moody's base case and Aaa loss
expectations for origination.

Third Party Review

The credit, compliance, property valuation, and data integrity
portion of the TPR was conducted on a random sample of 340
(approximately 26.6%, by final loan count) out of a prospective
securitization population of 1,277 mortgage loans. 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 sufficient 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 4 loans which received a
final grade of "D" (2 of which remain in the pool), 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.

Representation & Warranties

Moody's assessed the R&W framework for this transaction as
adequate. Moody's analyzed the strength of the R&W provider, the
loan-level R&Ws for the mortgage loans and the enforcement
mechanism. The R&W provider is highly rated, the loan-level R&Ws
are strong and, in general, either meet or exceed the baseline set
of credit-neutral R&Ws Moody's have identified for US RMBS, an
independent breach reviewer is named at closing, and the breach
review process is thorough, transparent and objective. As a result,
Moody's did not make any additional adjustment to Moody's losses
for the R&Ws framework.

Transaction Structure

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

All certificates in this transaction are subject to a net WAC cap.
Realized losses are allocated reverse sequentially among the
subordinate and senior support certificates and on a pro-rata basis
among the super senior certificates.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 0.80% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 0.80% of the closing pool
balance.

Moody's calculate the credit neutral floors for a given target
rating as shown in Moody's principal methodology. The senior
subordination floor of 0.80% and subordinate floor of 0.80% are
consistent with the credit neutral floors for the assigned
ratings.

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. As a
result, Moody's did not make any additional adjustment to Moody's
losses.

Unlike prior transactions, in which Wells Fargo Bank fulfilled the
roles of both the servicer and master servicer, in this
transaction, Wells Fargo Bank will service all of the mortgage
loans while Computershare will act as master servicer. The
transaction documents contain a clause whereby the master servicer
will maintain a long-term senior unsecured credit rating of "Baa3"
or higher from Moody's.

Computershare is a national banking association and a wholly-owned
subsidiary of Computershare Limited (Baa2, long term rating), an
Australian financial services company with over $5 billion (USD) in
assets as of June 30, 2021. Computershare Limited and its
affiliates have been engaging in financial service activities,
including stock transfer related services since 1997, and corporate
trust related services since 2000.

The servicer is required to advance interest and principal payments
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.
The aggregate servicing fee rate is 25 basis points (bps) and the
servicer will advance delinquent principal and interest (P&I),
unless deemed nonrecoverable.

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.


[*] DBRS Reviews 51 Classes from 6 U.S. RMBS Transactions
---------------------------------------------------------
DBRS, Inc. reviewed 51 classes from six U.S. single-family rental
transactions. Of the 51 classes reviewed, DBRS Morningstar upgraded
11 ratings, confirmed 37 ratings, and discontinued three ratings as
a result of full repayment of the outstanding bond balances.

Colony American Finance 2016-2 Trust

-- Class A discontinued as a result of full repayment
-- Class B upgraded to AAA (sf) from AA (high) (sf)
-- Class C upgraded to AAA (sf) from A (high) (sf)
-- Class D upgraded to A (high) (sf) from BBB (high) (sf)
-- Class E upgraded to BBB (sf) from BBB (low) (sf)
-- Class F upgraded to BB (high) (sf) from BB (sf)
-- Class G upgraded to B (high) (sf) from B (sf)

CoreVest American Finance 2017-1 Trust

-- Class A discontinued as a result of full repayment
-- Class B upgraded to AAA (sf) from AA (low) (sf)
-- Class C upgraded to AA (sf) from A (sf)
-- Class D upgraded to A (low) (sf) from BBB (sf)
-- Class E upgraded to BBB (sf) from BBB (low) (sf)
-- Class F confirmed at BB (sf)
-- Class G confirmed at B (sf)
-- Class X-A discontinued as a result of full repayment
-- Class X-B upgraded to A (low) (sf) from BBB (sf)

CoreVest American Finance 2018-1 Trust

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

CoreVest American Finance 2018-2 Trust

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

FirstKey Homes 2020-SFR2 Trust

-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)

-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at A (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at BBB (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class E
confirmed at BBB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class F1
confirmed at BB (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class F2
confirmed at BB (sf)

-- Single-Family Rental Pass-Through Certificate, Class F3
confirmed at BB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class G1
confirmed at B (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class G2
confirmed at B (high) (sf)

Progress Residential 2020-SFR3 Trust

-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)

-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (sf)

-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at A (sf)

-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at A (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class E
confirmed at BBB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at BB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class G
confirmed at B (low) (sf)

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

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

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

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



[*] Moody's Cuts Ratings on $16.8MM US RMBS Deals Issued 1999-2005
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four bonds
from two US residential mortgage backed transactions (RMBS), backed
by subprime and option ARM mortgages issued by multiple issuers.
The ratings of the affected tranches are sensitive to loan
performance deterioration due to the pandemic.

The complete rating action is as follows.

Issuer: Delta Funding Home Equity Loan Trust 1999-3

Cl. A-1A, Downgraded to B1 (sf); previously on Apr 5, 2018
Confirmed at Ba2 (sf)

Underlying Rating: Downgraded to B1 (sf); previously on Apr 5, 2018
Confirmed at Ba2 (sf)

Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1
and Outlook Negative on Dec 17, 2020)

Cl. A-1F, Downgraded to Caa1 (sf); previously on Jan 15, 2021
Downgraded to B2 (sf)

Underlying Rating: Downgraded to Caa1 (sf); previously on Jan 15,
2021 Downgraded to B2 (sf)

Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1
and Outlook Negative on Dec 17, 2020)

Cl. A-2F, Downgraded to Caa1 (sf); previously on Jan 15, 2021
Downgraded to B2 (sf)

Underlying Rating: Downgraded to Caa1 (sf); previously on Jan 15,
2021 Downgraded to B2 (sf)

Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1
and Outlook Negative on Dec 17, 2020)

Issuer: DSLA Mortgage Loan Trust 2005-AR3

Cl. 2-A1A, Downgraded to Ba1 (sf); previously on Dec 18, 2018
Upgraded to Baa3 (sf)


A List of Affected Credit Ratings is available at
https://bit.ly/3w2sLRo

RATINGS RATIONALE

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

Moody's analysis considers the current proportion of loans granted
payment relief in each individual transaction. Moody's identified
these loans based on a review of loan level cashflows over the last
few months. Based on Moody's analysis, the proportion of borrowers
that are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 14% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative, which could
incur write-downs on bonds when missed payments are deferred.

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

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

Principal Methodologies

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2020.

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

Up

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

Down

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


[*] Moody's Takes Actions on 65 RMBS Bonds Issued 2006-2007
-----------------------------------------------------------
Moody's Investors Service, on Nov. 1, 2021, upgraded the ratings of
five bonds and downgraded the ratings of 60 bonds from six US
residential mortgage backed transactions (RMBS), backed by subprime
and prime jumbo mortgages issued by multiple issuers. The ratings
of the affected tranches are sensitive to loan performance
deterioration due to the pandemic.

A list of the Affected Ratings is available at
https://bit.ly/3bx5TzV

Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE5

Cl. III-A, Upgraded to Baa3 (sf); previously on Jun 21, 2019
Upgraded to Ba3 (sf)

Issuer: Chase Mortgage Finance Trust Series 2006-S2

Cl. 1-A3, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A4, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A5, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A6, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A7, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A8, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A9, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A12, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A13, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A14, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A16, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A17, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-A19, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 1-AX*, Downgraded to Ca (sf); previously on Jul 9, 2018
Downgraded to Caa3 (sf)

Cl. 2-AX*, Downgraded to Ca (sf); previously on Nov 29, 2017
Confirmed at Caa3 (sf)

Cl. 2-A1, Downgraded to Ca (sf); previously on Nov 24, 2014
Downgraded to Caa3 (sf)

Cl. 2-A2, Downgraded to Ca (sf); previously on Nov 24, 2014
Downgraded to Caa3 (sf)

Cl. 2-A3*, Downgraded to Ca (sf); previously on Nov 24, 2014
Downgraded to Caa3 (sf)

Cl. 2-A4, Downgraded to Ca (sf); previously on Nov 24, 2014
Downgraded to Caa3 (sf)

Cl. 2-A6, Downgraded to Ca (sf); previously on Nov 24, 2014
Downgraded to Caa3 (sf)

Cl. 2-A7, Downgraded to Ca (sf); previously on Nov 24, 2014
Downgraded to Caa3 (sf)

Issuer: Chase Mortgage Finance Trust Series 2006-S4

Cl. A-1, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-2*, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-3, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-5, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-6, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-7, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-8, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-10, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-11, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-13, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-14, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-15, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-16, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-17, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-18*, Downgraded to Ca (sf); previously on Nov 29, 2017
Confirmed at Caa3 (sf)

Cl. A-19, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-20, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-21*, Downgraded to Ca (sf); previously on Nov 29, 2017
Confirmed at Caa3 (sf)

Cl. A-22, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-23*, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Cl. A-P, Downgraded to Ca (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)

Issuer: Chase Mortgage Finance Trust Series 2007-S4

Cl. A-1, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-2, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-4, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-5*, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-7, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-8, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-10, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-11*, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-12, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-13, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-14, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-15, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-16, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-17, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-18, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-19, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-P, Downgraded to Ca (sf); previously on Jul 6, 2015
Downgraded to Caa3 (sf)

Cl. A-X*, Downgraded to Ca (sf); previously on Nov 29, 2017
Confirmed at Caa3 (sf)

Issuer: Asset Backed Securities Corporation Home Equity Loan Trust,
Series OOMC 2006-HE5

Cl. A4, Upgraded to Aa1 (sf); previously on Apr 13, 2018 Upgraded
to A1 (sf)

Cl. A5, Upgraded to Aa2 (sf); previously on Apr 13, 2018 Upgraded
to A2 (sf)

Issuer: Asset Backed Securities Corporation Home Equity Loan Trust,
Series RFC 2007-HE1

Cl. A1A, Upgraded to A2 (sf); previously on Oct 30, 2019 Upgraded
to Baa1 (sf)

Cl. A1B, Upgraded to A2 (sf); previously on Oct 30, 2019 Upgraded
to Baa1 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools and/or an increase in credit enhancement available to
the bonds. The rating downgrades are primarily due to a
deterioration in collateral performance and decline in credit
enhancement available to the bonds.

Moody's analysis considers the current proportion of loans granted
payment relief in each individual transaction. Moody's identified
these loans based on a review of loan level cashflows over the last
few months. Based on Moody's analysis, the proportion of borrowers
that are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 14% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative, which could
incur write-downs on bonds when missed payments are deferred.

Moody's rating actions also take into consideration the buildup in
credit enhancement of the bonds, especially in an environment of
elevated prepayment rates. The increase in credit enhancement,
driven by elevated prepayment rates, has helped offset the impact
of the increase in expected losses spurred by the pandemic.

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

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

Principal Methodologies

The principal methodology used in rating all deals except
interest-only classes was "US RMBS Surveillance Methodology"
published in July 2020.

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

Up

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

Down

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


[*] S&P Takes Various Actions on 54 Classes from 10 US CLO Deals
----------------------------------------------------------------
S&P Global Ratings raised its ratings on 33 classes of notes from
10 U.S. cash flow CLO transactions and affirmed its ratings on 21
classes. Twenty-seven of these ratings were removed from
CreditWatch, where they were placed with positive implications on
Aug. 20, 2021.

A list of Affected Ratings can be viewed at:

           https://bit.ly/2ZWuhc6

The rating actions followed the application of S&P's global
corporate CLO criteria and our credit and cash flow analysis of
each transaction. Its analysis of the transactions entailed a
review of their performance, and the ratings list highlights key
performance metrics behind specific rating changes.

Nearly all the CLOs in the actions have exited their reinvestment
period and are paying down the notes in the order specified in
their respective documents. Most had one or more tranche ratings
lowered during the pandemic last year.

CLOs in their amortization phase possess dynamics that can affect
the analysis, such as paydowns that can increase the credit support
to the senior portion of the capital structure. However, the
benefit of this can be offset by increased concentration risk. In
some instances, the ratings were raised by multiple rating
categories.

In addition, credit conditions in the leveraged finance market have
improved markedly over the last year, 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 also
another factor for the upgrades.

S&P said, "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. For CLO
tranches with ratings of 'B' or above, 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. 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.

"While each class' indicative cash flow results were a primary
factor in our rating decisions, we may 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;

-- The risk of imminent default;

-- Current obligor and industry concentration levels; and

-- Additional sensitivity runs (if applicable) to account for any
of the above.

S&P's ratings on some classes were constrained by the application
of its largest-obligor default test, which is a supplemental stress
test included as part of our corporate CLO criteria. The test is
intended to address event and model risks that might be present in
rated transactions.

The upgrades primarily reflect increased credit support,
improvement in the credit quality of the portfolio, improvement in
overcollateralization levels, passing cash flow results at higher
ratings, and application of the 'CCC criteria' and guidance as
applicable.

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, we affirmed
their ratings after considering one or more qualitative factors.
These are disclosed for such classes in the accompanying ratings
table.

"We 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 61 Classes from 24 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 61 ratings from 24 U.S.
RMBS transactions issued between 2004 and 2007. The review yielded
25 upgrades, two downgrades, and 34 affirmations.

A list of Affected Ratings can be viewed at:

            https://bit.ly/3nJnVEJ

Analytical Considerations

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics, and their potential effects on certain classes.
Some of these considerations may include:

-- Factors related to the COVID-19 pandemic;

-- Assessment of reduced interest payments due to loan
modifications and other credit-related events; and

-- Increases or decreases in credit support.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, and/or reflect the application of
specific criteria applicable to these classes.

"The ratings affirmations reflect our opinion that our projected
credit support and collateral performance on these classes have
remained relatively consistent with our prior projections."

S&P raised two ratings from two transactions by five notches, due
to increased credit support, as stated below:

-- Class AF-5 from CWABS Asset-Backed Certificates Trust series
2004-15 was raised to 'A (sf)' from 'BB+ (sf)' due to credit
support increasing to 93.05% in September 2021 from 80.09% during
the last full review in July 2020.

-- Class M-1 from CWABS Asset-Backed Certificates Trust series
2006-2 was raised to 'BBB- (sf)' from 'B (sf)' due to credit
support increasing to 65.94% in September 2021 from 48.13% during
the last full review in February 2020.

S&P raised two ratings from two transactions by six notches, due to
increased credit support. Additionally, these are the top pay bonds
in sequential pay structures with subordinates locked out of
principal. These bonds have been receiving principal for the past
year. The credit support increases are stated below:

-- Class M-2 from CWABS Asset-Backed Certificates Trust series
2005-14 was raised to 'AA (sf)' from 'BBB (sf)' due to credit
support increasing to 78.15% in September 2021 from 55.34% during
the last full review in December 2019.

-- Class I-A-1 from First Franklin Mortgage Loan Trust series
2006-FF11 was raised to 'BB+ (sf)' from 'CCC (sf)' due to credit
support increasing to 72.59% in September 2021 from 28.62% during
the last full review in May 2018.



[*] S&P Takes Various Actions on 71 Classes from 18 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 71 ratings from 18 U.S.
RMBS transactions issued between 2002 and 2007. These transactions
are backed by subprime U.S. RMBS collateral types. The review
yielded 15 upgrades, 48 affirmations, one withdrawal, and seven
discontinuances.

A list of Affected Ratings can be viewed at:

             https://bit.ly/3jJlBfF

Analytical Considerations

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics, and their potential effects on certain classes.
Some of these considerations may include:

-- Factors related to the COVID-19 pandemic,
-- Collateral performance or delinquency trends,
-- Increase or decrease in available credit support,
-- Reduced interest payments due to loan modifications,
-- Available subordination and/or overcollateralization,
-- Expected duration,
-- Historical and/or outstanding missed interest payments,
-- Small loan count, 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, and/or reflect the application of
specific criteria applicable to these classes.

"The ratings 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.

"We raised our ratings on 15 classes because of increased credit
support, including six ratings that were raised by five notches.
These classes have benefitted from performance trigger failures
and/or reduced subordinate class principal distribution amounts,
which has built each class' credit support as a percent of their
respective deal balance. Ultimately, we believe these classes have
credit support that is sufficient to withstand losses at higher
rating levels.

"We withdrew our rating on one class from one transaction due to
the small number of loans remaining within the related group or
structure. Once a pool has declined to a de minimis amount, we
believe there is a high degree of credit instability that is
incompatible with any rating level."


                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
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