/raid1/www/Hosts/bankrupt/TCR_Public/211114.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 14, 2021, Vol. 25, No. 317

                            Headlines

522 FUNDING 2017-1(A): Moody's Assigns Ba3 Rating to Cl. E-R Notes
AIG CLO 2019-2: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes
AIMCO CLO 11: S&P Assigns BB- (sf) Rating on Class E-R Notes
ALESCO PREFERRED XVI: Moody's Ups Rating on Class C Notes to Caa2
ANCHORAGE CAPITAL 20: Moody's Assigns Ba3 Rating to Class E Notes

APIDOS CLO XXXVII: S&P Assign BB- (sf) Rating on Class E Notes
ARES LVI: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
ARES LXII: S&P Assigns Preliminary BB- (sf) Rating on Class E Notes
AVIS BUDGET 2021-2: Moody's Assigns (P)Ba2 Rating to Class D Notes
BANK 2021-BNK37: Fitch Assigns B- Rating on 2 Tranches

BANK OF AMERICA 2017-BNK3: Fitch Lowers Class F Certs to 'B-'
BARCLAYS 2021-NQM1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
BARDIN HILL 2021-2: Moody's Assigns Ba3 Rating to $20MM E Notes
BBCMS MORTGAGE 2018-C2: Fitch Affirms B- Rating on 2 Tranches
BBCMS MORTGAGE 2021-C12: Fitch Assigns B- Rating on Cl. H-RR Certs

BEAR STEARNS 2006-AR5: Moody's Hikes Ratings on 2 Tranches to B3
BENCHMARK 2018-B1: Fitch Affirms CCC Rating on Class F-RR Certs
BETHPAGE PARK CLO: Moody's Assigns Ba3 Rating to $20MM Cl. E Notes
BRAVO RESIDENTIAL 2021-HE3: Fitch Gives 'B(EXP)' to Class B-2 Debt
BRAVO RESIDENTIAL 2021-NQM3: Fitch Affirms B Rating on B-2 Certs

CANYON CLO 2019-2: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
CHURCHILL MIDDLE III: S&P Assigns BB- (sf) Rating on Class E Notes
CIFC FUNDING 2020-III: S&P Assigns Prelim BB- Rating on E-R Notes
CIFC FUNDING 2021-VI: S&P Assigns BB- (sf) Rating on Class E Notes
CIFC FUNDING 2021-VII: S&P Assigns Prelim 'BB-' Rating on E Notes

CIG AUTO 2021-1: Moody's Assigns Ba3 Rating to Class E Notes
COLUMBIA CENT 29: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
CONN'S RECEIVABLES 2021-A: Fitch Gives 'B(EXP)' on Class C Notes
CSMC 2021-INV2: S&P Assigns Prelim B (sf) Rating on Class B-5 Notes
DEUTSCHE BANK 2011-LC3: Fitch Lowers Rating on PM-5 Debt to B-

DIAMOND ISSUER 2021-1: Fitch Rates Class C Notes 'BB-sf'
DT AUTO 2021-4: S&P Assigns BB (sf) Rating on Class E Notes
EAGLE RE 2021-2: Moody's Assigns B2 Rating to Class M-2 Notes
ETRADE RV 2004-1: S&P Affirms 'CCC- (sf)' Rating on Class D Notes
FLAGSHIP CREDIT 2019-4: S&P Affirms BB- (sf) Rating on Cl. E Notes

FLAGSTAR MORTGAGE 2021-12: Fitch Gives B(EXP) Rating to B-5 Certs
FLATIRON RR 22: Moody's Assigns Ba3 Rating to $19.6MM Cl. E Notes
FREDDIE MAC 2021-3: DBRS Finalizes B(low) Rating on Class M Certs
FREDDIE MAC 2021-DNA7: S&P Assigns Prelim B+(sf) Rating B-1B Notes
GENERATE CLO 9: S&P Assigns BB- (sf) Rating on Class E Notes

GOLDENTREE LOAN 11: S&P Assigns Prelim B- (sf) Rating on F Notes
GULF STREAM 6: S&P Assigns BB- (sf) Rating on Class D Notes
HALCYON LOAN 2014-2: Moody's Lowers Rating on Class E Notes to C
IVY HILL VII: S&P Assigns BB- (sf) Rating on Class E-RR Notes
JP MORGAN 2021-INV6: S&P Assigns B- (sf) Rating on Class B-5 Certs

KKR CLO 30: Moody's Assigns Ba3 Rating to $18MM Class E-R Notes
LAKE SHORE II: Moody's Assigns Ba3 Rating to $18MM Class E-R Notes
MADISON PARK XLIX: S&P Assigned Prelim BB- (sf) Rating on E Notes
MAGNETITE XXVIII: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
MAGNETITE XXX: S&P Assigns Prelim BB- (sf) Rating on Class E Notes

MARINER FINANCE 2021-B: S&P Assigns BB- (sf) Rating on Cl. E Notes
MEDALIST PARTNERS VII: Moody's Assigns Ba3 Rating to Class D Notes
MFA 2021-INV2: S&P Assigns Prelim B+ (sf) Rating on Class B-2 Notes
MORGAN STANLEY 2013-C8: S&P Lowers Class G Certs Rating to 'D(sf)'
MORGAN STANLEY 2021-1: Moody's Assigns Ba3 Rating to $16MM E Notes

MRU STUDENT 2008-A: S&P Places 'CC' B Notes Rating on Watch Pos.
NEUBERGER BERMAN 26: S&P Affirms 'BB-(sf)' Rating on Class E Notes
OAKTREE CLO 2019-4: S&P Affirms BB- (sf) Rating on Class E Notes
OCEAN TRAILS X: Moody's Assigns Ba3 Rating to $18MM Cl. E-R Notes
OCTAGON INVESTMENT 48: S&P Assigns Prelim BB- Rating on E-R Notes

PENNANTPARK CLO III: S&P Assigns Prelim BB- (sf) Rating on E Notes
PIKES PEAK 9: Moody's Assigns Ba3 Rating to $19.2MM Class E Notes
PPLUS TRUST RRD-1: Moody's Puts 2 Tranches on Review for Downgrade
PRESTIGE AUTO 2021-1: S&P Assigns BB-(sf) Rating on Class E Notes
RADNOR RE 2021-2: Moody's Assigns Ba3 Rating on Cl. M-1B Notes

RCKT MORTGAGE 2021-5: Moody's Assigns (P)B3 Rating to Cl. B5 Certs
RR 19: S&P Assigns BB- (sf) Rating on $25.55MM Class D Notes
SOLOSO CDO 2007-1: Moody's Hikes Rating on Class A-2L Notes to B3
SPRITE 2021-1: S&P Assigns Prelim B+ (sf) Rating on Class C Notes
SYMPHONY STATIC I: Moody's Assigns B1 Rating to $4MM Cl. E-2 Notes

THUNDERBOLT II: Fitch Lowers Rating on Series B Notes to 'B'
TICP CLO VIII: S&P Assigns Prelim BB-(sf) Rating on Class D-R Notes
TOWD POINT 2021-1: Fitch Assigns B-(EXP) Rating on 5 Tranches
TRESTLES CLO V: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
TRIMARAN CAVU 2021-2: S&P Assigns BB- (sf) Rating on Class E Notes

TRK 2021-INV2: S&P Assigns B (sf) Rating on Class B-2 Notes
UWM MORTGAGE 2021-INV3: Moody's Assigns B3 Rating to Cl. B-5 Certs
WELLS FARGO 2015-C26: Fitch Affirms B- Rating on 2 Tranches
WESTLAKE 2021-3: S&P Assigns Prelim B (sf) Rating on Class F Notes
WIND RIVER 2016-1: Moody's Hikes Rating on Class E-R Notes to Ba2

[*] S&P Takes Various Actions on 32 Classes from Nine US RMBS Deals
[*] S&P Takes Various Actions on 64 Classes from 24 U.S. RMBS Deals

                            *********

522 FUNDING 2017-1(A): Moody's Assigns Ba3 Rating to Cl. E-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by 522 Funding CLO 2017-1(A), Ltd.
(the "Issuer").

Moody's rating action is as follows:

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

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

US$46,000,000 Class B-R Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

US$19,600,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

US24,800,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

US$21,600,000 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 senior secured loans and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans, unsecured loans and bonds.

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

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

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

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

Portfolio par: $400,000,000

Diversity Score: 71

Weighted Average Rating Factor (WARF): 2854

Weighted Average Spread (WAS): 3.37%

Weighted Average Coupon (WAC): 6.5%

Weighted Average Recovery Rate (WARR): 46.75%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


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

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

On the Nov. 17, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

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

-- The original floating spread class B-1 and fixed coupon class
B-2 notes are expected to be combined into a single floating spread
class B-R notes.

-- The stated maturity will be extended by one year.

-- The reinvestment period will be extended until November 2024.

-- The non-call period will be extended until November 2022.

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

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

-- The benchmark replacement language has been updated. The
ability to purchase workout-related assets and bonds was added to
the transaction. A limitation on purchasing ESG-prohibited
obligations after the refinancing date has been included.

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

-- Of the identified underlying collateral obligations, 98.79%
have recovery ratings assigned by S&P Global Ratings.

  Replacement And Original Note Issuances

  Replacement notes

  Class X-R, $2.70 million: Three-month LIBOR + 0.70%
  Class A-R, $310.00 million: Three-month LIBOR + 1.10%
  Class B-R, $70.00 million: Three-month LIBOR + 1.60%
  Class C-R, $30.00 million: Three-month LIBOR + 2.00%
  Class D-R, $30.00 million: Three-month LIBOR + 3.05%
  Class E-R, $19.50 million: Three-month LIBOR + 6.40%
  Subordinated notes, $48.00 million: Residual

  Original notes

  Class A, $310.00 million: Three-month LIBOR + 1.36%
  Class B-1, $62.60 million: Three-month LIBOR + 1.90%
  Class B-2, $7.40 million: 3.53%
  Class C, $30.00 million: Three-month LIBOR + 2.80%
  Class D, $30.00 million: Three-month LIBOR + 3.90%
  Class E, $20.00 million: Three-month LIBOR + 7.25%
  Subordinated notes, $48.00 million: Residual

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

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

  Preliminary Ratings Assigned

  AIG CLO 2019-2 LLC

  Class X-R, $2.70 million: AAA (sf)
  Class A-R, $310.00 million: AAA (sf)
  Class B-R, $70.00 million: AA (sf)
  Class C-R (deferrable), $30.00 million: A (sf)
  Class D-R (deferrable), $30.00 million: BBB- (sf)
  Class E-R (deferrable), $19.50 million: BB- (sf)
  Subordinated notes, $48.00 million: Not rated



AIMCO CLO 11: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes from AIMCO CLO 11 Ltd./AIMCO CLO 11
LLC, a CLO that is managed by Allstate Investment Management Co. At
the same time, S&P withdrew its ratings on the original class A-1,
A-2, B-1, B-2, C, D, and E notes following payment in full on the
Nov. 8, 2021, refinancing date. This is a refinancing of its
September 2020 transaction.

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

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

-- The replacement class A-R and B-R notes were 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 increased 14.29% to $600
million.

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

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

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

  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

  Ratings Withdrawn

  AIMCO CLO 11 Ltd./AIMCO CLO 11 LLC

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

  NR--Not rated.



ALESCO PREFERRED XVI: Moody's Ups Rating on Class C Notes to Caa2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by ALESCO Preferred Funding XVI, Ltd.:

US$349,000,000 Class A First Priority Senior Secured Floating Rate
Notes Due 2038 (current balance of $196,496,876) (the "Class A
Notes"), Upgraded to A1 (sf); previously on May 8, 2017 Upgraded to
A3 (sf)

US$20,000,000 Class B Deferrable Second Priority Secured
Fixed/Floating Rate Notes Due 2038 (the "Class B Notes"), Upgraded
to Baa2 (sf); previously on May 8, 2017 Upgraded to Ba1 (sf)

US$85,250,000 Class C Deferrable Third Priority Mezzanine Secured
Floating Rate Notes Due 2038 (the "Class C Notes"), Upgraded to
Caa2 (sf); previously on June 22, 2015 Upgraded to Caa3 (sf)

ALESCO Preferred Funding XVI, Ltd., issued in June 2007, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of bank and insurance trust preferred securities (TruPS).

RATINGS RATIONALE

The rating actions are primarily a result of the improvement in the
credit quality of the underlying portfolio and the deleveraging of
the Class A notes and since November 2020. According to Moody's
calculations, the weighted average rating factor (WARF) improved to
607 from 1041 in November 2020. The Class A notes have paid down by
approximately 4.6% or $9.5 million since November 2020, using
principal proceeds from the redemption of the underlying assets and
the diversion of excess interest proceeds. The Class A notes will
continue to benefit from the diversion of excess interest and the
use of proceeds from redemptions of any assets in the collateral
pool.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $288.5 million,
defaulted/deferring par of $20.8 million, a weighted average
default probability of 6.09% (implying a WARF of 607), and a
weighted average recovery rate upon default of 10%.

Methodology Used for the Rating Action

The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in July 2021.

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 portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.


ANCHORAGE CAPITAL 20: Moody's Assigns Ba3 Rating to Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued and one class of loans incurred by Anchorage Capital
CLO 20, Ltd. (the "Issuer" or "Anchorage 20").

Moody's rating action is as follows:

US$170,800,000 Class A Loans maturing 2035, Assigned Aaa (sf)

Up to US$244,000,000 Class A-1 Senior Secured Floating Rate Notes
due 2035, Assigned Aaa (sf)

US$21,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2035, Assigned Ba3 (sf)

The debt listed are referred to herein, collectively, as the "Rated
Debt."

On the closing date, the Class A Loans and the Class A-1 Notes have
a principal balance of $170,800,000 and $73,200,000, respectively.
At any time, the Class A Loans may be converted in whole or in part
to Class A-1 Notes, thereby decreasing the principal balance of the
Class A Loans and increasing, by the corresponding amount, the
principal balance of the Class A-1 Notes. The aggregate principal
balance of the Class A Loans and Class A-1 Notes will not exceed
$244,000,000, 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.

Anchorage 20 is a managed cash flow CLO. The issued debt 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, unsecured
loans, and permitted non-loan bonds. The portfolio is approximately
70% ramped as of the closing date.

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

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 debt 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: 60

Weighted Average Rating Factor (WARF): 3350

Weighted Average Spread (WAS): 3.75%

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 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.


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

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

The 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.

  Ratings Assigned

  Apidos CLO XXXVII

  Class A, $307.50 million: AAA (sf)
  Class B, $72.50 million: AA (sf)
  Class C, $30.00 million: A (sf)
  Class D, $30.00 million: BBB- (sf)
  Class E (deferrable), $18.00 million: BB- (sf)
  Subordinated notes, $48.25 million: Not rated



ARES LVI: 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 Ares LVI CLO
Ltd./Ares LVI CLO LLC, a CLO originally issued in November 2020
that is managed by Ares CLO Management LLC.

The preliminary ratings are based on information as of Nov. 10,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Nov. 17, 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 D-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 D-R notes replacing the current class D-1 and D-2
floating-rate notes.

-- The initial target par amount will be increased by 20.00% 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 by two years.

-- Of the identified underlying collateral obligations, 99.82%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 95.66%
have recovery ratings assigned by S&P Global Ratings.

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

"We will continue to review whether, 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

  Ares LVI CLO Ltd./Ares LVI CLO LLC

  Class A-R, $372.0 million: AAA (sf)
  Class B-R, $84.0 million: AA (sf)
  Class C-R (deferrable), $34.5 million: A (sf)
  Class D-R (deferrable), $36.0 million: BBB- (sf)
  Class E-R (deferrable), $21.6 million: BB- (sf)
  Subordinated notes, $55.0 million: Not rated



ARES LXII: S&P Assigns Preliminary BB- (sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Ares LXII
CLO Ltd./Ares LXII CLO 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
that are governed by collateral quality tests. The transaction is
managed by Ares U.S. CLO Management III LLC, a subsidiary of Ares
Management Corp.

The preliminary ratings are based on information as of Nov. 10,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Preliminary Ratings Assigned

  Ares LXII CLO Ltd./Ares LXII CLO LLC

  Class A-1, $307.50 million: AAA (sf)
  Class A-2, $17.50 million: Not rated
  Class B, $55.00 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $18.75 million: BB- (sf)
  Subordinated notes, $47.50 million: Not rated



AVIS BUDGET 2021-2: Moody's Assigns (P)Ba2 Rating to Class D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings on the
notes to be issued by Avis Budget Rental Car Funding (AESOP) LLC
(the issuer). The Series 2021-2 Notes will have an expected final
maturity of approximately 62 months. The issuer is an indirect
subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, B2
negative). ABCR is a subsidiary of Avis Budget Group, Inc. ABCR is
the owner and operator of Avis Rent A Car System, LLC (Avis),
Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car
Rental, Inc. (Payless) and Budget Truck.

The complete rating actions are as follows:

Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2021-2

Series 2021-2 Rental Car Asset Backed Notes, Class A, Assigned
(P)Aaa (sf)

Series 2021-2 Rental Car Asset Backed Notes, Class B, Assigned
(P)A2 (sf)

Series 2021-2 Rental Car Asset Backed Notes, Class C, Assigned
(P)Baa3 (sf)

Series 2021-2 Rental Car Asset Backed Notes, Class D, Assigned
(P)Ba2 (sf)

RATINGS RATIONALE

The provisional ratings on the Series 2021-2 Notes are based on (1)
the credit quality of the collateral in the form of rental fleet
vehicles, which ABCR uses in its rental car business, (2) the
credit quality of ABCR as the primary lessee and as guarantor under
the operating lease, (3) the track-record and expertise of ABCR as
sponsor and administrator, (4) consideration of the vastly improved
rental car market conditions, (5) the available dynamic credit
enhancement, which consists of subordination and
over-collateralization, (6) minimum liquidity in the form of cash
and/or a letter of credit, and (7) the transaction's legal
structure.

The total credit enhancement requirement for the Series 2021-1
Notes will be dynamic, and determined as the sum of (1) 5.00% for
vehicles subject to a guaranteed depreciation or repurchase program
from eligible manufacturers (program vehicles) rated at least Baa3
by Moody's, (2) 8.5% for all other program vehicles, and (3) 12.60%
minimum for non-program (risk) vehicles, in each case, as a
percentage of the outstanding note balance. The actual required
amount of credit enhancement will fluctuate based on the mix of
vehicles in the securitized fleet. As in prior issuances, the
transaction documents stipulate that the required total enhancement
shall include a minimum portion which is liquid (in cash and/or a
letter of credit), sized as a percentage of the outstanding note
balance, rather than fleet vehicles. The Class A, B, C Notes will
also benefit from subordination of 27.0%, 18.0% and 12.0% of the
outstanding balance of the Series 2021-2 Notes respectively.

The assumptions Moody's applied in the analysis of this
transaction:

Risk of sponsor default: Moody's assumed a 60% decrease in the
probability of default (from Moody's idealized default probability
tables) implied by the B2 rating of the sponsor. Moody's continues
to assume a 75% probability that ABCR would affirm its lease
payment obligations in the event of a Chapter 11 bankruptcy,
informed by pandemic-driven events that affected the rental car
market (such as the drastic and sudden decline in rental car demand
and the resulting high lease payments for a vastly underutilized
fleet). The assumed high likelihood of lease acceptance recognizes
the strategic importance of the ABS financing platform to ABCR's
operation and the vastly improved rental car market conditions. In
the event of a bankruptcy, ABCR would be more likely to reorganize
under a Chapter 11 bankruptcy filing, as it would likely realize
more value as an ongoing business concern than it would if it were
to liquidate its assets under a Chapter 7 filing. Furthermore,
given the sponsor's competitive position within the industry and
the size of its securitized fleet relative to its overall fleet,
the sponsor is likely to affirm its lease payment obligations in
order to retain the use of the fleet and stay in business. Moody's
arrives at the 60% decrease assuming an 80% probability Avis would
reorganize under a Chapter 11 bankruptcy and a 75% probability (90%
assumed previously) Avis would affirm its lease payment obligations
in the event of Chapter 11.

Disposal value of the fleet: Moody's assumed the following haircuts
to the net book value (NBV) of the vehicle fleet:

Non-Program Haircut upon Sponsor Default (Car): Mean: 19%

Non-Program Haircut upon Sponsor Default (Car): Standard Deviation:
6%

Non-Program Haircut upon Sponsor Default (Truck): Mean: 35%

Non-Program Haircut upon Sponsor Default (Truck): Standard
Deviation: 8%

Fixed Program Haircut upon Sponsor Default: 10%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Car): 20%

Additional Fixed Non-Program Haircut upon Manufacturer Default
(Truck): 10%

Fleet composition -- Moody's assumed the following fleet
composition (based on NBV of vehicle fleet):

Non-program Vehicles: 90%

Program Vehicles: 10%

Non-program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):

Aa/A Profile: 25%, 2, A3

Baa Profile: 50%, 2, Baa3

Ba/B Profile: 25%, 1, Ba3

Program Manufacturer Concentration (percentage, number of
manufacturers, assumed rating):

Aa/A Profile: 0%, 0, A3

Baa Profile: 50%, 1, Baa3

Ba/B Profile: 50%, 1, Ba3

Manufacturer Receivables: 0%; receivables distributed in the same
proportion as the program fleet (Program Manufacturer Concentration
and Manufacturer Receivables together should add up to 100%)

Detailed application of the assumptions are provided in the
methodology.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Rental Vehicle
Securitizations Methodology" published in October 2021.

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

Up

Moody's could upgrade the ratings of the Series 2021-2 Notes, as
applicable if, among other things, (1) the credit quality of the
lessee improves, (2) the likelihood of the transaction's sponsor
defaulting on its lease payments were to decrease, and (3)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to strengthen, as reflected by
a stronger mix of program and non-program vehicles and stronger
credit quality of vehicle manufacturers.

Down

Moody's could downgrade the ratings of the Series 2021-2 Notes if,
among other things, (1) the credit quality of the lessee weakens,
(2) the likelihood of the transaction's sponsor defaulting on its
lease payments were to increase, (3) the likelihood of the sponsor
accepting its lease payment obligation in its entirety in the event
of a Chapter 11 were to decrease and (4) assumptions of the credit
quality of the pool of vehicles collateralizing the transaction
were to weaken, as reflected by a weaker mix of program and
non-program vehicles and weaker credit quality of vehicle
manufacturers.


BANK 2021-BNK37: Fitch Assigns B- Rating on 2 Tranches
------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
BANK 2021-BNK37, commercial mortgage pass-through certificates,
series 2021-BNK37 as follows:

-- $19,414,000 class A-1 'AAAsf'; Outlook Stable;

-- $147,337,000 class A-2 'AAAsf'; Outlook Stable;

-- $74,150,000 class A-3 'AAAsf'; Outlook Stable;

-- $24,589,000 class A-SB 'AAAsf'; Outlook Stable;

-- $250,000,000ab class A-4 'AAAsf'; Outlook Stable;

-- $0b class A-4-1 'AAAsf'; Outlook Stable;

-- $0b class A-4-2 'AAAsf'; Outlook Stable;

-- $0bc class A-4-X1 'AAAsf'; Outlook Stable;

-- $0bc class A-4-X2 'AAAsf'; Outlook Stable;

-- $364,518,000ab class A-5 'AAAsf'; Outlook Stable;

-- $0b class A-5-1 'AAAsf'; Outlook Stable;

-- $0b class A-5-2 'AAAsf'; Outlook Stable;

-- $0bc class A-5-X1 'AAAsf'; Outlook Stable;

-- $0bc class A-5-X2 'AAAsf'; Outlook Stable;

-- $880,008,000c class X-A 'AAAsf'; Outlook Stable;

-- $243,574,000c class X-B 'A-sf'; Outlook Stable;

-- $143,001,000b class A-S 'AAAsf'; Outlook Stable;

-- $0b class A-S-1 'AAAsf'; Outlook Stable;

-- $0b class A-S-2 'AAAsf'; Outlook Stable;

-- $0bc class A-S-X1 'AAAsf'; Outlook Stable;

-- $0bc class A-S-X2 'AAAsf'; Outlook Stable;

-- $47,143,000b class B 'AA-sf'; Outlook Stable;

-- $0b class B-1 'AA-sf'; Outlook Stable;

-- $0b class B-2 'AA-sf'; Outlook Stable;

-- $0bc class B-X1 'AA-sf'; Outlook Stable;

-- $0bc class B-X2 'AA-sf'; Outlook Stable;

-- $53,430,000b class C 'A-sf'; Outlook Stable;

-- $0b class C-1 'A-sf'; Outlook Stable;

-- $0b class C-2 'A-sf'; Outlook Stable;

-- $0bc class C-X1 'A-sf'; Outlook Stable;

-- $0bc class C-X2 'A-sf'; Outlook Stable;

-- $55,000,000cd class X-D 'BBB-sf'; Outlook Stable;

-- $26,715,000cd class X-F 'BB-sf'; Outlook Stable;

-- $12,571,000cd class X-G 'B-sf'; Outlook Stable;

-- $31,428,000d class D 'BBBsf'; Outlook Stable;

-- $23,572,000d class E 'BBB-sf'; Outlook Stable;

-- $26,715,000d class F 'BB-sf'; Outlook Stable;

-- $12,571,000d class G 'B-sf'; Outlook Stable.

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

-- $39,286,752cd class X-H;

-- $39,286,752d class H;

-- $66,166,040de RR Interest.

(a)The initial certificate balances of classes A-4 and A-5 are
unknown and expected to be $614,518,000 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 to $250,000,000, and the expected
class A-5 balance range is $364,518,000 to $614,518,000. Fitch's
certificate balances for classes A-4 and A-5 are assumed at the top
of the range for class A-4, and the bottom of the range for A-5.

(b)Exchangeable Certificates. The class A-4, class A-5, class A-S,
class B, and class C are exchangeable certificates. Each class of
exchangeable certificates may be exchanged for the corresponding
classes of exchangeable certificates, and vice versa. The dollar
denomination of each of the received classes of certificates must
be equal to the dollar denomination of each of the surrendered
classes of certificates. The class A-4 may be surrendered (or
received) for the received (or surrendered) classes A-4-1, A-4-2,
A-4-X1 and A-4-X2. The class A-5 may be surrendered (or received)
for the received (or surrendered) class A-5-1, A-5-2, A-5-X1 and
A-5-X2. The class A-S may be surrendered (or received) for the
received (or surrendered) class A-S-1, A-S-2, A-S-X1 and A-S-X2.
The class B may be surrendered (or received) for the received (or
surrendered) class B-1, B-2, B-X1 and B-X2. The class C may be
surrendered (or received) for the received (or surrendered) class
C-1, C-2, C-X1 and C-X2. The ratings of the exchangeable classes
would reference the ratings on the associated referenced or
original classes;

(c)Notional amount and interest only;

(d)Privately placed and pursuant to Rule 144A;

(e)Represents the "eligible vertical interest" comprising 5.0% of
the pool.

The expected ratings are based on information provided by the
issuer as of Nov. 4, 2021.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 80 loans secured by 137
commercial properties having an aggregate principal balance of
$1,323,320,792 as of the cut-off date. The loans were contributed
to the trust by Wells Fargo Bank, National Association, Bank of
America, National Association, Morgan Stanley Mortgage Capital
Holdings LLC, and National Cooperative Bank, N.A. The master
servicers are expected to be Wells Fargo Bank, National Association
and National Cooperative Bank, N.A. and the special servicers are
expected to be CWCapital Asset Management LLC and National
Cooperative Bank, N.A.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 41.4% of the loans by
balance, cash flow analyses of 81.0% of the pool and asset summary
reviews on 100% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus pandemic may have an adverse impact on near-term
revenue (i.e. bad debt expense, rent relief) and operating expenses
(i.e. sanitation costs) for some properties in the pool. Per the
offering documents, all of the loans are current and are not
subject to any ongoing forbearance requests.

KEY RATING DRIVERS

Lower Fitch Leverage Than Recent Transactions: This transaction's
leverage is lower than that of other multiborrower transactions
recently rated by Fitch. The pool's Fitch debt service coverage
ratio (DSCR) of 1.57x is higher than the 2021 YTD and 2020 averages
of 1.39x and 1.32x, respectively. Additionally, the pool's Fitch
loan to value (LTV) ratio of 95.0% is below the 2021 YTD and 2020
average of 102.5% and 99.6%, respectively. Excluding the
co-operative (co-op) and the credit opinion loans, the pool's DSCR
and LTV are 1.40x and 98.2%, respectively. The YTD 2021 and 2020
averages excluding credit opinions and co-op loans are 1.30x/110.2%
and 1.24x/111.3%, respectively.

Investment-Grade Credit Opinions and Co-op Loans: The pool includes
four loans, representing 23.2% of the pool, that received
investment-grade credit opinions. This is higher than the YTD 2021
average of 13.3% and slightly lower than the 2020 average of credit
opinion concentrations of 24.5%. On a standalone basis, London
Terrace Towers Owners, Inc. (6.2% of the pool) received a credit
opinion of 'AAAsf*'. The three remaining credit opinion loans
received a credit opinion of 'BBB-sf*', which include 1 Union
Square South Retail (5.7%), One SoHo Square (5.7%), and Park Avenue
Plaza (5.7%). Additionally, the pool contains 22 loans,
representing 4.6% of the pool, that are secured by residential
cooperatives (excluding London Terrace Towers) and exhibit leverage
characteristics significantly lower than typical conduit loans. The
weighted average (WA) Fitch DSCR and LTV for the co-op loans are
10.11x and 8.4%, respectively.

Above-Average Retail Concentration: Loans secured by retail
properties represent 32.4% of the pool by balance including three
loans in the top 10 and eight loans in the top 20. The total retail
concentration is greater than the 2021 YTD average of 20.4%, the
2020 average of 16.3% and the 2019 average of 23.6%. Retail
properties have experienced the severe near-term revenue declines
as a result of the coronavirus containment efforts. To account for
elevated risk to retail assets in the pool, Fitch considered higher
volatility scores and vacancy assumptions in its analysis, as well
as increasing the probability of loss on the Arizona Mills
property.

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: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'BB-
    sf' / 'CCCsf'/ 'CCCsf';

-- 20% NCF Decline: 'A-sf' / 'BBBsf' / 'BB+sf' / 'B+sf' / 'CCCsf'
    / 'CCCsf'/ 'CCCsf';

-- 30% NCF Decline: 'BBBsf' / 'BBB-sf' / 'CCCsf' / 'CCCsf' /
    'CCCsf' / 'CCCsf'/ 'CCCsf'.

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

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

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

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


BANK OF AMERICA 2017-BNK3: Fitch Lowers Class F Certs to 'B-'
-------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 12 classes of Bank of
America Merrill Lynch Commercial Mortgage Trust 2017-BNK3
Commercial Mortgage Pass-Through Certificates, Series 2017-BNK3.

    DEBT                RATING              PRIOR
    ----                ------              -----
BACM 2017-BNK3

A-1 06427DAN3     LT AAAsf     Affirmed     AAAsf
A-2 06427DAP8     LT AAAsf     Affirmed     AAAsf
A-3 06427DAR4     LT AAAsf     Affirmed     AAAsf
A-4 06427DAS2     LT AAAsf     Affirmed     AAAsf
A-S 06427DAV5     LT AAAsf     Affirmed     AAAsf
A-SB 06427DAQ6    LT AAAsf     Affirmed     AAAsf
B 06427DAW3       LT AA-sf     Affirmed     AA-sf
C 06427DAX1       LT A-sf      Affirmed     A-sf
D 06427DAC7       LT BBB-sf    Affirmed     BBB-sf
E 06427DAE3       LT BBsf      Downgrade    BB+sf
F 06427DAG8       LT B-sf      Downgrade    Bsf
X-A 06427DAT0     LT AAAsf     Affirmed     AAAsf
X-B 06427DAU7     LT A-sf      Affirmed     A-sf
X-D 06427DAA1     LT BBB-sf    Affirmed     BBB-sf

KEY RATING DRIVERS

Increased Loss Expectations: Despite a majority of the pool
exhibiting relatively stable performance, loss expectations have
increased primarily due to higher losses associated with the
largest loan and Fitch Loans of Concern (FLOCs) impacted by the
loss of large tenants. Fitch has designated 13 loans (24.6%) as
FLOCs, including one specially serviced loan (1.2%) and four loans
(15.4%) within the top 15. Fitch's current ratings incorporate a
base case loss of 5.1%.

The largest contributor to loss expectations and largest loan in
the pool, The Summit Birmingham (7.7%), is secured by an 681,000-sf
outdoor regional lifestyle center located in Birmingham, AL. The
largest tenants are Belk (23.8% of NRA; expires on Jan. 31, 2023),
RSM US (5.2%; expires May 31, 2023) and Barnes & Noble (3.7%;
expires Feb. 1, 2023). Belk emerged from bankruptcy as of February
2021; however, there have been no store closure announcements for
Belk in 2021. Despite the anticipated upcoming scheduled lease
expiration for Belk in 2023, this is considered a dominant shopping
center in the market with high sales at issuance. Updated sales
were requested but not received. Occupancy and DSCR were a reported
92% and 1.53x, respectively as of YE 2020. Upcoming rollover is as
follows: 3% (2021), 8% (2022) and 36% (2023). Fitch applied a 10%
stress to YE 2020 NOI to account for rollover concerns.

The second largest contributor to loss expectations, 8700-8714
Santa Monica Boulevard (1.5%), is secured by 32,964 sf mixed use
property, located in West Hollywood, CA. Occupancy and DSCR were a
reported 62% and 0.88x, respectively as of YTD June 30, 2021
compared to 95% and 1.21x at YE 2020 following the loss of several
tenants. Fitch loss expectations of 48% are based on annualized
June 2021 NOI.

The specially serviced loan, Holiday Inn Express King of Prussia
(1.2%), is secured by a 155-key limited service hotel located in
King of Prussia, PA. It transferred to special servicing in June
2020 due to payment default. The borrower requested COVID-19 relief
and received a 2020 and 2021 PPP Loan that required lender consent.
A reinstatement agreement is being finalized and closing is
pending; a return to the master servicer is expected. TTM June 2021
occupancy, ADR and RevPAR were 34.7%, $97 and $34, respectively,
compared to 66%, $116 and $77 for 2019; 67%, $114 and $76 for 2018
and 66%, $117 and $78 at issuance. Fitch assumed minimal losses for
potential fees.

Minimal Change in Credit Enhancement: As of the October 2021
remittance reporting, the pool's aggregate principal balance has
been paid down by 2.7% to $950.8 million from $977.1 million at
issuance. The pool is scheduled to amortize by 6.9% of the initial
pool balance prior to maturity. Of the current pool, 16 loans
(55.5%) are full term, interest-only. Nineteen loans (20.6%) have a
partial, interest-only component; 15 (15.9%) have begun amortizing.
Three loans (2%) have been defeased.

RATING SENSITIVITIES

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

-- An increase in pool-level losses from underperforming or
    specially serviced loans;

-- Downgrades to the 'AA-sf' through 'AAAsf' rated-classes are
    not likely due to their high credit enhancement but may occur
    should interest shortfalls affect these classes;

-- Downgrades to the 'BBB-sf' through 'A-sf' rated classes may
    occur should expected losses for the pool increase
    substantially and all of the loans susceptible to the
    coronavirus pandemic suffer losses, which would erode CE;

-- Downgrades to the 'B-sf' and 'BBsf' rated classes would occur
    with greater certainty of loss or as losses are realized.

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

-- Stable to improved asset performance coupled with pay down
    and/or defeasance;

-- Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely
    occur with significant improvement in credit enhancement (CE)
    and/or defeasance and improved performance from loans affected
    by the coronavirus pandemic; however, adverse selection and
    increased concentrations, or underperformance of the FLOCs,
    could cause this trend to reverse;

-- Upgrades to the 'BBB-sf' and below-rated classes are
    considered unlikely and would be limited based on sensitivity
    to concentrations or the potential for future concentrations.
    Classes would not be upgraded above 'Asf' if there is a
    likelihood of interest shortfalls.

-- Additionally, an upgrade to the 'BBsf' and 'B-sf' rated
    classes is not likely until later years of the transaction and
    only if the performance of the remaining pool is stable and/or
    there is sufficient CE, which would likely occur when the
    nonrated class is not eroded and the senior classes pay off.

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.


BARCLAYS 2021-NQM1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Barclays
Mortgage Loan Trust 2021-NQM1's mortgage pass-through notes.

The note issuance is an RMBS securitization backed by first-lien,
fixed- and adjustable-rate, fully amortizing residential mortgage
loans to prime and non-prime borrowers, generally secured by
single-family residential properties, planned-unit developments,
condominiums, and two- to four-family residential properties. The
pool has 731 loans backed by 757 properties, which are primarily
non-qualified mortgage and ability-to-repay-exempt loans.

The preliminary ratings are based on information as of Nov. 10,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The pool's collateral composition;

-- The credit enhancement provided for this transaction;

-- The transaction's associated structural mechanics;

-- The representation and warranty framework for this
transaction;

-- The mortgage originators and aggregators, primarily Carrington
Mortgage Services LLC;

-- The geographic concentration; and

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

  Preliminary Ratings Assigned

  Barclays Mortgage Loan Trust 2021-NQM1

  Class A-1, $169,353,000: AAA (sf)
  Class A-1X(i): AAA (sf)
  Class A-2, $16,605,000: AA (sf)
  Class A-3, $26,618,000: A (sf)
  Class M-1, $12,332,000: BBB (sf)
  Class B-1, $9,524,000: BB (sf)
  Class B-2, $5,739,000: B (sf)
  Class B-3, $4,029,596: Not rated
  Class XS(ii): Not rated
  Class R, amount not applicable: Not rated

(i)Class A-1X will have a notional amount equal to the lesser of
the balance of class A-1 immediately prior to such distribution
date and the notional amount set forth on a schedule for the
related accrual period. After the 36th distribution date, the
notional amount of the class A-1X notes will be zero.
(ii)The notional amount equals the loans' stated principal balance.


BARDIN HILL 2021-2: Moody's Assigns Ba3 Rating to $20MM E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Bardin Hill CLO 2021-2 Ltd. (the "Issuer" or
"Bardin Hill CLO").

Moody's rating action is as follows:

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

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

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

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

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

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

RATINGS RATIONALE

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

Bardin Hill CLO 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 and eligible investments, and up to
7.5% of the portfolio may consist of loans other than senior
secured loans and permitted non-loan assets. Moody's expect the
portfolio to be approximately 78% ramped as of the closing date.

Bardin Hill Performing Credit Management LLC (the "Manager") will
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's 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 Notes, the Issuer will issue subordinated
notes.

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

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

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

Par amount: $400,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2856

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 6.5%

Weighted Average Recovery Rate (WARR): 46.0%

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.


BBCMS MORTGAGE 2018-C2: Fitch Affirms B- Rating on 2 Tranches
-------------------------------------------------------------
Fitch Ratings has affirmed 18 classes of BBCMS Mortgage Trust
2018-C2, commercial mortgage pass-through certificates, series
2018-C2 (BBCMS 2018-C2).

    DEBT               RATING            PRIOR
    ----               ------            -----
BBCMS 2018-C2

A-1 05491UAY4     LT AAAsf   Affirmed    AAAsf
A-2 05491UAZ1     LT AAAsf   Affirmed    AAAsf
A-3 05491UBB3     LT AAAsf   Affirmed    AAAsf
A-4 05491UBC1     LT AAAsf   Affirmed    AAAsf
A-5 05491UBD9     LT AAAsf   Affirmed    AAAsf
A-S 05491UBG2     LT AAAsf   Affirmed    AAAsf
A-SB 05491UBA5    LT AAAsf   Affirmed    AAAsf
B 05491UBH0       LT AA-sf   Affirmed    AA-sf
C 05491UBJ6       LT A-sf    Affirmed    A-sf
D 05491UAG3       LT BBBsf   Affirmed    BBBsf
E 05491UAJ7       LT BBB-sf  Affirmed    BBB-sf
F 05491UAL2       LT BB-sf   Affirmed    BB-sf
G 05491UAN8       LT B-sf    Affirmed    B-sf
X-A 05491UBE7     LT AAAsf   Affirmed    AAAsf
X-B 05491UBF4     LT AA-sf   Affirmed    AA-sf
X-D 05491UAA6     LT BBB-sf  Affirmed    BBB-sf
X-F 05491UAC2     LT BB-sf   Affirmed    BB-sf
X-G 05491UAE8     LT B-sf    Affirmed    B-sf

KEY RATING DRIVERS

Stable Loss Expectations: Fitch's overall pool performance has
remained relatively stable since issuance. Six loans (19.6% of
pool) have been designated as Fitch Loans of Concern (FLOCs). All
loans are current, and no loans have transferred to the special
servicer.

Fitch's current ratings reflect a base case loss of 3.75%. The
Negative Outlooks on classes G and X-G reflect losses that could
reach 4.70% after factoring in additional pandemic-related stresses
to the pool. The Stable Outlooks on all other classes reflect
sufficient credit enhancement (CE) and the expectation of paydown
from continued amortization.

Fitch Loans of Concern: The largest contributor to Fitch's loss
expectations is, AVR Embassy Suites Fort Worth (4.0%), which is
secured by a 156-key, full-service hotel located in Fort Worth, TX.
Performance has been negatively impacted by the coronavirus
pandemic and the borrower was granted debt relief, which allowed
the borrower to utilize reserve funds to cover debt service
payments from June through December 2020. The servicer-reported
June 2021 NOI debt service coverage ratio (DSCR) was 0.74x compared
to 0.45x at YE 2020, and 1.90x at YE 2019. As of TTM June 2021,
occupancy, ADR and RevPAR were 57%, $160 and $91, respectively,
compared with 83%, $189 and $156 for YE 2019 and 82%, $179 and $147
around the time of issuance (as of TTM August 2018). Fitch's base
case scenario reflects an 11.25% cap rate and 15% stress to the YE
2019 NOI resulting in a 10% loss. Fitch also applied a
pandemic-related stress of 26% to the YE 2019 NOI, which assumes
the property does not stabilize.

The largest FLOC is the GNL Portfolio (1.1%), which is secured by
three office buildings, two industrial buildings, one office/lab
building, and one warehouse building located across six states with
the three largest concentrations in San Jose, CA (25.4% of NRA),
Allen, TX (22.4% of NRA), and St. Louis, MO (13.9% of NRA). The
largest tenant, Nimble Storage (25.4% of NRA) had a lease
expiration in October 2021, and Fitch has not received an updated
rent roll confirming if there was a lease extension. There is no
additional tenant rollover expected until 2024, and YE 2020 NOI
DSCR remained stable at 2.10x compared to 2.09x at YE2019. Fitch
applied a 15% stress and 9% cap rate to the YE 2020 NOI resulting
in a 4% loss to reflect the potential that Nimble Storage vacated
at lease expiration.

Exposure to Coronavirus Pandemic: There are seven hotel loans
(19.1% of the pool) and 13 retail loans or mixed- use loans (31.1%
of the pool) with a retail component. Fitch ran an additional
sensitivity scenario that includes additional pandemic related
stresses to three hotel loans and one mixed use loan not in special
servicing, which addresses the potential that performance does not
recover to pre-pandemic levels and values decline. The Negative
Outlooks reflect this scenario.

Minimal Changes to Credit Enhancement: As of the October 2021
remittance, the pool's aggregate principal balance has been paid
down by 0.7% to $885.6 million from $891.9 million at issuance. All
44 loans remain in the pool. The pool is scheduled to amortize by
5.8% of the initial pool balance prior to maturity. Seventeen loans
(51.3% of the pool) are interest-only for the full loan term.
Nineteen loans (36.3%) have a partial interest-only component,
eight of these loans have begun to amortize. Loan maturities are
concentrated in 2028 (95.4%), 2025 (3.4%), and 2023 (1.2%).

Investment-Grade Credit Opinion Loans: Four loans representing
12.7% of the pool were assigned investment-grade credit opinions at
issuance: The Christiana Mall (6.2%), Moffett Towers - Buildings E,
F, G (2.8%), Moffett Towers II - Building 1 (2.5%), and Fair Oaks
Mall (1.2%). Fitch no longer considers the performance of Fair Oaks
Mall to be consistent with an investment-grade credit opinion.

RATING SENSITIVITIES

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

-- Downgrades of classes rated 'AAAsf' and 'AA-sf' are not likely
    due to sufficient CE and the expected continued amortization
    but could occur if interest shortfalls affect the classes.
    Classes C, D, E, X-D, F and X-F would be downgraded if loss
    expectations increase as additional loans become FLOCs or if
    performance of the FLOCs deteriorates further.

-- Classes G and X-G are most susceptible to downgrades if loss
    expectations increase, loans transfer to special servicing or
    losses are realized.

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

-- Upgrades of classes B, C, D, E and X-D may occur with
    significant improvement in CE and/or defeasance, but would be
    limited based on sensitivity to concentrations or the
    potential for future concentration.

-- The Negative Outlooks on classes G and X-G will be revised to
    Stable if loans affected by the pandemic stabilize and return
    to their pre-pandemic performance.

-- Classes would not be upgraded above 'Asf' if there is a
    likelihood for interest shortfalls.

-- Upgrades of classes F, X-F, G and X-G could occur if
    performance of the FLOCs improves significantly and/or if
    there is sufficient CE, which would likely occur if the non
    rated class is not eroded and the senior classes pay-off.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


BBCMS MORTGAGE 2021-C12: Fitch Assigns B- Rating on Cl. H-RR Certs
------------------------------------------------------------------
Fitch Ratings has issued a presale report on BBCMS Mortgage Trust
2021-C12, commercial mortgage pass-through certificates, series
2021-C12.

Fitch expects to rate the transaction and assign Rating Outlooks
are as follows:

-- $13,880,000 class A-1 'AAAsf'; Outlook Stable;

-- $112,570,000 class A-2 'AAAsf'; Outlook Stable;

-- $10,510,000 class A-3 'AAAsf'; Outlook Stable;

-- $37,406,000 class A-SB 'AAAsf'; Outlook Stable;

-- $135,000,000a class A-4 'AAAsf'; Outlook Stable;

-- $415,700,000a class A-5 'AAAsf'; Outlook Stable;

-- $725,066,000b class X-A 'AAAsf'; Outlook Stable;

-- $179,972,000b class X-B 'A-sf'; Outlook Stable;

-- $86,749,000 class A-S 'AAAsf'; Outlook Stable;

-- $47,906,000 class B 'AA-sf'; Outlook Stable;

-- $45,317,000 class C 'A-sf'; Outlook Stable;

-- $54,380,000bc class X-D 'BBB-sf'; Outlook Stable;

-- $12,947,000bc class X-F 'BB+sf'; Outlook Stable;

-- $10,358,000bc class X-G 'BB-sf'; Outlook Stable;

-- $29,779,000c class D 'BBBsf'; Outlook Stable;

-- $24,601,000c class E 'BBB-sf'; Outlook Stable;

-- $12,947,000c class F 'BB+sf'; Outlook Stable;

-- $10,358,000c class G 'BB-sf'; Outlook Stable;

-- $10,358,000cd class H-RR 'B-sf'; Outlook Stable.

The following class is not expected to be rated by Fitch:

-- $42,728,099cd class J-RR;

-- $30,897,028ce class RR;

-- $7,784,640ce class RR certificates.

(a) The initial certificate balances of the class A-4 and A-5
certificates are unknown and expected to be $550,700,000 in the
aggregate, subject to a 5% variance. The certificate balances will
be determined based on the final pricing of those classes of
certificates. The expected class A-4 balance range is $0 to
$270,000,000, and the expected class A-5 balance range is
$280,700,000 to $550,700,000. The balance of each class displayed
above is the hypothetical midpoint of the class range.

(b) Notional amount and interest only.

(c) Privately-place and pursuant to Rule 144a.

(d) Represents the "eligible horizontal interest" estimated to be
1.40% of all amounts collected on the mortgage loans (net of all
expenses of the issuing entity) that are available for distribution
to the certificates and the RR interest on each distribution date.

(e) The class RR certificates and the RR interest collectively
comprise the "VRR interest". The VRR interest represents the right
to receive approximately 3.60% of all amounts collected on the
mortgage loans (net of all expenses of the issuing entity) that are
available for distribution to the certificates and the RR interest
on each distribution date.

TRANSACTION SUMMARY

The expected ratings are based on information provided by the
issuer as of Nov. 8, 2021.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 67 loans secured by 151
commercial properties having an aggregate principal balance of
$1,074,490,768 as of the cut-off date. The loans were contributed
to the trust by KeyBank National Association, Barclays Capital Real
Estate Inc., Bank of Montreal, Societe Generale Financial
Corporation, and Starwood Mortgage Capital LLC. The Master Servicer
is expected to be KeyBank National Association and the Special
Servicer is expected to be LNR Partners, LLC.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 31.9% of the properties
by balance, cash flow analyses of 79.7% of the pool, and asset
summary reviews on 100% of the pool.

Coronavirus Impact: The ongoing containment effort related to the
coronavirus (which causes COVID-19) pandemic may have an adverse
impact on near-term revenue (i.e. bad debt expense, rent relief)
and operating expenses (i.e. sanitation costs) for some properties
in the pool. Delinquencies may occur in the coming months as
forbearance programs are put in place, although the ultimate impact
on credit losses will depend heavily on the severity and duration
of the negative economic impact of the coronavirus pandemic, and to
what degree fiscal interventions by the U.S. federal government can
mitigate the impact on consumers. Per the offering documents, all
of the loans are current and are not subject to any forbearance
requests, however, the sponsors for the Hamilton Commons loan (2.0%
of pool) and the Hampton Inn Altoona Des Moines loan (0.8% of the
pool), have negotiated loan amendments/modifications.

KEY RATING DRIVERS

Average In-line with Recent Transactions: The pool has average
leverage compared with recent multiborrower transactions rated by
Fitch. The pool's Fitch loan-to-value ratio (LTV) of 106.2% is
higher than the YTD 2021 and 2020 averages of 102.9% and 99.6%,
respectively. Additionally, the pool's Fitch debt service coverage
ratio (DSCR) of 1.32x is lower than the YTD 2021 of 1.39x but
inline with the 2020 average of1.32x, respectively.

High Multifamily Exposure and Low Hotel Exposure: Loans secured by
traditional multifamily properties represent 20.5% of the pool by
balance, including four of the top 20 loans. The total multifamily
concentration is higher than both the YTD 2021 and 2020 averages of
16.9% and 16.3%, respectively. Loans secured by multifamily
properties have a lower probability of default in Fitch's
multiborrower model, all else equal. There are only four hotel
loans, representing 4.5% of the pool, which is lower than the YTD
2021 and 2020 averages of 4.7% and 9.2%, respectively. Fitch
considers the hotel asset type to have the greatest downside risk
among all commercial asset types, and loans secured by hotel
properties are assigned an above-average probability of default in
Fitch's multiborrower model. Additionally, Fitch considers hotel
property types to have the greatest downside risk among all
commercial asset types as a result of the coronavirus pandemic.

Diverse Pool: The pool's 10 largest loans represent 44.9% of the
pool's cutoff balance, which is considerably lower than the YTD
2021 and 2020 averages of 50.7% and 56.8%, respectively. The loan
concentration index (LCI) and sponsor concentration index (SCI) of
307 and 341, respectively, are considerably lower than the YTD 2021
respective averages of 384 and 412, indicative of a diverse pool
with little sponsor concentration.

Investment-Grade Credit Opinion Loan: Only one loan representing
3.94% of the pool received an investment-grade credit opinion. HQ @
First received a standalone credit opinion of 'BBB-sf'. This is
slightly below the YTD 2021 average of 13.3% and considerably below
the 2020 average of 24.5%.

RATING SENSITIVITIES

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

This section provides insight into the sensitivity of ratings when
one assumption is modified, while holding others equal. For U.S.
CMBS, the sensitivity reflects the impact of changes to property
net cash flow (NCF) in up- and down-environments. 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.

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 in one variable, Fitch NCF:

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

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

-- 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'CCCsf' /
    'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf';

-- 30% NCF Decline: 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf' /
    'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'.

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

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

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

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


BEAR STEARNS 2006-AR5: Moody's Hikes Ratings on 2 Tranches to B3
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven bonds
from two US residential mortgage backed transactions (RMBS), backed
by Alt-A and option ARM mortgages issued by multiple issuers.

Issuer: Merrill Lynch Bank USA Mortgage Pass-Through Certificates,
2001-A

Cl. A, Upgraded to A2 (sf); previously on Jun 21, 2019 Upgraded to
Baa1 (sf)

Cl. B-1, Upgraded to Baa2 (sf); previously on Jun 21, 2019 Upgraded
to Ba1 (sf)

Cl. B-2, Upgraded to Baa3 (sf); previously on Jun 21, 2019 Upgraded
to Ba2 (sf)

Cl. M-1, Upgraded to A3 (sf); previously on Jun 21, 2019 Upgraded
to Baa2 (sf)

Cl. M-2, Upgraded to Baa1 (sf); previously on Jun 21, 2019 Upgraded
to Baa3 (sf)

Issuer: Bear Stearns Mortgage Funding Trust 2006-AR5

Cl. I-A-1, Upgraded to B3 (sf); previously on Dec 7, 2010
Downgraded to Caa2 (sf)

Cl. II-A-1, Upgraded to B3 (sf); previously on Dec 7, 2010
Downgraded to Caa2 (sf)

RATINGS RATIONALE

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

Moody's analysis considers the current proportion of loans granted
payment relief in each individual transaction. Moody's identified
these loans based on a review of loan level cashflows over the last
few months. Based on Moody's analysis, the proportion of borrowers
that are currently enrolled in payment relief plans varied greatly,
ranging between approximately 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 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.


BENCHMARK 2018-B1: Fitch Affirms CCC Rating on Class F-RR Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Benchmark 2018-B1 Mortgage
Trust commercial mortgage pass-through certificates. The Rating
Outlook on class C has been revised to Stable from Negative.

    DEBT               RATING             PRIOR
    ----               ------             -----
Benchmark 2018-B1 Mortgage Trust

A-1 08162PAS0     LT AAAsf   Affirmed     AAAsf
A-2 08162PAT8     LT AAAsf   Affirmed     AAAsf
A-3 08162PAU5     LT AAAsf   Affirmed     AAAsf
A-4 08162PAW1     LT AAAsf   Affirmed     AAAsf
A-5 08162PAX9     LT AAAsf   Affirmed     AAAsf
A-M 08162PAZ4     LT AAAsf   Affirmed     AAAsf
A-SB 08162PAV3    LT AAAsf   Affirmed     AAAsf
B 08162PBA8       LT AA-sf   Affirmed     AA-sf
C 08162PBB6       LT A-sf    Affirmed     A-sf
D 08162PAG6       LT BBB-sf  Affirmed     BBB-sf
E 08162PAJ0       LT BB-sf   Affirmed     BB-sf
F-RR 08162PAL5    LT CCCsf   Affirmed     CCCsf
X-A 08162PAY7     LT AAAsf   Affirmed     AAAsf
X-B 08162PAA9     LT AA-sf   Affirmed     AA-sf
X-D 08162PAC5     LT BBB-sf  Affirmed     BBB-sf
X-E 08162PAE1     LT BB-sf   Affirmed     BB-sf

KEY RATING DRIVERS

Improved loss Expectations Since Last Rating Action: Loss
expectations have declined since the last rating action primarily
due to better than expected performance of loans through the
pandemic in 2020 and performance stabilization in 2021. Fitch has
designated 18 loans (34.3% of the pool) as Fitch Loans of Concern
(FLOCs) primarily due to ongoing pandemic-related underperformance,
including four specially serviced loans (5.73%).

Fitch's current ratings for the transaction reflect a base case
loss of 4.70%. The Negative Outlooks reflect losses that could
reach 6.50% after factoring in additional coronavirus
pandemic-related sensitivities to eight hotel loans, and potential
outsized losses to the Lehigh Valley Mall and Valencia Town Center
loans. The revised Outlook on class C to Stable from Negative
reflects the majority of the pool experiencing less severe
coronavirus pandemic-related declines than expected. The Stable
Outlooks on all other classes reflect sufficient credit enhancement
(CE) and the expectation of paydown from continued amortization.

Fitch Loans of Concern: The largest FLOC is the Lehigh Valley Mall
(3.4% of the pool), which is secured by a 549,531 square foot (sf)
portion of a regional mall located in Lehigh Valley, PA. The loan
is sponsored by Simon Properties and Pennsylvania Real Estate
Investment Trust. Anchors include Macy's (ground lessee), Boscov's
(non-collateral) and JC Penney (non-collateral); all three anchors
have been at the property since 1957. The collateral is anchored by
Bob's Discount Furniture (5.5% of NRA; lease expiry in February
2028) and Barnes & Noble (5.4%; January 2023).

As of June 2021, occupancy declined to 79% from 81% at YE 2020, 84%
at YE 2019, and 85% at YE2018. The occupancy declines are primarily
due to multiple tenants vacating upon lease expiration or upon
filing for bankruptcy. The largest tenant to vacate was Modell's
(previously 2.6% of the NRA), which filed for bankruptcy ahead of
its 2022 lease expiration. As of TTM September 2020, inline sales
for tenants under 10,000-sf (excluding Apple) were $435 psf,
compared with $461 psf at YE19 and $451 psf at issuance. The loan
has remained current since issuance, with the year end (YE) 2020
NOI DSCR at 1.71x. Fitch's base case loss of 10.5% reflects a cap
rate of 12% and a 10% haircut to the YE 2020 NOI, which were
applied to address the recent occupancy declines and near-term
lease rollover concerns.

The second largest FLOC is the Radisson Blu Aqua Hotel (3.8%),
which is secured by a 334-key full-service hotel located in
Chicago, IL. The hotel has had significant performance declines as
a result of the coronavirus pandemic, with negative NOI reported
for YE 2020. Per the borrower's reporting, occupancy remains low at
25% for YTD May 2021, a slight increase from 18% at YE 2020, but
significantly below pre-pandemic occupancy of 54% as of YE 2019 and
76% at YE 2018.

Despite trough performance related to the coronavirus pandemic, the
sponsor has maintained monthly payments and the loan remains
current. Fitch's base case loss of approximately 9% reflects an
11.25% cap rate and a 10% haircut to the YE 2019 NOI.

Four loans are in special servicing due to pandemic-related
performance issues and include two retail properties, one hotel
property, and one mixed-use property. The largest special serviced
loan is 156-168 Bleeker (2.95% of the pool), which is secured by a
24,405-sf retail property located in the Greenwich Village
neighborhood of New York City. The loan transferred to special
servicing in November 2020 due to payment default. The largest
tenant, Le Poisson Rouge (43.6% of NRA and 27.5% of monthly base
rents), is a music venue and multimedia art cabaret which was
closed for a duration of the pandemic. The majority of the tenant's
space is below-grade located under a CVS store (28.1% of NRA and
50.7% of monthly base rent).

Per servicer updates, the tenant reopened in August 2021 and are
hosting shows, but have not yet resumed rental payments. Once the
foreclosure moratorium in NY is lifted, the lender plans to dual
track the foreclosure process while discussing workout alternatives
with the borrower. Fitch's base case loss of 28.2% reflects a
discount to the most recent servicer reported valuation. Fitch's
stressed value is approximately $880-psf, and reflects performance
declines due to the pandemic and the largest tenant not remitting
rental payments.

Coronavirus Exposure; Sensitivity Hotels: Nine loans (15%) are
secured by hotel properties, all of which have been identified as
FLOCs. Hotels experienced significant performance challenges in
2020 due to reduce reservations and/or temporary property closures
related to the pandemic. Fitch's base case loss projections for
most of the hotels in this pool are based on pre-pandemic cash
flows with additional haircuts to reflect performance stresses over
the past year. Fitch also ran additional coronavirus specific
sensitivities on eight hotel loans (14.3% of the pool). This
sensitivity analysis contributed to the Negative Outlooks.

Alternative Loss Consideration: Fitch applied an additional
sensitivity analysis which factors in a potential outsized loss of
15% on Valencia Town Center (4.9% of the pool), to reflect concerns
with its largest occupant, Princess Cruise Lines (76.5% of NRA). A
potential outsized loss of 22% was also applied to the Lehigh
Valley Mall loan, which is based on a 15% cap rate and a 20%
haircut to the YE 2020 NOI, to reflect sponsorship concerns and the
potential for sustained underperformance. These additional stresses
contributed to the Negative Outlooks.

Credit Opinion Loans: Two loans (9.2%) were given investment-grade
credit opinions at issuance. The Woods (4.9% of the pool) received
an investment-grade credit opinion of 'Asf'. Worldwide Plaza (4.3%)
received an investment-grade credit opinion of 'BBB+sf'.

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 loan/assets.
    Downgrades to classes A-1, A-2, A-3, A-4, A-5, A-SB, and A-M
    are not likely due to the high CE and relatively stable
    performance of the pool, but may occur should interest
    shortfalls affect these classes. Downgrades to classes B and C
    may occur if a high proportion of the pool defaults and
    expected losses increase significantly.

-- Downgrades to classes D, E, and F-RR are possible should loss
    expectations increase from continued performance declines on
    FLOCs, loans susceptible to the pandemic not stabilizing
    and/or deteriorating further, additional loans defaulting or
    transferring to special servicing, and/or increased certainty
    or higher realized losses than expected on the specially
    serviced loans. The Negative Outlooks may be revised back to
    Stable if performance of the FLOCs improves and/or properties
    vulnerable to the pandemic stabilize as the economy improves.

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

-- Upgrades would occur with stable to improved asset
    performance, particularly on the FLOCs, coupled with paydown
    and/or defeasance. Upgrades to classes B and C would likely
    occur with significant improvement in credit enhancement
    and/or defeasance; however, adverse selection and increased
    concentrations or the underperformance of the particular loans
    could cause this trend to reverse.

-- Upgrades to classes D and E are unlikely and would be limited
    based on sensitivity to concentrations or the potential for
    future concentration. Classes would not be upgraded above 'A-
    sf' if there were likelihood for interest shortfalls. Class F-
    RR, rated 'CCCsf', is unlikely to be upgraded absent of
    significant performance improvement and substantially higher
    recoveries than expected on the FLOCs.

BEST/WORST CASE RATING SCENARIO

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

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

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

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.


BETHPAGE PARK CLO: Moody's Assigns Ba3 Rating to $20MM Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes 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 2035,
Definitive Rating Assigned Aaa (sf)

US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2036, Definitive Rating 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.

Bethpage Park is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated 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, 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.

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%

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.


BRAVO RESIDENTIAL 2021-HE3: Fitch Gives 'B(EXP)' to Class B-2 Debt
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Bravo Residential
Funding Trust 2021-HE3 (BRAVO 2021-HE3).

DEBT               RATING
----               ------
BRAVO 2021-HE3

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
SA      LT NR(EXP)sf     Expected Rating
AIOS    LT NR(EXP)sf     Expected Rating
XS      LT NR(EXP)sf     Expected Rating
TC      LT NR(EXP)sf     Expected Rating
R       LT NR(EXP)sf     Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed notes
backed by seasoned first and second lien, open and closed home
equity line of credit (HELOC) and home equity loans on residential
properties to be issued by BRAVO Residential Funding Trust 2021-HE3
(BRAVO 2021-HE3) as indicated above. This is the third transaction
that includes HELOCs with open draws on the BRAVO shelf.

The collateral pool consists of 3,324 seasoned performing loans and
re-performing loans (RPL) totaling $173.04 million. As of the
cutoff date, approximately $109.52 million of the collateral
consists of second liens, while the remaining $63.51 million
comprises first liens (based on the transaction documents. The
maximum available remaining amount as of the cutoff date is
expected to be $83.74 million per the transaction documents.

The loans were originated or acquired by affiliates of Capital One,
National Association (which exited the mortgage originations
business in 2018), and subsequently purchased by an affiliate of a
PIMCO-managed private fund in a bulk sale; the loans are serviced
by Rushmore Loan Management Services.

Distributions of principal are based on a modified sequential
structure subject to the transaction's performance triggers.
Interest payments are made sequentially, while losses are allocated
reverse sequentially.

Draws will be funded first by the servicer, which will be
reimbursed from principal collections. If funds from principal
collections are insufficient, the servicer will be reimbursed from
the variable funding account (VFA). The VFA will be funded up
front, and the holder of the trust certificates will be obligated,
in certain circumstances (only if the draws exceed funds in the
VFA), to remit funds on behalf of the holder of the class R note to
the VFA to reimburse the servicer for certain draws made with
respect to the mortgage loans. Any amounts so remitted by the
holder of the trust certificates will be added to the principal
balance of the trust certificates.

The servicer, Rushmore, will not be advancing delinquent monthly
payments of principal and interest (P&I).

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 9.2%
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.

Seasoned Prime Credit Quality (Positive): The pool in aggregate is
seasoned almost 10 years with the first lien portion seasoned
roughly 10.5 years and the second lien portion seasoned roughly 9.5
years, according to Fitch. Of the loans, Fitch determined that
99.3% are current and 0.7% are 30 days delinquent (based on the
transaction documents, 99.7% are current and 0.3% are currently 30
days delinquent). Roughly 90% of the loans have been performing for
at least the previous 24 months (Fitch considered 89.9% of the pool
as performing for 36 months) and, therefore, received a credit in
Fitch's model.

Approximately 6.3% of loans have received a prior modification
based on Fitch's analysis (9.5% per the transaction documents). The
pool exhibits a relatively strong credit profile as shown by the
Fitch-determined 756 weighted average (WA) FICO score (745 per the
transaction documents) as well as the 45.4% sustainable loan to
value ratio (sLTV). Fitch viewed the pool as being roughly 67%
owner occupied, 95% single family, and 89% cash out.

Geographic Concentration (Negative): According to Fitch,
approximately 24.9% of the pool is concentrated in Maryland per the
transaction documents. The largest MSA concentration is in the
Washington-Arlington-Alexandria, DC-VA-MD MSA (32.3%), followed by
the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (25.4%)
and the New Orleans-Metairie-Kenner, LA MSA (5.7%). The top three
MSAs account for 63.4% of the pool. As a result, there was a 1.20x
probability of default (PD) penalty for geographic concentration.

Modified Sequential Structure (Positive): The transaction has a
modified sequential structure in which principal is distributed pro
rata to the senior classes to the extent that the performance
triggers are passing. To the extent they are failing, principal is
paid sequentially. The transaction also benefits from excess spread
that can be used to reimburse for realized and cumulative losses
and cap carryover amounts. Excess spread is not being used to turbo
down the bonds, and as a result, more credit enhancement compared
to expected loss is needed.

If the triggers are passing, the trust certificates will receive
their pro-rata share of principal and the residual principal
balance will receive its pro-rata share of losses up to the trust
certificates' writedown amount for such payment date. If triggers
are failing, the trust certificates will be paid principal after
all other classes have been paid in full, and the trust
certificates will take losses first, followed by the subordinate,
mezzanine and senior notes.

No Servicer Advancing (Positive): The servicer will not be
advancing delinquent monthly payments of P&I. Because P&I advances
made on behalf of loans that become delinquent and eventually
liquidate reduce liquidation proceeds to the trust, the loan-level
loss severities (LS) are less for this transaction than for those
where the servicer is obligated to advance P&I.

The Fitch cash flow model produced a model implied rating for class
B-2 of 'BBsf'. However, the committee decided to assign the class
an expected rating of 'Bsf'. The committee decided on the 'Bsf
rating since the Fitch suggested CE for the B-2 is slightly higher
than the deal CE of 6.00%. In addition, the B-2 takes losses prior
to the B-1 and should not have the same rating since it has a lower
priority in the capital structure.

RATING SENSITIVITIES

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 40.9% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

-- 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 '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 Digital Risk and Mortgage Connect. The third-party due
diligence described in Form 15E focused on compliance (Digital
Risk) and tax and title search (Mortgage Connect). Fitch considered
this information in its analysis and, as a result, Fitch made the
following adjustment(s) to its analysis: increased the loss
severity due to HUD-1 issues; extrapolated the results to the loans
that did not receive diligence grades; and increased the loss
severity to account for unpaid taxes and liens. In total, all the
due diligence adjustments resulted in an increase in the expected
loss of approximately 0.19%.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence compliance
review performed on approximately 10.0% of the pool by loan count
and data integrity review performed on 35.0% of the pool by loan
count. Fitch relied on the servicer to review 100% of the loans'
pay history. Lien positions for 100% of the pool were reviewed by
CoreLogic, Mortgage Connect and the servicer.

Fitch also relied on CoreLogic and Mortgage connect to perform a
tax and title review on 100% of the loans. The third-party due
diligence was generally consistent with Fitch's "U.S. RMBS Rating
Criteria." Digital Risk was engaged to perform the review. Under
this engagement, loans were reviewed for compliance and given
grades. Minimal exceptions and waivers were noted in the due
diligence reports.

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

ESG CONSIDERATIONS

BRAVO 2021-HE3 has an ESG Relevance Score of '4' [+] for
Transaction Parties & Operational Risk due to an 'Above Average'
aggregator and a 'RPS1-' Fitch-rated servicer, which has a positive
impact on the credit profile, and is relevant to the rating[s] in
conjunction with other factors.

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


BRAVO RESIDENTIAL 2021-NQM3: Fitch Affirms B Rating on B-2 Certs
----------------------------------------------------------------
Fitch rates the residential mortgage-backed certificates issued by
BRAVO Residential Funding Trust 2021-NQM3 (BRAVO 2021-NQM3).

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

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

TRANSACTION SUMMARY

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

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

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

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

Since Fitch published its presale report, the credit enhancements
on the offered bonds increased slightly. There was no impact on
Fitch's ratings as a result.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 12% above a long-term sustainable level (versus
11.7% on a national level). Underlying fundamentals are not keeping
pace with the growth in prices, which is a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 18.6% yoy nationally as of June 2021.

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

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

Loan Documentation (Negative): Approximately 71.4% of the pool was
underwritten to less than full documentation, and 35.6% was
underwritten to a 12-month or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program. A key distinction
between this pool and legacy Alt-A loans is that these loans adhere
to underwriting and documentation standards required under the
Consumer Financial Protections Bureau's (CFPB) ATR, which reduces
the risk of borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigors
of the ATR mandates regarding the underwriting and documentation of
the borrower's ability to repay.

Additionally, 18.3% comprises a DSCR or no ratio product, 1.5% is
an asset depletion product and the remaining is a mixture of other
alternative documentation products. Separately, close to 10% of the
loans were originated to foreign nationals or nonpermanent resident
aliens or are unknown.

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

No P&I Advancing (Mixed): The deal is structured without servicer
advances for delinquent P&I. The lack of advancing reduces loss
severities, as there is a lower amount repaid to the servicer when
a loan liquidates and liquidation proceeds are prioritized to cover
principal repayment over accrued but unpaid interest. The downside
to this is the additional stress on the structure side, as there is
limited liquidity in the event of large and extended
delinquencies.

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

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

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

RATING SENSITIVITIES

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor
engaged AMC, Clayton, Edgemac, Infinity, Opus, Recovco, and Inglet
Blair to perform the review. Loans reviewed under this engagement
were given compliance, credit and valuation grades and assigned
initial grades for each subcategory.

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.


CANYON CLO 2019-2: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from Canyon CLO
2019-2 Ltd., a CLO originally issued in September 2019 that is
managed by Canyon CLO Advisors LLC.

The preliminary ratings are based on information as of Nov. 10,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

S&P said, "On the Nov. 12, 2021, refinancing date, the proceeds
from the replacement notes will be used to redeem the original
notes. At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

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

-- The par subordination of the class D-R notes will decrease to
12.00% from 13.00%, and the par subordination of the class E-R
notes will decrease to 8.00% from 8.50%.

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

-- The target initial par amount will increase from $500.00
million to $525.00 million.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $336.00 million: Three-month LIBOR + 1.18%
  Class B-R, $63.00 million: Three-month LIBOR + 1.70%
  Class C-R, $31.50 million: Three-month LIBOR + 2.15%
  Class D-R, $31.50 million: Three-month LIBOR + 3.30%
  Class E-R, $21.00 million: Three-month LIBOR + 6.75%
  Subordinated notes, $49.30 million: Residual

  Original notes

  Class A, $320.00 million: Three-month LIBOR + 1.37%
  Class B, $60.00 million: Three-month LIBOR + 1.85%
  Class C, $30.00 million: Three-month LIBOR + 2.75%
  Class D, $25.00 million: Three-month LIBOR + 3.95%
  Class E, $22.50 million: Three-month LIBOR + 7.15%
  Subordinated notes, $48.25 million: Residual

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

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

  Preliminary Ratings Assigned

  Canyon CLO 2019-2 Ltd./Canyon CLO 2019-2 LLC

  Class A-R, $336.00 million: AAA (sf)
  Class B-R, $63.00 million: AA (sf)
  Class C-R (deferrable), $31.50 million: A (sf)
  Class D-R (deferrable), $31.50 million: BBB- (sf)
  Class E-R (deferrable), $21.00 million: BB- (sf)
  Subordinated notes, $49.30 million: Not rated



CHURCHILL MIDDLE III: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the floating- and
fixed-rate replacement debt from Churchill Middle Market CLO III
LLC, a CLO originally issued in July 2019 that is managed by Nuveen
Alternatives Advisors LLC. The ratings on the original class A, B,
and C loans were withdrawn as they were repaid in full with the
proceeds of the refinancing debt issuance.

The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle-market speculative-grade
(rated 'BB+' or lower) senior secured term loans.

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  Churchill Middle Market CLO III LLC

  Class A-1, $415.0 million: AAA (sf)
  Class A-L(i), $20.0 million: AAA (sf)
  Class B-1, $81.2 million: AA (sf)
  Class B-2, $5.0 million: AA (sf)
  Class C (deferrable), $56.3 million: A- (sf)
  Class D (deferrable), $37.5 million: BBB- (sf)
  Class E (deferrable), $45.0 million: BB- (sf)

(i)Class A-L will be issued as loans and can be converted to class
A-1 notes at a later date.

  Ratings Withdrawn

  Churchill Middle Market CLO III LLC

  Class A loans to not rated from 'AA (sf)'
  Class B loans to not rated from 'A (sf)'
  Class C loans to not rated from 'BBB (sf)'



CIFC FUNDING 2020-III: S&P Assigns Prelim BB- Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from CIFC
Funding 2020-III Ltd./CIFC Funding 2020-III LLC, a CLO originally
issued October 23, 2020 that is managed by CIFC Asset Management
LLC.

The preliminary ratings are based on information as of Nov. 9,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

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

-- The non-call period will be extended by approximately two years
to the payment date in October 2023.

-- The reinvestment period will be by extended approximately three
years to the payment date in October 2026.

-- The legal final maturity date (for the existing subordinated
notes) will be extended by approximately three years to match that
of the replacement notes, and will be set to the payment date in
October 2034. No additional subordinated notes will be issued on
the refinancing date

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

-- No additional assets will be purchased in connection with the
first refinancing date, and the target initial par amount will
remain at $500.00 million. There will be no additional effective
date or ramp-up period, and the first payment date following the
refinancing is January 20, 2022.

-- The required minimum overcollateralization and interest
coverage ratios, and the interest diversion test threshold, will be
amended.

-- The transaction is adding the ability to purchase certain
permitted non-loan assets, added purchase restrictions based on
environmental, social, and governance considerations, and extended
its ability to perform bankruptcy exchanges to include exchanges on
performing obligations. In addition, the transaction has amended
its benchmark replacement language, its definition of discount
obligation, its workout related asset purchase and carrying
allowances, and made updates to conform to current rating agency
methodology.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1-R, $310.00 million: Three-month LIBOR + 1.13%
  Class A-2-R, $5.00 million: Three-month LIBOR + 1.35%
  Class B-R, $65.00 million: Three-month LIBOR + 1.65%
  Class C-R (deferrable), $30.00 million: Three-month LIBOR +
2.00%
  Class D-R (deferrable), $30.00 million: Three-month LIBOR +
3.10%
  Class E-R (deferrable), $19.25 million: Three-month LIBOR +
6.50%

  Original notes

  Class A-1, $300.00 million: Three-month LIBOR + 1.35%
  Class A-2, $15.00 million: Three-month LIBOR + 1.60%
  Class B, $65.00 million: Three-month LIBOR + 1.70%
  Class C (deferrable), $30.00 million: Three-month LIBOR + 2.40%
  Class D (deferrable), $30.00 million: Three-month LIBOR + 3.90%
  Class E (deferrable), $15.00 million: Three-month LIBOR + 7.35%
  Subordinated notes, $43.30 million: Not applicable

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

S&P will continue to review whether, in its view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary.

  Preliminary Ratings Assigned

  CIFC Funding 2020-III Ltd./CIFC Funding 2020-III LLC

  Class A-1-R, $310.00 million: AAA (sf)
  Class A-2-R, $5.00 million: AAA (sf)
  Class B-R, $65.00 million: AA (sf)
  Class C-R (deferrable), $30.00 million: A (sf)
  Class D-R (deferrable), $30.00 million: BBB- (sf)
  Class E-R (deferrable), $19.25 million: BB- (sf)
  Subordinated notes, $43.30 million: Not rated



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

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

The 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

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

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

(i)The class A-L loans may be converted to class A-N notes only on
a payment date unless there has not been a prior conversion.
However, there cannot be a conversion between any record date and a
corresponding payment date. After a conversion, the class A-L loans
will be reduced with a proportional increase in the class A-N
notes. Class A-L loans can be converted into class A-N notes, but
no notes can be converted into loans.



CIFC FUNDING 2021-VII: S&P Assigns Prelim 'BB-' Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CIFC Funding
2021-VII Ltd./CIFC Funding 2021-VII 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 CIFC Asset Management LLC.

The preliminary ratings are based on information as of Nov. 10,
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

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

  X, $6.00 million: AAA (sf)
  A-1L, $100.00 million: AAA (sf)
  A1, $266.00 million: AAA (sf)
  B, $90.00 million: AA (sf)
  C (deferrable), $33.00 million: A (sf)
  D (deferrable), $38.40 million: BBB- (sf)
  E (deferrable), $22.80 million: BB- (sf)
  Sub notes, $54.15 million: Not rated


CIG AUTO 2021-1: Moody's Assigns Ba3 Rating to Class E Notes
------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by CIG Auto Receivables Trust 2021-1 (CIGAR 2021-1).
This is the first auto loan transaction of the year for CIG
Financial, LLC (CIG; Unrated). The notes are backed by a pool of
retail automobile loan contracts originated by CIG, who is also the
servicer and administrator for the transaction.

The complete rating actions are as follows:

Issuer: CIG Auto Receivables Trust 2021-1

$105,810,000, 0.69%, Class A Notes, Definitive Rating Assigned Aaa
(sf)

$16,280,000, 1.49%, Class B Notes, Definitive Rating Assigned Aa1
(sf)

$8,140,000, 1.79%, Class C Notes, Definitive Rating Assigned Aa3
(sf)

$23,990,000, 2.11%, Class D Notes, Definitive Rating Assigned Baa1
(sf)

$11,140,000, 4.45%, Class E Notes, Definitive Rating Assigned Ba3
(sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, the experience and expertise of CIG as servicer and
administrator, and the presence of Wilmington Trust, National
Association (long-term CR assessment A1(cr) negative) as named
backup servicer.

Moody's median cumulative net loss expectation for the 2021-1 pool
is 12.0% and the loss at a Aaa stress is 45%. The expected loss is
lower by 2 percentage points than Moody's initial expected loss for
CIGAR 2020-1, the last transaction that Moody's rated. Moody's
based its cumulative net loss expectation on an analysis of the
credit quality of the underlying collateral; the historical
performance of similar collateral, including securitization
performance and managed portfolio performance; the ability of CIG
to perform the servicing functions; and current expectations for
the macroeconomic environment during the life of the transaction.

At closing, the Class A notes, Class B notes, Class C notes, Class
D notes and Class E notes are expected to benefit from 39.25%,
29.75%, 25.00%, 11.00%, and 4.50%, of hard credit enhancement,
respectively. Hard credit enhancement for the notes consists of a
combination of overcollateralization, a non-declining reserve
account and subordination except for the Class E notes which do not
benefit from subordination. The notes may also benefit from excess
spread.

PRINCIPAL METHODOLOGY

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

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

Up

Moody's could upgrade the subordinated notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.

Down

Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud.


COLUMBIA CENT 29: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement notes from
Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 LLC, a CLO
originally issued in August 2020 that is managed by Columbia
Management Investment Advisers LLC and was not rated by S&P Global
Ratings.

The preliminary ratings are based on information as of Nov. 5,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Nov. 12, 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-1-R, D-2-R, and E-R
notes are expected to be issued at a lower spread over three-month
LIBOR than the original floating-rate notes.

-- The stated maturity and reinvestment period will each be
extended by 3.25 years.

-- There will be a two year non-call period.

-- Of the identified underlying collateral obligations, 100.00%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.

-- Of the identified underlying collateral obligations, 97.81%
have recovery ratings (which may include confidential ratings,
private ratings, and credit estimates) 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

  Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 LLC

  Class A-R, $256.00 million: AAA (sf)
  Class B-R, $48.00 million: AA (sf)
  Class C-R (deferrable), $24.00 million: A (sf)
  Class D-1-R (deferrable), $20.00 million: BBB (sf)
  Class D-2-R (deferrable), $8.00 million: BBB- (sf)
  Class E-R (deferrable), $12.00 million: BB- (sf)
  Subordinated notes, $34.30 million: Not rated



CONN'S RECEIVABLES 2021-A: Fitch Gives 'B(EXP)' on Class C Notes
-----------------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to the
notes issued by Conn's Receivables Funding 2021-A, LLC, which
consists of notes backed by retail loans originated by Conn
Appliances, Inc. or Conn Credit Corporation, Inc. and serviced by
Conn Appliances, Inc.

DEBT             RATING
----             ------
Conns Receivables Funding 2021-A, LLC

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

KEY RATING DRIVERS

Subprime Collateral Quality: The Conn's 2021-A receivables pool has
a weighted average FICO score of 613, and 8.1% of the loans have
scores below 550 or no score. Fitch applied 2.2x, 1.5x and 1.2x
stresses to the 25% default assumption at the 'BBBsf', 'BBsf' and
'Bsf' levels, respectively. The default multiple reflects the high
absolute value of the historical defaults, the variability of
default performance in recent years and the high geographical
concentration of the portfolio.

Rating Cap at 'BBBsf': The rating cap reflects the subprime
credit-risk profile of the customer base, higher loan defaults in
recent years, the high concentration of receivables from Texas,
recent disruption in servicing contributing to increased defaults
in recent securitized vintages and servicing collection risk
(albeit reduced in recent years) due to a portion of customers
making in-store payments.

Payment Structure -- Sufficient CE: Initial hard credit enhancement
(CE) totals 44.25%, 29.25% and 14.75% for class A, B and C notes,
respectively. Initial CE is sufficient to cover Fitch's stressed
cash flow assumptions for all classes.

Adequate Servicing Capabilities: Conn Appliances, Inc. has a long
track record as an originator, underwriter and servicer. The
credit-risk profile of the entity is mitigated by the backup
servicing provided by Systems & Services Technologies, Inc. (SST),
which has committed to a servicing transition period of 30 days.
Fitch considers all parties to be adequate servicers for this pool
at the expected rating levels. Fitch evaluated the servicers'
business continuity plan as adequate to minimize disruptions in the
collection process during the pandemic.

RATING SENSITIVITIES

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

-- Unanticipated increases in the frequency of defaults or
    chargeoffs could produce loss levels higher than the base
    case, and would likely result in declines of CE and remaining
    net loss coverage levels available to the notes. Decreased CE
    may make certain ratings on the notes susceptible to potential
    negative rating actions, depending on the extent of the
    decline in coverage.

-- Fitch conducts sensitivity analysis by stressing a
    transaction's initial base case default assumption by an
    additional 10%, 25% and 50% and examining the rating
    implications. These increases of the base case default rate
    are intended to provide an indication of the rating
    sensitivity of the notes to unexpected deterioration of a
    trusts performance. As additional sensitivity run of lowering
    recoveries to 0% is also conducted.

-- During the sensitivity analysis, Fitch examines the magnitude
    of the multiplier compression by projecting the expected cash
    flows and loss coverage levels over the life of investments
    under higher than the initial base case default assumptions.
    Fitch models cash flows with the revised default estimates
    while holding constant all other modeling assumptions.

Conn's 2021-A:

-- Default increase 10%: class A 'BBB-sf'; class B 'BBsf'; class
    C 'B-sf';

-- Default increase 25%: class A 'BB+sf'; class B 'B+sf'; class C
    'CCCsf';

-- Default increase 50%: class A 'BBsf'; class B 'Bsf'; class C
    less than 'CCCsf';

-- Recoveries decrease to 0%: class A 'BBB-sf'; class B 'BBsf';
    class C 'B-sf'.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing CE levels
    and consideration for potential upgrades. If the defaults are
    20% less than the projected base case default rate, the
    expected ratings for the subordinate notes could be upgraded
    by up to one rating category.

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 third-party due diligence information from
Ernst & Young LLP. The third-party due diligence focused on
comparing certain information with respect to a sample of loans
from the statistical data file. Fitch considered this information
in its analysis, and the findings did not have an impact on Fitch's
analysis. A copy of the ABS Due Diligence Form-15E received by
Fitch in connection with this transaction may be obtained through
the link contained on the bottom of the related rating action
commentary.

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.


CSMC 2021-INV2: S&P Assigns Prelim B (sf) Rating on Class B-5 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CSMC
2021-INV2 Trust's mortgage-backed notes.

The issuance is an RMBS transaction backed by first-lien,
fixed-rate, fully amortizing residential mortgage loans secured by
one- to four-family residential properties, planned-unit
developments, condominiums, and one manufactured housing to prime
borrowers. The pool consists of 1,267 investor mortgage loans and
105 secondary-occupancy mortgage loans.

The preliminary ratings are based on the preliminary private
placement memorandum term sheet dated Nov. 8, 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 high-quality collateral in the pool;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty (R&W) framework;

-- The mortgage aggregator, DLJ Mortgage Capital Inc., and the
originators, which include Cardinal Financial Co. L.P., and Home
Point Financial Corp.;

-- The geographic concentration;

-- The due diligence results consistent with the represented loan
characteristics; and

-- The further impact the COVID-19 pandemic will likely have on
the performance of the mortgage borrowers in the pool and liquidity
available in the transaction.

  Preliminary Ratings Assigned(i)

  CSMC 2021-INV2 Trust

  Class A-1, $376,773,000: AAA (sf)
  Class A-2, $352,512,000: AAA (sf)
  Class A-3, $326,073,600: AAA (sf)
  Class A-3A, $326,073,600: AAA (sf)
  Class A-3X, $326,073,600(ii): AAA (sf)
  Class A-4, $244,555,000: AAA (sf)
  Class A-4A, $244,555,000: AAA (sf)
  Class A-4X, $244,555,000(ii): AAA (sf)
  Class A-5, $81,518,600: AAA (sf)
  Class A-5A, $81,518,600: AAA (sf)
  Class A-5X, $81,518,600(ii): AAA (sf)
  Class A-6, $195,644,000: AAA (sf)
  Class A-6A, $195,644,000: AAA (sf)
  Class A-6X, $195,644,000(ii): AAA (sf)
  Class A-7, $130,429,600: AAA (sf)
  Class A-7A, $130,429,600: AAA (sf)
  Class A-7X, $130,429,600(ii): AAA (sf)
  Class A-8, $48,911,000: AAA (sf)
  Class A-8A, $48,911,000: AAA (sf)
  Class A-8X, $48,911,000(ii): AAA (sf)
  Class A-11, $26,438,400: AAA (sf)
  Class A-11X, $26,438,400(ii): AAA (sf)
  Class A-12, $26,438,400: AAA (sf)
  Class A-13, $26,438,400: AAA (sf)
  Class A-14, $24,261,000: AAA (sf)
  Class A-15, $24,261,000: AAA (sf)
  Class A-X1, $376,773,000(ii): AAA (sf)
  Class A-X2, $376,773,000(ii): AAA (sf)
  Class A-X3, $26,438,400(ii): AAA (sf)
  Class A-X4, $24,261,000(ii): AAA (sf)
  Class B-1, $10,368,000: AA (sf)
  Class B-2, $8,709,000: A (sf)
  Class B-3, $8,502,000: BBB (sf)
  Class B-4, $4,769,000: BB (sf)
  Class B-5, $3,110,000: B (sf)
  Class B-6, $2,489,098: Not rated
  Class A-IO-S, $414,720,098 (ii): Not rated
  Class PT, $414,720,098 (ii): Not rated
  Class R, not applicable: Not rated

(i)The collateral and structural information in this report reflect
the preliminary private placement memorandum dated Nov. 8, 2021.

(ii)Notional balance.

IO--Interest only.



DEUTSCHE BANK 2011-LC3: Fitch Lowers Rating on PM-5 Debt to B-
--------------------------------------------------------------
Fitch Ratings has removed from Rating Watch Negative, downgraded,
and assigned Negative Outlooks to six classes of Deutsche Bank
Securities (DBUBS), commercial mortgage pass-through certificates,
series 2011-LC3. In addition, Fitch has affirmed the ratings on
four classes.

   DEBT                RATING            PRIOR
   ----                ------            -----
DBUBS 2011-LC3

C 23305YAL3       LT Asf    Affirmed     Asf
D 23305YAM1       LT Bsf    Affirmed     Bsf
E 23305YAN9       LT CCCsf  Affirmed     CCCsf
F 23305YAP4       LT Csf    Affirmed     Csf
PM-1 23305YAU3    LT AAsf   Downgrade    AAAsf
PM-2 23305YAW9    LT BBBsf  Downgrade    AAsf
PM-3 23305YAX7    LT BBsf   Downgrade    Asf
PM-4 23305YAY5    LT BB-sf  Downgrade    BBBsf
PM-5 23305YAZ2    LT B-sf   Downgrade    BBB-sf
PM-X 23305YAV1    LT AAsf   Downgrade    AAAsf

KEY RATING DRIVERS

Providence Place Mall: The downgrade and removal from Negative
Watch of the PM-1 through PM-5 and PM-X bonds associated with the
Providence Place Mall reflects continued regional mall performance
deterioration and declining cash flow. The loan, sponsored by
Brookfield Properties, was not repaid at its May 6, 2021 maturity
and was subsequently modified in August.

The loan, which transferred to special servicing in April 2021 for
imminent maturity default, is secured by a 980,711-sf portion of a
1.3 million-sf regional mall in Providence, RI. At issuance, the
property was anchored by Macy's, JCPenney and Nordstrom. JCPenney
vacated in 2015 and the space was demolished and replaced with an
expanded parking garage. Nordstrom vacated in early 2019 and was
replaced in October 2019 by Boscov's (20% of collateral NRA; lease
expiry in January 2030). Major collateral tenants include
Providence Place Cinemas (13%; January 2026), Dave & Buster's
(4.1%; December 2024); H&M (2.9%; January 2028), DSW (2.7%; January
2024), Zara (2.4%; October 2025) and Old Navy (2.2%; April 2022).

Fitch's analysis incorporates an 11% cap rate to the YE 2020 NCF,
which has fallen 20.2% from 2019 due to government-mandated
property closures, tenancy issues and rent relief granted as a
result of the pandemic. As of the August 2021 rent roll, inline
occupancy was 84.9%, with approximately 4.4% not paying rent.
Upcoming lease rollover includes 13% in 2022, 10% in 2023 and 8.3%
in 2024. Comparable in-line sales (including Apple) as of TTM March
2021 were $437 psf, compared with $417 psf in 2020, $647 psf in
2019, $615 psf in 2018 and $603 psf in 2017.

Terms of the loan modification included a maturity extension
through May 6, 2022, with two additional one-year options that are
subject to debt yield requirements. The loan converted to
interest-only and is being cash managed during the extended term.
No funds will be paid to the mezzanine lender until the senior debt
has been paid in full. The loan is current and will be returned to
the master servicer after the November 2021 payment.

Alternative Loss Consideration: Due to the concentrated nature of
the pool, Fitch performed a sensitivity analysis that grouped the
remaining loans based on the likelihood of repayment and recovery
prospects. The affirmation of class C reflects the class' high
credit enhancement (CE) and no recoveries needed from the regional
mall loans in the pool to repay. Classes D through F are reliant on
regional mall loans, which comprise 83.3% of the pool, to repay.
Three loans (45.3%) are specially serviced.

The largest loss contributor is the largest loan, Dover Mall and
Commons (60% of pool), which is secured by a one-story regional
mall, Dover Mall, and a one-story strip center, Dover Commons,
located in Dover, DE; these properties total 886,324-sf, of which
553,854-sf is collateral. Fitch's base case loss of approximately
50% reflects a 15% cap rate and a 25% haircut to the YE 2019 NOI.

The mall is anchored by Macy's, Boscov's (non-collateral), JC
Penney (non-collateral), Dick's Sporting Goods. A collateral Sears
closed in August 2018 and the space remains vacant. The property
also features a 14-screen AMC Theatres, with in-line tenants
including Old Navy, Victoria's Secret, American Eagle Outfitters
and Hollister.

In-line mall occupancy as of YE 2020 was 70.6%; total mall
occupancy was 80.7%. Upcoming mall rollover includes 3.6% in 2021,
2.6% in 2022 and 10.3% in 2023. Dover Commons was 62.7% occupied as
of December 2020, with 25% of the NRA that has an upcoming rollover
in 2023; the largest tenants are Chuck E. Cheese, Mattress
Warehouse and Plato's Closet. For Dover Mall, inline sales as of
TTM May 2020 were $353 psf; for Dover Commons, $218 psf. Updated
tenant sales were requested, but per the master servicer, the
borrower is not required to provide them.

The loan was modified and returned from special servicing in July
2021. Modification terms included a maturity date extension to
August 2026, conversion of loan payments to interest-only for the
remaining term, implementation of cash management, allowing the use
of excess cashflow to hyper-amortize the unpaid principal balance
and a 12-month deferral of debt service payment effective October
2020 to be repaid by excess cash flow.

The next largest loss contributor to loss is the third largest
loan, Albany Mall (18% of pool), which is secured by a 446,969-sf
portion of a 753,552-sf regional mall located in Albany, GA.
Fitch's base case loss of approximately 75% considers a stress to a
recent appraisal, reflecting an implied cap rate of 32% to the YE
2019 NOI.

The loan was transferred to special servicing in February 2021 due
to imminent monetary default. The loan subsequently matured in July
2021. Per the special servicer, while the borrower, The Aronov
Corporation, were requesting a maturity extension, they decided to
hand back the property keys at maturity.

Non-collateral anchors include JCPenney, Belk and a vacant box
formerly occupied by Sears, which closed its store in March 2017.
Collateral anchor Dillards Inc, occupies 20% of the NRA with an
upcoming lease expiration in January 2022. The largest tenants are
Old Navy (lease expiry in January 2023), Books A Million (January
2025), Hibbett Sporting Goods (June 2024), Shoe Dept Encore (July
2026) and Chuck E. Cheese (December 2025).

The property was 67.6% occupied as of February 2021, compared to
68.6% in September 2020, 69.1% in 2019, 74% in 2018 and 90% in
March 2017. Toys R Us (7%) closed in March 2018. Approximately 4%
rolls in 2021 and 23% in 2022. Fitch has requested a leasing update
on the former Toys R' Us and Sears spaces, details on the tenants
granted rent relief and updated sales, but was not provided this
information. Tenant sales around the time of issuance were $220
psf.

Increased CE: As of the October 2021 remittance reporting, the
transaction's pooled aggregate balance has been reduced by 87.5% to
$175.1 million from $1.4 billion at issuance. Since the last rating
action, six loans ($56.9 million) were repaid in full, which were
better than expected.

RATING SENSITIVITIES

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

-- A downgrade to class C is not likely due to the high CE and
    expected continued amortization, but may occur should interest
    shortfalls affect the class. A downgrade to class D would
    occur should loss expectations for the pool increase
    significantly, further deterioration of loan performance or
    lack of stabilization with the loans susceptible to the
    coronavirus pandemic. Downgrades to distressed classes E and F
    would occur as losses are realized and/or with greater
    certainty of losses.

-- A downgrade to the bonds associated with Providence Place Mall
    may occur with further performance or valuation declines, if
    the borrower fails to refinance the loan at the extended
    maturity or fails meet the debt yield requirement for
    subsequent maturity date extensions.

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

-- Upgrades are not expected due to significant pool
    concentration and adverse selection, but may occur if
    performance of the regional malls improves substantially
    and/or recoveries are better than expected. If the specially
    serviced loans revert to their pre-pandemic performance and/or
    actual losses are better than expected, the Negative Outlook
    on classes D may be revised back to Stable.

-- An upgrade to the bonds associated with Providence Place Mall
    are not expected, but could occur if performance of the malls
    improves substantially and stabilizes to pre-pandemic levels.

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

DBUBS 2011-LC3 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to {DESCRIPTION OF ISSUE/RATIONALE}, 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.


DIAMOND ISSUER 2021-1: Fitch Rates Class C Notes 'BB-sf'
--------------------------------------------------------
Fitch expects to rate Diamond Issuer LLC Fixed Rate Cellular Site
Revenue Notes, Series 2021-1 as follows:

-- $306,000,000 series 2021-1 class A 'Asf'; Outlook Stable;

-- $60,000,000 series 2021-1 class B 'BBB-sf'; Outlook Stable;

-- $69,000,000 series 2021-1 class C 'BB-sf'; Outlook Stable.

The following class is not expected to be rated by Fitch:

-- $22,900,000(a) series 2021-1 class R.

(a) Horizontal credit risk retention interest representing 5% of
the 2021-1 certificates.

TRANSACTION SUMMARY

The transaction is an issuance of notes backed by mortgages
representing no less than approximately 90% of the annualized run
rate net cash flow (ARRNCF) on the tower sites, and guaranteed by
the direct parent of the borrower issuer. This guarantee is secured
by a pledge and first-priority-perfected security interest in 100%
of the real property interest (equity interest) of the borrowers,
which own or lease 1,064 wireless communication sites (towers and
the tenant leases) and mortgages on applicable sites (no less than
90% of ARRNCF); a pledge of the equity interest of the issuers and
any asset entities; and The Capacity Use and Service Agreements and
any and all associated rights, remedies and proceeds, including the
exclusive and perpetual relationship with FirstEnergy Corp.'s (FE)
ten utility subsidiaries to sublease FE transmission and
communication towers.

The new securities will be issued pursuant to the newly formed
trust's servicing agreement dated as of the expected closing of the
series 2021-1 transaction. At closing, proceeds from the issuance
of securities will be used to repay the Issuer's existing Series
2017-1, Series 2018-1 and Series 2020-1 notes in full (including
any applicable prepayment consideration); pay related transaction
fees and expenses; fund the Site Acquisition Account (SAA); fund
reserve accounts, and for general corporate purposes.

The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in cellular sites, not an assessment of
the corporate default risk of the ultimate parent, Diamond
Communications LLC not rated (NR) by Fitch, which is also the
2021-1 Manager. This transaction is the fifth ABS transaction
managed by Diamond.

KEY RATING DRIVERS

Trust Leverage: Fitch net cash flow (NCF) on the pool is $36.7
million, implying a Fitch stressed debt service coverage ratio
(DSCR) of 1.00x. The debt multiple relative to Fitch's NCF is
12.5x, which equates to a debt yield of 8.0%. Excluding the
non-offered risk retention class R notes, the offered notes have a
Fitch stressed DSCR, debt multiple and debt yield of 1.05x, 11.87x
and 8.4%, respectively.

Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for tower space, similar to most wireless tower
transactions, the senior classes of this transaction do not achieve
ratings above 'Asf'. The securities have a rated final payment date
over 30 years after closing, and the long-term tenor of the
securities increases the risk that an alternative technology —
rendering obsolete the current transmission of wireless signals
through cellular sites — will be developed. Wireless service
providers (WSPs) currently depend on towers to transmit their
signals and continue to invest in this technology.

Diversified Pool: There are 1,064 wireless sites and 1,440 tenant
leases spanning 44 states. The largest state (New Jersey)
represents 22.7% and top three states total 49.4%, both of ARRNCF.

Prefunding: On the closing date, $20 million (4.6% of total offered
proceeds) will be deposited into a site acquisition account to be
used during a 12-month period to acquire additional cellular sites
or convert leasehold sites to owned or easement, or in connection
with lease-up activity on existing sites. Prefunding introduces
uncertainty as to final collateral characteristics. Fitch accounted
for prefunding by stressing the NCF of the prefunding component to
reflect the most conservative prefunding pool composition tests.

Leases to Strong Tower Tenants: There are 1,440 tenant leases.
Telephony tenants represent approximately 98.2% of the annualized
run rate revenue (ARRR), and 96% of the ARRR is from
investment-grade tenants. The tenant leases have weighted average
annual escalators of approximately 2.6% and a weighted average
final remaining term, including renewals, of 36.8 years. The
largest tenant is AT&T (BBB+/Stable; 52.4% of ARRR).

Additional Securities: The transaction allows for the issuance of
additional securities. Such additional securities may rank pari
passu with or subordinate to the 2021 securities. Any additional
securities will be pari passu with any class of securities bearing
the same alphabetical class designation. Additional securities may
be issued without the benefit of additional collateral, provided
the post-issuance DSCR is not less than 2.0x. The possibility of
upgrades may be limited due to this provision.

RATING SENSITIVITIES

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

-- Declining cash flow as a result of higher site expenses or
    lease churn, and the development of an alternative technology
    for the transmission of wireless signal could lead to
    downgrades.

-- Fitch's NCF was 2.0% above the issuer's underwritten cash
    flow. A 10% decrease in Fitch's NCF indicates the following
    model-implied rating sensitivities for series 2021-1: 2021-1
    class A to 'BBB-sf' from 'Asf', 2021-1 class B to 'BBsf' from
    'BBB-sf', 2021-1 class C to 'Bsf' from 'BB-sf'.

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

-- Increasing cash flow without an increase in corresponding
    debt, from contractual lease escalators, new tenant leases, or
    lease amendments could lead to upgrades. However, the
    transaction is capped in the 'Asf' category, given the risk of
    technological obsolescence.

-- A 10% increase in Fitch's NCF indicates the following model-
    implied rating sensitivities for series 2021-1: 2021-1 class A
    to 'Asf' from 'Asf', 2021-1 class B to 'BBBsf' from 'BBB-sf',
    2021-1 class C to 'BBsf' from 'BB-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 third-party due diligence information from
Deloitte & Touche LLP. The third-party due diligence information
was provided on Form ABS Due Diligence Form-15E and focused on a
comparison of certain characteristics with respect to the portfolio
of wireless communication sites and related tenant leases in the
data file. Fitch considered this information in its analysis, and
the findings did not have an impact on Fitch's analysis.

ESG CONSIDERATIONS

Diamond Issuer LLC 2021-1 Secured Site Revenue Notes has an ESG
Relevance Score of '4' for Transaction & Collateral Structure due
to several factors, including the issuer's ability to issue
additional notes, 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.


DT AUTO 2021-4: S&P Assigns BB (sf) Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect S&P's view of:

-- Credit support of 61.3%, 55.5%, 45.5%, 37.5%, and 34.8% 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 87.6%, 79.3%, 70.1%, 57.7%, 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 we deem appropriate for the assigned ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(1.37x S&P's expected loss level), all else being equal, S&P's
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 75%) 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.

  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)


EAGLE RE 2021-2: Moody's Assigns B2 Rating to Class M-2 Notes
-------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to seven
classes of mortgage insurance credit risk transfer notes issued by
Eagle Re 2021-2 Ltd.

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

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

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

The complete rating actions are as follows:

Issuer: Eagle Re 2021-2 Ltd.

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

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

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

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

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

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

Cl. M-2, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

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

Collateral Description

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

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

Underwriting Quality

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

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

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

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

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

Third-Party Review

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

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

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

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

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

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

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

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

Reps & Warranties Framework

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

Transaction Structure

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

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

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

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

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

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

Premium Deposit Account (PDA)

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

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

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

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

Claims Consultant

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

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

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

Down

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

Up

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

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


ETRADE RV 2004-1: S&P Affirms 'CCC- (sf)' Rating on Class D Notes
-----------------------------------------------------------------
S&P Global Ratings affirmed its 'CCC- (sf)' and 'CC (sf)' ratings
on E*Trade RV and Marine Trust 2004-1's class D and E notes,
respectively.

E*Trade RV and Marine Trust 2004-1 is an ABS transaction backed by
recreational vehicle and marine retail installment contracts.

S&P said, "The affirmed 'CCC- (sf)' and 'CC (sf)' ratings reflect
our view that credit support will remain insufficient to cover our
expected losses for these classes. As defined in our criteria, the
'CCC (sf)' rating category reflects our view that a class is
vulnerable to nonpayment and is dependent upon favorable business,
financial, and economic conditions to be paid interest and/or
principal according to the terms of each transaction. The minus (-)
sign modifier to the 'CCC' rating on the class D notes reflects our
view that minimal additional economic stress would lead to a
default on the notes. The 'CC (sf)' rating on the class E notes
reflects our view that the class remains virtually certain to
default.

"As of the October 2021 distribution date, the transaction has
experienced cumulative net losses of 9.53% after 202 months of
performance, with a pool factor of 0.93%. We now expect the
transaction to experience a lifetime cumulative net loss of up to
9.75%, down from our prior revised net loss expectation of
9.90%-10.10% in June 2020.

"The series' overcollateralization amount has been fully depleted,
and losses continue to reduce the subordination in the form of the
class E notes. The class E notes have almost been completely
written down, and we do not expect them to receive full and timely
principal by their legal final maturity date, even under the most
optimistic collateral performance scenario."



FLAGSHIP CREDIT 2019-4: S&P Affirms BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings raised its ratings on 39 classes and affirmed
our ratings on 19 classes from 15 Flagship Credit Auto Trust (FCAT)
transactions. The transactions are ABS transactions backed by
subprime retail auto loans originated by Flagship and CarFinance
Capital LLC.

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 affirmed and 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.

  FCAT 2017-1      56    11.15     12.00      6.09
  FCAT 2017-2      52    13.66      9.87      6.12
  FCAT 2017-3      50    16.77      9.01      5.34
  FCAT 2017-4      46    19.07      9.33      5.58
  FCAT 2018-1      44    21.66      8.84      5.46
  FCAT 2018-2      41    26.45      8.05      5.44
  FCAT 2018-3      38    29.01      8.01      5.40
  FCAT 2018-4      35    32.04      7.85      5.50
  FCAT 2019-1      32    36.28      7.07      5.55
  FCAT 2019-2      29    40.24      5.80      5.75
  FCAT 2019-3      26    45.37      5.25      5.72
  FCAT 2019-4      23    49.88      4.21      4.89
  FCAT 2020-1      20    52.21      2.91      4.98
  FCAT 2020-2      17    54.20      2.08      4.17
  FCAT 2020-3      14    63.20      1.51      3.50

(i)As of the October 2021 distribution date.
Mo.--Month.
CNL--Cumulative net loss.
Delinq.—Delinquencies.
FCAT-–Flagship Credit Auto Trust.


  Table 2

  CNL Expectations (%)(i)

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

  FCAT 2017-1    13.00-13.50       13.50-14.00        up to 12.50
  FCAT 2017-2    12.80-13.30       11.50-12.00        10.75-11.25
  FCAT 2017-3    12.75-13.25       11.75-12.25        10.50-11.00
  FCAT 2017-4    12.75-13.25       12.00-12.50        11.00-11.50
  FCAT 2018-1    12.75-13.25       12.25-12.75        10.75-11.25
  FCAT 2018-2    12.50-13.00       12.75-13.25        10.75-11.25
  FCAT 2018-3    12.50-13.00       13.50-14.00        11.25-11.75
  FCAT 2018-4    12.25-12.75       12.50-13.00        11.25-11.75
  FCAT 2019-1    12.25-12.75       12.75-13.25        11.25-11.75
  FCAT 2019-2    12.25-12.75       12.50-13.00        10.75-11.25
  FCAT 2019-3    12.25-12.75       12.75-13.25        10.75-11.25
  FCAT 2019-4    12.00-12.50       12.25-12.75        10.25-10.75
  FCAT 2020-1    12.00-12.50       12.50-13.00        10.25-10.75
  FCAT 2020-2    14.00-14.50               N/A        10.25-10.75
  FCAT 2020-3    14.00-14.50               N/A        10.25-10.75

(i)As of October 2021.

(ii)Series 2017-2, 2017-3, 2017-4, 2018-1, 2018-4, 2019-1, 2019-2,
2019-3, 2019-4, and 2020-1 were last reviewed in May 2021. Series
2017-1, 2018-2, and 2018-3 were last reviewed in September 2020.
CNL exp.--Cumulative net loss expectation.

N/A--Not applicable.

Each transaction has a sequential principal payment structure--in
which the notes are paid principal by seniority--that will increase
the credit enhancement for the senior notes as the pool amortizes.
Each transaction also has credit enhancement in the form of a
non-amortizing reserve account, overcollateralization (O/C),
subordination for the higher-rated tranches, and excess spread.
Each transaction's reserve account and O/C amount are at their
specified target levels and, since closing, the credit support for
each series has increased as a percentage of the amortizing pool
balance.

  Table 3

  Hard Credit Support (%)(i)

                             Total hard    Current total hard
                         credit support        credit support
  Series         Class  at issuance(ii)    (% of current)(ii)
  FCAT 2017-1    D                12.86                 90.19
  FCAT 2017-1    E                 5.75                 26.44
  FCAT 2017-2    D                11.00                 63.16
  FCAT 2017-2    E                 5.50                 22.89
  FCAT 2017-3    C                20.25                107.50
  FCAT 2017-3    D                11.00                 52.73
  FCAT 2017-3    E                 5.50                 20.17
  FCAT 2017-4    C                20.25                 96.08
  FCAT 2017-4    D                11.00                 47.59
  FCAT 2017-4    E                 5.50                 18.74
  FCAT 2018-1    C                19.01                 84.35
  FCAT 2018-1    D                10.00                 42.79
  FCAT 2018-1    E                 4.25                 16.23
  FCAT 2018-2    C                18.25                 70.29
  FCAT 2018-2    D                 9.00                 35.31
  FCAT 2018-2    E                 3.25                 13.56
  FCAT 2018-3    B                30.50                106.84
  FCAT 2018-3    C                18.25                 64.61
  FCAT 2018-3    D                 9.00                 32.72
  FCAT 2018-3    E                 3.25                 12.89
  FCAT 2018-4    B                28.90                 94.55
  FCAT 2018-4    C                17.65                 59.43
  FCAT 2018-4    D                 8.55                 31.03
  FCAT 2018-4    E                 1.85                 10.12
  FCAT 2019-1    B                28.90                 84.32
  FCAT 2019-1    C                17.65                 53.31
  FCAT 2019-1    D                 8.55                 28.23
  FCAT 2019-1    E                 1.85                  9.76
  FCAT 2019-2    A                37.10                 96.59
  FCAT 2019-2    B                28.35                 74.84
  FCAT 2019-2    C                16.85                 46.27
  FCAT 2019-2    D                 7.60                 23.28
  FCAT 2019-2    E                 1.85                  8.99
  FCAT 2019-3    A                37.00                 86.16
  FCAT 2019-3    B                28.25                 66.87
  FCAT 2019-3    C                16.75                 41.52
  FCAT 2019-3    D                 7.45                 21.02
  FCAT 2019-3    E                 1.75                  8.45
  FCAT 2019-4    A                35.50                 75.66
  FCAT 2019-4    B                26.75                 58.12
  FCAT 2019-4    C                15.50                 35.57
  FCAT 2019-4    D                 6.50                 17.53
  FCAT 2019-4    E                 1.50                  7.50
  FCAT 2020-1    A                35.50                 72.53
  FCAT 2020-1    B                26.55                 55.40
  FCAT 2020-1    C                15.20                 33.66
  FCAT 2020-1    D                 6.20                 16.42
  FCAT 2020-1    E                 1.50                  7.42
  FCAT 2020-2    A                41.95                 77.83
  FCAT 2020-2    B                35.45                 65.83
  FCAT 2020-2    C                24.05                 44.80
  FCAT 2020-2    D                15.25                 28.56
  FCAT 2020-2    E                 8.60                 16.29
  FCAT 2020-3    A                36.40                 59.48
  FCAT 2020-3    B                27.95                 46.11
  FCAT 2020-3    C                16.20                 27.52
  FCAT 2020-3    D                11.00                 19.29
  FCAT 2020-3    E                 6.50                 12.17

(i)As of the October 2021 distribution date.

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

FCAT--Flagship Credit Auto Trust.

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.

  Various Rating Actions Taken On Eight Flagship Credit Auto Trust
Transactions, Sept. 11, 2020

  Presale: Flagship Credit Auto Trust 2020-3, July 23, 2020
  Presale: Flagship Credit Auto Trust 2020-2, May 14, 2020
  Presale: Flagship Credit Auto Trust 2020-1, Feb. 5, 2020
  Presale: Flagship Credit Auto Trust 2019-4, Nov. 6, 2019
  Presale: Flagship Credit Auto Trust 2019-3, Aug. 7, 2019
  Presale: Flagship Credit Auto Trust 2019-2, May 8, 2019
  Presale: Flagship Credit Auto Trust 2019-1, Jan. 30, 2019
  Presale: Flagship Credit Auto Trust 2018-4, Nov. 7, 2018
  Presale: Flagship Credit Auto Trust 2018-3, Aug. 8, 2018
  Presale: Flagship Credit Auto Trust 2018-2, May 9, 2018
  Presale: Flagship Credit Auto Trust 2018-1, Feb. 7, 2018
  Presale: Flagship Credit Auto Trust 2017-4, Nov. 8, 2017
  Presale: Flagship Credit Auto Trust 2017-3, Aug. 10, 2017
  Presale: Flagship Credit Auto Trust 2017-2, May 18, 2017
  Presale: Flagship Credit Auto Trust 2017-1, Jan. 24, 2017


  RATINGS RAISED

  Flagship Credit Auto Trust

                             Rating
  Series        Class     To         From
  2017-1        E         AAA (sf)   BBB (sf)
  2017-2        E         A (sf)     BBB+ (sf)
  2017-3        D         AAA (sf)   AA- (sf)
  2017-3        E         A- (sf)    BB (sf)
  2017-4        E         A- (sf)    BB+ (sf)
  2018-1        D         AAA (sf)   A+ (sf)
  2018-1        E         A- (sf)    BB- (sf)
  2018-2        C         AAA (sf)   AA (sf)
  2018-2        D         AA+ (sf)   BBB+ (sf)
  2018-2        E         BBB (sf)   BB- (sf)
  2018-3        B         AAA (sf)   AA+ (sf)
  2018-3        C         AAA (sf)   AA- (sf)
  2018-3        D         AA- (sf)   BBB+ (sf)
  2018-3        E         BB+ (sf)   BB- (sf)
  2018-4        C         AAA (sf)   AA+ (sf)
  2018-4        D         AA- (sf)   A (sf)
  2018-4        E         BB+ (sf)   BB- (sf)
  2019-1        C         AAA (sf)   AA+ (sf)
  2019-1        D         A+ (sf)    A- (sf)
  2019-1        E         BB+ (sf)   BB- (sf)
  2019-2        C         AAA (sf)   AA- (sf)
  2019-2        D         A- (sf)    BBB+ (sf)
  2019-2        E         BB (sf)    BB- (sf)
  2019-3        C         AAA (sf)   AA- (sf)
  2019-3        D         A (sf)     BBB+ (sf)
  2019-3        E         BB+ (sf)   BB- (sf)
  2019-4        B         AAA (sf)   AA+ (sf)
  2019-4        C         AA+ (sf)   AA- (sf)
  2019-4        D         A- (sf)    BBB+ (sf)
  2020-1        B         AAA (sf)   AA (sf)
  2020-1        C         AA- (sf)   A (sf)
  2020-2        B         AAA (sf)   AA (sf)
  2020-2        C         AA (sf)    A (sf)
  2020-2        D         A- (sf)    BBB (sf)
  2020-2        E         BB+ (sf)   BB- (sf)
  2020-3        B         AAA (sf)   AA (sf)
  2020-3        C         A+ (sf)    A (sf)
  2020-3        D         A- (sf)    BBB (sf)
  2020-3        E         BB+ (sf)   BB- (sf)

  RATINGS AFFIRMED

  Flagship Credit Auto Trust

  Series        Class     Rating
  2017-1        D         AAA (sf)
  2017-2        D         AAA (sf)
  2017-3        C         AAA (sf)
  2017-4        C         AAA (sf)
  2017-4        D         AAA (sf)
  2018-1        C         AAA (sf)
  2018-4        B         AAA (sf)
  2019-1        B         AAA (sf)
  2019-2        A         AAA (sf)
  2019-2        B         AAA (sf)
  2019-3        A         AAA (sf)
  2019-3        B         AAA (sf)
  2019-4        A         AAA (sf)
  2019-4        E         BB+ (sf)
  2020-1        A         AAA (sf)
  2020-1        D         BBB (sf)
  2020-1        E         BB- (sf)
  2020-2        A         AAA (sf)
  2020-3        A         AAA (sf)



FLAGSTAR MORTGAGE 2021-12: Fitch Gives B(EXP) Rating to B-5 Certs
------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by Flagstar Mortgage Trust 2021-12 (FSMT
2021-12). The transaction is expected to close on Nov. 19 2021. The
certificates are supported by 855 newly originated, fixed-rate,
prime-quality first liens on one- to four-family residential homes
and condominiums. The pool consists of both non-agency jumbo and
agency eligible mortgage loans. The total balance of these loans is
approximately $755 million, as of the cut-off date. This is the
fifth 2021 issuance from Flagstar Bank, FSB (Flagstar) rated by
Fitch.

The pool comprises loans that Flagstar originated through its
retail, broker and correspondent channels. The transaction is
similar to previous Fitch-rated prime transactions, with a standard
senior-subordinate, shifting-interest deal structure. 100% of the
loans in the pool were underwritten to the Ability to Repay (ATR)
rule and qualify as safe-harbor or temporary qualified mortgages
(SHQMs and TQMs, respectively) or rebuttable presumption QM.
Flagstar (RPS2/Stable) will be the servicer, and Wells Fargo Bank,
N.A. (RMS1-/ Negative) will be the master servicer.

The collateral and the structure are very similar to those of prior
FSMT transactions that Fitch has rated.

DEBT                RATING
----                ------
FSMT 2021-12

A-1       LT AAA(EXP)sf  Expected Rating
A-2       LT AAA(EXP)sf  Expected Rating
A-3       LT AAA(EXP)sf  Expected Rating
A-4       LT AAA(EXP)sf  Expected Rating
A-5       LT AAA(EXP)sf  Expected Rating
A-6       LT AAA(EXP)sf  Expected Rating
A-7       LT AAA(EXP)sf  Expected Rating
A-9       LT AAA(EXP)sf  Expected Rating
A-8       LT AAA(EXP)sf  Expected Rating
A-10      LT AAA(EXP)sf  Expected Rating
A-11      LT AAA(EXP)sf  Expected Rating
A11-X     LT AAA(EXP)sf  Expected Rating
A-12      LT AAA(EXP)sf  Expected Rating
A-13      LT AAA(EXP)sf  Expected Rating
A-14      LT AAA(EXP)sf  Expected Rating
A-15      LT AAA(EXP)sf  Expected Rating
A-16      LT AAA(EXP)sf  Expected Rating
A-17      LT AAA(EXP)sf  Expected Rating
A-18      LT AAA(EXP)sf  Expected Rating
A-19      LT AAA(EXP)sf  Expected Rating
A-20      LT AAA(EXP)sf  Expected Rating
A-21      LT AAA(EXP)sf  Expected Rating
A-X-1     LT AAA(EXP)sf  Expected Rating
A-X-4     LT AAA(EXP)sf  Expected Rating
A-X-6     LT AAA(EXP)sf  Expected Rating
A-X-8     LT AAA(EXP)sf  Expected Rating
A-X-10    LT AAA(EXP)sf  Expected Rating
A-X-13    LT AAA(EXP)sf  Expected Rating
A-X-15    LT AAA(EXP)sf  Expected Rating
A-X-16    LT AAA(EXP)sf  Expected Rating
A-X-17    LT AAA(EXP)sf  Expected Rating
A-X-18    LT AAA(EXP)sf  Expected Rating
A-X-20    LT AAA(EXP)sf  Expected Rating
A-X-21    LT AAA(EXP)sf  Expected Rating
B-1       LT AA(EXP)sf   Expected Rating
B-2       LT A(EXP)sf    Expected Rating
B-3       LT BBB(EXP)sf  Expected Rating
B-4       LT BB(EXP)sf   Expected Rating
B-5       LT B(EXP)sf    Expected Rating
B-6-C     LT NR(EXP)sf   Expected Rating

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 13.4% 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.

High-Quality Prime Mortgage Pool (Positive)

The pool consists of very high-quality, 30-year fixed-rate, fully
amortizing loans to prime quality borrowers. The loans were made to
borrowers with strong credit profiles, relatively low leverage and
large liquid reserves. The loans are seasoned at an average of five
months, according to Fitch (three months per the transaction
documents). The pool has a weighted average (WA) original FICO
score of 771 and 31.5% DTI (as determined by Fitch), which is
indicative of a very high credit-quality borrower. Approximately
79.4% of the loans have a borrower with an original FICO score at
or above 750. In addition, Fitch determined the original WA
combined loan to value ratio (CLTV) to be 65.7%, translating to a
sustainable loan to value ratio (sLTV) of 75.5%, represents
substantial borrower equity in the property and reduced default
risk.

The pool consists of 96.7% of loans where the borrower maintains a
primary residence, while 3.3% is a second home. Single-family homes
comprise 96.4% of the pool, and condominiums make up 3.1%. Cashout
refinances comprise 14.0% of the pool, purchases, 48.8%, and
rate-term refinances, 37.2%. All the loans were originated through
a retail channel.

A total of 178 loans in the pool are over $1 million, and the
largest loan is $2.7 million.

No loans in the pool were made to foreign nationals/non-permanent
residents. Fitch viewed this as a positive attribute for the
transaction. In addition, there are no loans in the pool that have
their QM status determined by APOR QM standard.

Approximately 31.8% of the pool is concentrated in California. The
largest MSA is Los Angeles MSA (10.2%) followed by San Francisco
MSA (7.0% and Houston MSA (5.7%). The top three MSAs account for
23% of the pool. As a result, there was no adjustment for
geographic concentration.

Shifting-Interest Structure and Full Servicer Advancing (Mixed)

The mortgage cash flow and loss allocation are based on a
senior-subordinate, shifting-interest structure whereby the
subordinate classes receive only scheduled principal and are locked
out from receiving unscheduled principal or prepayments for five
years. The lockout feature helps maintain subordination for a
longer period should losses occur later in the life of the deal.
The applicable credit support percentage feature redirects
subordinate principal to classes of higher seniority if specified
credit enhancement (CE) levels are not maintained.

The servicer, Flagstar (RPS2/Negative), will provide full advancing
for the life of the transaction. Although full P&I advancing will
provide liquidity to the certificates, it will also increase the
loan-level loss severity (LS) since the servicer looks to recoup
P&I advances from liquidation proceeds, which results in less
recoveries. Wells Fargo Bank (servicer rating RMS1-/Negative; IDR
AA-/Negative) is the master servicer in this transaction and will
advance delinquent P&I on the loans if Flagstar is not able to.

Subordination Floor (Positive)

Fitch expects credit enhancement or a senior subordination floor of
0.65% to mitigate potential tail-end risk and loss exposure for
senior tranches as the pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration. Additionally, a junior subordination floor of
0.50% should mitigate potential tail-end risk and loss exposure for
subordinate tranches as the pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration.

RATING SENSITIVITIES

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 43.7% at 'AAA'. The analysis
    indicates some potential rating migration with higher MVDs for
    all rated classes, compared with the model projection.
    Specifically, a 10% additional decline in home prices would
    lower all rated classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Canopy Financial Technology Partners, LLC. The
third-party due diligence described in Form 15E focused on credit,
compliance, property valuation and data integrity. Fitch considered
this information in its analysis. Fitch applied an adjustment to
losses based on the unreviewed population of the pool as described
below. A credit was given to loans that received a due diligence
review, which decreased Fitch's loss expectations by 6bps at the
'AAAsf' rating stress.

The sample was determined by a statistically significant selection
methodology based on a 95% confidence level with a 5% error rate.
Flagstar adopted this methodology in 2019 when it had previously
selected loans for review at a fixed rate. For loans that were
reviewed, the diligence scope consisted of a review of credit,
regulatory compliance, property valuation and data integrity. Both
the sample size and review scope are consistent with Fitch criteria
for diligence sampling.

100% of the loans in the review sample received a final diligence
grade of 'A' or 'B' and the results did not indicate material
defects. The sample exhibited strong adherence to underwriting
guidelines as approximately 98% of loans received a final credit
grade of 'A'.

The sample had a low concentration of compliance 'B' exceptions
(2.0%) compared to the average prime jumbo non-agency transactions
(46%). Approximately three of the loans in the sample had initial
TRID exceptions graded 'C' that were ultimately cured to a 'B' by
Flagstar through the re-issuance of post-closing documentation.
While Fitch does not typically adjust its loss expectations for
compliance 'B' exceptions, due diligence was only performed on 32%
of the initial pool, which led Fitch to extrapolate the findings to
the remainder of the pool.

Since more than half of the pool did not receive due diligence,
Fitch assumed that 1.1% of the non-reviewed loans have potential
TRID exceptions that would be identified as material and not cured
with post-closing documentation. Fitch applies a standard loss
adjustment of $15,500 to the loss amount for material TRID
exceptions as these loans can carry an increased risk of statutory
damages. However, the aggregate loss severity adjustment was
negligible at the 'AAAsf' level, and Fitch did not make any further
adjustments to the model output.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on approximately 32% of the pool. The third-party due
diligence was generally consistent with Fitch's "U.S. RMBS Rating
Criteria," and Canopy Financial Technology Partners, LLC was
engaged to perform the review. Loans reviewed under this engagement
were given compliance, credit and valuation grades, and assigned
initial grades for each subcategory. Minimal exceptions and waivers
were noted in the due diligence reports.

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

ESG CONSIDERATIONS

FSMT 2021-12 has an ESG Relevance Score of '4'[+] for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in FSMT 2021-12, including strong transaction due diligence as well
as 'Average' originator and strong R&WE Framework, which resulted
in a reduction in expected losses and is relevant to the rating in
conjunction with other factors.

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


FLATIRON RR 22: Moody's Assigns Ba3 Rating to $19.6MM Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Flatiron RR CLO 22 LLC (the "Issuer" or "Flatiron
RR CLO 22 ").

Moody's rating action is as follows:

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

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

US$46,400,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned Aa2 (sf)

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

US$25,800,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned Baa3 (sf)

US$19,600,000 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.

Flatiron RR CLO 22 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 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.

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

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

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

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

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

Par amount: $400,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2915

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.50%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

The performance of the 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.


FREDDIE MAC 2021-3: DBRS Finalizes B(low) Rating on Class M Certs
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional rating on 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 mortgage-backed certificates. The Certificates are
backed by 3,738 loans with a total principal balance of
$564,029,506 as of the Cut-Off Date.

The mortgage loans were either purchased by Freddie Mac from
securitized Freddie Mac Participation Certificates or Uniform
Mortgage Backed Securities, or retained by Freddie Mac 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, and approximately
85.6% have been modified. Each modified mortgage loan was 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 servicer is
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 located 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.

Principal and interest (P&I) on the senior certificates (the
Guaranteed Certificates) will be guaranteed by Freddie Mac. 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 this 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, 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.



FREDDIE MAC 2021-DNA7: S&P Assigns Prelim B+(sf) Rating B-1B Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Freddie Mac
STACR REMIC Trust 2021-DNA7's notes.

The note issuance is an RMBS transaction backed by a reference pool
consisting of 100% conforming residential mortgage loans.

The preliminary ratings are based on information as of Nov. 4,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

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

-- The real estate mortgage investment conduit (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
processes Freddie Mac uses in conjunction with the underlying
representations and warranties framework; and

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

  Preliminary Ratings Assigned

  Freddie Mac STACR REMIC Trust 2021-DNA7

  Class A-H(i), $65,684,106,399: NR
  Class M-1, $319,000,000: BBB+ (sf)
  Class M-1H(i), $16,980,084: NR
  Class M-2, $287,000,000: BBB- (sf)
  Class M-2A, $143,500,000: BBB (sf)
  Class M-2AH(i), $7,691,038: NR
  Class M-2B, $143,500,000: BBB- (sf)
  Class M-2BH(i), $7,691,038: NR
  Class M-2R, $287,000,000: BBB- (sf)
  Class M-2S, $287,000,000: BBB- (sf)
  Class M-2T, $287,000,000: BBB- (sf)
  Class M-2U, $287,000,000: BBB- (sf)
  Class M-2I, $287,000,000: BBB- (sf)
  Class M-2AR, $143,500,000: BBB (sf)
  Class M-2AS, $143,500,000: BBB (sf)
  Class M-2AT, $143,500,000: BBB (sf)
  Class M-2AU, $143,500,000: BBB (sf)
  Class M-2AI, $143,500,000: BBB (sf)
  Class M-2BR, $143,500,000: BBB- (sf)
  Class M-2BS, $143,500,000: BBB- (sf)
  Class M-2BT, $143,500,000: BBB- (sf)
  Class M-2BU, $143,500,000: BBB- (sf)
  Class M-2BI, $143,500,000: BBB- (sf)
  Class M-2RB, $143,500,000: BBB- (sf)
  Class M-2SB, $143,500,000: BBB- (sf)
  Class M-2TB, $143,500,000: BBB- (sf)
  Class M-2UB, $143,500,000: BBB- (sf)
  Class B-1 , 351,000,000: B+ (sf)
  Class B-1A, $175,500,000: BB (sf)
  Class B-1AR, $175,500,000: BB (sf)
  Class B-1AI, $175,500,000: BB (sf)
  Class B-1AH(i), $9,289,046: NR
  Class B-1B, $175,500,000: B+ (sf)
  Class B-1BH(i), $9,289,046: NR
  Class B-2, $319,000,000: NR
  Class B-2A, $159,500,000: NR
  Class B-2AR, $159,500,000: NR
  Class B-2AI, $159,500,000: NR
  Class B-2AH(i), $8,490,042: NR
  Class B-2B, $159,500,000: NR
  Class B-2BH(i), $8,490,042: NR
  Class B-3H(i), $167,990,042: NR

(i)The reference tranche only and will not have corresponding
notes. Freddie Mac retains the risk of these tranches.
NR--Not rated.



GENERATE CLO 9: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its 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 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.

  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



GOLDENTREE LOAN 11: S&P Assigns Prelim B- (sf) Rating on F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GoldenTree
Loan Management US CLO 11 Ltd./GoldenTree Loan Management US CLO 11
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 GoldenTree Loan Management II L.P.

The preliminary ratings are based on information as of Nov. 4,
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

  GoldenTree Loan Management US CLO 11 Ltd./
  GoldenTree Loan Management US CLO 11 LLC

  Class X, $3.90 million: AAA (sf)
  Class A, $403.00 million: AAA (sf)
  Class B, $91.00 million: AA (sf)
  Class C (deferrable), $39.00 million: A (sf)
  Class D (deferrable), $39.00 million: BBB- (sf)
  Class E (deferrable), $16.25 million: BB+ (sf)
  Class E-J (deferrable), $8.125 million: BB- (sf)
  Class F (deferrable), $12.025 million: B- (sf)
  Class Subordinated notes, $39.00 million: Not rated


GULF STREAM 6: S&P Assigns BB- (sf) Rating on Class D Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Gulf Stream Meridian 6
Ltd./Gulf Stream Meridian 6 LLC's floating-rate notes.

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

The ratings reflect S&P's view of:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans that are governed by collateral
quality tests.

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

-- The 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.

  Ratings Assigned

  Gulf Stream Meridian 5 Ltd./Gulf Stream Meridian 5 LLC

  Class A-1, $248.00 million: AAA (sf)
  Class A-2, $48.00 million: AA (sf)
  Class B (deferrable), $32.00 million: A (sf)
  Class C (deferrable), $24.00 million: BBB- (sf)
  Class D (deferrable), $15.00 million: BB- (sf)
  Subordinated notes, $35.75 million: Not rated



HALCYON LOAN 2014-2: Moody's Lowers Rating on Class E Notes to C
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Halcyon Loan Advisors Funding 2014-2
Ltd.:

US$27,500,000 Class D Senior Secured Deferrable Floating Rate Notes
Due April 2025, (current outstanding balance of $29,628,255.26),
Downgraded to Ca (sf); previously on June 25, 2020 Downgraded to
Caa3 (sf)

US$5,500,000 Class E Senior Secured Deferrable Floating Rate Notes
Due April 2025 (current outstanding balance of $6,524,621.40),
Downgraded to C (sf); previously on June 25, 2020 Downgraded to Ca
(sf)

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

US$38,500,000 Class B-R Senior Secured Deferrable Floating Rate
Notes Due April 2025 (current outstanding balance of
$11,491,746.70), Upgraded to Aaa (sf); previously on July 18, 2019
Upgraded to Aa1 (sf)

Halcyon Loan Advisors Funding 2014-2 Ltd., originally issued in
April 2014 and partially refinanced in April 2017, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2018.

RATINGS RATIONALE

The downgrade actions reflect the risks posed by deteriorarion in
collateral coverage and credit deterioration observed in the
underlying CLO portfolio. Based on Moody's calculations, the
Over-Collateralization (OC) ratios for the Class D and Class E
notes are currently at 87.13% and 80.08%, respectively, versus the
levels of 96.37% and 93.35%, respectively, in June 2020.
Additionally, the trustee-reported weighted average rating factor
(WARF) has been deteriorating since June 2020. Based on the
trustee's October 2021 report[1], the WARF is reported at 3780
compared to the test level of 2676. Furthermore, based on Moody's
calculation, the current proportion of obligors in the portfolio
with Moody's corporate family or other equivalent ratings of Caa1
or lower (after any adjustments for negative outlook and watchlist
for possible downgrade) is currently approximately 29% of the CLO
par.

The upgrade action is primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since June, 2020. Based on the
trustee's October 2021 report[2], the Class B OC ratio is 254.58%,
versus the June 2020 level of 133.87%[3].

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: $62,979,593

Weighted par: $15,023,850

Diversity Score: 21

Weighted Average Rating Factor (WARF): 3483

Weighted Average Spread (WAS): 3.58%

Weighted Average Recovery Rate (WARR): 46.98%

Weighted Average Life (WAL): 2.1 years

Par haircut in OC tests and interest diversion test: 5.2%

In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. These
additional scenarios include, among others, near term defaults by
companies facing liquidity pressure, credit deterioration of the
underlying portfolio and lower recoveries on defaulted assets.

Methodology Used for the Rating Action

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

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

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


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

On the Nov. 4, 2021, refinancing date, the proceeds from the
replacement notes were used to redeem the original notes. At that
time, S&P withdrew its rating on the original class A-R notes and
assigned ratings to the replacement notes.

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

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

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

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

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

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

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

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

-- The required minimum overcollateralization ratios were amended,
and the reinvestment overcollateralization test was removed.

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

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

  Replacement Note Issuances

  Replacement notes issued

  Class X-RR, $4.20 million: Three-month LIBOR + 1.000%
  Class A-RR, $237.30 million: Three-month LIBOR + 1.480%
  Class B-1-RR, $39.00 million: Three-month LIBOR + 1.900%
  Class B-2-RR, $15.60 million: 3.226%
  Class C-RR (deferrable), $31.50 million: Three-month LIBOR +
2.600%
  Class D-RR (deferrable), $18.90 million: Three-month LIBOR +
3.800%
  Class E-RR (deferrable), $27.30 million: Three-month LIBOR +
8.420%

  Additional notes issued

  Subordinated notes, $0.74 million: Not applicable

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

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

  Ratings Assigned

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

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

  Rating Withdrawn

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

  Class A-R to not rated from 'AAA (sf)'



JP MORGAN 2021-INV6: S&P Assigns B- (sf) Rating on Class B-5 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its 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 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.

  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.



KKR CLO 30: Moody's Assigns Ba3 Rating to $18MM Class E-R Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
CLO refinancing notes issued by KKR CLO 30 Ltd. (the "Issuer").

Moody's rating action is as follows:

US$18,000,000 Class A-J-R Senior Secured Floating Rate Notes Due
2031, Assigned Aaa (sf)

US$18,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes Due 2031, Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
92.5% of the portfolio must consist of senior secured loans, cash,
and eligible investments, up to 7.5% of the portfolio may consist
of second lien loans, unsecured loans, and permitted non-loan
assets and up to 5.0% of the portfolio may consist of permitted
non-loan assets.

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

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

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

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

Portfolio par: $450,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 3140

Weighted Average Spread (WAS): 3.35%

Weighted Average Recovery Rate (WARR): 47.5%

Weighted Average Life (WAL): 7 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.


LAKE SHORE II: Moody's Assigns Ba3 Rating to $18MM Class E-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Lake Shore MM CLO II Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$161,000,000 Class A-1R Senior Secured Floating Rate Notes due
2031 (the "Class A-1R Notes"), Assigned Aaa (sf)

US$13,000,000 Class A-2R Senior Secured Fixed Rate Notes due 2031
(the "Class A-2R Notes"), Assigned Aaa (sf)

US$30,000,000 Class B-R Senior Secured Floating Rate Notes due 2031
(the "Class B-R Notes"), Assigned Aa2 (sf)

US$24,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf)

US$18,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)

US$18,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of middle market loans.

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

The Issuer previously issued one class of subordinated notes, which
will remain outstanding.

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extensions of non-call period;
changes to the overcollateralization test levels; the inclusion of
alternative benchmark replacement provisions 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 "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: $299,392,428

Defaulted par: $1,215,144

Diversity Score: 45

Weighted Average Rating Factor (WARF): 4126

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
5.11%

Weighted Average Recovery Rate (WARR): 46.27%

Weighted Average Life (WAL): 4.90 years

In addition to the base case analysis, Moody's considered
additional scenarios where outcomes could diverge from the base
case. These additional scenarios include, among others, decrease in
overall WAS and lower recoveries on defaulted assets.

Methodology 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.


MADISON PARK XLIX: S&P Assigned Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Madison Park
Funding XLIX 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. 4,
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

  Madison Park Funding XLIX Ltd.

  Class A, $450.00 million: AAA (sf)
  Class B-1, $110.00 million: AA (sf)
  Class B-2, $10.00 million: AA (sf)
  Class C, $45.00 million: A (sf)
  Class D, $45.00 million: BBB- (sf)
  Class E, $24.38 million: BB- (sf)
  Subordinated notes, $68.40 million: Not rated



MAGNETITE XXVIII: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from Magnetite XXVIII
Ltd., a CLO originally issued in October 2020 that is managed by
BlackRock Financial Management Inc., a subsidiary of BlackRock
Inc.

The preliminary ratings are based on information as of Nov. 9,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Dec. 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 a lower spread over three-month LIBOR than
the original notes.

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

-- The non-call period will be extended until December 2023.

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

-- The target par balance is expected to be increased from $400
million to $450 million.

-- The concentration limitations were modified to allow the
purchase of zero coupon bonds.

-- A limitation on non-ESG collateral obligations will be
introduced.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $288.00 million: Three-month LIBOR + 1.13%
  Class B-R, $54.00 million: Three-month LIBOR + 1.60%
  Class C-R, $27.00 million: Three-month LIBOR + 1.90%
  Class D-R, $27.00 million: Three-month LIBOR + 2.90%
  Class E-R, $18.00 million: Three-month LIBOR + 6.15%
  Subordinated notes, $40.85 million: Residual

  Original notes

  Class A, $252.00 million: Three-month LIBOR + 1.27%
  Class B, $52.00 million: Three-month LIBOR + 1.65%
  Class C, $24.00 million: Three-month LIBOR + 2.35%
  Class D, $24.00 million: Three-month LIBOR + 3.50%
  Class E, $12.00 million: Three-month LIBOR + 7.08%
  Subordinated notes, $40.85 million: Residual

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

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

  Preliminary Ratings Assigned

  Magnetite XXVIII Ltd./Magnetite XXVIII LLC

  Class A-R, $288.00 million: AAA (sf)
  Class B-R, $54.00 million: AA (sf)
  Class C-R (deferrable), $27.00 million: A (sf)
  Class D-R (deferrable), $27.00 million: BBB- (sf)
  Class E-R (deferrable), $18.00 million: BB- (sf)
  Subordinated notes, $40.85 million: Not rated


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

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

The preliminary ratings are based on information as of Nov. 5,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans that are governed by collateral
quality tests.

-- The credit enhancement is 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

  Magnetite XXX Ltd./Magnetite XXX LLC

  Class A, $317.50 million: AAA (sf)
  Class B, $62.50 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $46.94 million: Not rated



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

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

The ratings reflect S&P's view of:

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

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

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

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

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

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

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

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

-- The transaction's payment and legal structures.

  Ratings Assigned

  Mariner Finance Issuance Trust 2021-B

  Class A, $206.56 million, 2.10% coupon: AAA (sf)
  Class B, $36.83 million, 2.49% coupon: AA- (sf)
  Class C, $21.67 million, 2.66% coupon: A- (sf)
  Class D, $24.38 million, 3.42% coupon: BBB- (sf)
  Class E, $35.56 million, 4.68% coupon: BB- (sf)



MEDALIST PARTNERS VII: Moody's Assigns Ba3 Rating to Class D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Medalist Partners Corporate Finance CLO VII Ltd.
(the "Issuer").

Moody's rating action is as follows:

US$180,000,000 Class A-1A Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$12,000,000 Class A-1B Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$36,000,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

US$16,500,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

US$16,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

US$14,250,000 Class D Mezzanine 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.

Medalist Partners Corporate Finance CLO VII Ltd. 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, first-lien last out loans, senior
unsecured loans and permitted non-loan assets; provided that not
more than 5% of the portfolio may consist of permitted non-loan
assets. The portfolio is approximately 100% ramped as of the
closing date.

Medalist Partners Corporate Finance 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. Thereafter, the manager
may not reinvest and all proceeds received will be used to amortize
the notes in sequential order.

In addition to the Rated Notes, the Issuer issued 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: $300,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2489

Weighted Average Spread (WAS): 3.15%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 46.0%

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.


MFA 2021-INV2: S&P Assigns Prelim B+ (sf) Rating on Class B-2 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MFA
2021-INV2 Trust's mortgage pass-through certificates series
2021-INV2.

The certificate issuance is an RMBS transaction backed first-lien,
fixed- and adjustable-rate, fully amortizing, and interest-only
residential mortgage loans secured by single-family residences,
two- to four-family homes, condominiums, three multifamily (five-
to 10-family units) properties, and a mixed-use property to both
prime and nonprime borrowers. The pool consists of 1,260
business-purpose investor loans (including 347 cross-collateralized
loans backed by 1,456 properties) that are exempt from the
qualified mortgage and ability-to-repay rules.

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

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

-- The pool's collateral composition;

-- The transaction's credit enhancement, associated structural
mechanics, geographic concentration, and representation and
warranty framework;

-- The mortgage aggregator and mortgage originator; and

-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and the liquidity
available in the transaction.

  Preliminary Ratings Assigned

  MFA 2021-INV2 Trust(i)

  Class A-1, $183,308,000: AAA (sf)
  Class A-2, $19,752,000: AA (sf)
  Class A-3, $30,836,000: A (sf)
  Class M-1, $15,489,000: BBB (sf)
  Class B-1, $10,657,000: BB+ (sf)
  Class B-2, $8,526,000: B+ (sf)
  Class B-3, $15,631,571: NR
  Class A-IO-S, Notional(ii): NR
  Class XS, Notional(ii): NR
  Class R, N/A: NR

(i)The preliminary ratings address the ultimate payment of interest
and principal; they do not address payment of the cap carryover
amounts.

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

NR--Not rated.
N/A--Not applicable.



MORGAN STANLEY 2013-C8: S&P Lowers Class G Certs Rating to 'D(sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on six classes of commercial
mortgage pass-through certificates from Morgan Stanley Bank of
America Merrill Lynch Trust 2013-C8, a U.S. CMBS transaction. At
the same time, S&P affirmed its ratings on seven other classes from
the same transaction.

Rating Actions

S&P said, "The downgrades on classes C, D, E, F, and G reflect
credit support erosion that we anticipate will occur upon the
eventual resolution of the specially serviced assets, primarily the
largest three by balance, which are discussed below, as well as
reduced liquidity support available to these classes due to ongoing
and anticipated interest shortfalls. The downgrade of the class F
certificate to 'CCC (sf)' also reflects our view that the risk of
default and loss on the class remains elevated if the specially
serviced assets experience increases in appraisal reduction amounts
and/or if loans with low reported debt service coverage get
transferred to special servicing. Finally, the downgrade on class G
to 'D (sf)' also reflects the bond's outstanding interest
shortfalls, which we expect to continue for the foreseeable
future.

"The downgrades primarily reflect our revised loss and recovery
expectations on the Anderson Mall ($16.2 million; 2.0%) and One
Concourse ($12.9 million; 1.6%) specially serviced assets, which we
considered in our analysis using the most recent appraisal value
and/or updated broker opinions of value (BOVs) we received from the
special servicer. The updated valuations indicate losses that are
greater than the assumptions during our August 2020 review of the
transaction. The downgrades also reflect our derived loss and
recovery expectations on the 2929 Briarpark loan ($11.6 million;
1.4%). The loan became specially serviced after our August 2020
review of the transaction, and our derived loss and recovery
expectations similarly consider the most-recent appraisal value and
updated BOVs we received from the special servicer.

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

"We affirmed our ratings on classes A-SB, A-3, A-4, A-S, and B
because the current rating levels were in line with the
model-indicated ratings.

"We affirmed our ratings on the class X-A and X-B interest-only
(IO) certificate based on our criteria for rating IO securities, in
which the ratings on the IO securities would not be higher than
that of the lowest-rated reference class. The notional amount on
class X-A references classes A-1, A-2, A-SB, A-3, A-4, and A-S
certificate balances. The notional amount on class X-B references
class B certificate balance."

Transaction Summary

As of the October 2021 trustee remittance report, the collateral
pool balance was $805.2 million, which is 70.8% of the pool balance
at issuance. The pool currently includes 47 loans and one real
estate-owned (REO) asset, down from 54 loans at issuance. Five
assets ($51.9 million; 6.5%) are with the special servicer; 14
($212.0 million; 26.3%) are defeased, of which, two reflect recent
defeasances that should be reflected in the upcoming reporting
period; and six ($55.6 million; 6.9%) are on the master servicer's
watchlist.

S&P said, "Excluding the specially serviced assets and the defeased
loans, using adjusted servicer-reported numbers, we calculated a
2.07x S&P Global Ratings weighted average debt service coverage
ratio (DSCR) and 71.8% S&P Global Ratings weighted average
loan-to-value (LTV) ratio using a 7.72% S&P Global Ratings weighted
average capitalization rate for the remaining loans. The top 10
non-defeased loans have an aggregate outstanding pool trust balance
of $435.0 million (54.0%). Using adjusted servicer-reported numbers
and excluding the specially serviced Anderson Mall loan, we
calculated an S&P Global Ratings weighted average DSCR of 2.11x and
LTV ratio of 73.7% for the top 10 non-defeased loans.

"To date, the pool hasn't experienced any principal loss. We expect
losses to reach approximately 3.2% of the original pool trust
balance in the near term based on losses we expect upon the
eventual resolution of the five specially serviced assets."

Details on the three largest specially serviced assets are as
follows:

-- The Anderson Mall is the largest loan with the special servicer
($16.2 million; 2.0%) with an outstanding total exposure of $17.3
million. The collateral is 316,561 sq. ft. of an approximately
671,750-sq.-ft. enclosed regional retail mall in Anderson, S.C. The
mall previously contained four non-collateral anchor tenants (Belk,
Dillard's, JC Penney, and Sears) totaling 355,189 sq. ft. Sears
closed its store at this location in September 2018 following the
bankruptcy of its parent company. The loan was transferred to the
special servicer on April 29, 2020, due to imminent default. The
special servicer, Argentic Services Co. L.P. (Argentic), has
indicated that a receiver is in place and that the borrower is
cooperating in the foreclosure process that is expected to take
place in the near-term. S&P said, "At our August 2020 review, we
estimated a loss and recovery on the loan using our $7.2 million
S&P Global Ratings value at that time. Since then, the property has
received an updated August 2021 appraised value of $5.7 million.
Our revised loss and recovery estimates are based on this updated
appraised value, with a further haircut applied to account for the
continued deterioration in the operating environment for malls amid
an uncertain liquidation timeframe for the loan. Therefore, we
arrived at a collateral value of $4.6 million, which indicates a
significant loss (greater than 60.0%) upon the eventual resolution
of this loan."

-- One Concourse is the second-largest asset with the special
servicer ($12.9 million; 1.6%) with an outstanding total exposure
of $16.2 million. The asset consists of a suburban office building
totaling approximately 110,167 sq. ft. in Fishers, Ind.,
approximately 16 miles from downtown Indianapolis. The original
loan was transferred to the special servicer in December 2018, and
the borrower and counsel were previously engaged to devise a
workout strategy, which was unsuccessful. The complaint for
foreclosure and receiver was filed on May 10, 2019, and a receiver
was appointed on May 21, 2019. Argentic has indicated that the
asset is pending a sheriff sale. S&P said, "At our August 2020
review, we estimated a loss and recovery on the loan using the
$12.8 million June 2019 appraised value available at that time.
Since then, a range of updated valuation points has been released,
including two separate as-is BOVs that we have considered in our
analysis. Given the uncertain liquidation timing, as well as the
property's low 25.8% occupancy rate (as of August 2021), our
revised loss and recovery estimates indicate a significant loss
upon the eventual resolution of this asset."

-- 2929 Briarpark is the third-largest loan with the special
servicer ($11.6 million; 1.4%) with an outstanding total exposure
of $11.7 million. The loan is secured by a 139,206-sq.-ft. office
built in 1981 in Houston, Texas. The loan was transferred to the
special servicer in September 2020 due to imminent monetary
default. The borrower previously made several workout proposals,
including a short sale discounted pay off, an A/B note split, and a
forbearance, of which, none were found to be viable by Argentic,
and the borrower has since indicated that it would cooperate with
the appointment of a receiver and foreclosure. As of October 2021,
Argentic indicated that they are completing due diligence in order
to complete a foreclosure action by November 2021. S&P said, "A
range of updated valuation points is available, including two
separate BOVs that we used in our analysis. Given the property's
age and its 34.2% occupancy rate (as of October 2021), our loss and
recovery estimates indicate a significant loss upon the eventual
resolution of this loan."

S&P said, "The two remaining assets with the special servicer each
have individual balances that represent less than 1.0% of the total
pool trust balance. We estimated losses for all five of the
specially serviced assets, arriving at a weighted-average loss
severity of 69.2%.

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

Environmental, social, and governance credit factors for this
change in credit rating/outlook and/or CreditWatch status:

-- Health and safety.

  Ratings Lowered

  Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8

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

  Ratings Affirmed

  Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8

  Class A-3: 'AAA (sf)'
  Class A-4: 'AAA (sf)'
  Class A-SB: 'AAA (sf)'
  Class A-S: 'AAA (sf)'
  Class B: 'AA+ (sf)'
  Class X-A: 'AAA (sf)'
  Class X-B: 'AA+ (sf)'



MORGAN STANLEY 2021-1: Moody's Assigns Ba3 Rating to $16MM E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued and one class of loans incurred by Morgan Stanley
Eaton Vance CLO 2021-1, Ltd. (the "Issuer" or "Morgan Stanley Eaton
Vance CLO 2021-1").

Moody's rating action is as follows:

US$75,600,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$176,400,000 Class A-L Loans due 2034, Assigned Aaa (sf)

Up to US$176,400,000 Class A-L Senior Secured Floating Rate Notes
due 2034, Assigned Aaa (sf)

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

US$24,600,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

US$23,400,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

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

The notes listed are referred to herein, collectively, as the
"Rated 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-L Notes
have a principal balance of $176,400,000 and $0, respectively. At
any time, the Class A-L Loans may be converted in whole or in part
to Class A-L 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-L Notes. The aggregate principal
balance of the Class A-L Loans and Class A-L Notes will not exceed
$176,400,000, 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.

Morgan Stanley Eaton Vance CLO 2021-1 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 senior secured loans and eligible
investments, and up to 10% of the portfolio may consist of second
lien loans, unsecured loans and bonds. The portfolio is 100% ramped
as of the closing date.

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

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

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

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

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

Par amount: $400,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2735

Weighted Average Spread (WAS): 3.3%

Weighted Average Coupon (WAC): 5.0%

Weighted Average Recovery Rate (WARR): 46.50%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

The performance of the 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.


MRU STUDENT 2008-A: S&P Places 'CC' B Notes Rating on Watch Pos.
----------------------------------------------------------------
S&P Global Ratings placed its ratings on three classes from MRU
Student Loan Trust 2008-A, which is collateralized by private
student loans, on CreditWatch with positive implications. The
ratings on the class C and D notes were previously lowered to 'D
(sf)' because the trust's senior interest triggers were breached,
resulting in the classes not receiving interest payments; and due
to under-collateralization, S&P does not expect those classes to
receive full interest and principal by legal final maturity.

The rating actions reflect S&P's views regarding collateral
performance and associated credit enhancement levels. Collateral
performance has improved considerably since its last review in
August 2019, primarily due to an increase in recoveries on
previously defaulted loans, which has resulted in an increase in
principal paid to the notes on each distribution date. The pace of
increase in cumulative defaults continues to decline, and the
percentage of loans that are in current repayment status has
increased. As a result, credit enhancement levels for the class A
notes have experienced a material increase, while also slightly
increasing for the class B notes. The rating actions also
considered the trust's relevant structural features--in particular,
the trust's cost of funds, capital structure, payment waterfall,
and available credit enhancement.

Trust Performance

Since S&P's last surveillance review, the pace of cumulative
defaults for the trust has slowed. Additionally, the percentage of
loans that are currently making payments has increased. The
performance, in terms of the pace of defaults and the percentage of
loans in repayment, indicates that the trust is likely past its
peak default periods.

The historical impact of poor collateral performance, as measured
by high levels of realized cumulative net losses, has led to
significant under-collateralization for the trust. Based on the
information in the latest servicer report, total parity for the
trust is approximately 44%. However, parity for the class A notes,
which are the highest-priority notes and are currently receiving
principal payments, has increased substantially since S&P's last
review. Additionally, the class B parity has increased slightly
during the same time. As of the July 2021 distribution date, the
parity on the class A notes has increased to approximately 175%
from approximately 116% since the April 2019 distribution date,
while the parity on the class B notes has increased to
approximately 91% from approximately 88% during that time.

Over the last couple of years, periodic recoveries have exceeded
periodic losses, resulting in cumulative net losses on the
transaction declining over time. For example, the reported
cumulative defaults increased in the last period by approximately
$72,000, while the current period reported recoveries were
approximately $460,000.

Structural Features

In addition to subordination of the lower classes of notes, the
trust is supported by principal and interest reprioritization
triggers, which are based on cumulative default and parity
thresholds, respectively. The principal reprioritization trigger
occurs when a cumulative default threshold has been met and shifts
the payment structure from pro-rata to sequential principal
payments. This trigger has been breached and cannot be cured.
Generally, the interest reprioritization trigger occurs when a
class' parity falls below a specific threshold. When a class'
interest reprioritization trigger is breached, the principal
payments to that class will become senior to interest payments of
subordinated classes until targeted parity levels are reached. The
class B interest trigger is currently in effect, causing the class
B principal payments to be senior to interest payments on the class
C and D notes. This has resulted in missed interest payments on the
class C and D notes, in addition to their significant
under-collateralization levels.

The reserve account for the trust is currently depleted as a result
of the continued interest shortfall on certain notes.

At issuance, the trust was structured to provide excess spread over
the transaction's life as additional credit enhancement. However,
the interest on the notes is currently in excess of the interest
being received on the collateral, resulting in negative excess
spread. While the amount of negative excess spread does provide
some stress to the trust, S&P believes that the effect on the class
A and B notes is minimal. Additionally, the overall
under-collateralization of the trust contributes to negative excess
spread.

Rationale

The trust is impaired by substantial under-collateralization levels
due primarily to historical loss performance. However, the class A
notes are benefitting from their currently-paying position in the
waterfall, the interest reprioritization triggers, and the
cumulative recoveries on the defaulted loans. Credit enhancement
for class A and B have improved, with a large contributing factor
being the significant increase in cumulative recoveries, which have
increased from approximately 11% of the defaulted balance in March
2016 to approximately 29% in July 2021. This increase has resulted
in more available funds that can be used for principal payments on
the notes. While the class B notes remain under-collateralized, the
high rate of recoveries combined with the class' position in the
payment priority has improved the credit outlook for the class. If
this recovery trend continues, it is likely that the class A notes
will be paid down in the next 1.5-2 years, causing the class B
notes to become the most senior notes outstanding in the trust. As
such, these trends suggest the possibility of the class B notes
being paid full interest and principal by their legal final
maturity date. Additionally, the class A and B notes are expected
to continue to benefit from interest reprioritization triggers
until the class B notes reach their target parity level.

S&P said, "We placed the ratings on the class A and B notes on
CreditWatch with positive implications based on our review of the
growth in available credit enhancement relative to our expected
remaining net losses, and the positive recovery trends observed
since March 2016.

"The ratings were affected by the application of our criteria for
assigning 'CCC' and 'CC' ratings Previously, in determining the
rating on the class B notes, we applied the criteria, which states
that we rate an issuer or issue 'CC' when we expect default to be a
virtual certainty, regardless of the time to default. Accordingly,
the placement of the class B rating on CreditWatch positive
reflects our belief that an eventual default on the class B notes
may no longer be a virtual certainty.

"We previously lowered our ratings on the class C and D notes to 'D
(sf)' because these classes stopped receiving interest payments
after the senior interest triggers were breached, which generally
occurs when the class senior in the capital structure becomes
under-collateralized. As the interest shortfalls on these classes
are continuing and the classes remain substantially
under-collateralized, we do not expect these classes to receive
full interest and principal by their legal finals and accordingly
are not raising the ratings on these classes from 'D (sf).'

"We will continue to monitor the ongoing performance of this trust.
In particular, we will continue to review available credit
enhancement, which is primarily a function of the pace of defaults,
principal amortization, excess spread, and recoveries."

  Ratings Placed On Watch Positive

  MRU Student Loan Trust 2008-A

  Class A-1A: to 'B- (sf)/Watch positive' from 'B- (sf)'
  Class A-1B: to 'B- (sf)/Watch positive' from 'B- (sf)'
  Class B: to 'CC (sf)/Watch positive' from 'CC (sf)'



NEUBERGER BERMAN 26: S&P Affirms 'BB-(sf)' Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R and B-R
replacement notes from Neuberger Berman Loan Advisers CLO 26
Ltd./Neuberger Berman Loan Advisers CLO 26 LLC, a CLO originally
issued in November 2017 that is managed by Neuberger Berman Loan
Advisors LLC. At the same time, S&P withdrew its ratings on the
original class A and B notes following payment in full on the Nov.
4, 2021, refinancing date, and affirmed its current ratings on the
outstanding class C, D, and E notes.

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

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $338.25 million: Three-month LIBOR + 0.92%
  Class B-R, $74.25 million: Three-month LIBOR + 1.40%

  Refinanced notes

  Class A, $338.25 million: Three-month LIBOR + 1.17%
  Class B, $74.25 million: Three-month LIBOR + 1.50%

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

  Ratings Assigned

  Neuberger Berman Loan Advisors CLO 26 Ltd./
  Neuberger Berman Loan Advisors CLO 26 LLC

  Class A-R, $338.25 million: AAA (sf)
  Class B-R, $74.25 million: AA (sf)

  Ratings Withdrawn

  Neuberger Berman Loan Advisors CLO 26 Ltd./
  Neuberger Berman Loan Advisors CLO 26 LLC

  Class A to NR from 'AAA (sf)'
  Class B to NR from 'AA (sf)'

  Ratings Affirmed

  Neuberger Berman Loan Advisors CLO 26 Ltd./
  Neuberger Berman Loan Advisors CLO 26 LLC

  Class C: 'A (sf)'
  Class D: 'BBB- (sf)'
  Class E: 'BB- (sf)'

  Other Outstanding Classes

  Neuberger Berman Loan Advisors CLO 26 Ltd./
  Neuberger Berman Loan Advisors CLO 26 LLC

  Subordinated notes: NR

  NR--Not rated.



OAKTREE CLO 2019-4: S&P Affirms BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, D-1-R, and D-2-R replacement notes from Oaktree CLO
2019-4 Ltd./Oaktree CLO 2019-4 LLC , a CLO originally issued in
2019 that is managed by Oaktree Capital Management. At the same
time, S&P withdrew its ratings on the original class A-1, A-2, B,
C, D-1, and D-2 notes following payment in full on the Nov. 4,
2021, refinancing date. S&P also affirmed its rating on the class E
notes, which were not refinanced.

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

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

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

  Replacement And Original Note Issuances

  Replacement notes

  Class A-1-R, $472.50 million: Three-month LIBOR + 1.12%
  Class A-2-R, $15.00 million: Three-month LIBOR + 1.45%
  Class B-R, $78.75 million: Three-month LIBOR + 1.70%
  Class C-R, $45.00 million: Three-month LIBOR + 2.25%
  Class D-1-R, $32.50 million: Three-month LIBOR + 3.35%
  Class D-1-R, $12.50 million: Three-month LIBOR + 4.15%

  Original notes

  Class A-1, $47.20 million: Three-month LIBOR + 1.35%
  Class A-2, $15.00 million: Three-month LIBOR + 1.70%
  Class B, $78.75 million: Three-month LIBOR + 2.00%
  Class C, $45.00 million: Three-month LIBOR + 2.95%
  Class D-1, $32.50 million: Three-month LIBOR + 3.90%
  Class D-2, $12.50 million: Three-month LIBOR + 4.46%

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

  Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC
  
  Class A-1-R, $472.50 million: AAA (sf)
  Class A-2-R (deferrable), $15.00 million: AAA (sf)
  Class B-R (deferrable), $78.75 million: AA (sf)
  Class C-R (deferrable), $45.00 million: A (sf)
  Class D-1-R (deferrable), $32.50 million: BBB+ (sf)
  Class D-2-R (deferrable), $12.50 million: BBB- (sf)

  Rating Affirmed

  Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC

  Class E: BB- (sf)

  Ratings Withdrawn

  Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC

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

  Other Outstanding Ratings

  Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC

  Subordinated notes: Not rated



OCEAN TRAILS X: Moody's Assigns Ba3 Rating to $18MM Cl. E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
CLO refinancing notes issued by Ocean Trails CLO X (the "Issuer").

Moody's rating action is as follows:

US$223,200,000 Class A-R Floating Rate Notes Due 2034, Assigned Aaa
(sf)

US$18,000,000 Class E-R Floating Rate Notes Due 2034, Assigned Ba3
(sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of senior secured loans and eligible
investments, up to 7.5% of the portfolio may consist of second lien
loans and unsecured loans and up to 5% of the portfolio may consist
senior unsecured bonds, senior secured bonds and senior secured
floating rate notes.

Five Arrows Managers North America LLC (the "Manager") will
continue to direct the selection, acquisition and disposition of
the assets on behalf of the Issuer and may engage in trading
activity, including discretionary trading, during the transaction's
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 and other
classes of secured notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period changes to certain collateral
quality tests; changes to the overcollateralization test levels,
changes to the definition of "Moody's Adjusted Weighted Average
Rating Factor" and changes to the base matrix and modifiers.

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

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

Portfolio par: $360,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2812

Weighted Average Spread (WAS): 3.30%

Weighted Average Recovery Rate (WARR): 47.75%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


OCTAGON INVESTMENT 48: S&P Assigns Prelim BB- Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from Octagon
Investment Partners 48 Ltd./Octagon Investment Partners 48 LLC, a
CLO originally issued in September 2020 that is managed by Octagon
Credit Investors LLC.

The preliminary ratings are based on information as of Nov. 9,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Nov. 18, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

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

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

-- The non-call period/weighted average life test date will be
extended until October 2023.

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

-- Of the identified underlying collateral obligations, 99.41%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 90.86%
have recovery ratings assigned by S&P Global Ratings.

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

"We will continue to review whether, 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

  Octagon Investment Partners 48 Ltd./Octagon Investment Partners
48 LLC

  Class A-R, $320.00 million: AAA (sf)
  Class B-R, $60.00 million: AA (sf)
  Class C-R, $30.00 million: A (sf)
  Class D-R (deferrable), $30.00 million: BBB- (sf)
  Class E-R (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $42.55 million: Not rated


PENNANTPARK CLO III: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to PennantPark
CLO III Ltd./PennantPark CLO III LLC's floating-rate notes.

The note issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by PennantPark Investment Advisers LLC.

The preliminary ratings are based on information as of Nov. 5,
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 portfolio
identification and ongoing management; and

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

  Preliminary Ratings Assigned

  PennantPark CLO III Ltd./PennantPark CLO III LLC

  Class A-1, $171.00 million: AAA (sf)
  Class A-2, $12.00 million: AAA (sf)
  Class B, $21.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D (deferrable), $18.00 million: BBB- (sf)
  Class E (deferrable), $18.00 million:
  Subordinated notes, $36.80 million: Not rated



PIKES PEAK 9: Moody's Assigns Ba3 Rating to $19.2MM Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Pikes Peak CLO 9 (the "Issuer" or "Pikes Peak 9").

Moody's rating action is as follows:

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

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

US$15,800,000 Class C-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

US$5,000,000 Class C-2 Mezzanine Secured Deferrable Fixed Rate
Notes due 2034, Assigned A2 (sf)

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

US$19,200,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Assigned Ba3 (sf)

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

RATINGS RATIONALE

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

Pikes Peak 9 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 and
unsecured loans. The portfolio is approximately 87.5% ramped as of
the closing date.

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

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

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

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

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

Par amount: $400,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2910

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 47.25%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

The performance of the 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.


PPLUS TRUST RRD-1: Moody's Puts 2 Tranches on Review for Downgrade
------------------------------------------------------------------
Moody's Investors Service has placed on review for downgrade the
ratings on the following certificates issued by PPLUS Trust Series
RRD-1:

US$60,000,000 Class A Trust Certificates Notes due 2029 (the "Class
A Notes"), B3 Placed Under Review for Possible Downgrade;
previously on April 2, 2018 Downgraded to B3

Class B Trust Certificates Notes due 2029 (the "Class B Notes"), B3
Placed Under Review for Possible Downgrade; previously on April 2,
2018 Downgraded to B3

RATINGS RATIONALE

The rating actions are a result of the change in the rating of the
Underlying Securities, the 6.625% Senior Debentures due April 15,
2029 issued by R.R. Donnelley & Sons Company, which was placed on
review for downgrade by Moody's on November 4, 2021. The
transaction is a structured note whose ratings are based on the
rating of the Underlying Securities and the legal structure of the
transaction.

Methodology Underlying the Rating Action

The principal methodology used in these ratings was "Moody's
Approach to Rating Repackaged Securities" published in June 2020.

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

The ratings will be sensitive to any change in the rating of the
6.625% Senior Debentures due April 15, 2029 issued by R.R.
Donnelley & Sons Company.


PRESTIGE AUTO 2021-1: S&P Assigns BB-(sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect:

-- The availability of approximately 54.3%, 46.3%, 36.1%, 28.0%,
23.1% 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 S&P's 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 '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 ratings are consistent with the
credit stability limits specified by section A.4 of the Appendix
contained in its article "S&P Global Ratings Definitions,"
published Nov. 10, 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 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.

  Ratings Assigned

  Prestige Auto Receivables Trust 2021-1

  Class A-1, $41.90 million: A-1+ (sf)
  Class A-2, $90.00 million: AAA (sf)
  Class A-3, $42.46 million: AAA (sf)
  Class B, $42.91 million: AA (sf)
  Class C, $46.81 million: A (sf)
  Class D, $29.90 million: BBB (sf)
  Class E, $14.79 million: BB- (sf)


RADNOR RE 2021-2: Moody's Assigns Ba3 Rating on Cl. M-1B Notes
--------------------------------------------------------------
Moody's Investors Service has assigned definitive 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, Definitive Rating Assigned Baa3 (sf)

Cl. M-1B, Definitive Rating Assigned 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 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.


RCKT MORTGAGE 2021-5: Moody's Assigns (P)B3 Rating to Cl. B5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 52
classes of residential mortgage-backed securities (RMBS) issued by
RCKT Mortgage Trust 2021-5 (RCKT 2021-5). The ratings range from
(P)Aaa (sf) to (P)B3 (sf). RCKT 2021-5 is a securitization of prime
jumbo mortgage loans originated and serviced by Rocket Mortgage,
LLC (Rocket Mortgage, f/k/a Quicken Loans, LLC, rated Ba1 with
Positive outlook). The transaction is backed by 1,146 first-lien,
fully amortizing, 30-year fixed-rate qualified mortgage (QM) loans,
with an aggregate unpaid principal balance (UPB) of $1,079,261,830.
The average stated principal balance is $941,764.

100% of the collateral pool comprises prime jumbo mortgage loans
underwritten to Rocket Mortgage's Jumbo Smart prime jumbo
underwriting standards. The underwriting incorporates the new QM
rule that replaces the strict 43% debt-to-income (DTI) ratio basis
for the general QM with an annual percentage rate (APR) limit,
while still requiring the consideration of the DTI ratio or
residual income (the new general QM rule).

The transaction is sponsored by Woodward Capital Management LLC, a
wholly owned subsidiary of RKT Holdings, LLC (RKT Holdings). Rocket
Companies, Inc. (NYSE: RKT), is the sole managing member and an
owner of equity interests in RKT Holdings. This will be the fifth
issuance from RCKT Mortgage Trust in 2021 and the seventh
transaction for which Rocket Mortgage (wholly owned subsidiary of
RKT Holdings) is the sole originator and servicer. There is no
master servicer in this transaction. Citibank, N.A. (Citibank,
rated Aa3) will be the securities administrator and Wilmington
Savings Fund Society, FSB will be the trustee.

Transaction credit strengths include the high credit quality of the
collateral pool, the strong third-party review (TPR) results for
credit and compliance, and the prescriptive and unambiguous
representations & warranties (R&W) framework. Transaction credit
weaknesses include weaker property valuation review and having no
master servicer to oversee the primary servicer, unlike typical
prime jumbo transactions Moody's have rated.

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

RCKT 2021-5 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 this transaction, the Class A-21 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.

The complete rating actions are as follows:

Issuer: RCKT Mortgage Trust 2021-5

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-24, Assigned (P)Aa1 (sf)

Cl. A-25, Assigned (P)Aa1 (sf)

Cl. A-26, Assigned (P)Aa1 (sf)

Cl. A-27, Assigned (P)Aaa (sf)

Cl. A-28, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

Cl. A-X-12*, Assigned (P)Aa1 (sf)

Cl. A-X-13*, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.74%
at the mean (0.51% at the median) and reaches 5.19% at a stress
level consistent with Moody's Aaa ratings. Moody's base its ratings
on the certificates on the credit quality of the mortgage loans,
the structural features of the transaction, Moody's assessments of
the origination quality and servicing arrangement, the strength of
the TPR and the R&W framework of the transaction.

Collateral Description

RCKT 2021-5 is a securitization of 1,146 first lien prime jumbo
mortgage loans with an unpaid principal balance of $1,079,261,830.
All of the mortgage loans in the pool are underwritten to Rocket
Mortgage's prime jumbo guidelines. The average stated principal
balance is $941,764 and the weighted average (WA) current mortgage
rate is 3.2%. The loans in this transaction have strong borrower
characteristics with a weighted average primary borrower FICO score
of 763 and a weighted-average original loan-to-value ratio (LTV) of
73.1%. The WA original debt-to-income (DTI) ratio is 34.9%. The
average borrower total monthly income is $29,883 with an average
$198,403 of reserves.

Approximately 40.1% of the mortgages are backed by properties in
California. The next largest states by geographic concentration in
the pool are Florida (6.5% by UPB) and Washington (5.4% by UPB).
All other states each represent 5% or less by UPB. Approximately
57.1% of the pool is backed by single family residential properties
and 39.8% is backed by PUDs. Approximately 41.5% of the mortgages
(by UPB) were originated through the retail channel, 55.5% of the
mortgages (by UPB) were originated through the broker channel and
the remaining 3.0% were originated through the correspondent
channel. Loans originated through different origination channels
often perform differently. Typically, loans originated through a
broker or correspondent channel do not perform as well as loans
originated through a retail channel, although performance will vary
by originator.

As of the cut-off date, none of the borrowers of the mortgage loans
are currently subject to a COVID-19 forbearance plan or have
contacted the servicer regarding the same. In the event a borrower
enters into a COVID-19 related forbearance plan after the cut-off
date, such mortgage loan will remain in the pool.

Origination Quality

In this transaction, the loans originated by Rocket Mortgage are
originated pursuant to the new general QM rule. To satisfy the new
rule, Rocket Mortgage implemented its non-agency Jumbo Smart
program for applications on or after March 1, 2021. Under the
program, 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 via a mix of the Fannie Mae
Single Family Selling Guide, the Freddie Mac Single-Family
Seller/Servicer Guide, and the applicable program overlays.
Applicable program overlays are in place for FICO, LTV, DTI, and
reserves, among others in its underwriting.

Servicing Arrangement

Moody's assess the overall servicing arrangement for this pool as
adequate, given the ability, scale and experience of Rocket
Mortgage as a servicer. However, compared to other prime jumbo
transactions which typically have a master servicer, servicer
oversight for this transaction is weaker. While third-party review
of Rocket Mortgage's servicing operations, performance and
regulatory compliance will be conducted at least annually by an
independent accounting firm, the government-sponsored entities
(GSEs), the Consumer Financial Protection Bureau (CFPB) and state
regulators, such oversight lacks the depth and frequency that a
master servicer would typically provide.

However, Moody's did not adjust its expected losses for the weaker
servicing arrangement due to the following reasons: (1) Rocket
Mortgage's relative financial strength, scale, franchise value,
experience and demonstrated ability as a servicer, (2) Citibank as
the securities administrator will be responsible for making
advances of delinquent interest and principal if Rocket Mortgage is
unable to do so and for reconciling monthly remittances of cash by
Rocket Mortgage, (3) the R&W framework is strong and includes
triggers for delinquency and modification, which ensures that
poorly performing mortgage loans will be reviewed by a third-party,
and (4) the mortgage pool is of high credit quality.

Servicer compensation will be a monthly fee based on the
outstanding principal amount of the mortgage loans serviced, of a
per annum rate equal to 25 basis points (0.25%).

Third-Party Review

An independent TPR firm, AMC Diligence, LLC (AMC), was engaged to
conduct due diligence for the credit, regulatory compliance,
property valuation, and data accuracy for approximately 68.8% of
the loans in the transaction.

The due diligence results confirm compliance with the originator's
underwriting guidelines, no material regulatory compliance issues,
and no material property valuation exceptions for the vast majority
of mortgage loans reviewed. However, five mortgage loans were
removed from the pool due to exceptions identified during the due
diligence review. Three loans were removed for compliance related
reasons and two were removed for having DTI ratios above the level
specified in the underwriting guidelines. Although such exceptions
may suggest a risk of issues in the unsampled portion of the pool,
Moody's did not apply an adjustment to Moody's collateral losses
because of the small number of identified material exceptions in
the sample and because such exceptions were removed from the final
pool.

In the property valuation review, 464 non-conforming loans
originated under Rocket Mortgage's Jumbo Smart prime jumbo
guidelines had a property valuation review consisting of a Fannie
Mae Collateral Underwriter score of 2.5 or lower. These loans did
not have another third-party valuation product such as a Collateral
Desktop Analysis (CDA), desk review or second full appraisal. Also,
there are 358 loans in the pool that were not reviewed by the
due-diligence firm. Moody's did not apply an adjustment to the
collateral losses as a result of the property valuation review.

Representations & Warranties

Moody's assessed RCKT 2021-5's R&W framework for this transaction
as adequate, consistent with that of other prime jumbo transactions
for which an independent reviewer is named at closing, the breach
review process is thorough, transparent and objective, and the
costs and manner of review are clearly outlined at issuance.
However, Moody's applied an adjustment to Moody's losses to account
for the risk that Rocket Mortgage may be unable to repurchase
defective mortgage loans in a stressed economic environment, given
that it is a non-bank entity with a monoline business (mortgage
origination and servicing) that is highly correlated with the
economy. However, Moody's tempered this adjustment by taking into
account Rocket Mortgage's relative financial strength and strong
TPR results which suggest a lower probability that poorly
performing mortgage loans will be found defective following review
by the independent reviewer.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor and a subordination floor of 1.15% and
1.00% of the cut-off date pool balance, respectively. The floors
are consistent with the credit neutral floors for the assigned
ratings according to Moody's methodology.

Transaction Structure

The securitization has a shifting interest structure that benefits
from a senior subordination floor and a subordination floor. Funds
collected, including principal, are first used to make interest
payments and then principal payments to the senior bonds, and then
interest and principal payments to each subordinate bond. As in all
transactions with shifting interest structures, the senior bonds
benefit from a cash flow waterfall that allocates all unscheduled
principal collections to the senior bond for a specified period and
increasing amounts of unscheduled principal collections to the
subordinate bonds thereafter, but only if loan performance
satisfies delinquency and loss tests. Realized losses are allocated
reverse sequentially among the subordinate and senior support
certificates and on a pro-rata basis among the super senior
certificates.

The transaction includes one super-senior floater, Class A-21, and
one super-senior inverse floater, Class A-21-X. The Class A-21
certificates will have a pass-through rate that will vary directly
with the SOFR rate and the Class A-21-X certificates will have a
pass-through rate that will vary inversely with the SOFR rate.

Furthermore, similar to recent RCKT securitizations such as RCKT
2021-4, this transaction contains a structural deal mechanism in
which the servicer and the securities administrator will not
advance principal and interest (P&I) to mortgage loans that are 120
days or more delinquent. Although this feature lowers the risk of
high advances that may negatively affect the recoveries on
liquidated loans, the reduction in interest distribution amount is
credit negative to the subordinate certificates, because interest
shortfalls resulting from delinquencies from "Stop Advance Mortgage
Loans" (SAML) is allocated to the subordinate certificates (in
reverse order of distribution priority), then to the senior support
certificates and finally to the super-senior certificates. Once a
SAML is liquidated, the net recovery from that loan's liquidation
is included in available funds and thus follows the transaction's
priority of payment. In Moody's analysis, Moody's have considered
the additional interest shortfall that the certificates may incur
due to the transaction's stop-advance feature.

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.


RR 19: S&P Assigns BB- (sf) Rating on $25.55MM Class D Notes
------------------------------------------------------------
S&P Global Ratings assigned ratings to RR 19 Ltd./RR 19 LLC's
floating-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  RR 19 Ltd./RR 19 LLC

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



SOLOSO CDO 2007-1: Moody's Hikes Rating on Class A-2L Notes to B3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Soloso CDO 2007-1 Ltd.:

US$263,000,000 Class A-1LA Floating Rate Notes Due October 2037
(current balance of $157,683,224) (the "Class A-1LA Notes"),
Upgraded to Aa2 (sf); previously on May 11, 2017 Upgraded to A1
(sf)

US$83,000,000 Class A-1LB Floating Rate Notes Due October 2037 (the
"Class A-1LB Notes"), Upgraded to A2 (sf); previously on May 11,
2017 Upgraded to Baa1 (sf)

US$68,000,000 Class A-2L Deferrable Floating Rate Notes Due October
2037 (the "Class A-2L Notes"), Upgraded to B3 (sf); previously on
May 11, 2017 Upgraded to Caa1 (sf)

Soloso CDO 2007-1 Ltd., issued in June 2007, is a collateralized
debt obligation (CDO) backed by a portfolio of bank trust preferred
securities (TruPS).

RATINGS RATIONALE

The rating actions are primarily a result of the improvement in the
credit quality of the underlying portfolio and the deleveraging of
the Class A-1LA notes, and an increase in the transaction's
over-collateralization (OC) ratios since November 2020. According
to Moody's calculations, the weighted average rating factor (WARF)
improved to 587 from 875 in November 2020. The Class A-1LA notes
have paid down by approximately 2.84% or $4.6 million since
November 2020, using the diversion of excess interest proceeds.
Based on Moody's calculations, the OC ratios for the Class A-1LA,
Class A1LB and Class A-2L notes have improved to 217.8%, 142.7% and
111.3%, respectively, from November 2020 levels of 204.3%, 136.3%
and 107.0%, respectively. The Class A-1LA notes will continue to
benefit from the diversion of excess interest and the use of
proceeds from redemptions of any assets in the collateral pool.

The rating actions on the Class A-1LB and Class A-2L notes also
take into consideration the Event of Default (EoD) that occurred in
October 2010 and the associated likelihood of acceleration and
liquidation in the future. The transaction declared an EoD
according to Section 5.1(a)(iii)(A) of the indenture because of
missed interest payments on the Class A-1 notes.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $343.5 million,
defaulted par of $106.8 million, a weighted average default
probability of 5.85% (implying a WARF of 587), and a weighted
average recovery rate upon default of 10%.

Methodology Used for the Rating Action

The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in July 2021.

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 portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.


SPRITE 2021-1: S&P Assigns Prelim B+ (sf) Rating on Class C Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to SPRITE
2021-1 Ltd./SPRITE 2021-1 US LLC's series A, B, and C notes.

The note issuance is an ABS securitization backed by a portfolio of
35 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. 8,
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 35 aircraft, including 31
narrowbody (A319/A320: 34%, 737-800: 46%) and four widebody
aircraft, including one widebody freighter (A330-300: 8%,
B777-300ER: 8%, B747-400F: 4%).

-- The weighted average age (by LMM of the half-life values) of
the aircraft in the portfolio of 12.9 years. Currently, all
aircraft are subject to a lease or a pending lease, with a weighted
average remaining lease term of approximately 4.0 years. Weighted
average age and remaining term are calculated as of the economic
closing date.

-- Approximately 67% (by LMM of half-life values) of the lessees
operate in developed markets, where domestic air traffic levels
have picked up recently, after a global air travel shutdown was
imposed in 2020 at the height of the COVID-19 pandemic.

-- The existing and future lessees' estimated credit quality and
diversification.

-- Each series' scheduled amortization profile, which is straight
line over 11 years for series A and B notes and a straight line
seven years for series C notes.

-- The transaction's performance triggers and conditions--debt
service coverage ratios and utilization levels falling below their
respective thresholds, notes remain outstanding after year seven,
or the number of aircraft in the portfolio is less than
eight--either of which will result in the series A and B notes'
turbo amortization.

-- The series C cash sweep, which, from month 36 to month 60 pays
10%; from month 60 to month 72 pays 15%; and from month 72 to month
84 pays 20% of remaining available collections to principal on the
series notes provided the issuers own a minimum of eight aircraft.

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

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

-- A revolving credit facility from MUFG Bank Ltd. equal to 18
months' interest on the series A and B notes, which is available to
cover senior expenses, including the permitted engine leases, hedge
payments, and interest on the series A and B notes.

-- Alton's maintenance analysis before closing. After closing, the
servicer will perform a forward-looking 24-month maintenance
analysis at least semi-annually, which will be reviewed by Alton
for reasonableness and achievability.
-- The maintenance reserve account (with an initial deposit of
approximately $5 million at closing), which is used to cover
maintenance costs and has a floor of $1 million. The account is
replenished to 25% of the required amount after paying interest to
series A and B, and to 100% of the required amount after paying
scheduled principal to series A and B. The required amount is sized
based on a forward-looking schedule of maintenance outflows and
asset trade payments. The excess amounts in the account over the
required maintenance amount will be transferred to the waterfall on
or after the first anniversary of the closing date. The security
deposit ($11.625 million at closing), which can be used to repay
security deposits due along with other senior expenses and interest
and principal on the series A and B notes if a shortfall, 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 $2,000,000.

-- The series C reserve account, which will be funded at closing
from note proceeds of approximately $1 million, and which may be
used to pay interest and principal on the series C notes.

-- 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) is subordinated to the
rated series' principal payment.

-- World Star Aviation (UK) Ltd. as the servicer of the
transaction.

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

  Preliminary Ratings Assigned

  SPRITE 2021-1 Ltd./SPRITE 2021-1 US LLC

  Class A, $485.000 million: A- (sf)
  Class B, $88.000 million: BBB- (sf)
  Class C, $60.000 million: B+ (sf)



SYMPHONY STATIC I: Moody's Assigns B1 Rating to $4MM Cl. E-2 Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Symphony Static CLO I, Ltd. (the "Issuer" or
"Symphony Static CLO I").

Moody's rating action is as follows:

US$272,000,000 Class A Senior Secured Floating Rate Notes due 2029,
Assigned Aaa (sf)

US$48,000,000 Class B Senior Secured Floating Rate Notes due 2029,
Assigned Aa1 (sf)

US$22,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029, Assigned A2 (sf)

US$16,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2029, Assigned Baa2 (sf)

US$14,000,000 Class E-1 Senior Secured Deferrable Floating Rate
Notes due 2029, Assigned Ba2 (sf)

US$4,000,000 Class E-2 Senior Secured Deferrable Floating Rate
Notes due 2029, Assigned B1 (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.

Symphony Static CLO I is a static CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. The portfolio is approximately 100% ramped as of
the closing date.

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

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

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

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

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

Par amount: $400,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2672

Weighted Average Spread (WAS): 3.29% (actual spread vector of the
portfolio)

Weighted Average Recovery Rate (WARR): 49.22%

Weighted Average Life (WAL): 5.7 years (actual amortization vector
of the portfolio)

Methodology Underlying the Rating Action:

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

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

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


THUNDERBOLT II: Fitch Lowers Rating on Series B Notes to 'B'
------------------------------------------------------------
Fitch Ratings has downgraded the ratings on the series A and B
fixed rate notes on Thunderbolt II Aircraft Lease Limited (TBOLT
II) and Thunderbolt III Aircraft Lease Limited (TBOLT III). The
Rating Outlook on each series remains Negative.

      DEBT                   RATING             PRIOR
      ----                   ------             -----
Thunderbolt II Aircraft Lease Limited

Series A 886065AA9    LT BBB-sf    Downgrade    BBBsf
Series B 886065AB7    LT Bsf       Downgrade    BBsf

Thunderbolt III Aircraft Lease Limited

A 88607AAA7           LT A-sf      Downgrade    Asf
B 88607AAB5           LT BBsf      Downgrade    BBBsf

TRANSACTION SUMMARY

The rating actions reflect ongoing pressure and poor financial
conditions of the airline lessee credits backing the leases in each
transaction pool and continued downward pressure on aircraft
values. The actions also reflect Fitch's updated assumptions and
stresses and resulting impairments to modeled cash flows and
coverage levels. The prior transaction reviews were in November
2020.

The Outlook remains Negative on all series of notes, reflecting
Fitch's base case expectation for the structures to withstand
immediate- and near-term stresses at the updated assumptions and
stressed scenarios commensurate with their respective ratings.
Continued global travel restrictions driven by the pandemic and the
subsequent airline recovery, including ongoing regional flareups
and potential for and occurrence of new virus variants, resulted in
continued delays in recovery of the airline industry.

This remains a credit negative for these aircraft ABS transactions
and airlines globally remain under pressure despite the recent
opening up of borders regionally and pick-up in air travel
globally. This could lead to additional near-term lease deferrals,
airline defaults and bankruptcies, along with lower aircraft demand
and value impairments. These negative factors could manifest in the
transactions, resulting in lower cash flows and pressure on ratings
in the next 6-12 months.

Fitch updated its rating assumptions for both rated and non-rated
airlines. This update drove the rating actions along with updated
aircraft values and modeled cash flows. Recessionary timing was
assumed to start immediately, consistent with Fitch's 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.

Air Lease Corporation (ALC, BBB/Stable) and certain third-parties
are the sellers of the initial assets, and ALC acts as servicer for
both transactions. Fitch deems ALC an adequate servicer for these
transactions based on their capabilities and prior experience,
including prior experience servicing ABS.

KEY RATING DRIVERS

Deteriorating Airline Lessee Credit:

The credit profiles of the airline lessees in the pools have
remained under stress due to the ongoing coronavirus-related impact
on all global airlines in 2021. The proportion of TBOLT II lessees
assumed at a 'CCC' Issuer Default Rate (IDR) and below were
marginally increased at 73.3% versus 70.5% in the prior review. For
TBOLT III, the 'CCC' and below airlines increased to 85.1% versus
81.8% in the prior review.

The assumptions are reflective of these airlines' ongoing credit
profiles and fleets in the current operating environment, due to
the continued coronavirus-related impact on the sector. Fitch has
updated assumptions for any publicly rated airlines in the pool
with ratings that have shifted.

Asset Quality and Appraised Pool Value:

Both pools feature mostly liquid narrowbody (NB) aircraft, which
Fitch views positively. Widebody (WB) aircraft total 11.5% in TBOLT
II, and 5.9% in TBOLT III. There continues to be elevated
uncertainty and ongoing pressure on aircraft market values (MV) and
about how the current environment will impact near-term lease
maturities.

The appraisers for both transactions include Acumen Appraisals,
Inc. and IBA Group Ltd. (IBA). Collateral Verifications, LLC (CV)
is the third appraiser for TBOLT II, and Morten Beyer & Agnew Inc.
(mba) for TBOLT III. TBOLT II was last appraised in December 2020
and TBOLT III in June 2021. The transaction document value is
$465.6 million for TBOLT II and $423.2 million for TBOLT III.

Fitch utilized conservative asset values for both transactions 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 for both transactions. For WB aircraft in
TBOLT II, minimum MA market values (MV) with an additional 5%
haircut were utilized, and TBOLT III applied the average MAMV. This
resulted in modeled values of $418.3 million for TBOLT II and
$387.0 million for TBOLT III, approximately 10% and 9% haircuts
down from the transaction value.

Transaction Performance:

Lease collections have fluctuated in 2021 but remained relatively
rangebound from the beginning of the year for both transactions and
since the prior review. As of the October 2021 servicing report,
TBOLT II received $4.3 million in basic rent compared to average
monthly collections of $3.6 million over the past six months. TBOLT
III received $4.7 million in basic rent compared to an average
monthly receipt of $4.0 million over the last six months.

Loan-to-values (LTVs) across the TBOLT III notes have been fairly
stable based on the updated Fitch LTVs for this review versus the
prior, while the TBOLT II LTVs have marginally increased across all
note classes.

All notes continue to receive interest payments to date. As of the
October 2021 report, TBOLT II had sufficient cash to pay a portion
of the class A principal since the August 2021 report date, but no
principal was paid for 12 months prior. Since the prior TBOLT III
review in late 2020, there has been virtually no principal payments
over the past 19 months back to March 2020 when the pandemic broke,
aside from periodic payments in 2021 when only a portion of the
class A principal was paid. The debt-service coverage ratios
(DSCRs) in both transactions remain tripped below the respective
cash trap and early amortization event triggers.

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, and selling
aircraft (particularly older aircraft) may result in highly
stressed, lower values, and Fitch took these factors into account
in its analysis.

With the significant reduction in air travel, maintenance revenue
and costs will be impacted and are likely 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 months 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. Further, maintenance costs were adjusted on TBOLT II in
the medium term based on a comparison of the maintenance
look-forward schedule in the servicer reports and the historical
transaction maintenance costs. The expectation of timing of
maintenance events continues to shift as a result of reduced
utilization of global fleets.

RATING SENSITIVITIES

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

Down: Base Assumptions with Shorter Useful Life:

-- The Negative Outlooks on all series of notes reflect 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.

-- Mid to end-of-life aircraft are typically sold when the
    aircraft reaches an average age of 18-20 years. However, ALC's
    strategy differs from other lessors who focus on mid-to end of
    life aircraft and hold onto aircraft longer. In this scenario,
    Fitch explored the cash flow decline if the useful life
    assumption was adjusted to 20 years down from 25 years. Under
    this scenario, TBOLT II experiences a decline of $70.1 million
    in net cash flow at the 'Asf' rating category. Under this
    scenario, the class A would be able to pass at the 'Bsf'
    scenario and class B does not pass under the 'Bsf' scenario.
    TBOLT III experiences a decline of $67.1 million in net cash
    flow at the 'Asf' rating category. Under this scenario, both
    class A and B are able to pass at the 'Bsf' scenario.

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

Up: Base Assumptions with Transaction Reported Value

-- 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 values as of the
    October 2021 report. On TBOLT II, the class A passes at the
    'BBBsf' rating and class B passes at the 'BBsf' rating. On
    TBOLT III, class A is able to pass at the 'Asf' rating and
    class B passes at the 'BBBsf' rating.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


TICP CLO VIII: S&P Assigns Prelim BB-(sf) Rating on Class D-R Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to TICP CLO
VIII Ltd./TICP CLO VIII LLC's floating-rate notes. This is a
proposed refinancing of its October 2017 transaction that was not
previously rated by S&P Global Ratings.

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

The preliminary ratings are based on information as of Nov. 10,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans.

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

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

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

  Preliminary Ratings Assigned

  TICP CLO VIII Ltd./TICP CLO VIII LLC

  Class X, $2.83 million: AAA (sf)
  Class A-1-R, $248.00 million: AAA (sf)
  Class A-2-R, $56.00 million: AA (sf)
  Class B-R, $24.00 million: A (sf)
  Class C-R, $24.00 million: BBB- (sf)
  Class D-R, $15.00 million: BB- (sf)
  Subordinated notes, $39.60 million: Not rated


TOWD POINT 2021-1: Fitch Assigns B-(EXP) Rating on 5 Tranches
-------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Towd Point Mortgage
Trust 2021-1 (TPMT 2021-1).

DEBT               RATING
----               ------
TPMT 2021-1

A1      LT AAA(EXP)sf   Expected Rating
A2      LT AA-(EXP)sf   Expected Rating
M1      LT A-(EXP)sf    Expected Rating
M2      LT BBB-(EXP)sf  Expected Rating
B1      LT BB-(EXP)sf   Expected Rating
B2      LT B-(EXP)sf    Expected Rating
B3      LT NR(EXP)sf    Expected Rating
B4      LT NR(EXP)sf    Expected Rating
B5      LT NR(EXP)sf    Expected Rating
A1A     LT AAA(EXP)sf   Expected Rating
A1AX    LT AAA(EXP)sf   Expected Rating
A1B     LT AAA(EXP)sf   Expected Rating
A1BX    LT AAA(EXP)sf   Expected Rating
A2A     LT AA-(EXP)sf   Expected Rating
A2AX    LT AA-(EXP)sf   Expected Rating
A2B     LT AA-(EXP)sf   Expected Rating
A2BX    LT AA-(EXP)sf   Expected Rating
M1A     LT A-(EXP)sf    Expected Rating
M1AX    LT A-(EXP)sf    Expected Rating
M1B     LT A-(EXP)sf    Expected Rating
M1BX    LT A-(EXP)sf    Expected Rating
M2A     LT BBB-(EXP)sf  Expected Rating
M2AX    LT BBB-(EXP)sf  Expected Rating
M2B     LT BBB-(EXP)sf  Expected Rating
M2BX    LT BBB-(EXP)sf  Expected Rating
B1A     LT BB-(EXP)sf   Expected Rating
B1AX    LT BB-(EXP)sf   Expected Rating
B1B     LT BB-(EXP)sf   Expected Rating
B1BX    LT BB-(EXP)sf   Expected Rating
B2A     LT B-(EXP)sf    Expected Rating
B2AX    LT B-(EXP)sf    Expected Rating
B2B     LT B-(EXP)sf    Expected Rating
B2BX    LT B-(EXP)sf    Expected Rating
B3A     LT NR(EXP)sf    Expected Rating
B3AX    LT NR(EXP)sf    Expected Rating
B3B     LT NR(EXP)sf    Expected Rating
B3BX    LT NR(EXP)sf    Expected Rating
A3      LT AA-(EXP)sf   Expected Rating
A4      LT A-(EXP)sf    Expected Rating
A5      LT BBB-(EXP)sf  Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by Towd Point Mortgage Trust 2021-1 (TPMT 2021-1) as
indicated above. The transaction is expected to close on Nov. 17,
2021. The notes are supported by one collateral group that consists
of 6,659 seasoned performing loans (SPLs) and re-performing loans
(RPLs) with a total balance of approximately $528.2 million,
including $30 million, or 6%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts, as of the
statistical calculation date.

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

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.

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage SPLs and RPLs. Of the pool,
approximately 4.1% were delinquent (DQ) as of the statistical
calculation date. Based on Fitch's treatment of coronavirus-related
forbearance and deferral loans, approximately 73.4% of the loans
were treated as having clean payment histories for the past two
years and the remaining 22.4% of the loans are current but have had
recent delinquencies or incomplete 24-month pay strings. Roughly
56% have been modified.

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 'AA-sf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
that class in the absence of servicer advancing.

No Servicer P&I Advances (Mixed): The servicers 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 DQ 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 'AA-sf' rated
classes.

ESG Impact Rating Relevant: TPMT 2021-1 has an ESG Relevance Score
of '4' for Transaction Parties and Operational Risk, due to
elevated operational risk, which resulted in an increase in
expected losses. While the originator, aggregator and servicing
parties did not have an impact on the expected losses, the Tier 2
R&W framework (Tier 4 for newly originated loans and Tier 5 for
junior lien loans) with an unrated counterparty and the transaction
due diligence resulted in an increase in the expected losses.

RATING SENSITIVITIES

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 42.2% at 'AAAsf'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

-- This defined positive rating sensitivity analysis demonstrates
    how the ratings would react to positive home price growth of
    10% with no assumed overvaluation. 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.

CRITERIA VARIATION

Fitch's analysis incorporated four criteria variations from the
"U.S. RMBS Rating Criteria."

The first variation relates to the tax/title review. The tax/title
review was outdated (over six months ago) on 27% of the reviewed
loans by loan count. Approximately 74% of the sample loans were
reviewed within 12 months and the remaining loans were reviewed
more than 12 month ago. Additionally, the servicers are monitoring
the tax and title status as part of standard practice and will
advance where deemed necessary to keep the first lien position of
each loan. This variation had no rating impact.

The second variation is that a tax and title review was not
completed on 100% of the first lien loans. Approximately 90% of
first liens received an updated tax and title search (95% of the
loans categorized as RPL were reviewed and 85% of SPL categorized
loans were reviewed). The first liens without an updated tax and
title search are a relatively immaterial amount relative to the
overall pool and were treated as second liens which receive a 100%
LS. This variation had no rating impact.

The third variation is that a due diligence compliance and data
integrity review was not completed on approximately 25% of the pool
by loan count. The sample meets Fitch's criteria for second liens
and SPL loans as 42% of the second liens and 44% of the SPL loans
were reviewed (the criteria allows for a 20% sample). Fitch defines
SPL as loans which are seasoned over 24 months, have not been
modified and have had no more one 30-day delinquency in the prior
24 months but are current as of the cutoff date. A criteria
variation was applied for the RPL loans. 43% of the pool is
categorized as RPL, and Fitch's criteria expects 100% review for
RPL loans (75.4% was reviewed).

For the RPL loans that did not receive a compliance review,
approximately 10.1% of the total RPL population were treated as
missing HUD-1s and received the standard indeterminate adjustment,
which increases the LS depending on the state that the property is
located. This variation did not have a rating impact.

The fourth variation is that a full new origination due diligence
review, including credit, compliance and property valuation, was
not completed on the loans seasoned less than 24 months.
Approximately 6% of the pool by loan count is considered new
origination and did not receive a credit or valuation review
consistent with Fitch criteria. A criteria variation was applied as
only a compliance review was received. While a full credit review
was not completed, the ATR status was confirmed and updated values
were provided in lieu of a review. To the extent the updated
valuation yielded a greater than -10% variation from the original
appraisal value, the updated value was then used in the analysis.

The fifth variation relates to the pay history review. For RPL
transactions, Fitch expects a pay history review to be completed on
100% of the loans and expects the review to reflect the past 24
months. The pay history sample completed on the SPL and newly
originated loans meets Fitch's criteria. A pay history review was
either not completed, was outdated or a pay string was not received
from the servicer for approximately 8% of the RPL loans. Roughly a
quarter of these loans have dirty pay histories and are therefore
receiving a PD hit in Fitch's model.

In addition, the loans are approximately 17 years seasoned in
aggregate, and 73% of the pool has been paying on time for the past
24 months per Fitch's analysis. For the loans where a pay history
review was conducted, the results verified what was provided on the
loan tape. Additionally, the pay strings provided on the loan tape
were provided to FirstKey by the current servicer. This variation
did not have a rating impact.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC, Clayton and Wescor. A third-party due diligence
review was conducted on 61% of the loans by loan count. While the
review was substantially to Fitch criteria with respect to RPL
transactions, the sample size yielded minor variations to the
criteria, which resulted in various loan-level adjustments for
loans that were not reviewed.

However, loans that were subject to the review received a due
diligence scope that is in line with Fitch criteria, which
consisted primarily of a regulatory compliance review, pay history
review, updated tax and title, and a review of collateral files
from the custodian. The sample meets Fitch's criteria for second
liens and seasoned performing loans (SPLs). 41.8% of the second
liens and 44.1% of the SPLs were reviewed, which meets Fitch
criteria, as they allow for a 20% sample to be reviewed.

Fitch defines SPLs as loans seasoned over 24 months, that have not
been modified and that have had no more than one 30-day delinquency
in the prior 24 months and are current as of the cutoff date. A
criteria variation was applied for the re-performing loans (RPLs)
in the pool. 43.4% of the pool are categorized as RPL by Fitch, and
criteria expect 100% review for RPL loans (instead, 75.4% were
reviewed).

Fitch treated the unreviewed RPLs as high-cost uncertain and
applied the standard indeterminate adjustment for loans that do not
have a final HUD-1 to effectively test for compliance with
predatory lending regulations. Roughly 6% of the pool by loan count
and 17% by UPB is seasoned less than 24 months. Fitch criteria
expects a credit, compliance and property valuation review for
newly originated loans. A criteria variation was applied as only a
compliance review was performed for these loans.

Based on the due diligence findings, Fitch made the following
loan-level adjustments: 858 of reviewed loans, or approximately
12.9% of the total pool, received a final grade of 'D' as the loan
file did not have a final HUD-1 for compliance testing purposes.
The absence of a final HUD-1 file does not allow the TPR firm to
properly test for compliance surrounding predatory lending in which
statute of limitations does not apply. These regulations may expose
the trust to potential assignee liability in the future and create
added risk for bond investors.

In addition to adjustments related to the due diligence findings,
Fitch applied the missing HUD-1 adjustments to 674 out of 712
loans, or approximately 10.1% of the transaction pool, which are
considered first lien RPLs that did not receive a regulatory
compliance review. Fitch believes this adequately captures
additional risk posed to the trust by these loans not receiving a
compliance review. The remaining 302 loans with a final grade of
'C' or 'D' reflect missing final HUD-1 files that are not subject
to predatory lending, missing state disclosures, and other missing
documents related to compliance testing.

Fitch notes that these exceptions are unlikely to add material risk
to bondholders since the statute of limitations on these issues
have expired. No adjustment to loss expectations were made for
these loans.

Fitch also applied an adjustment on 112 loans that had missing
modification agreements. Each loan received a three-month
foreclosure timeline extension to represent a delay in the event of
liquidation as a result of these files not being present. Fitch
adjusted its loss expectation at the 'AAAsf' by approximately 320
basis points to reflect missing final HUD-1 files, modification
agreements, note, assignment/endorsement and title issues.

ESG CONSIDERATIONS

TPMT 2021-1 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to elevated operational risk, which
has a negative impact on the credit profile, and is relevant to the
rating in conjunction with other factors.

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


TRESTLES CLO V: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Trestles CLO
IV Ltd./Trestles CLO IV LLC's floating- and fixed-rate notes.

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

The preliminary ratings are based on information as of Nov. 5,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans.

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

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

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

  Preliminary Ratings Assigned

  Trestles CLO V Ltd./Trestles CLO V LLC

  Class A-1, $234.50 million: AAA (sf)
  Class A-2, $9.50 million: AAA (sf)
  Class B-1, $40.00 million: AA (sf)
  Class B-2, $20.00 million: AA (sf)
  Class C (deferrable), $22.00 million: A (sf)
  Class D (deferrable), $26.00 million: BBB- (sf)
  Class E (deferrable), $14.00 million: BB- (sf)
  Subordinated notes, $39.00 million: Not rated



TRIMARAN CAVU 2021-2: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Trimaran CAVU 2021-2
Ltd./Trimaran CAVU 2021-2 LLC's floating- and fixed-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  Trimaran CAVU 2021-2 Ltd./Trimaran CAVU 2021-2 LLC

  Class A, $252.00 million: AAA (sf)
  Class B-1, $39.00 million: AA (sf)
  Class B-2, $13.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D-1 (deferrable), $16.00 million: BBB (sf)
  Class D-2 (deferrable), $8.00 million: BBB- (sf)
  Class E (deferrable), $15.40 million: BB- (sf)
  Subordinated notes, $40.05 million: Not rated


TRK 2021-INV2: S&P Assigns B (sf) Rating on Class B-2 Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to TRK 2021-INV2 Trust's
mortgage pass-through certificates series 2021-INV2.

The certificate issuance is an RMBS transaction backed by
first-lien, fixed- rate, adjustable-rate, fully amortizing, and
interest-only residential mortgage loans secured by single-family
residences, planned unit developments, condominiums, townhouses,
two- to four-family homes, five- to 10-unit residential properties,
and a manufactured home to both prime and nonprime borrowers. The
pool consists of 1,246 business-purpose rental, non-owner-occupied
residential mortgage loans (including 112 cross-collateralized
loans) backed by 1,657 properties that are exempt from qualified
mortgage and ability-to-repay rules.

The ratings reflect:

-- The pool's collateral composition;

-- The transaction's credit enhancement, associated structural
mechanics, geographic concentration, and representation and
warranty framework;

-- The mortgage aggregator and mortgage originator; and

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

  Ratings Assigned(i)

  TRK 2021-INV2 Trust

  Class A-1, $208,140,000: AAA (sf)
  Class A-2, $23,080,000: AA (sf)
  Class A-3, $36,950,000: A (sf)
  Class M-1, $17,250,000: BBB (sf)
  Class B-1, $15,510,000: BB (sf)
  Class B-2, $11,780,000: B (sf)
  Class B-3, $10,026,001: Not rated
  Class A-IO-S, notional(ii): Not rated
  Class XS, notional(ii): Not rated
  Class P, $100: Not rated
  Class R, not applicable: Not rated

(i)The ratings address the ultimate payment of interest and
principal; they do not address payment of the cap carryover
amounts.
(ii)The notional amount equals the loans' aggregate unpaid
principal balance.



UWM MORTGAGE 2021-INV3: Moody's Assigns B3 Rating to Cl. B-5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
thirty-four classes of residential mortgage-backed securities
(RMBS) issued by UWM Mortgage Trust 2021-INV3. The ratings range
from Aaa (sf) to B3 (sf).

UWM Mortgage Trust 2021-INV3 is a securitization of 2,442
first-lien investor agency-eligible mortgage loans. All the loans
in the pool are originated by United Wholesale Mortgage, LLC (UWM -
Ba3 long-term corporate family and Ba3 senior unsecured bond
ratings, with stable outlook) in accordance with the underwriting
guidelines of Fannie Mae or Freddie Mac, subject to certain
permitted variances, with additional credit overlays. The
transaction is backed by 2,442 fully-amortizing and fixed rate
mortgage loans with original terms to maturity between 18 and 30
years, with an aggregate stated principal balance of approximately
$871,754,493. The average stated principal balance is approximately
$356,984 and the weighted average (WA) current mortgage rate is
3.4%.

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). With respect to these mortgage loans, the
sponsor will represent that such mortgage loans are "qualified
mortgages" under Regulation Z. 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.

Cenlar FSB (Cenlar) will service all the mortgage loans in the
pool. Servicing compensation is subject to a step-up incentive fee
structure. UWM will be the servicing administrator and Nationstar
Mortgage LLC (Nationstar - B2 long-term issuer rating, with
positive outlook) will be the master servicer. UWM will be
responsible for principal and interest advances as well as other
servicing advances. The master servicer will be required to make
principal and interest advances if UWM is unable to do so.

Third-party review (TPR) firms conducted credit, data accuracy, and
compliance reviews on approximately 30.5% of the loans in the pool
by loan count and property valuation review on 100.0% of the loans
in the pool. The number of loans that went through a full due
diligence review is above Moody's credit-neutral sample size. Also,
the TPR results indicate that there are no material compliance,
credit, or data issues and no appraisal defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's expected loss for
this pool in a baseline scenario-mean is 1.05% in a baseline
scenario-median is 0.77% and reaches 6.59% at a stress level
consistent with Moody's Aaa ratings. Moody's also compared the
collateral pool to other securitizations with agency eligible
loans. Overall, this pool has average credit risk profile as
compared to that of recent transactions.

The securitization 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.

The complete rating actions are as follows

Issuer: UWM Mortgage Trust 2021-INV3

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

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

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

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

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

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

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

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

Cl. A-6-A, 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-9-A, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

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

Cl. A-14, Definitive Rating Assigned Aa1 (sf)

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

Cl. A-16, Definitive Rating Assigned Aaa (sf)

Cl. A-17, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

Cl. B-3, 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 is 1.05%
at the mean, 0.77% at the median, and reaches 6.59% at a stress
level consistent with Moody's Aaa ratings.

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

Collateral description

The transaction is backed by 2,442 fully-amortizing, fixed rate,
first-lien non-owner occupied residential investor properties
mortgage loans with original terms to maturity between 18 and 30
years, with an aggregate stated principal balance of approximately
$871,754,493. The average stated principal balance is approximately
$356,984 and the weighted average (WA) current mortgage rate is
3.4%. Borrowers of the mortgage loans backing this transaction have
strong credit profiles demonstrated by strong credit scores and low
combined loan-to-value (CLTV) ratios. The weighted average primary
borrower original FICO score and original CLTV ratio of the pool is
769 and 65.5% respectively. The WA original debt-to income (DTI)
ratio is approximately 37.1%. All of the loans are designated as
Qualified Mortgages (QM) under the GSE temporary exemption under
the Ability-to-Repay (ATR) rules.

Approximately 46.7% of the mortgages (by loan balance) are backed
by properties located in California. The next largest geographic
concentration is Florida (5.6% by loan balance), Colorado (5.5% by
loan balance), Arizona (5.0% by loan balance) and Texas (4.8% by
loan balance). All other states each represent 4.5% or less by loan
balance. Approximately 23.2% (by loan balance) of the pool is
backed by properties that are 2-to-4 unit residential properties
whereas loans backed by single family residential properties
represent approximately 42.3% (by loan balance) of the pool.

Approximately 83.8% and 15.8% (by loan balance) of the loans were
originated through the broker and the correspondent channels
respectively. Irrespective of the origination channel, UWM
underwrites all the loans it originates through its underwriting
process. Nevertheless, the MILAN model adjusts the loan probability
of default (PD) to account for different loan origination channels
- retail (the least risk), broker (the most risk) and correspondent
(intermediate risk) channels.

Origination Quality and Underwriting Guidelines

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, subject to certain
permitted variances, with additional credit overlays and approved
for origination through Fannie Mae's Desktop Underwriter Program or
Freddie Mac's Loan Prospector Program. Loan file reviews are
conducted through a pre-funding and post-closing quality control
(QC) process.

Moody's consider UWM to be an adequate originator of GSE eligible
loans following Moody's review of its underwriting guidelines,
quality control processes, policies and procedures, and historical
performance relative to its peers. As a result, Moody's did not
make any adjustments to Moody's base case and Aaa stress loss
assumptions.

Servicing arrangement

Cenlar (the servicer) will service all the mortgage loans in the
transaction. UWM will serve as the servicing administrator and
Nationstar will serve as the master servicer. The servicing
administrator will be required to (i) make advances in respect of
delinquent interest and principal on the mortgage loans and (ii)
make certain servicing advances with respect to the preservation,
restoration, repair and protection of a mortgaged property,
including delinquent tax and insurance payments, unless the
servicer determines that such amounts would not be recoverable. The
master servicer will be obligated to fund any required monthly
advance if the servicing administrator fails in its obligation to
do so. Moody's consider the overall servicing arrangement for this
pool as adequate given the ability and experience of Cenlar as a
servicer and the presence of a master servicer. As a result,
Moody's did not make any adjustments to Moody's base case and Aaa
stress loss assumptions.

Servicing compensation in this transaction is based on a
fee-for-service incentive structure. The servicer receives higher
fees for labor-intensive activities that are associated with
servicing delinquent loans, including loss mitigation, than they
receive for servicing a performing loan, which is less labor
intensive. The fee-for-service incentive structure includes an
initial monthly base servicing fee of $40 for all performing loans
and increases according to certain delinquent and incentive fee
schedules. The fees in this transaction are similar to other
transactions with fee-for-service structure which Moody's have
rated.

Third-party review (TPR)

Two independent third-party review firms, Wipro Opus Risk
Solutions, LLC and Consolidated Analytics, Inc., were engaged to
conduct due diligence on approximately 30.5% (by loan count) of the
loans in the pool for credit, compliance and data accuracy and
100.0% of the loans for property valuation review. The number of
loans that went through a full due diligence review is above
Moody's calculated credit-neutral sample size. Also, there were
generally no material findings. The loans that had exceptions to
the originators' underwriting guidelines had significant
compensating factors that were documented. Moody's did not make any
adjustments to Moody's credit enhancement for TPR scope, sample
size and results.

Representations and Warranties Framework

UWM as the sponsor, makes the loan-level R&Ws for the mortgage
loans. The R&Ws cover most of the categories that Moody's
identified in Moody's methodology as credit neutral. Further, R&W
breaches are evaluated by an independent third party using a set of
objective criteria. The independent reviewer will perform detailed
reviews to determine whether any R&Ws were breached when any loan
becomes a severely delinquent mortgage loan, a delinquent modified
mortgage loan, or is liquidated at a loss. These reviews are
thorough in that the transaction documents set forth detailed tests
for each R&W that the independent reviewer will perform. However,
Moody's applied an adjustment to Moody's expected losses to account
for the risk that UWM may be unable to repurchase defective loans
in a stressed economic environment in which a substantial portion
of the loans breach the R&Ws, given that it is a non-bank entity
with a monoline business (mortgage origination and servicing) that
is highly correlated with the economy.

Transaction structure

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

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 & subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to eroding credit enhancement
over time and increased performance volatility, known as tail risk.
To mitigate this risk, the transaction provides for a senior
subordination floor of 0.90% 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 its principal methodology. The senior
subordination floor and the subordinate floor of 0.90% and 0.80%,
respectively, are consistent with the credit neutral floors for the
assigned ratings.

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

Down

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

Up

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

Methodology

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


WELLS FARGO 2015-C26: Fitch Affirms B- Rating on 2 Tranches
-----------------------------------------------------------
Fitch Ratings affirms 13 classes of Wells Fargo Commercial Mortgage
Trust 2015-C26 (WFCM 2015-C26), commercial mortgage pass-through
certificates. Fitch revises the Rating Outlook on class D to Stable
from Negative.

    DEBT                 RATING            PRIOR
    ----                 ------            -----
WFCM 2015-C26

A-3 94989CAW1     LT AAAsf     Affirmed    AAAsf
A-4 94989CAX9     LT AAAsf     Affirmed    AAAsf
A-S 94989CAZ4     LT AAAsf     Affirmed    AAAsf
A-SB 94989CAY7    LT AAAsf     Affirmed    AAAsf
B 94989CBC4       LT AA-sf     Affirmed    AA-sf
C 94989CBD2       LT A-sf      Affirmed    A-sf
D 94989CAG6       LT BBB-sf    Affirmed    BBB-sf
E 94989CAJ0       LT BB-sf     Affirmed    BB-sf
F 94989CAL5       LT B-sf      Affirmed    B-sf
PEX 94989CBE0     LT A-sf      Affirmed    A-sf
X-A 94989CBA8     LT AAAsf     Affirmed    AAAsf
X-C 94989CAA9     LT BB-sf     Affirmed    BB-sf
X-D 94989CAC5     LT B-sf      Affirmed    B-sf

Classes X-A, X-B, X-C, X-D and X-E are IO.

Class A-S, B and C certificates may be exchanged for class PEX
certificates, and class PEX certificates may be exchanged for class
A-S, B and C certificates.

KEY RATING DRIVERS

Improved Loss Expectations: The affirmations and revised outlook to
stable on class D reflect improving loss expectations on the pool
since the last rating action as loans continue to stabilize.
Fitch's ratings reflect a base case loss of 5.9% and a sensitivity
scenario where losses could reach 7%. The sensitivity applied
higher losses to two hotel loans that have seen impact from the
ongoing coronavirus pandemic as well as an outsize loss of 15% on
the vacant Broadcom Building loan (4.3% of the pool). There are 13
Fitch Loans of Concern (FLOCs; 28.5% of the pool), including two
loans (4.9%) in special servicing.

The largest contributor to base case losses is the specially
serviced Aloft Houston by the Galleria (3.8% of the pool), which is
secured by a 152-room limited service hotel located adjacent to the
Houston Galleria. Parking is provided by a five-story garage
structure, which is also part of the collateral.

The loan transferred to special servicing in 2020 due to a COVID-19
relief request and imminent default. A petition for appointment of
a receiver was filed and subsequently granted in June 2020. The
receivership has transitioned the property and stabilized
operations while maintaining brand standards. In addition, the
special servicer has provided notice of a repurchase claim to the
loan originator.

Per the TTM August 2021 STR report, the subject had occupancy, ADR,
and RevPAR of 53.6%, $105, and $56, respectively. According to the
servicer, the TTM June 2021 NOI DSCR was 0.14x compared to YE 2020
NOI DSCR at 0.13x, and YE 2019 at 0.87x. The servicer reported that
the deterioration in cash flow pre-pandemic was a result of
increased competition in the area; the coronavirus pandemic then
further impacted the property performance. Fitch's modeled loss of
58% reflects a value of $110,000 per key.

The next largest contributor to loss is the specially serviced
Piedmont Center loan (1.2%), which is secured by two office
buildings totaling 145,839 sf located in Greenville, SC. The
property was originally built in 1973.

The loan transferred to special servicing in November 2018; it is
currently 90 days delinquent. The borrower did not have sufficient
funding to complete tenant improvements therefore it obtained
interim financing collateralized by the net cash flow for the
collateral. The borrower did not pay as agreed under the interim
financing and the lender tried to collect rents from the tenants. A
receiver was appointed in March 2019 and has been working to
stabilize the asset through lease up of the currently vacant space.
the property is located in a weak market, the East submarket of
Greenville had a 3Q 2021 vacancy rate of 21.9% per Reis. Per the
July 2021 rent roll, the property was 71.6% leased. Fitch's loss of
55% reflects a value of $53 psf.

Fitch continues to monitor the Broadcom Building loan. The loan is
secured by a 200,000-sf office property located in San Jose, CA,
which is fully vacant and has negative cash flow. The property had
been 100% leased to the Broadcom Corporation since 2000. However,
Broadcom exercised its option to terminate the lease early and
vacated by May 2018. The loan remains current.

At issuance, the two -story property consisted of approximately 60%
office space, 20% lab space, 15% amenity space, including a
cafeteria, gym and locker rooms, outdoor tennis court, beach
volleyball court, and outdoor terrace, and a 10,000-sf (5% of NRA)
data center space. Per internet research, interior and exterior
renovations were completed in 2021, which included a new expanded
lobby and indoor/outdoor deck. The property continues to be
marketed for lease. Fitch has requested an update from the servicer
on any leasing prospects.

Per the October 2021 servicer reporting, a reserve in the amount of
$4.5 million is in place.

Fitch performed a dark value analysis on the vacant property and,
factoring in the in-place reserve of $4.5 million, concluded a
value of $33.7 million ($168psf). Fitch assumed market rent
declines of 10%, downtime between leases (18 months), carrying
costs, and re-tenanting costs ($25psf new tenant improvements and
4% leasing costs). Fitch ran an additional sensitivity that assumed
a 15% outsize loss on the loan, which reflects a value of $147psf;
the negative outlooks on classes E, F, X-C and X-D partially
reflect this sensitivity.

Slightly Improved Credit Enhancement (CE) and Defeasance: As of the
October 2021 distribution date, the pool's aggregate balance had
been reduced by 17.1% to $797.7 million from $962.1 million at
issuance. Eleven loans have paid off since issuance with no
realized losses to date. The majority of the pool matures in 2024
(20.3%) and 2025 (79.7%). Currently, three loans (1.2%) are
full-term interest only, while all remaining loans are now
amortizing. Eight loans (9%) are currently defeased.

RATING SENSITIVITIES

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

-- An increase in pool level expected losses from underperforming
    or specially serviced loans/assets. Downgrades to the 'AA-sf'
    and 'AAAsf' categories are not likely due to the position in
    the capital structure, but may occur should interest
    shortfalls occur.

-- Downgrades to the 'A-' and 'BBB-' classes would occur should
    overall pool losses increase and/or one or more large loans
    have an outsized loss, which would erode credit enhancement.
    Downgrades to the 'BB-' or 'B-' classes would occur should
    loss expectations increase as FLOC performance declines or
    fails to stabilize, including the specially serviced loans.

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

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

-- Upgrade of the 'BBB-sf' class is 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 is a likelihood of interest
    shortfalls. An upgrade to the 'BB-sf', or 'B-sf' 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.


WESTLAKE 2021-3: S&P Assigns Prelim B (sf) Rating on Class F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Westlake
Automobile Receivables Trust 2021-3's automobile receivables-backed
notes.

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

The preliminary ratings are based on information as of Nov. 4,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The availability of approximately 45.32%, 39.09%, 30.57%,
23.71%, 20.74%, and 17.15% credit support for the class A-1, A-2,
A-3 (collectively, class A), B, C, D, E, and F notes, respectively,
based on stressed cash flow scenarios (including excess spread).
These provide approximately 3.50x, 3.00x, 2.30x, 1.75x, 1.50x, and
1.10x, respectively, of S&P's 12.50%-13.00% expected cumulative net
loss range.

-- The transaction's ability to make timely interest and principal
payments under stressed cash flow modeling scenarios appropriate
for the assigned preliminary ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(1.75x S&P's expected loss level), all else being equal, our
ratings will be within the credit stability limits specified by
section A.4 of the Appendix contained in "S&P Global Ratings
Definitions," published Jan. 5, 2021. The collateral
characteristics of the securitized pool of subprime automobile
loans.

-- The originator/servicer's long history in the
subprime/specialty auto finance business.

-- S&P's analysis of approximately 16 years (2006-2021) of static
pool data on the company's lending programs.

-- The transaction's payment, credit enhancement, and legal
structures.

  Preliminary Ratings Assigned

  Westlake Automobile Receivables Trust 2021-3

  Class A-1, $228.00 million: A-1+ (sf)
  Class A-2, $496.14 million: AAA (sf)
  Class A-3, $222.59 million: AAA (sf)
  Class B, $121.36 million: AA (sf)
  Class C, $168.09 million: A (sf)
  Class D, $135.68 million: BBB (sf)
  Class E, $50.50 million: BB (sf)
  Class F, $77.64 million: B (sf)



WIND RIVER 2016-1: Moody's Hikes Rating on Class E-R Notes to Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Wind River 2016-1 CLO Ltd.:

US$72,000,000 Class B-R Senior Secured Floating Rate Notes due
2028, Upgraded to Aaa (sf); previously on January 11, 2021 Upgraded
to Aa1 (sf)

US$36,000,000 Class C-R Secured Deferrable Floating Rate Notes due
2028, Upgraded to Aa1 (sf); previously on July 20, 2018 Assigned A2
(sf)

US$30,000,000 Class D-R Secured Deferrable Floating Rate Notes due
2028, Upgraded to A3 (sf); previously on September 9, 2020
Confirmed at Baa3 (sf)

US$30,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2028, Upgraded to Ba2 (sf); previously on September 9, 2020
Downgraded to B1 (sf)

Wind River 2016-1 CLO Ltd., originally issued in June 2016 and
refinanced in July 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in July 2020.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since January 2021. The Class
A-R notes have been paid down by approximately 55% or $193.3
million since then. Based on the trustee's October 2021 report[1],
the OC ratios for the Class A/B, Class C, Class D and Class E notes
are reported at 148.29%, 130.84%, 119.16%, and 109.40%,
respectively, versus January 2021[2] levels of 129.81%, 119.66%,
112.34%, and 105.87%, respectively.

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

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

Performing par and principal proceeds balance: $362,542,206

Defaulted par: $1,148,801

Diversity Score: 59

Weighted Average Rating Factor (WARF): 2975

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.29%

Weighted Average Recovery Rate (WARR): 47.76%

Weighted Average Life (WAL): 3.74 years

In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. These
additional scenarios include, among others, near term defaults by
companies facing liquidity pressure, deteriorating credit quality
of the portfolio, and lower recoveries on defaulted assets.

Methodology Used for the Rating Action

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

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

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


[*] S&P Takes Various Actions on 32 Classes from Nine US RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 32 ratings from nine
U.S. RMBS transactions issued between 2004 and 2007. All these
transactions are backed by alternative-A and negative amortization
collateral. The review yielded 10 upgrades, two downgrades and 20
affirmations.

A list of Affected Ratings can be viewed at:

           https://bit.ly/3FjhI9Z

Analytical Considerations

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance 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;
-- Historical and/or outstanding missed interest payments;
-- Increases or decreases in credit support; and
-- Payment priority.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, as well as the application of specific
criteria applicable to these classes. See the ratings list for the
specific rationales associated with each of the classes with rating
transitions.

"The rating affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections.

"We raised our ratings on 10 classes because of increased credit
support, six of which were raised by four or more notches. These
classes have benefitted from the failure of performance triggers
and/or reduced subordinate class principal distribution amounts,
which has built credit support for these classes 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."



[*] S&P Takes Various Actions on 64 Classes from 24 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 64 ratings from 24 U.S.
RMBS transactions issued between 2002 and 2007. The review yielded
23 upgrades, seven downgrades, and 34 affirmations.

A list of Affected Ratings can be viewed at:

           https://bit.ly/3mNeXXT

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;
-- Historical and/or outstanding missed interest payments;
-- Increases or decreases in credit support; and
-- Payment priority.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, and/or reflect the application of
specific criteria applicable to these classes. See the ratings list
for the specific rationales associated with each of the classes
with rating transitions.

"The ratings affirmations reflect our opinion that our projected
credit support and collateral performance on these classes has
remained relatively consistent with our prior projections."



                            *********

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