/raid1/www/Hosts/bankrupt/TCR_Public/211121.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 21, 2021, Vol. 25, No. 324

                            Headlines

3650R 2021-PF1: Fitch Assigns Final B- Rating on Class J-RR Certs
37 CAPITAL 1: Moody's Assigns Ba3 Rating to $15MM Class E Notes
522 FUNDING 2020-6: Moody's Assigns B3 Rating to $4MM Cl. F Notes
AASET 2021-1: S&P Assigns B (sf) Rating on Class C Notes
AIG CLO 2019-2: S&P Assigns BB- (sf) Rating on Class E-R Notes

ANGEL OAK 2021-7: Fitch Assigns B(EXP) Rating on Class B-2 Debt
ARES LVI: S&P Assigns BB- (sf) Rating on $21.6MM Class E-R Notes
AVIS BUDGET 2021-2: Moody's Assigns Ba2 Rating to Class D Notes
BALLYROCK CLO 18: S&P Assigns Prelim BB- (sf) Rating on D Notes
BARINGS CLO 2020-II: Moody's Assigns Ba3 Rating to Class E-R Notes

BENCHMARK 2021-B30: Fitch Assigns Final B- Rating on 2 Tranches
BENEFIT STREET XVIII: S&P Assigns Prelim BB-(sf) Rating on ER Notes
BLACK DIAMOND 2021-1: Moody's Gives (P)Ba3 Rating to Class D Notes
BRAVO RESIDENTIAL 2021-HE3: Fitch Gives Final 'B' on Cl. B-2 Debt
CANYON CLO 2019-2: S&P Assigns BB- (sf) Rating on Class E-R Notes

CARLYLE US 2021-10: S&P Assigns Prelim BB- (sf) Rating on E Notes
CFMT TRUST 2021-AL1: Moody's Assigns (P)Ba2 Rating to Cl. C-2 Notes
CIFC FUNDING 2020-III: S&P Assigns BB- (sf) Rating on E-R Notes
CIG AUTO 2020-1: Moody's Raises Rating on Class E Notes to Ba1
COLT 2021-5: Fitch Assigns B(EXP) Rating on Class B2 Certs

COLUMBIA CENT 29: S&P Assigns BB- (sf) Rating on Class E-R Notes
COMM 2013-300P: Fitch Affirms BB+ Rating on Class E Debt
COMM 2014-CCRE17: Moody's Lowers Rating on Class E Certs to Caa2
COMM 2015-CCRE22: Fitch Affirms BB- Rating on Class E Certs
CONNECTICUT AVE 2021-R02: Fitch Gives 'BB-(EXP)' on 2B-1A Debt

DRYDEN 76: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
DRYDEN 93 CLO: Moody's Assigns Ba3 Rating to $16MM Class E Notes
FLAGSHIP CREDIT 2021-4: S&P Assigns Prelim BB- Rating on E Notes
FLAGSTAR MORTGAGE 2021-13INV: Moody's Gives '(P)B2' to B-5 Certs
FLATIRON CLO 19: S&P Assigns BB- (sf) Rating on Class E-R Notes

FORTRESS CREDIT XIV: S&P Assigns Prelim BB-(sf) Rating on E Notes
FREDDIE MAC 2021-DNA7: S&P Assigns B+ (sf) Rating on B-1B Notes
GOODLEAP SUSTAINABLE 2021-5: Fitch Gives Final 'BB' on C Notes
GOODLEAP SUSTAINABLE 2021-5: S&P Assigns BB (sf) Rating on C Notes
GS MORTGAGE 2017-GS5: Fitch Affirms CCC Rating on Class F Certs

GS MORTGAGE 2021-GR3: Moody's Assigns (P)B3 Rating to B-5 Certs
GS MORTGAGE 2021-MM1: Moody's Gives (P)B3 Rating to Cl. B-5 Certs
HAYFIN KINGSLAND XI: Moody's Assigns Ba3 Rating to Class E-R Notes
HUNDRED ACRE 2021-INV3: Moody's Gives (P)B2 Rating to Cl. B5 Certs
JP MORGAN 2013-C10: Fitch Affirms CCC Rating on Class F Certs

JP MORGAN 2020-2: Moody's Hikes Ratings on 2 Tranches to B1
JP MORGAN 2021-HTL5: Moody's Assigns (P)B3 Rating to Cl. F Certs
MAGNETITE XXX: S&P Assigns BB- (sf) Rating on Class E Notes
MARBLE POINT XVI: Moody's Assigns Ba3 Rating to $20MM E-R Notes
MED TRUST 2021-MDLN: Moody's Assigns B3 Rating to Cl. F Certs

MFA 2021-INV2: S&P Assigns B+ (sf) Rating on Class B-2 Certs
MONROE CAPITAL VIII: Moody's Gives (P)Ba3 Rating to Cl. E-R Notes
NAVIGATOR AIRCRAFT 2021-1: Moody's Assigns Ba2 Rating to C Notes
NEUBERGER BERMAN 45: S&P Assigns Prelim BB- (sf) Rating on E Notes
NEUBERGER BERMAN 46: Moody's Gives (P)Ba3 Rating to $24MM E Notes

NLT 2021-INV3: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes
OAK STREET 2021-2: S&P Assigns Prelim BB+ (sf) Rating on B-3 Notes
OBX TRUST 2021-INV3: Moody's Assigns (P)B3 Rating to Cl. B-5 Notes
OBX TRUST2021-NQM4: Fitch Gives 'B(EXP)' Rating on Class B-2 Debt
OCTAGON INVESTMENT 50: S&P Assigns Prelim BB- Rating on E-R Notes

PENNANTPARK CLO III: S&P Assigns BB- (sf) Rating on Class E Notes
PRIMA CAPITAL 2021-X: Moody's Assigns B3 Rating to Class C Notes
PROVIDENT FUNDING 2020-1: Moody's Ups Cl. B-5 Bonds Rating to Ba3
RCKT MORTGAGE 2021-5: Moody's Assigns B3 Rating to Cl. B-5 Certs
REALT 2021-1: Fitch Assigns B Rating on Class G Certs

SANDSTONE PEAK: S&P Assigns BB- (sf) Rating on $16.88MM E Notes
SILVER AIRCRAFT: Fitch Cuts Rating on Series C Notes to 'CCC'
SOLRR AIRCRAFT 2021-1: Moody's Gives Ba3 Rating to Series C Notes
STARWOOD MORTGAGE 2021-5: Fitch Gives Final 'B-' Rating on B-2 Debt
SYCAMORE TREE 2021-1: S&P Assigns Prelim BB-(sf) Rating on E Notes

TCW CLO 2018-1: S&P Assigns BB- (sf) Rating on Class E Notes
TELOS CLO 2013-3: Moody's Hikes Rating on Class E-R Notes to B2
TICP CLO VIII: S&P Assigns BB- (sf) Rating on Class D-R Notes
TOWD POINT 2021-1: Fitch Assigns B- Rating on 5 Tranches
TOWD POINT 2021-SJ1: Fitch Assigns B-(EXP) Rating on Class B2 Debt

UBS COMMERCIAL 2018-C8: Fitch Affirms B- Rating on Cl. F-RR Certs
UWM MORTGAGE 2021-INV4: Moody's Assigns (P)B3 Rating to B-5 Certs
VERUS 2021-7: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes
WELLS FARGO 2020-1: Moody's Upgrades Rating on Cl. B-5 Bonds to B1
WFRBS COMMERCIAL 2013-C13: Fitch Affirms B Rating on Class F Certs

WHITEBOX CLO III: Moody's Assigns Ba3 Rating to $20.37MM E Notes
ZAIS CLO 2: Moody's Hikes Rating on $4.4MM Class E Notes to Caa3
[*] S&P Raises Ratings on 43 Classes from 13 US Cash Flow CLO Deals
[*] S&P Takes Various Actions on 144 Ratings from 24 US CLO Deals
[*] S&P Takes Various Actions on 65 Tranches from 11 US CLO Deals


                            *********

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

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

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

-- $125,000,000 (a) class A-4 'AAAsf'; Outlook Stable;

-- $327,298,000 (a) class A-5 'AAA'sf; Outlook Stable;

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

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

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

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

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

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

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

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

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

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

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

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

The following classes are not rated by Fitch:

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

(a) Since Fitch published its expected ratings on Nov. 2, 2021, the
balances for classes A-4 and A-5 were finalized. At the time the
expected ratings were published, the initial certificate balances
of classes A-4 and A-5 were expected to be $452,298,000 in the
aggregate, subject to a 5% variance. The final class balances for
classes A-4 and A-5 are $125,000,0000 and $327,298,000,
respectively. The classes above reflect the final ratings and deal
structure.

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

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

(d) Horizontal risk retention interest.

TRANSACTION SUMMARY

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

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 30.6% of the properties
by balance, cash flow analyses of 86.2% of the pool, and asset
summary reviews on 100% of the pool.

KEY RATING DRIVERS

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

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

High Concentration of Full-Term IO Loans: Of the 35 loans in the
pool, 26 loans totaling 80.7% of the pool are interest only for the
entirety of their respective loan terms. This concentration of
full-term IO loans is worse than the YTD 2021 average of 69.8% and
2020 average of 67.7%, respectively, for U.S. multiborrower
transactions rated by Fitch. Additionally, four loans with a
partial interest-only period total 5.7% of the pool. This
contributes to a scheduled principal paydown for the transaction of
just 5.5% by maturity. While this is slightly higher than the
average scheduled paydown for recent Fitch-rated U.S. multiborrower
transactions of 5.0% for YTD 2021 and 5.3% for 2020, the overall
paydown for the transaction is somewhat buoyed by the Marina
Pacifica loan (3.6% of the pool) that is scheduled to amortize
67.4% over its seven-year term.

Significant Retail Concentration; No Hotel Properties: The largest
three property types in this transaction are office (36.0% of the
pool), retail (28.9%) and multifamily (24.5%). The pool's office
property concentration is lower than the YTD 2021 average of 36.6%
and the 2020 average of 41.2% for other Fitch-rated U.S.
multiborrower transaction. The pool's proportion of retail
properties is significantly higher than the YTD 2021 average of
20.4% and 2020 average of 16.3%. Multifamily property type
concentration is also higher than recent averages compared with
16.9% and 16.3% for YTD 2021 and 2020, respectively. Additionally,
the pool does not have any loans secured by hotel properties.

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

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

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

-- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'AAsf' / 'Asf'
    / 'BBBsf' / 'BBB-sf'

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


37 CAPITAL 1: Moody's Assigns Ba3 Rating to $15MM Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued and one class of loans incurred by 37 Capital CLO 1,
Ltd. (the "Issuer" or 37 Capital CLO 1).

Moody's rating action is as follows:

US$3,100,000 Class X Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$194,000,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$62,000,000 Class A Loans due 2034, Assigned Aaa (sf)

US$37,250,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

US$10,750,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Assigned Aa2 (sf)

US$22,000,000 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$15,000,000 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."

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.

37 Capital CLO 1 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 7.5% of the portfolio may consist of second-lien loans,
unsecured loans, permitted non-loan assets and first lien last out
loans. The portfolio is approximately 80% ramped as of the closing
date.

The Putnam Advisory Company, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets. This is the Manager's
first CLO. 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 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: 60

Weighted Average Rating Factor (WARF): 2751

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.00%

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.


522 FUNDING 2020-6: Moody's Assigns B3 Rating to $4MM Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
CLO refinancing notes issued by 522 Funding CLO 2020-6, 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$248,000,000 Class A-1R Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$12,000,000 Class A-2R Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$44,000,000 Class B-R Senior Secured Floating Rate Notes Due
2034, Assigned Aa2 (sf)

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

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

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

US$4,000,000 Class F Junior Secured Deferrable Floating Rate Notes
Due 2034, Assigned B3 (sf)

RATINGS RATIONALE

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

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

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

In addition to the issuance of the Refinancing Notes 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: 70

Weighted Average Rating Factor (WARF): 2575

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 46.5%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


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

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

The ratings reflect S&P's view of:

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

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

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

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

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

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

-- The cash sweep for the series A and B notes, which provides for
a percentage of remaining available collections after all payments
entitled to priority, to pay principal on the notes. The series A
cash sweep of 5% of remaining available collections begins on the
fourth anniversary of the closing date and increases to 15% on the
fifth anniversary and 25% on the sixth anniversary. The series B
cash sweep of 10% of remaining available collections begins on the
fourth anniversary of the closing date and increases to 30% on the
fifth anniversary and 40% on the sixth anniversary.

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

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

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

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

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

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

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

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

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

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

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

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

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

  Ratings Assigned

  AASET 2021-1 Trust

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



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

On the Nov. 17, 2021, refinancing date, the proceeds from the
replacement notes were used to redeem the original notes. At that
time, we withdrew our ratings on the original notes and assigned
ratings to the replacement notes.

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

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

-- The original floating-spread class B-1 and fixed-coupon class
B-2 notes were combined into floating-spread class B-R notes.

-- The stated maturity was extended by one year.

-- The reinvestment period was extended until November 2024.

-- The non-call period was extended until November 2022.

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

-- The class X 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 was updated. The ability to
purchase workout-related assets and bonds was added to the
transaction. A limitation on purchasing environmental-, social-,
and governmental-prohibited obligations after the refinancing date
was included.

  Replacement And Original Note Issuances

  Replacement notes

  Class X, $2.7 million: Three-month LIBOR + 0.70%
  Class A-R, $310.0 million: Three-month LIBOR + 1.10%
  Class B-R, $70.0 million: Three-month LIBOR + 1.60%
  Class C-R, $30.0 million: Three-month LIBOR + 2.00%
  Class D-R, $30.0 million: Three-month LIBOR + 3.05%
  Class E-R, $19.5 million: Three-month LIBOR + 6.40%
  Subordinated notes, $48.0 million: Residual

  Original notes

  Class A, $310.0 million: Three-month LIBOR + 1.36%
  Class B-1, $62.6 million: Three-month LIBOR + 1.90%
  Class B-2, $7.4 million: 3.53%
  Class C, $30.0 million: Three-month LIBOR + 2.80%
  Class D, $30.0 million: Three-month LIBOR + 3.90%
  Class E, $20.0 million: Three-month LIBOR + 7.25%
  Subordinated notes, $48.0 million: Residual

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

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

  Ratings Assigned

  AIG CLO 2019-2 LLC

  Class X, $2.7 million: AAA (sf)
  Class A-R, $310.0 million: AAA (sf)
  Class B-R, $70.0 million: AA (sf)
  Class C-R (deferrable), $30.0 million: A (sf)
  Class D-R (deferrable), $30.0 million: BBB- (sf)
  Class E-R (deferrable), $19.5 million: BB- (sf)
  Subordinated notes, $48.0 million: NR

  Ratings Withdrawn

  AIG CLO 2019-2 LLC

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

  NR--Not rated.



ANGEL OAK 2021-7: Fitch Assigns B(EXP) Rating on Class B-2 Debt
---------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Angel Oak Mortgage
Trust 2021-7 (AOMT 2021-7).

DEBT                  RATING
----                  ------
AOMT 2021-7

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
A-IO-S    LT NR(EXP)sf     Expected Rating
XS        LT NR(EXP)sf     Expected Rating
R         LT NR(EXP)sf     Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by Angel Oak Mortgage Trust 2021-7,
Mortgage-Backed Certificates, Series 2021-7 (AOMT 2021-7), as
indicated. The certificates are supported by 944 loans with a
balance of $386.88 million as of the cutoff date. This will be the
19th Fitch-rated AOMT transaction, and the seventh Fitch-rated AOMT
transaction in 2021.

The certificates are secured by mortgage loans that were originated
by Angel Oak Home Loans LLC (AOHL), Angel Oak Mortgage Solutions
LLC (AOMS) and Angel Oak Prime Bridge LLC (AOPB; together, the
Angel Oak originators), as well as various third-party originators,
with each contributing less than 10% to the pool. Of the loans,
65.1% are designated as non-qualified mortgage (non-QM) and 34.8%
are investment properties not subject to the Ability to Repay (ATR)
Rule. One loan (0.03%) is designated as rebuttable presumption QM
in the pool.

There is Libor exposure in this transaction. Of the pool, 64 loans
represent adjustable-rate mortgage (ARM) loans that reference
one-year Libor. The offered certificates are fixed-rate and capped
at the net weighted average coupon (WAC).

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, it views the home price values of
this pool as 10.2% 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 (Mixed): The collateral consists of 944
loans, totaling $386.88 million and seasoned approximately 11
months in aggregate according to Fitch (9 months per the
transaction documents). The borrowers have a strong credit profile
(740 FICO and 36% debt to income ratio [DTI], as determined by
Fitch) and relatively moderate leverage with an original combined
loan to value ratio (CLTV) of 72.2% that translates to a
Fitch-calculated sustainable LTV (sLTV) of 76.4%. Of the pool,
61.5% comprises loans where the borrower maintains a primary
residence, while 38.5% comprises an investor property or second
home based on Fitch's analysis; 18.4% of the loans were originated
through a retail channel.

Additionally, 65.1% are designated as non-QM, while the remaining
34.8% are exempt from QM status since they are investor loans, and
0.03% of the pool are designated as rebuttable presumption QM.

The pool contains 58 loans over $1 million, with the largest
amounting to $3.5 million.

Loans on investor properties (22.6% underwritten to the borrowers'
credit profile and 12.1% comprising investor cash flow loans)
represent 34.8% of the pool. There is one second lien loan, and
4.2% of borrowers were viewed by Fitch as having a prior credit
event in the past seven years. Of the borrowers, 0.0% have
subordinate financing in Fitch's analysis, and there are no
deferred balances.

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

17.6% of the loans in the pool are agency eligible loans that were
underwritten to DU/LP and received an "Approved/Eligible" status.
All but one of these loans are investor loans.

The largest concentration of loans is in California (28.8%),
followed by Florida and Georgia. The largest MSA is Los Angeles
(13.4%), followed by Miami (12.4%) and Atlanta (6.5%). The top
three MSAs account for 32.3% of the pool.

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

Loan Documentation (Negative): Fitch determined that 70% of the
loans in the pool were underwritten to borrowers with less than
full documentation. Of this amount, 57% were underwritten to a 12-
or 24-month bank statement program for verifying income, which is
not consistent with Appendix Q standards and Fitch's view of a full
documentation program. To reflect the additional risk, Fitch
increases the probability of default (PD) by 1.5x on the bank
statement loans. Besides loans underwritten to a bank statement
program, 0.8% are an asset depletion product and 12.1% comprise a
debt service coverage ratio product. The pool does not have any
loans underwritten to a CPA or PnL product, which Fitch viewed as a
positive.

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

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics, Inc., Infinity IPS, Covius Real
Estate Services, LLC, and AMC Diligence, LLC. The third-party due
diligence described in Form 15E focused on three areas: compliance
review, credit review, and valuation review. Fitch considered this
information in its analysis and, as a result, Fitch did not make
any adjustment(s) to its analysis due to the due diligence
findings. Based on the results of the 100% due diligence performed
on the pool, the overall expected loss was reduced by 0.41%

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 Consolidated Analytics, Inc., Infinity IPS, Covius Real
Estate Services, LLC, and AMC Diligence, LLC, to perform the
review. Loans reviewed under these engagements were given
compliance, credit and valuation grades and assigned initial grades
for each subcategory.

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

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format.

The ASF data tape layout was established with input from various
industry participants, including rating agencies, issuers,
originators, investors and others, to produce an industry standard
for the pool-level data in support of the U.S. RMBS securitization
market. The data contained in the data tape layout were populated
by the due diligence company and no material discrepancies were
noted.

ESG CONSIDERATIONS

AOMT 2021-7 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk due to strong transaction due diligence
and a 'RPS1-' Fitch-rated servicer, which has a positive impact on
the credit profile, and is relevant to the ratings in conjunction
with other factors.

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


ARES LVI: S&P Assigns BB- (sf) Rating on $21.6MM Class E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned 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 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 D-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 D-R
notes replacing the current class D-1 and D-2 floating-rate notes.

-- The initial target par amount was increased by 20.00% 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 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.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $372.00 million: Three-month LIBOR + 1.16%
  Class B-R, $84.00 million: Three-month LIBOR + 1.65%
  Class C-R (deferrable), $34.50 million: Three-month LIBOR +
2.00%
  Class D-R (deferrable), $36.00 million: Three-month LIBOR +
3.30%
  Class E-R (deferrable), $21.60 million: Three-month LIBOR +
6.50%
  Subordinated notes, $55.00 million: Residual

  Original notes

  Class A-1, $300.00 million: Three-month LIBOR + 1.28%
  Class A-2, $20.00 million: Three-month LIBOR + 1.55%
  Class B, $60.00 million: Three-month LIBOR + 1.70%
  Class C (deferrable), $30.00 million: Three-month LIBOR + 2.40%
  Class D-1 (deferrable), $25.00 million: Three-month LIBOR +
3.75%
  Class D-2 (deferrable), $5.00 million: Three-month LIBOR + 5.00%
  Class E (deferrable), $15.00 million: Three-month LIBOR + 7.58%
  Subordinated notes, $46.00 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
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

  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

  Ratings Withdrawn

  Ares LVI CLO Ltd./Ares LVI CLO LLC

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

  NR--Not rated.



AVIS BUDGET 2021-2: Moody's Assigns Ba2 Rating to Class D Notes
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the
issuer). The Series 2021-2 Notes have an expected final maturity of
approximately 62 months. The issuer is an indirect subsidiary of
the sponsor, Avis Budget Car Rental, LLC (ABCR, B1 stable). 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.

Moody's also announced that the issuance of the Series 2021-2
Notes, along with the implementation of a minimum depreciation
schedule that will be based on the market value of the vehicles, in
and of themselves and at this time, will not result in a reduction,
withdrawal, or placement under review for possible downgrade of any
of the ratings currently assigned to the outstanding series of
notes issued by the issuer.

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, Definitive
Rating Assigned Aaa (sf)

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

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

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

RATINGS RATIONALE

The definitive 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 2021-2
Notes is 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 B1 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.


BALLYROCK CLO 18: S&P Assigns Prelim BB- (sf) Rating on D Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Ballyrock
CLO 18 Ltd./Ballyrock CLO 18 LLC's floating-rate notes.

The note issuance is a CLO transaction backed 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. 17,
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

  Ballyrock CLO 18 Ltd./Ballyrock CLO 18 LLC

  Class A-1, $346.50 million: AAA (sf)
  Class A-2, $71.50 million: AA (sf)
  Class B (deferrable), $33.00 million: A (sf)
  Class C (deferrable), $33.00 million: BBB- (sf)
  Class D (deferrable), $22.00 million: BB- (sf)
  Subordinated notes, $53.85 million: Not rated



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

Moody's rating action is as follows:

US$3,500,000 Class X-R Senior Secured Floating Rate Notes due 2033,
Assigned Aaa (sf)

US$224,000,000 Class A-R Senior Secured Floating Rate Notes due
2033, Assigned Aaa (sf)

US$42,000,000 Class B-R Senior Secured Floating Rate Notes due
2033, Assigned Aa2 (sf)

US$18,375,000 Class C-R Secured Deferrable Mezzanine Floating Rate
Notes due 2033, Assigned A2 (sf)

US$21,875,000 Class D-R Secured Deferrable Mezzanine Floating Rate
Notes due 2033, Assigned Baa3 (sf)

US$15,750,000 Class E-R Secured Deferrable Mezzanine Floating Rate
Notes due 2033, Assigned Ba3 (sf)

RATINGS RATIONALE

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

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

Barings LLC (the "Manager") will continue to direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's 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: changes to certain collateral
quality tests; changes to the overcollateralization test levels;
changes to Libor replacement provisions; changes to the CLO's
ability to hold workout and restructured assets; changes to the
definition of "Adjusted Weighted Average Rating Factor;" and
changes to the base matrix and modifiers.

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

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

Portfolio par: $350,000,000

Defaulted par: $0

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2891

Weighted Average Spread (WAS): 3.25%

Weighted Average Coupon (WAC): 7.00%

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.


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

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

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

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

-- $220,000,000 (a) class A-4 'AAAsf'; Outlook Stable;

-- $370,026,000 (a) class A-5 'AAAsf'; Outlook Stable;

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

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

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

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

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

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

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

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

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

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

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

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

The following classes are not rated by Fitch:

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

-- $31,664,912 class H;

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

(a) Since Fitch published its expected ratings on Oct. 26, 2021,
the balances for classes A-4 and A-5 were finalized. At the time
the expected ratings were published, the initial certificate
balances of classes A-4 and A-5 were expected to be $590,026,000 in
the aggregate, subject to a 5% variance. The final class balances
for classes A-4 and A-5 are $220,000,000 and $370,026,000,
respectively. The classes above reflect the final ratings and deal
structure.

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

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

(d) Non-offered vertical credit risk retention interest.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 38 fixed-rate loans secured by
50 commercial properties having an aggregate principal balance of
$952,299,909 as of the cut-off date. The loans were contributed to
the trust by German American Capital Corporation, Citi Real Estate
Funding Inc., JPMorgan Chase Bank, National Association and Goldman
Sachs Mortgage Company. The Master Servicer is expected to be
Midland Loan Services, a Division of PNC Bank, National Association
and the Special Servicer is expected to be CWCapital Asset
Management LLC.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 38.5% of the properties
by balance, cash flow analyses of 83.0% of the pool, and asset
summary reviews on 100% of the pool.

KEY RATING DRIVERS

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

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

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

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

-- Improvement in cash flow increases property value and capacity
    to meet debt service obligations.

The table below indicates the model implied rating sensitivity to
changes in one variable, Fitch NCF:

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


BENEFIT STREET XVIII: S&P Assigns Prelim BB-(sf) Rating on ER Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, B-R, C-R, D-R, and E-R replacement notes and the proposed
new class A-2-R notes from Benefit Street Partners CLO XVIII,
Ltd./Benefit Street Partners CLO XVIII LLC, a CLO originally issued
in November 2019 that is managed by Benefit Street Partners LLC, a
wholly owned subsidiary of Franklin Templeton Investments.

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

On the Nov. 16, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

-- The replacement class A-1-R, B-R, C-R, D-R, and E-R notes are
expected to be issued at lower spreads over three-month LIBOR than
the original notes.
-- New class A-2-R notes are expected to be issued at a floating
spread, junior in priority of payment but with the same requested
rating as the replacement class A-1-R notes.

-- The initial target par amount is expected to increase 10% to
$550 million.

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

-- The documents will have a number of updates, including adding
the ability to purchase bonds and workout-related assets, and the
capacity to account for the replacement of LIBOR.

-- Of the identified underlying collateral obligations, 98.88%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 93.45%
have recovery ratings assigned by S&P Global Ratings.

Replacement And Original Note Issuances

  Replacement notes

  Class A-1-R, $346.50 million: Three-month LIBOR + 1.17%
  Class A-2-R, $11.00 million: Three-month LIBOR + 1.45%
  Class B-R, $60.50 million: Three-month LIBOR + 1.70%
  Class C-R (deferrable), $33.00 million: Three-month LIBOR +
2.15%
  Class D-R (deferrable), $33.00 million: Three-month LIBOR +  
3.40%
  Class E-R (deferrable), $21.45 million: Three-month LIBOR +
6.75%
  Subordinated notes, $53.35 million: Residual

  Original notes

  Class A, $315.00 million: Three-month LIBOR + 1.34%
  Class B, $62.50 million: Three-month LIBOR + 1.95%
  Class C (deferrable), $30.00 million: Three-month LIBOR + 2.70%
  Class D (deferrable), $30.00 million: Three-month LIBOR + 3.90%
  Class E (deferrable), $19.50 million: Three-month LIBOR + 6.90%
  Subordinated notes, $50.85 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

  Benefit Street Partners CLO XVIII Ltd./
  Benefit Street Partners CLO XVIII LLC

  Class A-1-R, $346.50 million: AAA (sf)
  Class A-2-R, $11.00 million: AAA (sf)
  Class B-R, $60.50 million: AA (sf)
  Class C-R (deferrable), $33.00 million: A (sf)
  Class D-R (deferrable), $33.00 million: BBB- (sf)
  Class E-R (deferrable), $21.45 million: BB- (sf)
  Subordinated notes, $53.35 million: Not rated



BLACK DIAMOND 2021-1: Moody's Gives (P)Ba3 Rating to Class D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by Black Diamond CLO 2021-1, Ltd.
(the "Issuer" or "Black Diamond").

Moody's rating action is as follows:

US$179,000,000 Class A-1a Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

US$77,000,000 Class A-1b Senior Secured Fixed Rate Notes due 2034,
Assigned (P)Aaa (sf)

US$48,000,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)

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

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

US$18,000,000 Class D Secured Deferrable Floating Rate Notes due
2034, Assigned (P)Ba3 (sf)

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

RATINGS RATIONALE

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

Black Diamond 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 first-lien last-out loans, second lien
loans, unsecured loans, and permitted non-loan assets. Moody's
expect the portfolio to be approximately 70% ramped as of the
closing date.

Black Diamond CLO 2021-1 Adviser, 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 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: 60

Weighted Average Rating Factor (WARF): 2817

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 5.50%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

The performance of the 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 Final 'B' on Cl. B-2 Debt
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to Bravo Residential
Funding Trust 2021-HE3 (BRAVO 2021-HE3).


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

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
SA      LT NRsf     New Rating    NR(EXP)sf
AIOS    LT NRsf     New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch rates 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 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): 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. 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 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 (CE)
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' write-down 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 and final rating of 'Bsf'. The committee decided
on the 'Bsf' expected rating and final 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

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 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.

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

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

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

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 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.


CANYON CLO 2019-2: S&P Assigns BB- (sf) Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes from Canyon CLO 2019-2 Ltd./Canyon
CLO 2019-2 LLC, a CLO originally issued in September 2019 that is
managed by Canyon CLO Advisors LLC. At the same time, S&P withdrew
its ratings on the original class A, B, C, D, and E notes following
payment in full on the Nov. 12, 2021, refinancing date.

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

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

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

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

-- The target initial par amount increased to $525.00 million from
$500.00 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."

  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: NR

  Ratings Withdrawn

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

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

  NR--Not rated.


CARLYLE US 2021-10: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Carlyle US
CLO 2021-10 Ltd./Carlyle US CLO 2021-10 LLC's floating-rate debt.

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 Carlyle CLO Management LLC, a
subsidiary of the Carlyle Group.

The preliminary ratings are based on information as of Nov. 16,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Preliminary Ratings Assigned

  Carlyle US CLO 2021-10 Ltd./Carlyle US CLO 2021-10 LLC

  Class A, $76.88 million: AAA (sf)
  Class A-L(i), $230.63 million: AAA (sf)
  Class B, $72.50 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, $47.70 million: Not rated

(i)The class A-L is a loan class that is convertible into class A
notes per the indenture and credit agreement.



CFMT TRUST 2021-AL1: Moody's Assigns (P)Ba2 Rating to Cl. C-2 Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by CFMT 2021-AL1 Trust. This is the inaugural
auto loan transaction sponsored by Cascade Funding, LP - Series 9
(Cascade, unrated). The sole general partner of Cascade is Cascade
Funding GP, LLC, which in turn is a wholly-owned subsidiary of
Waterfall Asset Management, LLC (Waterfall, unrated). The notes are
backed by a pool of retail automobile loan contracts originated by
KeyBank National Association, who is also the servicer for the
transaction.

The complete rating actions are as follows:

Issuer: CFMT 2021-AL1 Trust

Class B Asset Backed Notes, Assigned (P)Aa3 (sf)

Class C-1 Asset Backed Notes, Assigned (P)Baa3 (sf)

Class C-2 Asset Backed Notes, Assigned (P)Ba2 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of KeyBank National
Association as the servicer.

Moody's median cumulative net loss expectation for the 2021-AL1
pool is 1.00%. 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 KeyBank National Association to perform the servicing
functions; and current expectations for the macroeconomic
environment during the life of the transaction.

At closing, the Class B, Class C-1 and Class C-2 notes are expected
to benefit from 2.66%, 1.75% and 1.00% of hard credit enhancement,
respectively. Hard credit enhancement for the Class B notes
consists of a combination of overcollateralization (OC), a reserve
account, and subordination. For Class C1 notes, it is a combination
of OC and subordination. For Class C2 notes, it is OC only. 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 notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
higher ratings. 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.


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

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

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

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

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

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

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

-- No additional assets were purchased in connection with the
first refinancing date, and the target initial par amount remains
at $500 million. There will be no additional effective date or
ramp-up period, and the first payment date following the
refinancing is Jan. 20, 2022.

-- The required minimum overcollateralization and interest
coverage ratios and the interest diversion test threshold were
amended.

-- The transaction added the ability to purchase certain permitted
non-loan assets, added purchase restrictions based on
environmental, social, and governmental considerations, and
extended its ability to perform bankruptcy exchanges to include
exchanges on performing obligations. In addition, the transaction
amended its benchmark replacement language, its definition of
discount obligation, and 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.

"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

  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)

  Ratings Withdrawn

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

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



CIG AUTO 2020-1: Moody's Raises Rating on Class E Notes to Ba1
--------------------------------------------------------------
Moody's Investors Service hasupgraded one class of notes issued by
CIG Auto Receivables Trust 2019-1 (CIGAR 2019-1), and two classes
of notes issued by CIG Auto Receivables Trust 2020-1 (CIGAR
2020-1). The notes are backed by a pool of retail automobile loan
contracts originated by CIG Financial LLC (CIG; Unrated), which is
also the servicer and sponsor for the transactions.

The complete rating actions are as follows:

Issuer: CIG Auto Receivables Trust 2019-1

Class D Notes, Upgraded to A3 (sf); previously on Jul 27, 2021
Upgraded to Baa1 (sf)

Issuer: CIG Auto Receivables Trust 2020-1

Class D Notes, Upgraded to Aa3 (sf); previously on Jul 27, 2021
Upgraded to A1 (sf)

Class E Notes, Upgraded to Ba1 (sf); previously on Apr 27, 2021
Upgraded to Ba2 (sf)

RATINGS RATIONALE

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

Moody's lifetime cumulative net loss expectation is 10.5% for CIGAR
2019-1 and CIGAR 2020-1. The loss expectations reflect updated
performance trends on the underlying pools. More recently US
consumers have shown a high degree of resilience owing to the
government stimulus and the relief options offered by servicers.

PRINCIPAL METHODOLOGY

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

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

Up

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

Down

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


COLT 2021-5: Fitch Assigns B(EXP) Rating on Class B2 Certs
----------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by COLT 2021-5 Mortgage Loan Trust (COLT
2021-5).

DEBT               RATING
----               ------
COLT 2021-5

A1      LT AAA(EXP)sf   Expected Rating
A2      LT AA(EXP)sf    Expected Rating
A3      LT A(EXP)sf     Expected Rating
M1      LT BBB(EXP)sf   Expected Rating
B1      LT BB(EXP)sf    Expected Rating
B2      LT B(EXP)sf     Expected Rating
B3A     LT NR(EXP)sf    Expected Rating
B3B     LT NR(EXP)sf    Expected Rating
AIOS    LT NR(EXP)sf    Expected Rating
X       LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 568 loans with a total balance of
approximately $337 million as of the cutoff date. Loans in the pool
were originated by multiple originators and aggregated by Hudson
Americas L.P. All loans are currently or will be serviced by Select
Portfolio Servicing, Inc. (SPS).

KEY RATING DRIVERS

Non-QM Credit Quality (Mixed): The collateral consists of 568 loans
totaling $337 million and seasoned at approximately two months in
aggregate. The borrowers have a strong credit profile — a 739
model FICO, a 43.3% debt-to-income ratio (DTI), which includes
mapping for debt service coverage ratio (DSCR) loans, and moderate
leverage — and an 80.0% sustainable loan-to-value ratio (sLTV).
The pool consists of 59% of loans treated as owner-occupied, while
41% were treated as an investor property (38%) or second home (2%).
Additionally, 13.4% of the loans were originated through a retail
channel. 61.7% are non-QM and for the remainder the Ability to
Repay Rule (ATR) does not apply. Lastly, there are currently 2.1%
of loans that are 30 days' delinquent as of the data cutoff date.

Loan Documentation (Negative): Approximately 85.7% of the pool was
underwritten to less than full documentation, and 45.4% 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, 34.8% comprises a DSCR or no ratio product, 3.3% is
an asset depletion product and the remaining is a mixture of other
alternative documentation products. Separately, close to 2.8% of
the loans were originated to foreign nationals, nonpermanent
resident aliens, or are unknown.

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 11.0% above a long-term sustainable level (versus
10.5% 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.

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

Limited Advancing (Positive): Advances of delinquent P&I will be
made on the mortgage loans for the first 180 days of delinquency to
the extent such advances are deemed recoverable. If the P&I
advancing party fails to make a required advance, the master
servicer (Wells Fargo) will be obligated to make such advance. The
limited advancing reduces loss severities, as there is a lower
amount repaid to the servicer when a loan liquidates and
liquidation proceeds are prioritized to cover principal repayment
over accrued but unpaid interest. The downside to this is the
additional stress on the structure side, as there is limited
liquidity in the event of large and extended delinquencies.

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

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

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

RATING SENSITIVITIES

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 analysis was
    conducted at the state and national level to assess the effect
    of higher MVDs for the subject pool as well as lower MVDs,
    illustrated by a gain in home prices.

-- The defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model projected 44.0% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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 the TPRs. 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." Lone Star Residential Mortgage Fund (LSRMF)
Acquisitions II, LLC engaged AMC, Clayton, Edgemac, Evolve,
Infinity, Opus, Recovco, Selene and Stonehill Diligence to perform
the review. Loans reviewed under this engagement were given
compliance, credit and valuation grades and assigned initial grades
for each subcategory.

DATA ADEQUACY

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format.

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.


COLUMBIA CENT 29: 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-1-R, D-2-R, and E-R replacement notes from Columbia Cent CLO 29
Ltd./Columbia Cent CLO 29 Corp., a CLO originally issued in August
2020 that is managed by Columbia Management Investment Advisers
LLC. At the same time, S&P withdrew its ratings on the original
class A-1F, A-1N, A-2, B-1, B-F, C-1, C-F, D-1, D-2, and E notes
following payment in full on the Nov. 12, 2021, refinancing date.

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

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

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

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

  Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp.

  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: NR

  Ratings Withdrawn

  Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp.

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

  NR--Not rated.


COMM 2013-300P: Fitch Affirms BB+ Rating on Class E Debt
--------------------------------------------------------
Fitch Ratings has affirmed all classes of COMM 2013-300P Mortgage
Trust. The Rating Outlooks remain Negative for classes B through
E.

   DEBT                RATING              PRIOR
   ----                ------              -----
COMM 2013-300P

A1 12625XAA5     LT AAAsf     Affirmed     AAAsf
A1P 12625XAC1    LT AAAsf     Affirmed     AAAsf
B 12625XAG2      LT AA-sf     Affirmed     AA-sf
C 12625XAJ6      LT A-sf      Affirmed     A-sf
D 12625XAL1      LT BBB-sf    Affirmed     BBB-sf
E 12625XAN7      LT BB+sf     Affirmed     BB+sf
X-A 12625XAE7    LT AAAsf     Affirmed     AAAsf

KEY RATING DRIVERS

Occupancy Concerns: Overall occupancy has declined to 78.5% as of
June 2021 from 89.7% as of June 2020. The largest tenant Colgate
Palmolive, which leased 65.3% of the NRA at issuance, downsized to
52.7% of the NRA and restructured its lease in 2020. Colgate
Palmolive subleased 110,000 sf to WeWork through June 2023, but
that agreement was terminated and an additional 55,000 sf is
subleased to Ally Financial through June 2023. Fitch expects that
Colgate Palmolive footprint will be reduced to 31.3% of the NRA on
a lease through June 2033.

In addition to the space being vacated by Colgate Palmolive, leases
representing 13.5% of the NRA vacated at year-end 2020. One new
lease for approximately 3.4% of NRA commenced in June 2021.

The loan is scheduled to mature in August 2023, two months after
the expiration of a portion of Colgate Palmolive space expires
(39.2% NRA). The tenant's reduced rental rate is lower than the
rate it paid at issuance, but remains higher than the submarket
average. Colgate Palmolive has been a tenant at the property since
1980.

Low Trust Leverage: Fitch believes the current cash flow does not
reflect the sustainable long-term performance of the property. Due
to the recent volatility of the cash flow and as a consideration of
the property's excellent location, Fitch assumed a cash flow where
the property is leased up to current market levels. Additionally,
Fitch performed a dark value analysis of the asset at issuance that
indicates a value in excess of the investment grade rated debt.

The whole loan debt is $629 psf, which is significantly lower than
the average psf price of recent sales comparables in the immediate
area over the last 18 months, which are generally well in excess of
$800 psf. The Stable Outlooks at the 'AAAsf' reflect the low
leverage at the rating category, and the Negative Outlooks reflect
the potential for a low occupancy level and/or limited leasing as
the loan nears maturity.

Excellent Location: The asset's location borders the Grand Central
and Plaza submarkets. It is situated between 49th and 50th Streets
on the west side of Park Avenue. The location is four blocks north
of Grand Central Terminal and offers excellent accessibility and
proximity to public transportation.

Collateral Quality: 300 Park Avenue consists of a 25-story, LEED
Silver high-rise office building totaling 771,643 sf. The property
underwent substantial renovations between 1998 and 2000 including a
new lobby, elevator modernization and upgraded building systems.
Additionally, a facade renovation around the same time completely
transformed the property's exterior with new windows, aluminum
spandrel panels and retail storefronts. At issuance, Fitch assigned
300 Park Avenue a property quality grade of 'B+'.

Limited Structural Features: The loan has no reserves, no structure
in place to mitigate the Colgate-Palmolive lease expiration,
springing cash management, and there is no carve-out guarantor. The
loan sponsor is controlled by Prime Plus Investments, Inc. (PPI), a
private Maryland REIT. PPI is a partnership of a Tishman Speyer
affiliated entity, the National Pension Service of Korea and the
second Swedish National Pension Fund AP2, which owns 51.0% of PPI
and is an affiliate of GIC Real Estate Private Ltd. (a sovereign
wealth fund established and funded by the Singapore government),
which owns the remaining 49%.

RATING SENSITIVITIES

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

-- Continued performance decline of the underlying asset or loan
    default. A downgrade to the 'AAAsf' classes is not likely due
    to their high attachment point relative the debt, the
    likelihood of recovery based on the low 'AAAsf'-rated debt on
    a psf basis and inherent value in the property, which is
    supported by recent sales comps. However, these classes may be
    downgraded in the event that there is not demonstrated leasing
    momentum at the property prior to the loan's scheduled
    maturity in August 2023 or if there is a permanent material
    shift in market fundamentals which would indicate difficulty
    in recovering the 'AAAsf'-rated debt.

-- Classes Band C may be downgraded if new or renewal leases are
    signed at below-market rents or if continued increases in
    operating expenses, specifically real estate taxes not be
    offset by new leases. Classes D and E may be downgraded if the
    asset's performance does not stabilize or if there is a
    dramatic permanent shift in New York City office valuations in
    the wake of the coronavirus pandemic.

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

-- It is unlikely that any classes would be upgraded during the
    remaining loan term, but it may be possible with significantly
    improved performance resulting from positive leasing activity
    at above-market rates.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

COMM 2013-300P has an ESG Relevance Score of '4' [+] for Waste &
Hazardous Materials Management; Ecological Impacts due to the
collateral's sustainable building practices including Green
building certificate credentials, which has a positive impact on
the credit profile, and is relevant to the ratings in conjunction
with other factors.

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


COMM 2014-CCRE17: Moody's Lowers Rating on Class E Certs to Caa2
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on five classes
and downgraded the ratings on six classes in COMM 2014-CCRE17
Mortgage Trust, Commercial Mortgage Pass-Through Certificates, as
follows:

Cl. A-4, Affirmed Aaa (sf); previously on Jun 5, 2020 Affirmed Aaa
(sf)

Cl. A-5, Affirmed Aaa (sf); previously on Jun 5, 2020 Affirmed Aaa
(sf)

Cl. A-M, Affirmed Aaa (sf); previously on Jun 5, 2020 Affirmed Aaa
(sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Jun 5, 2020 Affirmed Aaa
(sf)

Cl. B, Downgraded to A1 (sf); previously on Jun 5, 2020 Affirmed
Aa3 (sf)

Cl. C, Downgraded to Baa3 (sf); previously on Apr 23, 2021
Downgraded to Baa1 (sf)

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

Cl. E, Downgraded to Caa2 (sf); previously on Apr 23, 2021
Downgraded to B3 (sf)

Cl. PEZ**, Downgraded to A3 (sf); previously on Jun 5, 2020
Affirmed A1 (sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Jun 5, 2020 Affirmed Aaa
(sf)

Cl. X-B*, Downgraded to Ba2 (sf); previously on Apr 23, 2021
Downgraded to Baa3 (sf)

* Reflects interest-only classes

** Reflects exchangeable classes

RATINGS RATIONALE

The ratings on the four P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.

The ratings on the P&I classes were downgraded due to increased
risk of losses and interest shortfalls driven primarily by the
significant exposure to the loans in special servicing (14.5% of
the pool), which are all more than 90-days delinquent or already
REO. The largest specially serviced loan, The Cottonwood Mall (10%
of the pool), has had continued declines in net operating income
(NOI) and the Sponsor, Washington Prime Group (WPG) classified the
property as a "non-core" asset. The Cottonwood Mall loan is last
paid through April 2021 and has not recognized any appraisal
reductions; therefore, Moody's anticipates interest shortfalls may
increase from their current levels due the performance of this
loan.

The rating on the IO class, Cl. X-A, was affirmed based on the
credit quality of the referenced classes.

The rating on the IO Class, Cl. X-B was downgraded due to a decline
in the credit quality of its referenced classes.

The rating on class PEZ was downgraded due to the credit quality of
the referenced exchangeable classes.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of commercial real estate as the US economy
continues on the path toward normalization. Economic activity will
continue to strengthen in 2021 because of several factors,
including the rollout of vaccines, growing household consumption
and an accommodative central bank policy. However, specific sectors
and individual businesses will remain weakened by extended pandemic
related restrictions. Stress on commercial real estate properties
will be most directly stemming from declines in hotel occupancies
(particularly related to conference or other group attendance) and
declines in foot traffic and sales for non-essential items at
retail properties.

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

Moody's rating action reflects a base expected loss of 12.5% of the
current pooled balance, compared to 10.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 9.8% of the
original pooled balance, compared to 8.1% at the last review.

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

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

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

The methodologies used in rating all classes except exchangeable
classes and interest-only classes were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in September 2020.

DEAL PERFORMANCE

As of the October 13, 2021 distribution date, the transaction's
aggregate certificate balance has decreased by 22% to $927.1
million from $1.19 billion at securitization. The certificates are
collateralized by 48 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans (excluding
defeasance) constituting 62% of the pool. Twelve loans,
constituting 12% of the pool, have defeased and are secured by US
government securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 12, compared to a Herf of 13 at Moody's last
review.

As of the October 2021 remittance report, loans representing 85%
were current or within their grace period on their debt service
payments, 14% were greater than 90 days delinquent and 1% are
already REO.

Nine loans, constituting 19% of the pool, are on the master
servicer's watchlist, of which two loans, representing 3% of the
pool, indicate the borrower has received loan modifications in
relation to coronavirus impact on the property. The watchlist
includes loans that meet certain portfolio review guidelines
established as part of the CRE Finance Council (CREFC) monthly
reporting package. As part of Moody's ongoing monitoring of a
transaction, the agency reviews the watchlist to assess which loans
have material issues that could affect performance.

One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $1.2 million (for a loss severity of
25%). Four loans, constituting 15% of the pool, are currently in
special servicing. Three of the specially serviced loans,
representing 14% of the pool, have transferred to special servicing
since July 2020.

The largest specially serviced loan is the Cottonwood Mall Loan
($91.5 million -- 9.9% of the pool), which is secured by
approximately 410,400 square feet (SF) portion of a 1.06 million SF
super-regional mall located in western Albuquerque, New Mexico. The
property is one of two regional malls in the area primarily serving
the area west of Interstate 25 and the Rio Grande River, including
the Rio Grande submarket. Coronado Mall, the dominant mall in the
market, is located only 12 miles southwest of the property. At
securitization the mall contained six anchors including Dillard's,
Macy's, J.C. Penney, Sears, Conn's HomePlus and a 16-screen Regal
Cinema movie theater, of which only Regal Cinema contributed as
loan collateral. Both the Macy's and Sear's closed their locations
at the mall in 2017 and 2018, respectively. The Sears currently
remains vacant; however, the former Macy's location had been
reconfigured by the sponsor, WPG, in 2019 and Dick's Sporting
Goods, HomeGoods and Five Below took occupancy (all non-collateral
tenants). The loan was originally added transferred to special
servicing for imminent default in July 2020 after being added to
the watchlist in May 2020 due to the sponsor, WPG, requesting
relief in relation to the coronavirus impact on the property. The
loan returned to the master servicer in October 2020, but
subsequently transferred back to special servicing in June 2021
after WPG filed for Chapter 11 bankruptcy. As per WPG's Q2 2021
earnings release, the property is categorized as a non-core asset
within their portfolio and was noted that they intend to transfer
the ownership of the asset back to the lender. As of July 2021, the
total property was 96% occupied compared to 87% in December 2019.
The increase in occupancy was due to a number of smaller tenants
signing shorter term leases. For the trailing twelve-month (TTM)
period ending June 2021, in-line store sales (including Regal
Cinemas) were $243 per square foot (PSF) compared to $217 TTM
ending June 2020. Property performance has continued to trend down
with NOI declining approximately 25% since securitization as a
result of a decrease in revenues. The loan has amortized 12.7%
since securitization. The special servicer is in the process of
assessing the borrowers request of taking title to the property via
a Deed in Lieu in addition to analyzing a receiver proposal.

The second largest specially serviced loan is the Crowne Plaza
Houston River Oaks Loan ($22.9 million -- 2.5% of the pool), which
is secured by a 354-room full-service hotel located in Houston,
Texas. The loan was originally added to the watchlist in July 2017
due to decreasing occupancy and revenue and subsequently
transferred to special servicing in June 2020. Occupancy decreased
to 64% in 2019 from 79% in 2018, and 87% in 2017 and NOI has
decreased to $1.1 million in 2019 from $1.8 million in 2018, and
$2.7 million in 2017. The loan has amortized 17% since
securitization and is last paid through September 2020. In October
2020, the property received an updated appraisal value of $18.5
million which was 50% below the appraisal value at securitization
and 19% below the outstanding loan balance. In May 2020 the special
servicer appointed a receiver to the asset and anticipates
marketing the asset for sale in Q4 2021.

The third largest specially serviced loan is the Deerpath Plaza
Loan ($11.1 million -- 1.2% of the pool), which is secured by a
two-story, office/retail mixed-use property located in Lake Forest,
Illinois, approximately 30 miles north of the Chicago CBD.
Additionally, the loan is encumbered by $2.25 million of mezzanine
debt. In September 2019, the largest tenant, The TLP Group (16% of
NRA) vacated the property at lease expiration. As of June 2021, the
property was 73% occupied, unchanged from December 2020 and down
from 83% in December 2018. Per the June 2021 annualized financials,
the property's NOI had declined 12% since securitization due to a
decline in revenues. The loan has amortized 7.3% since
securitization. The loan was transferred to special servicing in
July 2020 after the borrower had become delinquent on their debt
service payments driven by the impact on the property from the
coronavirus pandemic. The loan is last paid through May 2021. A
receiver was appointed to the asset in June 2021; however, the
mezzanine lender had expressed interest in purchasing the senior
note. The special servicer is currently in communication with the
mezzanine lender while dual tracking foreclosure.

The remaining one specially serviced loan is secured by three
office buildings and one mixed use residential/retail building in
downtown Evansville, Indiana.

Moody's has also assumed a high default probability for two poorly
performing loans, constituting 2% of the pool. The two troubled
loans consist of a retail property located in St. Louis, Missouri
and a self-storage property located in San Antonio, Texas.

Moody's has estimated an aggregate loss of $86.2 million (a 58%
expected loss based on average) from these specially serviced and
troubled loans.

As of the October 2021 remittance statement cumulative interest
shortfalls were $798,061. Moody's anticipates interest shortfalls
will continue because of the exposure to specially serviced loans
and/or modified loans. Interest shortfalls are caused by special
servicing fees, including workout and liquidation fees, appraisal
entitlement reductions (ASERs), loan modifications and
extraordinary trust expenses.

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

Moody's received full year 2020 operating results for 98% of the
pool, and partial year 2021 operating results for 89% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 103%, compared to 105% at Moody's last
review. Moody's conduit component excludes loans with structured
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 20% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.2%.

Moody's actual and stressed conduit DSCRs are 1.55X and 1.05X,
respectively, compared to 1.51X and 1.01X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 35% of the pool balance. The
largest loan is the Bronx Terminal Market Loan ($140.0 million --
15.1% of the pool), which represents a pari-passu portion of a
$380.0 million mortgage loan. The loan is secured by a leasehold
interest in a 912,333 SF anchored retail power center of located in
Bronx, New York. The ground lease with the City of New York expires
in September 2055. The five largest tenants, Target, BJ's Wholesale
Club, Home Depot, Food Bazaar, and Burlington Coat Factory, account
for approximately 65% of the property. Food Bazaar opened for
operations in early 2020 and backfilled a prior anchor tenant, Toys
"R" Us / Babies "R" Us, following its 2018 bankruptcy. As of
December 2020, the property was 98% occupied, compared to 99% as of
December 2019. The loan is interest-only through its entire term
and Moody's LTV and stressed DSCR are 108% and 0.80X, respectively,
the same as at the last review.

The second largest loan is the 25 Broadway Loan ($130.0 million --
14.0% of the pool), which represents a pari-passu portion of a
$250.0 million mortgage loan. The loan is secured by an
approximately 956,500 SF, 22-story, Class B office building located
in the financial district submarket of Manhattan, New York. At
securitization, the three largest tenants, Lehman Manhattan
Preparatory, Teach For America, and WeWork accounted for
approximately 51% of property with the earliest lease expiration
occurring in 2030. However, earlier this year WeWork (14% of the
NRA) vacated the space prematurely to lease their expiration in
December 2034. As of June 2021, the property was 96% occupied (82%
when excluding WeWork) unchanged from December 2020 and up from 91%
in 2018. Property NOI was down in 2018 and 2019 due to an increase
in expenses but has since improved as revenues have continued to
increase and expenses have stabilized. As of the June 2021
annualized financials, the property's NOI was up 20% when compared
to securitization. The loan is interest-only through its entire
term and Moody's LTV and stressed DSCR are 125% and 0.76X,
respectively, the same as at the last review.

The third largest loan is the Hyatt Place Austin Downtown Loan
($52.5 million -- 5.7% of the pool), which is secured by a
296-room, limited-service hotel located in the central business
district of Austin, Texas. The hotel is situated one block west of
Austin's Convention Center and approximately 15 miles northwest of
Austin Bergstrom International Airport. Property performance had
improved significantly through December 2019, and the reported NOI
was up 31% from securitization. In August 2020 the property was
placed on the servicer watchlist due to cash flow concerns, related
to the pandemic. A cash flow trap was put in place and the loan has
remained current. As of the June 2021 annualized financials, the
property was operating at 45% occupancy and had an NOI DSCR of
0.19X compared to 76% occupied and an NOI DSCR of 2.33X in 2019.
The loan began amortizing in 2017 after a 36-month interest only
period and has amortized 7% since securitization. Moody's LTV and
stressed DSCR are 102% and 1.16X, respectively, compared to 103%
and 1.15X at the last review.


COMM 2015-CCRE22: Fitch Affirms BB- Rating on Class E Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 13 classes of COMM 2015-CCRE22 Mortgage
Trust commercial mortgage pass-through certificates, series
2015-CCRE22.

    DEBT                RATING            PRIOR
    ----                ------            -----
COMM 2015-CCRE22

A-2 12592XAZ9     LT AAAsf    Affirmed    AAAsf
A-3 12592XBA3     LT AAAsf    Affirmed    AAAsf
A-4 12592XBC9     LT AAAsf    Affirmed    AAAsf
A-5 12592XBD7     LT AAAsf    Affirmed    AAAsf
A-M 12592XBF2     LT AAAsf    Affirmed    AAAsf
A-SB 12592XBB1    LT AAAsf    Affirmed    AAAsf
B 12592XBG0       LT AA-sf    Affirmed    AA-sf
C 12592XBJ4       LT A-sf     Affirmed    A-sf
D 12592XAG1       LT BBB-sf   Affirmed    BBB-sf
E 12592XAJ5       LT BB-sf    Affirmed    BB-sf
PEZ 12592XBH8     LT A-sf     Affirmed    A-sf
X-A 12592XBE5     LT AAAsf    Affirmed    AAAsf
X-B 12592XAA4     LT AA-sf    Affirmed    AA-sf

KEY RATING DRIVERS

Stable Loss Expectations: Loss expectations have remained
relatively stable since Fitch's last rating action given overall
stable performance of the pool. Fitch's current ratings incorporate
a base case loss of 5.80%. Additional stresses were applied to four
hotel loans, where losses could reach as high as 6.10% should they
continue to be negatively affected by the pandemic. There are eight
loans are considered Fitch Loans of Concern (FLOCs; 26.5% of the
pool), including the two specially serviced loans (3.9% of the
pool).

The largest contributor to loss is the One Riverway loan (6.8%),
which is secured by a 483,410 sf office building located in
Houston, TX. This FLOC was flagged due to declining occupancy,
which was 65% as of June 2021, remaining well below 74% at YE 2018
and 80% at YE 2017. The servicer-reported NOI DSCR remains low at
1.11x as of March 2021, compared with 1.18x at YE 2020, 1.03x at YE
2019 and 2.10x at YE 2018. The declines in NOI is due to the lower
occupancy, as well as four tenants which receiving rental
concessions. These concessions have since burned off, and Fitch
expects NOI to improve but remain lower than issuance due to the
drop in occupancy. Per the master servicer, the borrower continues
to market the vacant space. Approximately 11% of the NRA has lease
expirations between 2021 and 2022, including the top tenant South
Padre Ventures (6.0% of NRA; February 2022). Fitch's base case loss
of 15% reflects a 10% haircut to the YE 2020 NOI to reflect
continued occupancy and lease rollover concerns.

The largest FLOC is the largest loan in the pool, 26 Broadway
(9.2%), which is secured by an 839,316 sf office building located
in Manhattan's Financial District. The loan has an upcoming
maturity date in January 2022. Fitch requested an update from the
master servicer on the borrower's intention at maturity but has not
received a response. Fitch's base case analysis reflects a cap rate
of 8.50% and a 5% haircut to the YE 2020 NOI.

Specially Serviced Loans: The largest specially serviced loan,
Hotel Giraffe (3.0%), is secured by a 72-unit full service hotel
located in Manhattan on the corner of 26th Street and Park Avenue.
The loan transferred to special servicing in June 2020 for payment
default. The servicer is in negotiations with the borrower on a
potential modification and dual tracking foreclosure. Fitch's base
case loss of 17% incorporates a haircut to the most recent
appraisal, reflecting a stressed value per key of approximately
$438,000.

The other specially serviced loan, New Mexico Portfolio (0.9%), is
secured by a five-property retail portfolio totaling 52,000 sf
located in Santa Fe, NM. Tenants include restaurants, art galleries
and breweries. The loan transferred to special servicing in July
2020 for payment default. The servicer is dual-tracking
negotiations and foreclosure proceedings. The loan had been 90+
days delinquent but is now 30 days delinquent. Fitch's base case
loss of 27% reflects a haircut to the most recent appraisal,
reflecting a stressed value of $170 psf.

Minimal Change in Credit Enhancement: Since Fitch's last rating
action, one loan (previously 0.8% of last rating action pool), was
paid in full ahead of its scheduled maturity date. Five loans
(12.3% of current pool) are defeased. Seven loans (33.5%) are
full-term interest-only. Twenty four loans (39.8%) have partial
interest-only payments, all of which are not amortizing. Three
loans (11.9%) have anticipated repayment dates (ARD), including 100
57th Street (5.5%) that had an ARD in November 2019 and a final
maturity in April 2035.

New York City and Leased Fee Concentration: Eight loans (10.1%) are
secured by properties located in New York City, including the
largest loan in the pool. In additional, three loans (11.9%) are
secured by leased fee properties located in New York City and
Portland, OR.

Exposure to Coronavirus Pandemic: Ten loans (19.5%) are secured by
hotel properties and 14 loans (13.6%) are secured by retail
properties. An additional stress was applied to the pre-pandemic
cash flows for four hotel loans given the significant 2020 NOI
declines related to the pandemic; these additional stresses did not
impact the current ratings or Outlooks.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool-level losses
    from underperforming or specially serviced loans. Downgrades
    to classes A-2, A-3, A-4, A-5, A-SB, A-M and X-A are not
    likely due to the position in the capital structure, but may
    occur should interest shortfalls affect these classes.
    Downgrades to classes B, C, D, E and X-B may occur should
    expected pool losses increase significantly and/or the FLOCs
    and/or loans susceptible to the pandemic suffer losses.

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 likely but may occur with significant
    improvement in CE and/or defeasance, in addition to the
    stabilization of properties impacted from the coronavirus
    pandemic.

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

-- An upgrade to the 'BB-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.


CONNECTICUT AVE 2021-R02: Fitch Gives 'BB-(EXP)' on 2B-1A Debt
--------------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to
Fannie Mae's risk transfer transaction, Connecticut Avenue
Securities Trust, series 2021-R02 (CAS 2021-R02).

DEBT                 RATING
----                 ------
CAS 2021-R02

2A-H     LT NR(EXP)sf      Expected Rating
2M-1     LT BBB-(EXP)sf    Expected Rating
2M-1H    LT NR(EXP)sf      Expected Rating
2M-2A    LT BBB-(EXP)sf    Expected Rating
2M-AH    LT NR(EXP)sf      Expected Rating
2M-2B    LT BB+(EXP)sf     Expected Rating
2M-BH    LT NR(EXP)sf      Expected Rating
2M-CH    LT NR(EXP)sf      Expected Rating
2B-1A    LT BB-(EXP)sf     Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the 2M-1, 2M-2A, 2M-2B, 2M-2C, 2M-2,
2B-1A, 2B-1B and 2B-1 notes and certain combinable notes on Fannie
Mae's risk transfer transaction CAS 2021-R02. Fannie Mae is issuing
a credit risk transfer transaction as a REMIC from a
bankruptcy-remote trust. The notes are subject to the credit and
principal payment risk of a pool of certain residential mortgage
loans (reference pool) held in various Fannie Mae-guaranteed MBS.

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

Strong Credit Quality (Positive): The reference mortgage loan pool
consists of high-quality mortgage loans acquired by Fannie Mae
between Oct. 1, 2020 and Dec. 31, 2020. The reference pool will
consist of loans with loan-to-value (LTV) ratios greater than 80%
and less than or equal to 97%. Overall, the reference pool's
collateral characteristics reflect the strong credit profile of
post-crisis mortgage originations. The loans are seasoned
approximately 10 months in aggregate. The borrowers have a
relatively strong credit profile (749 FICO and 36% DTI) with high
leverage (92% sLTV).

Advantageous Payment Priority and Cash Flow Structure (Positive):
Generally, principal will be allocated pro rata between the senior
2A-H tranche and the subordinated classes. If the minimum credit
enhancement test and the delinquency test are both satisfied, total
principal will be allocated pro-rata between the senior and
subordinate tranches (paid sequentially within the subordinate
tranches). Otherwise, if either the minimum credit enhancement test
or delinquency test is not satisfied, 100% of the scheduled and
unscheduled principal will be allocated to the senior tranche and
then to the subordinate tranches.

The payment priority of the class 2M-1 notes will result in a
shorter life and more stable CE than mezzanine classes in PL RMBS,
providing a relative credit advantage. Unlike PL mezzanine RMBS,
which often do not receive a full pro-rata share of the pool's
unscheduled principal payment until year 10, the 2M-1 notes can
receive a full pro-rata share of principal, as long as a minimum CE
is met and the delinquency test is satisfied.

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'.

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

CAS 2021-R02 has an Social Relevance Score of '+4' for Human
Rights, Community Relations, Access & Affordability due to as CAS
is a GSE program that addresses access and affordability while
driving strong performance, which has a positive impact on the
credit profile, and is relevant to the ratings in conjunction with
other factors.

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


DRYDEN 76: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1R, B-R, C-R, D-R, and E-R replacement notes and proposed new
class X notes from Dryden 76 CLO Ltd./Dryden 76 CLO LLC, a CLO
originally issued in October 2019 that is managed by PGIM Inc.

The preliminary ratings are based on information as of Nov. 9,
2021. Subsequent information may result in the assignment of
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 final 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 stated maturity, reinvestment period, and non-call period
will each be extended by approximately two years.

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

-- New class X notes are expected to be issued in connection with
this refinancing. These notes are expected to be paid down using
interest proceeds in equal installments over 11 payment dates
beginning in April 2022.

-- The required minimum overcollateralization and interest
coverage ratios for certain classes will be amended.

-- The transaction will modify its investment criteria, including
certain concentration limitations, and add the ability to purchase
certain non-loan and workout related assets. In addition, the
transaction will modify the benchmark replacement language and make
updates to conform to current rating agency methodology.

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

-- No additional assets will be purchased on the Nov. 18, 2021,
refinancing date, and the target initial par amount will remain at
$400 million. There will be no additional effective date or ramp-up
period, and the first payment date following the refinancing date
will be Jan. 20, 2022.

  New, Replacement, And Original Note Issuances

  New notes

  Class X, $4.0 million: Three-month LIBOR + 0.70%

  Replacement notes

  Class A-1R, $248.0 million: Three-month LIBOR + 1.15%
  Class B-R, $48.0 million: Three-month LIBOR + 1.60%
  Class C-R (deferrable), $24.0 million: Three-month LIBOR + 2.00%
  Class D-R (deferrable), $24.0 million: Three-month LIBOR + 3.30%
  Class E-R (deferrable), $15.0 million: Three-month LIBOR + 6.50%

  Original notes

  Class A-1, $235.0 million: Three-month LIBOR + 1.33%
  Class A-2, $25.0 million: 2.843%
  Class B, $44.0 million: Three-month LIBOR + 1.80%
  Class C (deferrable), $26.0 million: Three-month LIBOR + 2.50%
  Class D-1 (deferrable), $17.8 million: Three-month LIBOR + 3.85%
  Class D-2 (deferrable), $3.0 million: 5.428%
  Class D-3 (deferrable), $5.2 million: Three-month LIBOR + 4.77%
  Class E (deferrable), $12.0 million: Three-month LIBOR + 7.06%

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

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

  Preliminary Ratings Assigned

  Dryden 76 CLO Ltd./Dryden 76 CLO LLC

  Class X, $4.0 million: AAA (sf)
  Class A-1R, $248.0 million: AAA (sf)
  Class B-R, $48.0 million: AA (sf)
  Class C-R (deferrable), $24.0 million: A (sf)
  Class D-R (deferrable), $24.0 million: BBB- (sf)
  Class E-R (deferrable), $15.0 million: BB- (sf)

  Other Outstanding Ratings

  Dryden 76 CLO Ltd./Dryden 76 CLO LLC

  Class A-2R: $8.0 million, Not rated

  Subordinated notes, $33.3 million: Not rated



DRYDEN 93 CLO: Moody's Assigns Ba3 Rating to $16MM Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued and one class of loans incurred by Dryden 93 CLO, Ltd.
(the "Issuer" or "Dryden 93 CLO ").

Moody's rating action is as follows:

US$179,000,000 Class A-1 Loans Due 2034, Definitive Rating Assigned
Aaa (sf)

US$77,000,000 Class A-1A Senior Secured Floating Rate Notes Due
2034, Definitive Rating Assigned Aaa (sf)

Up to US$179,000,000 Class A-1B Senior Secured Floating Rate Notes
Due 2034, Definitive Rating Assigned Aaa (sf)

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

US24,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Definitive Rating Assigned A2 (sf)

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

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

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

On the closing date, the Class A-1 Loans and the Class A-1B Notes
have a principal balance of $179,000,000 and $0, respectively. At
any time, the Class A-1 Loans may be converted in whole or in part
to Class A-1B Notes, thereby decreasing the principal balance of
the Class A-1 Loans and increasing, by the corresponding amount,
the principal balance of the Class A-1B Notes. The aggregate
principal balance of the Class A-1 Loans and Class A-1B Notes will
not exceed $179,000,000, 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.

Dryden 93 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
senior secured loans, and up to 7.5% of the portfolio may consist
of bonds, second lien loans or unsecured loans, provided no more
than 5% of the portfolio may consist of bonds. The portfolio is
approximately 85% ramped as of the closing date.

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

In addition to the Rated 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: 75

Weighted Average Rating Factor (WARF): 2740

Weighted Average Spread (WAS): 3.20%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 8 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.


FLAGSHIP CREDIT 2021-4: S&P Assigns Prelim BB- Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Flagship
Credit Auto Trust 2021-4's automobile receivables-backed notes.

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

The preliminary ratings are based on information as of Nov. 15,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The availability of approximately 41.38%, 35.83%, 27.93%,
21.74%, and 17.91% credit support (including excess spread) for the
class A, B, C, D, and E notes, respectively, based on stressed cash
flow scenarios. These credit support levels provide coverage of
approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x of our
11.25%-11.75% expected cumulative net loss (CNL) range for the
class A, B, C, D, and E notes, respectively. These break-even
scenarios cover total cumulative gross defaults (using a recovery
assumption of 40.00%) of approximately 68.97%, 59.71%, 46.55%,
36.23%, and 29.85%, respectively.

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

-- The expectation that under a moderate ('BBB') stress scenario
(1.75x S&P's expected loss level), all else being equal, its
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB-
(sf)' ratings on the class A, B, C, D, and E notes, respectively,
will be within the credit stability limits specified by section A.4
of the Appendix contained in "S&P Global Ratings Definitions,"
published Nov. 10, 2021.

-- The timely interest and principal payments made under stressed
cash flow modeling scenarios that are appropriate for the assigned
preliminary ratings.

-- The characteristics of the collateral pool being securitized.

-- The transaction's payment and legal structures.

  Preliminary Ratings Assigned

  Flagship Credit Auto Trust 2021-4

  Class A, $217.43 million: AAA (sf)
  Class B, $24.69 million: AA (sf)
  Class C, $32.77 million: A (sf)
  Class D, $21.74 million: BBB (sf)
  Class E, $12.43 million: BB- (sf)


FLAGSTAR MORTGAGE 2021-13INV: Moody's Gives '(P)B2' to B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
forty-four classes of residential mortgage-backed securities (RMBS)
issued by Flagstar Mortgage Trust 2021-13INV ("FSMT 2021-13INV").
The ratings range from (P)Aaa (sf) to (P)B2 (sf).

Flagstar Mortgage Trust 2021-13INV (FSMT 2021-13INV) is the
thirteenth issue from Flagstar Mortgage Trust in 2021 and the
eighth issue with investor-property loans in 2021. Flagstar Bank,
FSB [Flagstar; Baa2 (Long Term Counterparty Risk Rating), Not on
Watch] is the sponsor of the transaction. FSMT 2021-13INV is a
securitization of GSE eligible first-lien investment property
mortgage loans. 100.0% of the pool by loan balance was originated
by Flagstar.

All the loans are underwritten in accordance with Freddie Mac or
Fannie Mae guidelines, which take into consideration, among other
factors, the income, assets, employment and credit score of the
borrower as well as loan-to-value (LTV) ratio on the loan. The
loans were run through one of the government-sponsored enterprises'
(GSE) automated underwriting systems (AUS) and received an
"Approve" or "Accept" recommendation.

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

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 backed by
investment property loans. Overall, this pool has average credit
risk profile as compared to that of similar recent prime jumbo
transactions. The securitization has a shifting interest structure
with a five-year lockout period that benefits from a senior 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 action is as follows:

Issuer: Flagstar Mortgage Trust 2021-13INV

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-16, Assigned (P)Aa1 (sf)

Cl. A-17, Assigned (P)Aa1 (sf)

Cl. A-18, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

Cl. A-X-16*, Assigned (P)Aa1 (sf)

Cl. A-X-17*, Assigned (P)Aa1 (sf)

Cl. A-X-18*, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

Cl. B-5, Assigned (P)B2 (sf)

Cl. RR-A, Assigned (P)Aaa (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 1.18%
at the mean, 0.91% at the median and reaches 6.56% 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

FSMT 2021-13INV is a securitization of GSE eligible first-lien
investment property mortgage loans. 100.0% of the pool by loan
balance was originated by Flagstar Bank, FSB. All the loans were
underwritten in accordance with Freddie Mac or Fannie Mae
guidelines, which take into consideration, among other factors, the
income, assets, employment and credit score of the borrower as well
as loan-to-value (LTV). As of the cut-off date of November 1, 2021,
the approximately $454,144,664 pool consisted of 1,630 mortgage
loans secured by first liens on residential investment properties.
The average stated principal balance is $278,616 and the weighted
average (WA) current mortgage rate is 3.5%. The majority of the
loans have a 30-year term, with nine loans with a 25-year term. All
of the loans have a fixed rate. The WA original credit score is 770
for the primary borrower only and the WA combined original LTV
(CLTV) is 67.2%. The WA original debt-to-income (DTI) ratio is
36.5%. Approximately, 12.4% by loan balance of the borrowers have
more than one mortgage loan in the mortgage pool.

All of the mortgage loans originated by Flagstar were either
directly or indirectly originated through correspondents and
brokers.

A significant percentage of the mortgage loans by loan balance
(36.7%) are backed by properties located in California. The second
and third largest geographic concentration of properties are Texas
and Florida which represent 12.6% and 6.9% by loan balance,
respectively. All other states each represent less than 5% by loan
balance. Approximately 19.9% (by loan balance) of the pool is
backed by properties that are 2-4 unit residential properties
whereas loans backed by single family residential properties
represent 43.7% (by loan balance) of the pool.

Origination Quality

Flagstar Bank, FSB (Flagstar) originated 100% of the loans in the
pool. The loans in the pool are underwritten in conformity with GSE
guidelines. Moody's consider Flagstar conforming and non-conforming
mortgage origination quality to be adequate. As a result, Moody's
did not make any adjustments to Moody's base case and Aaa stress
loss assumptions based on Moody's review of the underwriting, QC,
audit and loan performance.

Servicing arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate. Flagstar will service the mortgage loans. Servicing
compensation is subject to a step-up incentive fee structure. Wells
Fargo Bank, N.A. (Wells Fargo) will be the master servicer.
Flagstar will be responsible for principal and interest advances as
well as servicing advances. The master servicer will be required to
make principal and interest advances if Flagstar is unable to do
so.

Servicing compensation for loans in this transaction is based on a
fee-for-service incentive structure. The fee-for-service incentive
structure includes an initial monthly base fee of $20.50 for all
performing loans and increases according to certain delinquent and
incentive fee schedules. By establishing a base servicing fee for
performing loans that increases with the delinquency of loans, the
fee-for-service structure aligns monetary incentives to the
servicer with the costs of the servicer. The fee-for-service
compensation is reasonable and adequate for this transaction. It
also better aligns the servicer's costs with the deal's performance
and structure. The Class B-6-C (NR) is first in line to absorb any
increase in servicing costs above the base servicing costs.
Delinquency and incentive fees will be deducted from the Class
B-6-C interest payment amount first and could result in interest
shortfall to the certificates depending on the magnitude of the
delinquency and incentive fees.

Trustee and master servicer

The transaction trustee is Wilmington Savings Fund Society, FSB.
The custodian functions will be performed by Wells Fargo Bank, N.A.
The paying agent and cash management functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells
Fargo, as master servicer, is responsible for servicer oversight,
and termination of servicers and for the appointment of successor
servicers. The master servicer will be required to make principal
and interest advances if Flagstar is unable to do so.

Third-party review

Moody's did not apply an adjustment to its Aaa and expected losses
due to the adequate sample size. The credit, compliance, property
valuation, and data integrity portion of the third-party review
(TPR) was conducted on a total of approximately 21.1% of the pool
(by loan count). Canopy Financial Technology Partners (Canopy)
conducted due diligence for a total random sample of 344 mortgage
loans in the final collateral pool. The TPR results indicated
compliance with the originators' underwriting guidelines for most
of the loans without any material compliance issues or appraisal
defects. 100% of the loans reviewed received a grade B or higher
with 80.2% of loans receiving an A grade.

The TPR results indicated compliance with the originators'
underwriting guidelines for most of the loans, no material
compliance issues and no material appraisal defects. In addition,
the total sample size of 344 loans reviewed met Moody's credit
neutral criteria. Moody's therefore made no adjustment to loss
levels.

Representations and Warranties Framework

Flagstar Bank, FSB the originator as well as an investment-grade
rated entity, makes the loan-level representation and warranties
(R&Ws) for the mortgage loans. The loan-level R&Ws are strong and,
in general, either meet or exceed the baseline set of credit
neutral R&Ws Moody's have identified for US RMBS. Further, R&W
breaches are evaluated by an independent third party using a set of
objective criteria to determine whether any R&Ws were breached when
(1) the loan becomes 120 days delinquent, (2) the servicer stops
advancing, (3) the loan is liquidated at a loss or (4) the loan
becomes between 30 days and 119 days delinquent and is modified by
the servicer. Similar to other private-label transactions, the
transaction contains a "prescriptive" R&W framework. These reviews
are prescriptive in that the transaction documents set forth
detailed tests for each R&W that the independent reviewer will
perform.

Moody's assessed the R&W framework for this transaction as
adequate. Moody's analyzed the strength of the R&W provider, the
R&Ws themselves and the enforcement mechanisms. The R&W provider is
rated investment grade, the breach reviewer is independent, and the
breach review process is thorough, transparent and objective.
Moody's did not make any additional adjustment to Moody's base case
and Aaa loss expectations for R&Ws.

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 pro rata basis up to the
senior bonds principal distribution amount, and then interest and
principal payments on 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 bond for a
specified period of time, and increasing amounts of prepayments to
the subordinate bonds thereafter, but only if loan performance
satisfies delinquency and loss tests.

All certificates (except Class B-6-C) in this transaction are
subject to a net WAC cap. Class B-6-C will accrue interest at the
net WAC minus the aggregate delinquent servicing and aggregate
incentive servicing fee. For any distribution date, the net WAC
will be the greater of (1) zero and (2) the weighted average net
mortgage rates minus the capped trust expense rate.

Realized losses are allocated reverse sequentially among the
subordinate, starting with most junior, and senior support
certificates and on a pro-rata basis among the super senior
certificates.

Tail Risk and subordination floor

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

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

Down

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

Up

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

Methodology

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


FLATIRON CLO 19: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-R, B-R,
C-R, D-R, and E-R replacement notes from Flatiron CLO 19
Ltd./Flatiron CLO 19 LLC, a CLO originally issued in November 2019
that is managed by NYL Investors LLC. At the same time, S&P
withdrew its ratings on the original class X, A, B, C, D, and E
notes following payment in full on the Nov. 16, 2021, refinancing
date.

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

-- The non-call period was extended to Nov 16,2022.

-- The legal final maturity date was extended to Nov. 2034.

-- The minimum overcollateralization ratios were amended.

  Replacement And Original Note Issuances

  Replacement notes

  Class X-R, $1.50 million: Three-month LIBOR + 0.70%
  Class A-R, $252.00 million: Three-month LIBOR + 1.08%
  Class B-R, $52.00 million: Three-month LIBOR + 1.55%
  Class C-R, $24.00 million: Three-month LIBOR + 2.00%
  Class D-R, $24.00 million: Three-month LIBOR + 3.00%
  Class E-R, $15.40 million: Three-month LIBOR + 6.10%

  Original notes

  Class X, $0.818 million: Three-month LIBOR + 0.85%
  Class A, $252.00 million: Three-month LIBOR + 1.32%
  Class B, $52.00 million: Three-month LIBOR + 1.90%
  Class C, $24.00 million: Three-month LIBOR + 2.70%
  Class D, $24.00 million: Three-month LIBOR + 3.90%
  Class E, $14.80 million: Three-month LIBOR + 7.20%

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

  Flatiron CLO 19 Ltd./Flatiron CLO 19 LLC

  Class X-R, $1.50 million: AAA (sf)
  Class A-R, $252.00 million: AAA (sf)
  Class B-R, $52.00 million: AA (sf)
  Class C-R, $24.00 million: A (sf)
  Class D-R, $24.00 million: BBB- (sf)
  Class E-R, $15.40 million: BB- (sf)

  Ratings Withdrawn

  Flatiron CLO 19 Ltd./Flatiron CLO 19 LLC

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

  Other Outstanding Ratings

  Flatiron CLO 19 Ltd./Flatiron CLO 19 LLC

  Subordinated notes: Not rated

  NR--Not rated.



FORTRESS CREDIT XIV: S&P Assigns Prelim BB-(sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Fortress
Credit BSL XIV Ltd./Fortress Credit BSL XIV LLC 's floating-rate
notes.

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

The preliminary ratings are based on information as of Nov. 12,
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+' or
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; and

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

  Preliminary Ratings Assigned

  Fortress Credit BSL XIV Ltd./Fortress Credit BSL XIV LLC

  Class A, $270.00 million: AAA (sf)
  Class B-1, $35.00 million: AA (sf)
  Class B-2, $30.20 million: AA (sf)
  Class C (deferrable), $29.30 million: A (sf)
  Class D (deferrable), $27.00 million: BBB- (sf)
  Class E (deferrable), $18.00 million: BB- (sf)
  Subordinated notes, $43.97 million: NR


FREDDIE MAC 2021-DNA7: S&P Assigns B+ (sf) Rating on B-1B Notes
---------------------------------------------------------------
S&P Global Ratings assigned 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 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.

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

NR--Not rated.



GOODLEAP SUSTAINABLE 2021-5: Fitch Gives Final 'BB' on C Notes
---------------------------------------------------------------
Fitch Ratings has assigned final ratings to the notes issued by
GoodLeap Sustainable Home Solutions Trust 2021-5 (GoodLeap
2021-5).

   DEBT             RATING              PRIOR
   ----             ------              -----
GoodLeap Sustainable Home Solutions Trust 2021-5

A 38237HAA5    LT Asf     New Rating    A(EXP)sf
B 38237HAB3    LT BBBsf   New Rating    BBB(EXP)sf
C 38237HAC1    LT BBsf    New Rating    BB(EXP)sf
R 38237HAD9    LT NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The transaction is a securitization of residential solar loans
backed by photovoltaic (PV) systems and, in some cases, batteries;
99% of the static portfolio has original terms of 20 or 25 years.
The loans are originated by GoodLeap, LLC, one of the largest
specialized solar lenders in the US, which started advancing solar
loans at the end of 2017. The portfolio includes 13.9% interest
only (IO) loans, while the remainder is fully amortizing.

Compared to the analysis carried out when Fitch assigned expected
ratings, the class A and B notes have priced at slightly lower
coupons, marginally improving the cash flow model results, with
slightly better break-even default rates and the same model-implied
ratings. Additionally, language on the eligible transaction account
bank has been finalized, including a minimum counterparty rating of
'A' and 'F2' (which could sustain note ratings as high as 'AAAsf')
or a trust account that removes the credit exposure vis-a-vis the
account provider, and replacement within 30 days.

KEY RATING DRIVERS

LIMITED HISTORY DETERMINES 'Asf' CAP

Residential solar loans in the U.S. have long terms, many of which
are now at 25 years. For GoodLeap, about two full years of
performance data are available. GoodLeap has also launched
interest-only (IO) loans in 2021, which make up 13.9% of the
securitized portfolio.

EXTRAPOLATED ASSET ASSUMPTIONS

As originations commenced in late 2017, Fitch has focused on the
2018 and 2019 default vintages and determined a base case default
rate of 11.1%. This rate is based on an annualized default rate
(ADR) of 1.5% and certain prepayment assumptions, including that
most borrowers will not prepay their loan from the investment tax
credit (ITC) currently allowed upon the installation of PV systems.
Fitch has also assumed a 25% base case recovery rate. At 'Asf' the
default and recovery assumptions are 37.1% and 16%, respectively.

TARGET OC AND AMORTIZATION TRIGGER

The notes will initially amortize based on target
overcollateralization (OC) percentages, thus increasing their
initial credit enhancement (CE). Should the asset performance
deteriorate: first, additional principal will be paid to cover any
defaulted amounts; and, second, once the cumulative loss trigger is
breached, the payment waterfall will switch to turbo sequential,
deferring any non-senior interest payments and thus accelerating
the senior note deleveraging. The trigger provides less protection
in Fitch's driving model scenario for class A rating, which has
back-loaded defaults and a high level of prepayments.

STANDARD, REPUTABLE COUNTERPARTIES; NO SWAP

The transaction account is at Wells Fargo, and the servicer's
lockbox account is at KeyBank (A-/OutS/F1). Commingling risk is
mitigated by daily transfer of collections, the high ACH share at
closing and the ratings of KeyBank. The reserve fund can be used to
cover defaults and provides the notes with liquidity, although it
would not be replenished if used, as long as the cumulative loss
trigger is breached. As both assets and liabilities pay a fixed
coupon, there is no need for an interest rate hedge and no exposure
to swap counterparties.

ESTABLISHED LENDER, BUT NEW ASSETS

GoodLeap has grown to be one of the largest U.S. solar loan
lenders. Underwriting is mostly automated and in line with those of
other U.S. ABS originators. Other than the solar lending business,
GoodLeap also originates mortgage and sustainable home improvement
loans.

RATING SENSITIVITIES

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

-- Additional performance data, both a transaction and at
    originator level, that do not show flattening of the
    cumulative default curves, especially during the second and
    third year after originations may contribute to a Negative
    Outlook or a downgrade, especially if ADRs do not materially
    fall below 1.5% and at the same time the prepayment activity
    subsides.

-- Material changes in the policy support, the economics of
    purchasing and financing PV panels and batteries, and/or
    ground-breaking technological advances that make the existing
    equipment obsolete may also affect the ratings negatively.

Increase of defaults (class A / B / C):

-- +10%: BBB+ / BBB- / BB
-- +25%: BBB+ / BB+ / B+
-- +50%: BBB / BB / B-

Decrease of recoveries (class A / B / C):

-- -10%: A- / BBB / BB
-- -25%: A- / BBB- / BB
-- -50%: BBB+ / BBB- / BB

Increase of defaults/decrease of recoveries (class A / B / C):

-- +10% / -10%: BBB+ / BBB- / BB-
-- +25% / -25%: BBB / BB+ / B
-- +50% / -50%: BBB- / BB- / CCC

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

-- Fitch currently caps ratings in the 'Asf' category due to
    limited data history. As a result, a positive rating action
    would follow a substantially greater amount of performance
    data, for example with regard to the levels of default after
    the ITC timing, more data on recoveries, and the performance
    of IO loans.

-- Subject to those conditions, good transaction performance, CE
    increase up to the target OC levels and ADRs materially below
    1.5% would support an upgrade.

Decrease of defaults (class A / B / C):

-- -10%: A / BBB / BB+
-- -25%: A+ / BBB+ / BBB-
-- -50%: A+ / A+ / A-

Increase of recoveries (class A / B / C):

-- +10%: A / BBB / BB
-- +25%: A / BBB / BB+
-- +50%: A+ / BBB+ / BB+

Decrease of defaults/increase of recoveries (class A / B / C):

-- -10% / +10%: A / BBB+ / BB+
-- -25% / +25%: A+ / A- / BBB
-- -50% / +50%: A+ / A+ / A-

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on comparing or re-computing certain
information with respect to 200 loan contracts from the collateral
pool of assets for the transaction. Fitch considered this
information in its analysis and it did not have an effect on
Fitch's analysis or conclusions.

DATA ADEQUACY

The historical information available for this originator was
limited in that originations began less than three years ago, while
the loan tenor can be as long as 25 years. As described in the Key
Rating Drivers, Fitch applied a rating cap in the 'Asf' category to
address this limitation, as well as default and recovery stresses
at the high or median-high level of the criteria range. The
amortizing nature of the assets and the application of an annual
default rate to the static portfolio allowed us to determine
lifetime default assumptions.

In addition, Fitch considered proxy data from other originators and
borrower characteristics (including demographics and relatively
high FICO scores) to derive Fitch's asset assumptions, as envisaged
under the Consumer ABS Rating Criteria. Taking into account this
analytical approach, Fitch considers the available data sufficient
to support a rating in the 'Asf' category.

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.


GOODLEAP SUSTAINABLE 2021-5: S&P Assigns BB (sf) Rating on C Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to GoodLeap Sustainable
Home Solutions Trust 2021-5 sustainable home improvement
loan-backed notes series 2021-5.

The note issuance is backed by a collateral pool that consists of
$358.9 million of residential solar loans.

The ratings reflect S&P's view of:

-- The credit enhancement available in the form of
overcollateralization, a yield supplement overcollateralization
amount, subordination for classes A and B, and a fully funded cash
reserve account;

-- The servicer's operational, management, and servicing
abilities;

-- The obligor's initial credit quality;

-- The projected cash flows supporting the notes; and

-- The transaction's structure.

  Ratings Assigned

  GoodLeap Sustainable Home Solutions Trust 2021-5

  Class A, $245.879 million: A (sf)
  Class B, $32.306 million: BBB (sf)
  Class C, $24.229 million: BB (sf)



GS MORTGAGE 2017-GS5: Fitch Affirms CCC Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of GS Mortgage Securities
Trust, commercial mortgage pass-through certificates, series
2017-GS5 (GSMS 2017-GS5). Class A-2 is paid in full. In addition,
the Outlooks remain Negative on classes D, X-D and E.

   DEBT                 RATING                PRIOR
   ----                 ------                -----
GS Mortgage Securities Trust 2017-GS5

A-2 36252HAB7     LT PIFsf    Paid In Full    AAAsf
A-3 36252HAC5     LT AAAsf    Affirmed        AAAsf
A-4 36252HAD3     LT AAAsf    Affirmed        AAAsf
A-AB 36252HAE1    LT AAAsf    Affirmed        AAAsf
A-S 36252HAH4     LT AAAsf    Affirmed        AAAsf
B 36252HAJ0       LT AA-sf    Affirmed        AA-sf
C 36252HAK7       LT A-sf     Affirmed        A-sf
D 36252HAL5       LT BBB-sf   Affirmed        BBB-sf
E 36252HAQ4       LT B-sf     Affirmed        B-sf
F 36252HAS0       LT CCCsf    Affirmed        CCCsf
X-A 36252HAF8     LT AAAsf    Affirmed        AAAsf
X-B 36252HAG6     LT AA-sf    Affirmed        AA-sf
X-C 36252HAY7     LT A-sf     Affirmed        A-sf
X-D 36252HAN1     LT BBB-sf   Affirmed        BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: Loss expectations have remained
relatively stable since Fitch's prior review. The majority of the
pool experienced better than expected performance in 2020 during
the coronavirus pandemic. The affirmations on classes E and F
reflect performance concerns with the Fitch Loans of Concern
(FLOCs). Four loans (13.6% of pool), including one (2.8%) in
special servicing, were designated FLOCs.

Fitch's current ratings reflect a base case loss of 5.20%. The
Negative Outlooks on classes D, X-D and E reflect losses that could
reach 6.00% after factoring in a potential outsized loss of 50% on
the maturity balance of Simon Premium Outlets. 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 loss
expectations, Writer Square (6.0%), is secured by a 182,051-sf
mixed-use (office/retail) property in Denver, CO. The loan, which
is sponsored by the Kroenke Group, was designated as a FLOC due to
performance declines attributed to the pandemic. Fitch's loss
expectation of 22% in the base case is based off a 9% cap rate and
the YE 2020 NOI. Fitch's analysis gives credit for the loan
remaining current and the borrower not requesting relief to date.

YE 2020 NOI is 31% below YE 2019 and 41% below the issuer's
underwritten NOI. Occupancy and servicer-reported NOI DSCR for this
interest-only (IO) loan were 77% and 0.96x, respectively at YE
2020, down from 81% and 1.39x at YE 2019 and 88% and 1.64x at
issuance. Near-term rollover includes approximately 20% NRA by
2022, which is spread across nine tenants. The largest tenant is
Blue Moon Digital, which leases 17.2% of the NRA through September
2024. No other tenant leases more than 6.1% of the NRA.

The second largest contributor to loss expectations, Simon Premium
Outlets (3.2%), is secured by a portfolio of two outlet properties:
Queenstown Premium Outlets (289,571 sf; Queenstown MD) and Pismo
Beach Premium Outlets (147,416 sf; Pismo Beach, CA). The loan,
which is sponsored by Simon Property Group, transferred to special
servicing in July 2020 for payment default, but was brought current
and subsequently returned to the master servicer in June 2021
following the execution of a loan reinstatement agreement in May
2021. Fitch's loss expectation of 18% in the base case, which is
based off a 15% cap rate and 15% total haircut to the YE 2020 NOI,
reflects occupancy and cash flow declines and the outlet mall asset
class.

As of March 2021, portfolio occupancy was 77% down from 81% in
August 2020 and 88% at YE 2019. The servicer-reported NOI DSCR for
this amortizing loan was 1.92x at YE 2020 down from 2.13x at YE
2019. Near-term portfolio rollover includes 39% NRA by 2022, which
is spread across 33 tenants. Larger tenants at Queenstown include
VF Factory Outlet, Old Navy and Nike Factory Store. Larger tenants
at Pismo Beach include Polo Ralph Lauren and Nike Factory Store.

Alternative Loss Consideration: Fitch applied a potential outsized
loss of 50% on the maturity balance of Simon Premium Outlets to
reflect concerns with the sponsor's commitment to the assets,
declining occupancy and cash flow, moderate upcoming lease rollover
as well as general concerns with the outlet mall asset class. This
additional sensitivity scenario contributed to the Negative
Outlooks.

Minimal Change to Credit Enhancement: As of the November 2021
distribution date, the pool's aggregate balance has been paid down
by 6.3% to $995 million from $1.062 billion at issuance. One loan
with a $30 million balance at Fitch's prior review paid in full
during the open period. No loans are defeased. Thirteen loans
(62.8%) are full-term, IO and 12 loans (22.7%) have a partial-term,
IO component, of which eight have begun to amortize. Cumulative
interest shortfalls of $118,495 are currently affecting the
non-rated classes G and VRR.

Pool Concentration: The top 10 loans comprise 68.2% of the pool.
Loan maturities are concentrated in 2027 (88.0%). Four loans
(12.0%) mature in 2026. Based on property type, the largest
concentrations are office at 39.6%, retail at 20.8% and industrial
at 18.9%. The largest loan, 350 Park Avenue (10.0%), received a
stand-alone investment grade credit opinion of 'BBB-sf' at
issuance.

RATING SENSITIVITIES

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

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

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

-- Upgrades of classes B, X-B, C, X-C, D 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. Classes would not be
    upgraded above 'Asf' if there is a likelihood for interest
    shortfalls. Upgrades of classes E and F 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.


GS MORTGAGE 2021-GR3: Moody's Assigns (P)B3 Rating to B-5 Certs
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 38
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust (GSMBS) 2021-GR3. The ratings
range from (P)Aaa (sf) to (P)B3 (sf).

GS Mortgage-Backed Securities Trust 2021-GR3 (GSMBS 2021-GR3) is
the fourth investment property transaction in 2021 issued by
Goldman Sachs Mortgage Company (GSMC), the sponsor and the mortgage
loan seller. GSMC is a wholly owned subsidiary of Goldman Sachs
Bank USA and Goldman Sachs. The certificates are backed by 1,568
first lien, primarily 30-year, fully-amortizing fixed-rate mortgage
loans on residential investment properties with an aggregate unpaid
principal balance (UPB) of $406,127,049 as of the November 1, 2021
cut-off date. All loans in the pool are originated by Guaranteed
Rate parties. Overall, pool strengths include the high credit
quality of the underlying borrowers, indicated by high FICO scores,
strong reserves, loans with fixed interest rates and no
interest-only loans. As of the cut-off date, all of the mortgage
loans are current, and no borrower has entered into a COVID-19
related forbearance plan with the servicer.

Approximately 1.6% of the mortgage loans by stated principal
balance as of the cut-off date were subject to debt consolidation
in which the related funds were used by the related mortgagor for
consumer, family or household purposes (personal-use loans). Vast
majority of the personal-use loans are "qualified mortgages" under
Regulation Z as 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 the exception of personal-use loans,
all other mortgage loans in the pool are not subject to the federal
Truth-in-Lending Act (TILA) because each such mortgage loan is an
extension of credit primarily for a business purpose and is not a
"covered transaction" as defined in Section 1026.43(b)(1) of
Regulation Z. As of the closing date, the sponsor or a majority-
owned affiliate of the sponsor will retain at least 5% of the
initial certificate principal balance or notional amount of each
class of certificates (other than Class A-R certificates) issued by
the trust to satisfy U.S. risk retention rules.

NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will
service all of the loans in the pool. Computershare Trust Company,
N.A. will be the master servicer and securities administrator. U.S.
Bank Trust National Association will be the trustee. Pentalpha
Surveillance LLC will be the representations and warranties (R&W)
breach reviewer.

Two third-party review (TPR) firms verified the accuracy of the
loan level information. These firms conducted detailed credit,
property valuation, data accuracy and compliance reviews on 33.9%
(by loan count) of the mortgage loans in the collateral pool.

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

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

The complete rating actions are as follows:

Issuer: GS Mortgage-Backed Securities Trust 2021-GR3

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

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

Cl. A-3, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

Cl. A-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)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
1.11%, in a baseline scenario-median is 0.84%, and reaches 6.11% at
stress level consistent with Moody's Aaa rating.

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

Collateral Description

Moody's assessed the collateral pool as of November 1, 2021, the
cut-off date. The aggregate collateral pool as of the cut-off date
consists of 1,568 first lien, primarily 30-year, fully-amortizing
fixed-rate mortgage loans on residential investment properties with
an aggregate unpaid principal balance (UPB) of $406,127,049 and a
weighted average mortgage rate of 3.7%.

All the mortgage loans are secured by first liens on one-to-four
family residential properties, planned unit developments and
condominiums. 1,495 mortgage loans have original terms to maturity
of 30 years, 5 loans have original term to maturity of 25 years, 68
loans have original term to maturity of 20 years.

The WA current FICO score of the borrowers in the pool is 770. The
WA Original LTV ratio of the mortgage pool is 66.6%, which is in
line with that of comparable transactions.

The mortgage loans in the pool were originated mostly in California
(22.2% by loan balance) and in high cost metropolitan statistical
areas (MSAs) Boston (10.2%), Chicago (9.1%), Los Angeles (8.1%),
New York (4.4%), and others (16.5%). The average loan balance of
the pool is $259,010. Moody's made adjustments in its analysis to
account for this geographic concentration risk. Top 10 MSAs
comprise 48.3% of the pool, by loan balance. Approximately 12.3% of
the pool balance is related to borrowers with two or more mortgages
in the pool.

Aggregator/Origination Quality

GSMC is the loan aggregator and the mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.
The mortgage loans for this transaction were acquired by GSMC, the
sponsor and the mortgage loan seller from Guaranteed Rate, Inc and
Guaranteed Rate Affinity, LLC. The mortgage loan seller does not
originate any mortgage loans, including the mortgage loans included
in the mortgage pool. Instead, the mortgage loan seller acquired
the mortgage loans pursuant to contracts with the originators.

Overall, Moody's consider GSMC's aggregation platform to be
comparable to that of peer aggregators and therefore did not apply
a separate loss-level adjustment for aggregation quality.

Servicing Arrangement

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

Shellpoint will be the named primary servicer for this transaction
and will service 100% of the pool. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is in Greenville,
South Carolina. Shellpoint services residential mortgage assets for
investors that include banks, financial services companies, GSEs
and government agencies. Computershare Trust Company, N.A.
(Computershare) will act as master servicer and securities
administrator under the sale and servicing agreement and as
custodian under the custodial agreement. Computershare is a
national banking association and a wholly-owned subsidiary of
Computershare Ltd (Baa2, long term rating), an Australian financial
services company with over $5 billion (USD) in assets as of June
30, 2021. Computershare Ltd and its affiliates have been engaging
in financial service activities, including stock transfer related
services since 1997, and corporate trust related services since
2000.

Third-party Review

Evolve Mortgage Services (Evolve) and Consolidated Analytics, Inc.
(Consolidated Analytics), collectively the TPR firms, reviewed
33.9% of the loans for regulatory compliance, credit, property
valuation and data accuracy. The due diligence results confirm
compliance with the originators' underwriting guidelines for the
vast majority of mortgage loans, no material compliance issues, and
no material valuation defects. The mortgage loans that had
exceptions to the originators' underwriting guidelines had
significant compensating factors that were documented.

Representations & Warranties

GSMBS 2021-GR3's R&W framework is in line with that of prior GSMBS
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Moody's review of the R&W framework takes
into account the financial strength of the R&W providers, scope of
R&Ws (including qualifiers and sunsets) and the R&W enforcement
mechanism. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. R&W
breaches are evaluated by an independent third-party using a set of
objective criteria. The transaction requires mandatory independent
reviews of mortgage loans that become 120 days delinquent and those
that liquidate at a loss to determine if any of the R&Ws are
breached. There is a provision for binding arbitration in the event
of a dispute between the trust and the R&W provider concerning R&W
breaches.

The creditworthiness of the R&W providers determines the
probability that the R&W provider will be available and have the
financial strength to repurchase defective loans upon identifying a
breach. An investment-grade rated R&W provider lends substantial
strength to its R&Ws. Moody's analyze the impact of less
creditworthy R&W providers case by case, in conjunction with other
aspects of the transaction. Here, because the R&W providers are
unrated and/or exhibit limited financial flexibility, Moody's
applied an adjustment to the mortgage loans for which these
entities provided R&Ws.

Tail Risk and Locked Out Percentage

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.85% of the cut-off date pool
balance, and a subordination lock-out amount of 0.85% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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

Down

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

Up

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

Methodology

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


GS MORTGAGE 2021-MM1: Moody's Gives (P)B3 Rating to Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 21
classes of residential mortgage-backed securities (RMBS) issued by
GS Mortgage-Backed Securities Trust 2021-MM1. The ratings range
from (P)Aaa (sf) to (P)B3 (sf).

GS Mortgage-Backed Securities Trust 2021-MM1 (GSMBS 2021-MM1) is
the eleventh prime jumbo transaction in 2021 issued by Goldman
Sachs Mortgage Company (GSMC), the sponsor and the primary mortgage
loan seller. Overall, pool strengths include the high credit
quality of the underlying borrowers, indicated by high FICO scores,
strong reserves for prime jumbo borrowers, mortgage loans with
fixed interest rates and no interest-only loans. As of the cut-off
date, none of the mortgage loans are subject to a COVID-19 related
forbearance plan.

GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA and
Goldman Sachs. The mortgage loans for this transaction were
acquired by GSMC, the sponsor and the primary mortgage loan seller
(100.0% by UPB). All the loans in the pool are originated by
Movement Mortgage, LLC (Movement Mortgage).

NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a
Shellpoint Mortgage Servicing (Shellpoint) will service all of the
loans in the pool. Computershare Trust Company, N.A. (CTCNA) will
be the master servicer and securities administrator. U.S. Bank
Trust National Association will be the trustee. Pentalpha
Surveillance LLC will be the representations and warranties (R&W)
breach reviewer.

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

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

The complete rating actions are as follows:

Issuer: GS Mortgage-Backed Securities Trust 2021-MM1

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

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

Cl. A-3, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-X-10*, Assigned (P)Aa1 (sf)

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

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

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

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

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

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
0.52%, in a baseline scenario-median is 0.34%, and reaches 3.86% at
stress level consistent with Moody's Aaa rating.

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

Collateral Description

As of the November 1, 2021 cut-off date, the aggregate collateral
pool comprises 371 prime jumbo (non-conforming), 30-year loan-term,
fully-amortizing fixed-rate mortgage loans, none of which have the
benefit of primary mortgage guaranty insurance, with an aggregate
stated principal balance (UPB) $339,491,581 and a weighted average
(WA) mortgage rate of 3.0%. The WA current FICO score of the
borrowers in the pool is 772 and the WA original LTV ratio of the
mortgage pool is 73.9%. Top 10 MSAs comprise 57.3% of the pool by
UPB. The high geographic concentration in high cost MSAs is
reflected in the high average balance of the pool ($915,072). The
characteristics of the mortgage loans in the pool are generally
comparable to that of recent prime jumbo transactions rated by us.

All the mortgage loans in the aggregate pool are QM, with the prime
jumbo non-conforming mortgage loans meeting the requirements of the
QM-Safe Harbor rule (Appendix Q) or the new General QM rule.

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

Aggregator/Origination Quality

GSMC is the loan aggregator and the primary mortgage seller for the
transaction. GSMC's general partner is Goldman Sachs Real Estate
Funding Corp. and its limited partner is Goldman Sachs Bank USA.
Goldman Sachs Real Estate Funding Corp. is a wholly owned
subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of
Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital
markets group within Goldman Sachs. Senior management averages 16
years of mortgage experience and 15 years of Goldman Sachs tenure.
The mortgage loans for this transaction were acquired by GSMC, the
sponsor and the primary mortgage loan seller (100.0% by UPB). All
the loans in the pool are originated by Movement Mortgage. The
mortgage loans in the pool are underwritten to either GSMC's
underwriting guidelines, or seller's applicable guidelines. The
mortgage loan seller do not originate any mortgage loans, including
the mortgage loans included in the mortgage pool. Instead, the
mortgage loan seller acquired the mortgage loans pursuant to
contracts with the originator.

Overall, Moody's consider GSMC's aggregation platform to be
comparable to that of peer aggregators and therefore did not apply
a separate loss-level adjustment for aggregation quality. In
addition to reviewing GSMC's aggregation quality, Moody's have also
reviewed the origination quality of Movement Mortgage which
originated 100.0% of the mortgage loans to the transaction. Moody's
reviewed their underwriting guideline, performance history, and
quality control and audit processes and procedures (to the extent
available, respectively).

Servicing Arrangement

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

Shellpoint will service 100.0% of the pool . Shellpoint is an
approved servicer in good standing with Ginnie Mae, Fannie Mae and
Freddie Mac. Shellpoint's primary servicing location is in
Greenville, South Carolina. Shellpoint services residential
mortgage assets for investors that include banks, financial
services companies, GSEs and government agencies. CTCNA will act as
master servicer.

Third-party Review

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

While many of these may be rectified in the future by the servicer
or by subsequent documentation, there is a risk that these
exceptions could impair the deal's insurance coverage if not
rectified and because the R&Ws specifically exclude these
exceptions. Moody's have considered this risk in its analysis.

Representations & Warranties

GSMBS 2021-MM1's R&W framework is in line with that of prior GSMBS
transactions Moody's have rated where an independent reviewer is
named at closing, and costs and manner of review are clearly
outlined at issuance. Moody's review of the R&W framework takes
into account the financial strength of the R&W providers, scope of
R&Ws (including qualifiers and sunsets) and the R&W enforcement
mechanism. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. R&W
breaches are evaluated by an independent third-party using a set of
objective criteria. The transaction requires mandatory independent
reviews of mortgage loans that become 120 days delinquent and those
that liquidate at a loss to determine if any of the R&Ws are
breached. There is a provision for binding arbitration in the event
of a dispute between the trust and the R&W provider concerning R&W
breaches.

The creditworthiness of the R&W provider determines the probability
that the R&W provider will be available and have the financial
strength to repurchase defective loans upon identifying a breach.
An investment-grade rated R&W provider lends substantial strength
to its R&Ws. Moody's analyze the impact of less creditworthy R&W
providers case by case, in conjunction with other aspects of the
transaction. Here, because the R&W provider is unrated and/or
exhibits limited financial flexibility, Moody's applied an
adjustment to the mortgage loans. In addition, a R&W breach will be
deemed not to have occurred if it arose as a result of a TPR
exception disclosed in Appendix I of the Private Placement
Memorandum.

Tail Risk and Locked Out Percentage

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.30% of the cut-off date pool
balance, and as subordination lock-out amount of 1.30% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

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

Down

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

Up

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

Methodology

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


HAYFIN KINGSLAND XI: Moody's Assigns Ba3 Rating to Class E-R Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes issued by Hayfin Kingsland XI, Ltd.(the
"Issuer").

Moody's rating action is as follows:

US$3,600,000 Class X-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$20,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Assigned A2 (sf)

US$26,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Assigned Baa3 (sf)

US$17,000,000 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 up to
10% of the portfolio may consist of second lien loans, unsecured
loans or permitted non-loan assets.

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

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

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

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

Portfolio par: $400,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 3010

Weighted Average Spread (WAS): 4.0%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


HUNDRED ACRE 2021-INV3: Moody's Gives (P)B2 Rating to Cl. B5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
fifty-seven classes of residential mortgage-backed securities
(RMBS) issued by Hundred Acre Wood Trust 2021-INV3 (HAWT
2021-INV3). The ratings range from (P)Aaa (sf) to (P)B2 (sf).

Hundred Acre Wood Trust 2021-INV3 (HAWT 2021-INV3) is the third
issue from Finance of America Mortgage LLC (FAM) in 2021 backed by
investor properties.

HAWT 2021-INV3 is a securitization of GSE eligible first-lien
investment properties. FAM originated 93.3% (by UPB) loans and 6.7%
loans (by UPB) were originated by a third party originated and
acquired by FAM prior to cut-off date. All the loans are
underwritten in accordance with Freddie Mac or Fannie Mae
guidelines, which take into consideration, among other factors, the
income, assets, employment and credit score of the borrower as well
as loan-to-value (LTV). These loans were run through one of the
government-sponsored enterprises' (GSE) automated underwriting
systems (AUS) and received an "Approve" or "Accept"
recommendation.

In this transaction, the Class A11 notes' coupon is indexed to
SOFR. In addition, the coupon on Class A11X is also impacted by
changes in SOFR. However, based on the transaction's structure, the
particular choice of benchmark has no credit impact. First,
interest payments to the notes, including the floating rate notes,
are subject to the net WAC cap, which prevents the floating rate
notes from incurring interest shortfalls as a result of increases
in the benchmark index above the fixed rates at which the assets
bear interest. Second, the shifting-interest structure pays all
interest generated on the assets to the bonds and does not provide
for any excess spread.

The complete rating action is as follows:

Issuer: Hundred Acre Wood Trust 2021-INV3

Cl. A1, Assigned (P)Aaa (sf)

Cl. A2, Assigned (P)Aaa (sf)

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

Cl. A4, Assigned (P)Aaa (sf)

Cl. A5, Assigned (P)Aaa (sf)

Cl. A6, Assigned (P)Aaa (sf)

Cl. A7, Assigned (P)Aaa (sf)

Cl. A8, Assigned (P)Aaa (sf)

Cl. A9, Assigned (P)Aaa (sf)

Cl. A10, Assigned (P)Aaa (sf)

Cl. A11, Assigned (P)Aaa (sf)

Cl. A11X*, Assigned (P)Aaa (sf)

Cl. A12, Assigned (P)Aaa (sf)

Cl. A13, Assigned (P)Aaa (sf)

Cl. A14, Assigned (P)Aaa (sf)

Cl. A15, Assigned (P)Aaa (sf)

Cl. A16, Assigned (P)Aaa (sf)

Cl. A17, Assigned (P)Aaa (sf)

Cl. A18, Assigned (P)Aaa (sf)

Cl. A19, Assigned (P)Aaa (sf)

Cl. A20, Assigned (P)Aaa (sf)

Cl. A21, Assigned (P)Aaa (sf)

Cl. A22, Assigned (P)Aaa (sf)

Cl. A23, Assigned (P)Aaa (sf)

Cl. A24, Assigned (P)Aaa (sf)

Cl. A25, Assigned (P)Aaa (sf)

Cl. A26, Assigned (P)Aaa (sf)

Cl. A27, Assigned (P)Aaa (sf)

Cl. A28, Assigned (P)Aaa (sf)

Cl. A29, Assigned (P)Aaa (sf)

Cl. A30, Assigned (P)Aaa (sf)

Cl. A31, Assigned (P)Aaa (sf)

Cl. AX1*, Assigned (P)Aaa (sf)

Cl. AX4*, Assigned (P)Aaa (sf)

Cl. AX5*, Assigned (P)Aaa (sf)

Cl. AX6*, Assigned (P)Aaa (sf)

Cl. AX8*, Assigned (P)Aaa (sf)

Cl. AX10*, Assigned (P)Aaa (sf)

Cl. AX13*, Assigned (P)Aaa (sf)

Cl. AX15*, Assigned (P)Aaa (sf)

Cl. AX17*, Assigned (P)Aaa (sf)

Cl. AX19*, Assigned (P)Aaa (sf)

Cl. AX21*, Assigned (P)Aaa (sf)

Cl. AX25*, Assigned (P)Aaa (sf)

Cl. AX26*, Assigned (P)Aaa (sf)

Cl. AX27*, Assigned (P)Aaa (sf)

Cl. AX28*, Assigned (P)Aaa (sf)

Cl. AX30*, Assigned (P)Aaa (sf)

Cl. B1, Assigned (P)Aa2 (sf)

Cl. B1A, Assigned (P)Aa2 (sf)

Cl. BX1*, Assigned (P)Aa2 (sf)

Cl. B2, Assigned (P)A2 (sf)

Cl. B2A, Assigned (P)A2 (sf)

Cl. BX2*, Assigned (P)A2 (sf)

Cl. B3, Assigned (P)Baa2 (sf)

Cl. B4, Assigned (P)Ba2 (sf)

Cl. B5, Assigned (P)B2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.81%
at the mean, 0.56% at the median, and reaches 5.76% at a stress
level consistent with Moody's Aaa ratings.

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

Collateral description

As of November 1, 2021 (the "Cut-off Date"), the pool will consist
of 976 fully amortizing fixed-rate mortgage loans with an aggregate
unpaid stated principal balance of approximately $315,315,372. The
average stated principal balance is approximately $323,069 and the
weighted average (WA) current mortgage rate is approximately 3.5%.
The majority of the loans have a 30-year term, with 147 loans with
terms ranging from 10 to 25 years. All of the loans have a fixed
rate. The WA original credit score is 767 for the primary borrower
only and the WA combined original LTV (CLTV) is 63.0%. The WA
original debt-to-income (DTI) ratio is 36.1%. Approximately, 23.7%
by loan balance of the borrowers have more than one mortgage loan
in the mortgage pool.

Approximately 43.7% of the mortgage loans by loan balance are
backed by properties located in California. The next largest
geographic concentration of properties are Arizona, which
represents 9.3% by loan balance, Texas, which represents 5.9% by
loan balance. All other states each represents less than 5% by loan
balance. Loans backed by single family residential properties
represent 66.2% (by loan balance) of the pool.

Approximately 7.5% of the mortgage loans by count are "Appraisal
Waiver" (AW) loans, whereby the sponsor obtained an AW for each
such mortgage loan from Fannie Mae or Freddie Mac through their
respective programs. In each case, neither Fannie Mae nor Freddie
Mac required an appraisal of the related mortgaged property as a
condition of approving the related mortgage loan for purchase by
Fannie Mae or Freddie Mac, as applicable.

Origination quality

FAM originated 93.3% (by UPB) loans and 6.7% loans (by UPB) were
originated by a third party originated and acquired by FAM prior to
cut-off date. These loans were underwritten in conformity with GSE
guidelines with overlays. However, these overlays are predominantly
non-material with the exception of verbal verification of
employment and reserves for investment properties. Overall, Moody's
consider Finance of America Mortgage LLC to be an adequate
originator of conforming and nonconforming mortgages. As a result,
Moody's did not make any adjustments to Moody's base case and Aaa
stress loss assumptions based on Moody's review of the loan
performance and origination practices.

Headquartered in Conshohocken, Pennsylvania, FAM is a wholly-owned
subsidiary of Finance of America Holdings LLC, a Delaware limited
liability company ("FAH"). FAH is ultimately owned by Finance of
America Companies Inc., a publicly traded company, and certain
other investors, including funds affiliated with The Blackstone
Group Inc. FAM is licensed as a residential mortgage lender in all
fifty states.

Servicing arrangements

Moody's consider the overall servicing arrangement for this pool to
be adequate. Moody's did not make any adjustments to Moody's base
case and Aaa stress loss assumptions based on the servicing
arrangement. Moody's also consider the presence of a strong master
servicer to be a mitigant against the risk of any servicing
disruptions.

Although FAM is the named servicer, ServiceMac, LLC and LoanCare,
LLC will be the subservicers, servicing approximately 29.8% and
70.2% of the mortgage loans, respectively. Nationstar Mortgage LLC
will be the master servicer. FAM will be responsible for principal
and interest advances as well as servicing advances. The master
servicer will be required to make principal and interest advances
if FAM is unable to do so. The securities administrator, Citibank,
N.A., will make the required advances to the extent the master
servicer is unable to do so.

Third-party review

The independent third party review firm, Evolve Mortgage Services,
was engaged to conduct due diligence for the credit, regulatory
compliance, property valuation, and data accuracy on a total of
approximately 34.3% of the pool (by loan count). Evolve conducted
due diligence for a total random sample of 335 loans originated by
Finance of America Mortgage LLC and a third party originator in
this transaction (one sampled loan was excluded from the final
mortgage pool). Based on the sample size reviewed, the TPR results
indicate that there are no material compliance, credit, or data
issues and no appraisal defects. The sample size of 335 that went
through full due diligence meets Moody's credit neutral criteria.

However, unlike in other deals that have sampling in which the
loans are picked randomly for due diligence from the total pool of
loans, in this deal, FAM originated loans were picked randomly for
due diligence from the initial set of 578 loans funded. Since the
loans were not picked randomly from the total pool of loans, there
is a risk that the sample of loans might not be representative of
the overall pool of loans. However, Moody's did not make an
adjustment to Moody's Aaa loss and EL as all the loans are
GSE-eligible loans underwritten to agency guidelines, originated by
a single originator and funded within a short period of time (all
the loans in the pool were funded during the period August 2021 to
October 2021). In addition, the TPR results are satisfactory with
no material exceptions. Furthermore, FAM to date, has had
consistent operations and performance.

Overall, Moody's did not make any adjustment to Moody's Aaa loss or
EL based on the third party due diligence.

Representations and Warranties Framework

Moody's increased its loss levels to account for weakness in the
overall R&W framework due to the financial weakness of the R&W
provider and the lack of repurchase mechanism for loans
experiencing an early payment default. The R&W provider may not
have the financial wherewithal to purchase defective loans.
Moreover, unlike other comparable transactions that Moody's have
rated, the R&W framework for this transaction does not include a
mechanism whereby loans that experience an early payment default
(EPD) are repurchased. However, the results of the independent due
diligence review revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall strong
valuation quality. These results give us a clear indication that
the loans most likely do not breach the R&Ws. Also, the transaction
benefits from unqualified R&Ws and an independent breach reviewer.

Further, R&W breaches are evaluated by an independent third party
using a set of objective criteria to determine whether any R&Ws
were breached when (1) the loan becomes 120 days delinquent, (2)
the servicer stops advancing, (3) the loan is liquidated at a loss
or (4) the loan becomes between 30 days and 119 days delinquent and
is modified by the servicer. Similar to other private-label
transactions, the transaction contains a "prescriptive" R&W
framework. These reviews are prescriptive in that the transaction
documents set forth detailed tests for each R&W that the
independent reviewer will perform.

Transaction structure

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

Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next, realized losses
are allocated to super senior bonds until their principal balance
is written off.

Tail risk & subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to eroding credit enhancement
over time and increased performance volatility, known as tail risk.
To mitigate this risk, the transaction provides for a senior
subordination floor of 1.20% which mitigates tail risk by
protecting the senior bonds from eroding credit enhancement over
time. Additionally, there is a subordination lock-out amount which
is 1.20% 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 1.20% and 1.20%,
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.


JP MORGAN 2013-C10: Fitch Affirms CCC Rating on Class F Certs
-------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed eight classes
of J.P. Morgan Chase Commercial Mortgage Securities Trust
commercial mortgage pass-through certificates, series 2013-C10.

    DEBT                RATING             PRIOR
    ----                ------             -----
JPMCC 2013-C10

A-5 46639JAE0     LT AAAsf    Affirmed     AAAsf
A-S 46639JAH3     LT AAAsf    Affirmed     AAAsf
A-SB 46639JAF7    LT AAAsf    Affirmed     AAAsf
B 46639JAJ9       LT AA-sf    Affirmed     AA-sf
C 46639JAK6       LT A-sf     Affirmed     A-sf
D 46639JAL4       LT BBB-sf   Affirmed     BBB-sf
E 46639JAP5       LT Bsf      Downgrade    BBsf
F 46639JAR1       LT CCCsf    Affirmed     CCCsf
X-A 46639JAG5     LT AAAsf    Affirmed     AAAsf

KEY RATING DRIVERS

Increased Loss Expectations: Fitch's loss expectations have
increased since the last rating action primarily due to increased
exposure, potential for further performance declines, and prolonged
workouts for three assets/loans that remain in special servicing.
Fitch has designated 10 loans (38.8%) as Fitch Loans of Concern
(FLOCs), including the three specially serviced loans (8.3%). Six
of the top 15 loans are designated as FLOCs (34.7% of the pool).

Fitch's ratings incorporate a base case loss of 7.0%. Fitch also
ran additional sensitivities indicating that losses could reach as
high as 8.4%.

West County Center (6.3% of the pool) is the largest contributor to
Fitch's projected losses, the largest specially serviced loan in
the pool and the largest FLOC. The collateral is a 1.2 million-sf
regional mall located in St. Louis. Although the loan remains
current, the loan transferred to special servicing in April 2020
due to imminent monetary default at the borrower's request due to
pandemic-related hardship. Exposure has increased and concerns of
term default remain following the sponsor, CBL, filing for
bankruptcy in November 2020. Performance metrics declined in 2020
and loss expectations have remained at approximately 50%.

Fitch had previously considered the loan at risk of maturity
default, given the subject's declining sales trends and the volume
of nearby competition with heavy tenant overlap. The loan is
scheduled to mature in December 2022. Fitch applied an additional
sensitivity analysis that factored in potential outsized losses of
75% on this loan; this sensitivity also contributed to the Negative
Rating Outlook on class E.

Fashion Outlets of Santa Fe (1.2% of the pool balance), the second
largest specially serviced loan, is a 124,504-sf outlet mall
located 10 miles southwest of downtown Santa Fe, NM. The asset
transferred to special servicing in April 2017, and a foreclosure
sale was completed in May 2018. Occupancy at the property declined
to 30% as of November 2020, and there have been minimal leasing
activity. Exposure continues to grow and Fitch expects losses from
the disposition of this asset to be significant.

Fitch has designated seven non-specially serviced loans as FLOC's
due to occupancy declines and/or significant upcoming tenant
rollover; however, the loans are not large contributors to Fitch's
projected losses given generally low or moderate leverage. The five
largest non-specially serviced FLOC's in the pool are: Gateway
Center (12.1%), EIP Industrial Portfolio (9.4%), Jubilee Square
(2.7%), Millenia Crossing (2.4%), and 17600 North Perimeter (1.9%).
The remaining FLOCs are outside of the top 15 and represent 2.9% of
the pool combined.

Minimal Changes to Credit Enhancement: As of the October 2021
distribution date, the pool's aggregate balance has been paid down
by 34.62% to $836.0 million from $1.3 billion at issuance.
Seventeen loans, representing 26.4% of the balance at
securitization, have repaid. Four loans representing 23.9% of the
pool are interest only. Five loans (10.0% of the pool) are covered
by fully defeased collateral. Of the non-specially serviced and
non-defeased loans, two loans (2.4%) are scheduled to mature in
2022 with the remainder of the loans maturing in 2023.

RATING SENSITIVITIES

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

-- Downgrades could be triggered by an increase in pool-level
    losses from underperforming or specially serviced loans.
    Downgrades to classes rated 'AAAsf' are not considered likely
    due to their position in the capital structure, but they may
    occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur.
    Downgrades to classes B and C may occur if overall pool
    performance declines or loss expectations increase.

-- Downgrades to classes D and E may occur if assets continue to
    linger in special servicing remain unresolved or if
    performance of the FLOCs fails to stabilize. Downgrades to
    class F may occur if additional loans default or transfer to
    the special servicer or if losses to loans in special
    servicing become more imminent.

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

-- Upgrades could be triggered by significantly improved
    performance coupled with paydown and/or defeasance. Upgrades
    to classes B and C would occur with stabilization of the FLOCs
    but would be limited as concentrations increase. Classes would
    not be upgraded above 'Asf' if there is a likelihood of
    interest shortfalls. Upgrades to classes D and E would only
    occur with significant improvement in credit enhancement and
    stabilization of the FLOCs.

-- An upgrade to class F is not likely unless performance of the
    FLOCs improves, losses on specially serviced loans are lower
    than expected and performance of the remaining pool is stable.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

JPMCC 2013-C10 has an ESG Relevance Score of '4' for Exposure to
Social Impacts due to retail exposure, including an REO outlet mall
and a specially serviced regional mall in the top 15 that are
underperforming as a result of changing consumer preferences to
shopping, which has a negative impact on the credit profile, and is
relevant to the ratings in conjunction with other factors.

Except for the matters discussed above, 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.


JP MORGAN 2020-2: Moody's Hikes Ratings on 2 Tranches to B1
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 29 classes
from two transactions issued by J.P. Morgan Mortgage Trust. The
transactions are securitizations of fixed rate, first-lien prime
jumbo and agency eligible mortgage loans. Nationstar Mortgage LLC
is the master servicer.

Issuer: J.P. Morgan Mortgage Trust 2020-2

Cl. A-14, Upgraded to Aaa (sf); previously on Feb 28, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Feb 28, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Feb 28, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-1-A, Upgraded to Aa1 (sf); previously on Feb 28, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to Aa2 (sf); previously on Feb 28, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-2-A, Upgraded to Aa2 (sf); previously on Feb 28, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on Feb 28, 2020 Definitive
Rating Assigned Baa3 (sf)

Cl. B-3-A, Upgraded to A2 (sf); previously on Feb 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Feb 28, 2020
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to B1 (sf); previously on Feb 28, 2020 Definitive
Rating Assigned B3 (sf)

Cl. B-5-Y, Upgraded to B1 (sf); previously on Feb 28, 2020
Definitive Rating Assigned B3 (sf)

Issuer: J.P. Morgan Mortgage Trust 2020-3

Cl. A-14, Upgraded to Aaa (sf); previously on Apr 1, 2020
Definitive Rating Assigned Aa2 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Apr 1, 2020
Definitive Rating Assigned Aa2 (sf)

Cl. A-X-1*, Upgraded to Aaa (sf); previously on Apr 1, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-X-2*, Upgraded to Aaa (sf); previously on Apr 1, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-X-4*, Upgraded to Aaa (sf); previously on Apr 1, 2020
Definitive Rating Assigned Aa2 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 1, 2020 Definitive
Rating Assigned A1 (sf)

Cl. B-1-A, Upgraded to Aa1 (sf); previously on Apr 1, 2020
Definitive Rating Assigned A1 (sf)

Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Apr 1, 2020
Definitive Rating Assigned A1 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Apr 1, 2020 Definitive
Rating Assigned Baa1 (sf)

Cl. B-2-A, Upgraded to Aa3 (sf); previously on Apr 1, 2020
Definitive Rating Assigned Baa1 (sf)

Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Apr 1, 2020
Definitive Rating Assigned Baa1 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on Apr 1, 2020 Definitive
Rating Assigned Baa3 (sf)

Cl. B-3-A, Upgraded to A2 (sf); previously on Apr 1, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. B-3-X*, Upgraded to A2 (sf); previously on Apr 1, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Apr 1, 2020
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to B1 (sf); previously on Apr 1, 2020 Definitive
Rating Assigned B3 (sf)

Cl. B-5-Y, Upgraded to B1 (sf); previously on Apr 1, 2020
Definitive Rating Assigned B3 (sf)

Cl. B-X*, Upgraded to A1 (sf); previously on Apr 1, 2020 Definitive
Rating Assigned Baa2 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools. In these
transactions, high prepayment rates averaging 47%-76% over the last
six months, driven by the low interest rate environment, have
benefited the bonds by increasing the paydown and building credit
enhancement.

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

Moody's also considered higher adjustments for transactions where
more than 10% of the pool is either currently enrolled or was
previously enrolled in a payment relief program. Specifically,
Moody's account for the marginally increased probability of default
for borrowers that have either been enrolled in a payment relief
program for more than 3 months or have already received a loan
modification, including a deferral, since the start of the
pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are enrolled in payment relief plans in the underlying pool ranged
between 2%-5% over the last six months.

Given the pervasive financial strains tied to the pandemic,
servicers have been making advances on increased amount of
non-cash-flowing loans, sometimes resulting in interest shortfalls
due to insufficient funds in subsequent periods when such advances
are recouped. Moody's expect such interest shortfalls to be
reimbursed over the next several months.

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

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 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.

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

Up

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

Down

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

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.


JP MORGAN 2021-HTL5: Moody's Assigns (P)B3 Rating to Cl. F Certs
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to eight
classes of CMBS securities, issued by J.P. Morgan Chase Commercial
Mortgage Securities Trust 2021-HTL5, Commercial Mortgage
Pass-Through Certificates, Series 2021-HTL5:

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

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

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

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

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

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

Cl. X-CP*, Assigned (P)A2 (sf)

Cl. X-EXT*, Assigned (P)A2 (sf)

* Reflects interest-only classes

RATINGS RATIONALE

The certificates are collateralized by a single loan backed by a
first lien commercial mortgage collateralized by a portfolio of
five full-service hotel properties. Moody's ratings are based on
the credit quality of the loans and the strength of the
securitization structure.

The portfolio is comprised of five full-service hotels containing
2,323 keys, located across three states. The five properties are:

1. The Whitley Buckhead, a Marriott Luxury Collection Hotel located
in Atlanta, Georgia, was built in 1987 and is comprised of 507
guestrooms. The Whitley accounts for 35.2% of allocated loan amount
and 29.1% of Moody's net cash flow.

2. The Westin Buckhead located in Atlanta, Georgia, was built in
1990 and is comprised of 365 guestrooms. Westin Buckhead accounts
for 25.1% of allocated loan amount and 31.8% of Moody's net cash
flow.

3. Marriott San Ramon located in San Ramon, California, was built
in 1987 and is comprised of 368 guestrooms. Westin San Ramon
accounts for 15.4% of allocated loan amount and 15.7% of Moody's
net cash flow.

4. Westin LAX located in Los Angeles, California, was built in 1986
and is comprised of 747 guestrooms. Westin LAX accounts for 15.8%
of allocated loan amount and 12.8% of Moody's net cash flow.

5. Marriott Westfields Washington Dulles located in Chantilly,
Virginia, was built in 1989 and is comprised of 336 guestrooms.
Marriott Westfields Washington Dulles accounts for 8.6% of
allocated loan amount and 10.6% of Moody's net cash flow.

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

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

The mortgage balance of $419,430,000 represents a Moody's LTV of
161.6%. The Moody's mortgage actual DSCR is 1.79X and Moody's
mortgage actual stressed DSCR is 0.71X.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The portfolio's
property quality grade is 2.34.

Positive features of the transaction include the portfolio's brand
affiliation, capital investment, geographic diversity and cash
equity. Offsetting these strengths are the effects of the
coronavirus pandemic, high Moody's LTV, property age, full-term
interest-only floating-rate mortgage loan profile, performance
volatility inherent within the hotel sector and credit-negative
legal features.

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

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

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

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

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

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

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

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


MAGNETITE XXX: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its 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 governed by collateral quality tests.

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

  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



MARBLE POINT XVI: Moody's Assigns Ba3 Rating to $20MM E-R Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by Marble Point CLO XVI Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$1,500,000 Class X Amortizing Senior Floating Rate Notes due
2034, Assigned Aaa (sf)

US$145,000,000 Class A-R Senior Floating Rate Notes due 2034,
Assigned Aaa (sf)

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

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

US$24,500,000 Class D-1R Mezzanine Deferrable Floating Rate Notes
due 2034, Assigned Baa3 (sf)

US$10,000,000 Class D-2R Mezzanine Deferrable Floating Rate Notes
due 2034, Assigned Ba1 (sf)

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

RATINGS RATIONALE

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

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

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

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

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

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

Portfolio par: $500,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2820

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 47.00%

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.


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

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

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa3 (sf)

Cl. E, Definitive Rating Assigned Ba3 (sf)

Cl. F, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

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

The mortgage loan will be secured by 49 distribution, office, and
manufacturing properties located across 30 states (the "Portfolio"
or "Properties"). The mortgage loan is part of a larger transaction
pursuant to which the sponsors entered into a definitive agreement
to acquire Medline Industries, LP ("Medline") for a total purchase
price of approximately $32.2 billion. After the completion of the
acquisition, Mozart Holdings, LP (the "Guarantor") will be
indirectly owned by predecessor Mozart entities (21%), the
Blackstone Sponsor (19%), the Carlyle Sponsor (18%) and the H&F
Sponsor (20%) and certain co-investors (21%).

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

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

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

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

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

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

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

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

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

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

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

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


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

The certificate issuance is an RMBS transaction backed by
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 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.

  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: Not rated
  Class A-IO-S, notional(ii): Not rated
  Class XS, notional(ii): 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.



MONROE CAPITAL VIII: Moody's Gives (P)Ba3 Rating to Cl. E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of CLO refinancing notes to be issued by Monroe Capital MML
CLO VIII, Ltd. (the "Issuer").

Moody's rating action is as follows:

US$277,850,000 Class A-R Senior Floating Rate Notes Due 2033,
Assigned (P)Aaa (sf)

US$40,400,000 Class B-R Floating Rate Notes Due 2033, Assigned
(P)Aa2 (sf)

US$31,500,000 Class C-R Deferrable Mezzanine Floating Rate Notes
Due 2033, Assigned (P)A2 (sf)

US$36,250,000 Class D-R Deferrable Mezzanine Floating Rate Notes
Due 2033, Assigned (P)Baa3 (sf)

US$32,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes
Due 2033, Assigned (P)Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of middle market loans. At least 95.0% of the portfolio must
consist of senior secured loans and eligible investments, and up to
5.0% of the portfolio may consist of second lien loans, permitted
non-loan assets and senior unsecured loans.

Monroe Capital Asset Management LLC (the "Manager") will continue
to direct the selection, acquisition and disposition of the assets
on behalf of the Issuer and may engage in trading activity,
including discretionary trading, during the transaction's extended
four year reinvestment period. Thereafter, the manager may not
reinvest in new assets and all principal proceeds will be used to
amortize the Refinancing Notes in accordance with the priority of
payments.

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 modification of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"Moody's Default Probability Rating" and changes to the base matrix
and modifiers.

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

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

Performing par and principal proceeds balance: $475,000,000

Diversity Score: 52

Weighted Average Rating Factor (WARF): 4007

Weighted Average Spread (WAS): 4.60%

Weighted Average Coupon (WAC): 7.50%

Weighted Average Recovery Rate (WARR): 46.75%

Weighted Average Life (WAL): 8.0 years

Methodology Underlying the Rating Action:

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

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

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


NAVIGATOR AIRCRAFT 2021-1: Moody's Assigns Ba2 Rating to C Notes
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
series A, B and C notes (the notes) co-issued by Navigator Aircraft
ABS LLC (Navigator US) and Navigator Aircraft ABS Limited
(Navigator Cayman) (together, the issuers). The ultimate assets
backing the rated notes consist primarily of a portfolio of
aircraft and their related initial and future leases. The cash
flows from the initial and subsequent leases, proceeds from
aircraft dispositions (aircraft sales and part out) and end of
lease (EOL) payments are the primary source of repayment for the
notes. As of September 30, 2021, the initial assets consist of 22
aircraft subject to initial leases to 17 lessees domiciled in 16
countries. Dubai Aerospace Enterprise (DAE) Ltd. (DAE, Baa3 stable)
is the servicer of the underlying assets.

The issuers will use the proceeds from the issuance of the notes to
acquire the initial aircraft and the initial aircraft owning
subsidiaries (AOS).

The complete rating actions are as follows:

Issuer: Navigator Aircraft ABS Limited / Navigator Aircraft ABS
LLC, Series 2021-1

Series 2021-1 A Fixed Rate Notes, Definitive Rating Assigned A1
(sf)

Series 2021-1 B Fixed Rate Notes, Definitive Rating Assigned Baa2
(sf)

Series 2021-1 C Fixed Rate Notes, Definitive Rating Assigned Ba2
(sf)

RATINGS RATIONALE

The definitive ratings of the notes are based on (1) the credit
quality of the underlying aircraft portfolio which include mainly
young, highly liquid, narrowbody aircraft, the strong initial
contractual cash flows from scheduled lease payments and
end-of-lease payments, and the expected cash flows from subsequent
leases, (2) the transaction's structure and priority of payments,
(3) the ability, experience and expertise of DAE as servicer, (4)
the results of Moody's quantitative modeling analyses, including
sensitivity analyses with respect to certain assumptions, (5)
Moody's assumed initial cumulative loan-to-value (CLTV) ratios for
each series of notes, (6) improving, albeit still challenging,
operating environment that heightens asset risks, and (7)
qualitative considerations for risks related to asset diversity,
legal, operational, country, data quality, bankruptcy remoteness,
and ESG (environmental, social and governance) factors, among
others.

The series A, B and C notes have initial Moody's CLTV ratios of
approximately 79.7%, 95.4% and 100.2%, respectively, based on
Moody's assumed value. Moody's assumed value reflects the minimum
of several third-party appraisers' initial half-life current market
values, adjusted by a portion of the appraised maintenance
adjustment. Moody's CLTV ratio reflects the loan-to-value ratio of
the combined amounts of each series of notes and the series that
are senior to it.

On the transaction closing date, the sellers indirectly owned or
had interests in the AOSs that directly or indirectly own 18 of the
22 aircraft in the portfolio. Navigator Cayman and Navigator US
expect to acquire these AOSs from Navigator Aviation DAC. during
the 270 to 365 day purchase period. Because the ownership of the
aircraft will not change, and leases will not need to be novated,
and aircraft acquisition will be less complex, compared with cases
where aircraft ownership is changing. The remaining four aircraft
will be acquired directly from third parties into the trust after
transaction closing, increasing the risk of novation of the leases
attached to these aircraft. The risk of pool composition
deterioration due to failed novation is mitigated by a relatively
homogenous pool composition and structural features such as tight
substitution criteria.

Other considerations and modeling assumptions Moody's applied in
the analysis of this transaction:

The portfolio consists of 22 aircraft on lease to 17 lessees in 16
countries. It includes a relatively homogeneous mix of mostly
young, highly liquid, aircraft. Highly liquid narrowbody aircraft,
which make up 87% of the pool, are considered strong leasing assets
owing to their large diversified installed or expected operator
bases. The portfolio includes around 46% new technology narrowbody
aircraft less than three years old, and 54% young or mid-life
current technology aircraft.

The weighted average (WA) remaining lease term of 7.3 years. The
long leases should support contractual cash flows through the
pandemic and beyond the anticipated repayment date (ARD) in 2028.
The largest one and three lessees represent 22.2% and 46.0% of the
portfolio, respectively.

A majority of the aircraft in the portfolio have leases that will
expire after 2023 (97%), when Moody's expects a recovery in global
air travel demand to pre-pandemic (2019) levels, thus protecting
the transaction from COVID-19-related re-leasing risks.

Around 43% of the initial aircraft are leased to airlines domiciled
in the US, developed Europe and Asia Pacific. Additionally, only
around 3% of the initial contractual lease rent comes from airlines
that are investment-grade rated, and 32% below investment-grade.
The remaining initial contractual lease rent comes from airlines
that are unrated, for some of which Moody's have obtained credit
estimates.

Noteholders will benefit from EOL payments received from certain
lessees at the end of their leases. Based on projections from the
appraisal firm Alton, the aggregate projected EOL payments from the
lessees total $234 million, or 41% of the aggregate note balance.
In its analysis, Moody's gave partial credit to the EOL payments.

QUANTITATIVE MODELING ASSUMPTIONS

Initial value: Moody's initial assumed value of the aircraft in the
portfolio is $714.9 million.

Lessee defaults: Moody's inferred the probability of default of
each initial airline using either its (1) actual credit rating
where available, having a WA rating of around B3 (2) credit
estimate, or (3) a probability of default equivalent to a Caa1 or
Caa2 rating to reflect the weakened credit quality of the global
airline industry owing to COVID-19. Moody's assumed a subsequent
lessee has a default risk equivalent to a low speculative-grade
rating of B3.

Out-of-production adjustment: 12 years for the new technology
aircraft; 24 months for the current technology A320-200, A321-200,
A330-300 and B737-800 aircraft.

Payment deferrals: Moody's assumed that 25% of lease rent under
long term leases to airlines in South east Asia and Latin America
was deferred for two years after transaction closing, reflecting
current market conditions in those regions, and 100% of the
deferred rent was recovered in the third year. Additionally,
Moody's cash flow modeling analyses reflects the current reduced
rent that two lessees are paying as part of their deferral plan.

ENVIRONMENTAL RISK: The environmental risk for this aircraft lease
transaction is moderate owing to current and future carbon and air
emission regulations for airplanes, which could reduce demand for
these aircraft or relegate older aircraft to airlines with lower
credit quality. However, the relatively young pool of mostly highly
liquid narrowbody aircraft (87%), of which 46% are new technology
models that are the most fuel-efficient, mitigates these
environmental risks.

SOCIAL RISK: The social risk for this transaction is moderate.
Aircraft lease ABS are exposed to social risks that could decrease
demand for aircraft, reducing the revenue available to repay the
notes. Demographic shifts can affect air travel demand, and in turn
aircraft values and lease rates. A health pandemic, terrorism, or a
global or regional economic slowdown could result in a sharp
decline in air travel demand growth, which could reduce demand for
aircraft or weaken the credit profiles of the airlines that are
lessees in the securitization. The coronavirus pandemic will
continue to have a residual impact on the ongoing performance of
aircraft lease ABS as the US economy continues on the path toward
normalization. Economic activity will continue to strengthen in
2021 because of several factors, including the rollout of vaccines,
growing household consumption and an accommodative central bank
policy. However, specific sectors and individual businesses will
remain weakened by extended pandemic related restrictions. Moody's
regard the coronavirus outbreak as a social risk under Moody's ESG
framework, given the substantial implications for public health and
safety.

GOVERNANCE RISK: This securitization's governance risk is moderate
and typical of other aircraft lease transactions in the market. As
described in Moody's publication "Governance considerations are a
key determinant of credit quality for all issuers," September 2019,
Moody's examine five governance considerations in Moody's
analysis.

1) Financial strategy and risk management -- this transaction
limits the ability of Navigator Cayman and Navigator USA and their
respective subsidiary asset entities to engage in activities other
than the ones related to the underlying assets and this
transaction, including in respect of the issuance of additional
notes and other actions.

2) Management credibility and track record -- while the sponsor is
not rated by Moody's, the legal structure and documentation of the
transaction mitigates the governance risk.

3) The organizational/transaction structure -- this transaction's
issuers and issuer groups are structured as bankruptcy remote
special purpose entities. Potential misalignment of interests among
the transaction parties, specifically between the holders of the
series E notes and the noteholders, could arise. Most material
responsibilities of the servicer require the approval of a majority
of the co-issuers' board of directors, and does not need to include
the independent director. For instance, the issuers' boards of
which the majority is appointed by the E note holders could approve
aircraft sales that are disadvantageous to noteholders in order to
unlock the equity.

4) The board structure -- includes a board of directors for the
issuers, with one independent director, that makes decisions that
will maximize the value of the collateral, such as engaging a
successor servicer upon termination of the servicer and selling
aircraft, and an independent trustee, managing agent, and paying
agent. However, the eligibility requirements for an independent
director is somewhat weaker than those of many ABS transactions in
other asset classes that Moody's rate.

5) Compliance and reporting -- Moody's will consider the
sufficiency and frequency of this securitization's reporting in the
form of servicing reports.

In addition, Moody's note that this securitization has no objective
servicer standard of care for the servicer. Furthermore, the
servicer may have potential conflicts interests in servicing the
securitization aircraft because it also services its own aircraft
portfolio. However, the servicer covenants not to discriminate
among the securitization assets and its own assets, partially
mitigates this governance risk. Additionally, at transaction
closing, the securitized pool will represent a small portion of the
servicer's portfolio.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Securities Backed by Aircraft and Associated
Leases" published in July 2020.

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

Up

Factors that could lead to an upgrade of the ratings on the notes
are (1) collateral cash flows that are significantly greater than
Moody's initial expectations, and (2) significant improvement in
the credit quality of the airlines leasing the aircraft. Moody's
updated expectations of collateral cash flows may be better than
its original expectations because of lower frequency of lessee
defaults, lower than expected depreciation in the value of the
aircraft that secure the lessees' promise of payment under the
leases owing to stronger global air travel demand, higher than
expected aircraft disposition proceeds and higher than expected EOL
payments received at lease expiry that are used to prepay the
notes. As the primary drivers of performance, positive changes in
the condition of the global commercial aviation industry could also
affect the ratings.

Down

Factors that could lead to a downgrade of the ratings on the notes
are (1) collateral cash flows that are materially below Moody's
initial expectations, and (2) a significant decline in the credit
quality of the airlines leasing the aircraft. Other reasons for
worse-than-expected transaction performance could include poor
servicing of the assets, for example aircraft sales disadvantageous
to noteholders, or error on the part of transaction parties.
Moody's updated expectations of collateral cash flows may be worse
than its original expectations because of a higher frequency of
lessee defaults, greater than expected depreciation in the value of
the aircraft that secure the lessees' promise of payment under the
leases owing to weaker global air travel demand, credit drift as
the pool composition changes, lower than expected aircraft
disposition proceeds, and lower than expected EOL payments received
at lease expiry. Transaction performance also depends greatly on
the strength of the global commercial aviation industry.


NEUBERGER BERMAN 45: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Neuberger
Berman Loan Advisers CLO 45 Ltd./Neuberger Berman Loan Advisers CLO
45 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. 16,
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

  Neuberger Berman Loan Advisers CLO 45 Ltd./
  Neuberger Berman Loan Advisers CLO 45 LLC

  Class A, $372 million: AAA (sf)
  Class B, $84 million: AA (sf)
  Class C (deferrable), $36 million: A (sf)
  Class D (deferrable), $36 million: BBB- (sf)
  Class E (deferrable), $24 million: BB- (sf)
  Subordinated notes, $59 million: Not rated



NEUBERGER BERMAN 46: Moody's Gives (P)Ba3 Rating to $24MM E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to two
classes of notes to be issued by Neuberger Berman Loan Advisers CLO
46, Ltd. (the "Issuer" or "Neuberger Berman Loan Advisers CLO
46").

Moody's rating action is as follows:

US$372,000,000 Class A Senior Secured Floating Rate Notes due 2035,
Assigned (P)Aaa (sf)

US$24,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2035, Assigned (P)Ba3 (sf)

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

RATINGS RATIONALE

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

Neuberger Berman Loan Advisers CLO 46 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 and unsecured loans. Moody's expect the portfolio to be
approximately 80% ramped as of the closing date.

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

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

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

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

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

Par amount: $600,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2950

Weighted Average Spread (WAS): 3.30%

Weighted Average Coupon (WAC): 7.50%

Weighted Average Recovery Rate (WARR): 47.00%

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.


NLT 2021-INV3: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to NLT
2021-INV3 Trust's mortgage-backed notes series 2021-INV3.

The note issuance is an RMBS transaction backed by fixed-rate and
adjustable-rate, business purpose, investor, fully amortizing
residential mortgage loans that are secured by first liens on
primarily one-to four-family residential properties, planned unit
developments, condominiums, five- to 10-unit multi-family
properties and mixed-use properties with 30-year original terms to
maturity to nonconforming (both prime and nonprime) borrowers. The
pool consists of 908 loans backed by 1,103 properties that are
exempt from the qualified mortgage and ability-to-repay rules; of
the 908 loans, 50 are cross collateralized, which were broken down
to their constituents at the property level (making up 245
properties).

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

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

-- The collateral included in the pool;
-- The credit enhancement provided in the transaction;
-- The representation and warranty (R&W) framework;
-- The pool's geographic concentration;
-- The transaction's associated structural mechanics;
-- The transaction's mortgage loan originators/aggregator; and
-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and liquidity
available in the transaction.

  Preliminary Ratings Assigned

  NLT 2021-INV3(i)

  Class A-1, $153,219,000: AAA (sf)
  Class A-2, $14,744,000: AA (sf)
  Class A-3, $27,128,000: A (sf)
  Class M-1, $12,857,000: BBB (sf)
  Class B-1, $11,441,000: BB (sf)
  Class B-2, $8,847,000: B (sf)
  Class B-3, $7,667,113: Not rated
  Class XS, notional(ii): Not rated
  Class PT, $235,903,113(iii): Not rated
  Class A-IO-S, notional(ii): Not rated
  Class R, not applicable: Not rated

(i)The collateral and structural information in this report
reflects the term sheet dated Nov. 8, 2021. The preliminary ratings
address the ultimate payment of interest and principal; they do not
address payment of cap carryover amounts.

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


(iii)All or a portion of the initial exchangeable notes can be
exchanged for the exchangeable notes.



OAK STREET 2021-2: S&P Assigns Prelim BB+ (sf) Rating on B-3 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Oak Street
Investment Grade Net Lease Fund L.P.'s net lease mortgage notes
series 2021-2.

The note issuance is an ABS securitization backed by 273
industrial, retail, and office commercial real estate properties,
including related rents due under triple-net and modified
triple-net lease contracts with the properties' tenants.

The preliminary ratings are based on information as of Nov. 15,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The credit enhancement available in the form of subordination
for the class A-1/A-2, A-3/A-4, and B-1/B-2 notes;

-- Overcollateralization (the aggregate appraised value minus the
aggregate series' principal balance);

-- The available cushion, as measured by the issuer debt service
coverage ratio (DSCR): year one DSCR is expected to be at least
1.50x, which also includes the debt service for the subordinated
class B-3 notes;

-- Oak Street Investment Grade Net Lease Fund GP LLC's and Oak
Street Investment Grade Net Lease Fund Canada PM ULC's (the
servicers) property management and special servicing abilities;

-- The experience of KeyBank N.A. as backup manager;

-- The projected cash flows and collateral supporting the notes;

-- The high leverage and long period of no cash flow to the class
B-3 notes; and

-- The transaction's legal and payment structures.

This is the third transaction issued out of the master trust. The
collateral will be shared between series 2020-1, 2021-1, and
2021-2.

  Preliminary Ratings Assigned

  Oak Street Investment Grade Net Lease Fund L.P. (Series 2021-2)

  Class A-1/A-2, $317.00 million(i): AAA (sf)(ii)
  Class A-3/A-4, $226.00 million(i): A (sf)(ii)
  Class B-1/B-2, $82.00 million(i): BBB+ (sf)(ii)
  Class B-3, $136.0 million(i): BB+ (sf)(ii)

(i)The class amounts will be sized to investor demand.
(ii)The ratings do not address post-ARD additional interest.



OBX TRUST 2021-INV3: Moody's Assigns (P)B3 Rating to Cl. B-5 Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 48
classes of residential mortgage-backed securities (RMBS) issued by
OBX 2021-INV3 Trust (OBX 2021-INV3). The ratings range from (P)Aaa
(sf) to (P)B3 (sf).

OBX 2021-INV3, the ninth rated issue from Onslow Bay Financial LLC
(Onslow Bay) in 2021, is a prime RMBS securitization of 15 to
30-year fixed-rate, predominantly agency-eligible mortgage loans
secured by first liens on mainly non-owner occupied residential
properties (designated for investment purposes by the borrower).
All the loans were underwritten using one of the
government-sponsored enterprises' (GSE) automated underwriting
systems (AUS) and 98.9% by unpaid principal balance (UPB) received
an "Approve" or "Accept" recommendation whereas 1.1% by UPB were
ineligible due to higher loan balance. As of the cut-off date, no
borrower under any mortgage loan is currently in an active Covid-19
related forbearance plan with the related servicer.

Onslow Bay does not originate residential mortgage loans. Onslow
Bay, the seller/sponsor, purchased approximately 32.3%, 17.0%,
14.6% and 11.5% by UPB, from Rocket Mortgage, LLC (Rocket Mortgage;
f/k/a Quicken Loans, LLC, rated Ba1 (CFR) with Positive outlook),
Caliber Home Loans, Inc. (Caliber), loanDepot.com, LLC (loanDepot)
and LendUS, LLC (LendUS), respectively, and the remainder from
various other mortgage originators.

Select Portfolio Servicing, Inc. and NewRez LLC d/b/a Shellpoint
Mortgage Servicing (Shellpoint) will service 67.8% and 32.2% (by
UPB) of the mortgage loans respectively on behalf of the issuing
entity, starting November 1, 2021. Wells Fargo Bank, N.A. (Wells
Fargo; long term deposit Aa1, long term debt Aa2) will act as
master servicer but Computershare Trust Company, N.A. (CTCNA) will
perform all of Wells Fargo obligations as an Agent. Certain
servicing advances and advances for delinquent scheduled interest
and principal payments will be funded, unless the related mortgage
loan is 120 days or more delinquent or the servicer determines that
such delinquency advances would not be recoverable. The master
servicer is obligated to fund any required monthly advances if the
servicer fails in its obligation to do so. The master servicer and
servicer will be entitled to reimbursements for any such monthly
advances from future payments and collections with respect to those
mortgage loans.

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

OBX 2021-INV3 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordination floor. In Moody's analysis of tail risk, Moody's
considered the increased risk from borrowers with more than one
mortgage in the pool.

The complete rating actions are as follows:

Issuer: OBX 2021-INV3 Trust

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-18, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-IO20*, Assigned (P)Aa1 (sf)

Cl. A-IO21*, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

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

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected losses in a base case scenario are 0.89% and reach
6.37% at a stress level consistent with Moody's Aaa rating
scenario.

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

Collateral Description

The OBX 2021-INV3 transaction is a securitization of 1,301 mortgage
loans (1,297 agency-eligible conforming loans and 4
non-agency-eligible loans), secured by 15 to 30-year fixed-rate,
mainly non-owner occupied first liens on one-to four-family
residential properties, planned unit developments, condominiums and
townhouses with an unpaid principal balance of approximately
$470,576,068. The notes are backed by 99.8% investment property
mortgage loans and the remaining 0.2% are second home loans. The
mortgage pool has a WA seasoning of about 5 months. The loans in
this transaction have strong borrower credit characteristics with a
weighted average current FICO score of 771 and a weighted-average
original combined loan-to-value ratio (CLTV) of 63.6%. In addition,
16.7% of the borrowers are self-employed and refinance loans
comprise about 66.0% of the aggregate pool. The pool has a high
geographic concentration with 51.3% of the aggregate pool located
in California, with 19.4% located in the Los Angeles-Long
Beach-Anaheim MSA and 9.5% located in the San
Francisco-Oakland-Hayward MSA. The characteristics of the loans
underlying the pool are generally comparable to other recent prime
RMBS transactions backed by investment property mortgage loans that
Moody's have rated.

As of the cut-off date, no borrower under any mortgage loan is
currently in an active Covid-19 related forbearance plan with the
related servicer. However, there were two loans that were
previously in a Covid-19 forbearance plan (0.1% by UPB), but both
are current on payment status since December 2020. In the event
that, after cut-off date, a borrower enters into or requests an
active Covid-19 related forbearance plan, such mortgage loan will
remain in the mortgage pool. Furthermore, there are also six loans
(0.3% by UPB) that are 30-day delinquent as per MBA Method due to
servicing transfer.

Appraisal Waiver (AW) loans, all of which are agency-eligible
loans, which constitute approximately 2.5% of the mortgage loans by
aggregate cut-off date balance, may present a greater risk as the
value of the related mortgaged properties may be less than the
value ascribed to such mortgaged properties. Moody's made an
adjustment in Moody's analysis to account for the increased risk
associated with such loans. However, Moody's have tempered this
adjustment by taking into account the GSEs' robust risk modeling,
which helps minimize collateral valuation risk, as well as the
GSEs' conservative eligibility requirements for AW loans which
helps to support deal collateral quality.

Origination Quality

Majority of the mortgage loans in the pool were originated by
Rocket Mortgage, Caliber, loanDepot and LendUS. All other
originators represent less than 5.0% by loan balance. All the
mortgage loans comply with Freddie Mac and Fannie Mae underwriting
guidelines, with 98.9% receiving an "Approve" or "Accept"
recommendation, which take into consideration, among other factors,
the income, assets, employment and credit score of the borrower.
The remaining 1.1% were ineligible due to higher loan balance and
Moody's analyze such prime jumbo loans using Moody's private-label
model to assess the loan default probability and loss severity.

With exception for loans originated by Rocket Mortgage
(approximately 32.3% by UPB), LendUS (approximately 11.5% by UPB)
and Stearns Lending, LLC (approximately 0.1% by UPB), Moody's did
not make any adjustments to Moody's base case and Aaa stress loss
assumptions, regardless of the originator, since the loans were all
underwritten in accordance with GSE guidelines.

Moody's increased its loss assumption for loans originated by
Rocket Mortgage due to the relatively weaker performance of their
investment property mortgage transactions compared to similar
transactions from other originators. Moody's increased its loss
assumption for loans originated by LendUS due to insufficient
performance information. Moody's increased its loss assumption for
the loans originated by Stearns Lending, LLC, recently out of
bankruptcy, because sufficient time has not elapsed to assess
whether the originator had corrected any origination issues that
contributed to the bankruptcy filing.

Servicing Arrangement

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

Shellpoint and SPS will be the named primary servicer for this
transaction and will service 32.2% and 67.8% of the pool
respectively, starting November 1, 2021. Shellpoint is an approved
servicer in good standing with Ginnie Mae, Fannie Mae and Freddie
Mac. Shellpoint's primary servicing location is in Greenville,
South Carolina. Shellpoint services residential mortgage assets for
investors that include banks, financial services companies, GSEs
and government agencies. Wells Fargo will act as master servicer
but CTCNA will perform all of Wells Fargo obligations as an Agent.

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

Similarly to the OBX 2021-INV2 transaction Moody's have rated, and
in contrast to the OBX 2021-J shelf, no advances of delinquent
principal or interest will be made for mortgage loans that become
120 days or more delinquent under the MBA method. Subsequently, if
there are mortgage loans that are 120 days or more delinquent on
any payment date, there will be a reduction in amounts available to
pay principal and interest otherwise payable to note holders.
Moody's did not make an adjustment for the stop advance feature due
to the strong reimbursement mechanism for liquidated mortgage
loans. Proceeds from liquidated mortgage loans are included in the
available distribution amount and are paid according to the
waterfall.

Third Party Review (TPR)

Five independent TPR firms, AMC Diligence, LLC (AMC), Consolidated
Analytics, Inc, Inglet Blair, LLC, Canopy Financial Technology
Partners, LLC and Recovco Mortgage Management, LLC were engaged to
conduct due diligence for the credit, compliance, property
valuation and data integrity for approximately 87.0% of the final
mortgage pool (by loan count). The original population included
1,229 loans in the initial securitized pool. During the course of
the review, 97 loans were removed for various reasons. The final
population of the review consisted of 1,132 loans in the final
securitized pool. The TPR results indicated compliance with the
originators' underwriting guidelines for most of the loans without
any material compliance issues or appraisal defects. 100.0% of the
loans reviewed in the final population received a grade B or higher
with 89.0% of loans receiving an A grade.

Representations & Warranties (R&W)

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

Overall, the loan-level R&Ws are strong and, in general, either
meet or exceed the baseline set of credit-neutral R&Ws Moody's
identified for US RMBS. Among other considerations, the R&Ws
address property valuation, underwriting, fraud, data accuracy,
regulatory compliance, the presence of title and hazard insurance,
the absence of material property damage, and the enforceability of
the mortgage.

Each originator will provide comprehensive loan level
representations and warranties for their respective loans. BANA
will assign each originator's R&W to the seller (OBX) through AAR,
who will in turn assign to the depositor, which will assign to the
trust. To mitigate the potential concerns regarding the
originators' ability to meet their respective R&W obligations,
Onslow Bay Financial LLC (the seller, an unrated party) will
backstop the R&Ws for all originator's loans. The R&W provider's
obligation to backstop third party R&Ws will terminate 5 years
after the closing date, subject to certain performance conditions.
The R&W provider will also provide the gap reps. The rep provider
is an unrated entity with weak financial that may not have the
financial wherewithal to purchase defective loans. Moody's have
increased Moody's loss levels to account for the financial weakness
of the R&W provider (Onslow Bay).

Tail Risk and Subordination Floor

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

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.


OBX TRUST2021-NQM4: Fitch Gives 'B(EXP)' Rating on Class B-2 Debt
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to OBX 2021-NQM4 Trust
(OBX 2021-NQM4).

  DEBT                     RATING
  ----                     ------
OBX 2021-NQM4

Class A-1       LT AAA(EXP)sf    Expected Rating
Class A-2       LT AA(EXP)sf     Expected Rating
Class A-3       LT A(EXP)sf      Expected Rating
Class A-IO-S    LT NR(EXP)sf     Expected Rating
Class B-1       LT BB(EXP)sf     Expected Rating
Class B-2       LT B(EXP)sf      Expected Rating
Class B-3       LT NR(EXP)sf     Expected Rating
Class M-1       LT BBB(EXP)sf    Expected Rating
Class R         LT NR(EXP)sf     Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed notes issued
by OBX 2021-NQM4 as indicated above. The transaction is scheduled
to close on Nov. 22, 2021. The notes are supported by 785 loans
with a total unpaid principal balance of approximately $542.84
million as of the cutoff date. The pool consists of fixed-rate
mortgages (FRMs) and adjustable-rate mortgages (ARMs) acquired by
Annaly Capital Management, Inc. (Annaly) from various originators
and aggregators.

Distributions of principal and interest (P&I) and loss allocations
are based on a modified sequential payment structure. The
transaction has a stop advance feature where the P&I advancing
party will advance delinquent P&I for up to 120 days. Of the loans,
76% are designated as non-qualified mortgage (Non-QM) and 24% are
investment properties not subject to the Ability to Repay (ATR)
Rule.

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 (vs. 11.7%
on a national level). Underlying fundamentals are not keeping pace
with the growth in prices, which is a result of a supply/demand
imbalance driven by low inventory, low mortgage rates and new
buyers entering the market. These trends have led to significant
home price increases over the past year, with home prices rising
18.6% yoy nationally as of June 2021.

Non-Prime Credit Quality (Mixed): The collateral consists of 15-,
30- and 40-year fixed- rate and adjustable-rate loans (12.4% are
adjustable rate); 16.9% of the loans are interest-only (IO) loans
and the remaining 83.1% are fully amortizing loans. The pool is
seasoned approximately six months in aggregate. The borrowers in
this pool have relatively strong profiles with a 755 weighted
average (WA) Fitch-calculated model FICO and moderate leverage
(77.3% sustainable loan to value ratio [sLTV]). The pool
characteristics resemble recent non-prime collateral.

Investor Properties, Non-QM and Alternative Documentation
(Negative): The pool contains a meaningful amount of investor
properties (24%), non-qualified mortgage (non-QM) loans (76%) and
non-full documentation loans (83%). Fitch's loss expectations
reflect the higher default risk associated with these attributes as
well as loss severity (LS) adjustments for potential
ability-to-repay (ATR) challenges. Higher LS assumptions are
assumed for the investor property product to reflect potential risk
of a distressed sale or disrepair.

High California Concentration (Negative): Approximately 55% of the
pool is located in California. In addition, the MSA concentration
is large, as the top three MSAs (Los Angeles, New York and San
Francisco) account for 48% of the pool. As a result, a geographic
concentration penalty of 1.13x was applied to the probability of
default (PD).

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

Advances of delinquent P&I will be made on the mortgage loans for
the first 120 days of delinquency, to the extent such advances are
deemed recoverable. The P&I Advancing Party (Onslow Bay Financial
LLC) is obligated to fund delinquent P&I advances for the
Shellpoint, SPS and SLS loans. AmWest will be responsible for
making P&I Advances with respect to the AmWest Serviced Mortgage
Loans. If AmWest or the P&I Advancing Party, as applicable, fails
to remit any P&I Advance required to be funded, the Master Servicer
(Wells Fargo) will fund the advance.

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:

-- 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.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton, IngletBlair, Covius, AMC, and Evolve. The
third-party due diligence described in Form 15E focused on three
areas: compliance review, credit review, and valuation review.
Fitch considered this information in its analysis and, as a result,
Fitch did not make any adjustment(s) to its analysis due to the
loan-level due diligence findings. Based on the results of the 100%
due diligence performed on the pool, the overall expected loss was
reduced by 0.43%.

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.


OCTAGON INVESTMENT 50: 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 notes and the new class X notes from
Octagon Investment Partners 50 Ltd., a CLO originally issued in
November 2020 that is managed by Octagon Credit Investors LLC.

The preliminary ratings are based on information as of Nov. 16,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

S&P said, "On the Nov. 19, 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 B-R, C-R, D-R, and E-R notes are expected
to be issued at a lower spread over three-month LIBOR than the
original notes.

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

-- New class X notes are expected to be issued in connection with
this refinancing. These notes are expected to be paid down using
interest proceeds during the first two payment dates beginning with
the payment date in April 2022.

-- The reinvestment period will be extended to January 2027 and
the non-call period will be extended to November 2023. The stated
maturity date will be extended to January 2035.

-- The weighted average life test will be reset to nine years
after the refinancing date.

-- The required minimum overcollateralization (O/C) ratio with
respect to the class E-R notes and the interest diversion test will
be amended.

-- The transaction is modifying its investment criteria, including
certain concentration limitations and provisions relating to the
acquisition of non-loan and workout related assets. In addition,
the transaction has made updates to conform to current rating
agency methodology.

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

  Octagon Investment Partners 50 Ltd./
  Octagon Investment Partners 50 LLC

  Class X, $1.00 million: AAA (sf)
  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-R (deferrable), $24.00 million: BBB- (sf)
  Class E-R (deferrable), $16.00 million: BB- (sf)
  Subordinated notes, $41.20 million: Not rated



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

  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: BB- (sf)
  Subordinated notes, $36.80 million: Not rated



PRIMA CAPITAL 2021-X: Moody's Assigns B3 Rating to Class C Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to three class of
notes issued by Prima Capital CRE Securitization 2021-X Ltd (the
"Issuer") as follows:

Cl. A, Assigned Aa3 (sf)

Cl. B, Assigned Baa3 (sf)

Cl. C, Assigned B3 (sf)

The Cl. A, Cl. B and Cl. C notes are referred to herein 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 CRE CLO's portfolio and structure.

Prima Capital CRE Securitization 2021-X Ltd. is a cash flow
commercial real estate CLO ("CRE CLO") that does not have a
reinvestment option. At the closing date, 100% of the assets are
identified and closed. The closing date pool is collateralized by
15 collateral interests (13 obligors) in the form of: i) single
asset/single borrower commercial real estate bonds (CMBS, B-Notes
and C-Notes), primarily secured by industrial, office and
multifamily properties (77.85% of the initial pool balance) and ii)
mezzanine interests in commercial real estate, secured by office
properties (22.15%). Approximately (11.20%) of the collateral
assets are either i) currently rated by Moody's, or ii) in
transactions rated by Moody's, and the other (88.80%) of the
collateral assets were provided an assessment of credit. The total
closing date par amount is $284,385,000. The closing date portfolio
consists of 100.0% fixed rate obligations with a 4.19% weighted
average coupon.

The transaction closed on November 16, 2021.

PMIT Master Fund, LLC is the collateral seller of all the assets in
the pool. Prima Capital Advisors LLC will act as trust advisor
pursuant to the indenture and will perform certain reporting duties
for the benefit of the noteholders. As the transaction is static,
unscheduled principal payments and sale proceeds of credit risk and
defaulted assets will be used to pay down the notes per the
transaction waterfall.

In addition to the Rated Notes, the Issuer will issue one class of
subordinated notes and one class of preferred shares.

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

Moody's has identified the following parameters as key indicators
of the expected loss within CRE CLO transactions: weighted average
rating factor (WARF), a primary measure of credit quality with
credit assessments completed for all of the collateral, weighted
average life (WAL), weighted average recovery rate (WARR), number
of asset obligors; and pair-wise asset correlation. These
parameters are typically modeled as actual parameters for static
deals and as covenants for managed deals.

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

Par amount: $284,385,000

Number of obligors: 13, Herf: 11.4

Weighted Average Rating Factor (WARF): 2947

Weighted Average Recovery Rate (WARR): 24.84%

Weighted Average Life (WAL): 6.5 years

Weighted Average Spread (WAC): 4.19%

Weighted Average Coupon (WAS): n/a

Pair-wise asset correlation: 35.0%

Methodology Underlying the Rating Action:

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

Factors that would lead to an Upgrade or Downgrade of the rating:

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 trust advisor's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.

Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base-case.

Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment.


PROVIDENT FUNDING 2020-1: Moody's Ups Cl. B-5 Bonds Rating to Ba3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 27 classes of
Freddie Mac STACR REMIC Trust 2020-HQA2 (STACR 2020-HQA2) and
Provident Funding Mortgage Trust 2020-1 (PFMT 2020-1). STACR
2020-HQA2 is issued by the Federal Home Loan Mortgage Corporation
(Freddie Mac) to share the credit risk on a reference pool of
mortgages with the capital markets. The transaction is structured
as a real estate mortgage investment conduit (REMIC). PFMT 2020-1
is a securitization of agency-eligible mortgage loans originated
and serviced by Provident Funding Associates, L.P.

The complete rating action is as follows:

Issuer: Freddie Mac STACR REMIC Trust 2020-HQA2

Cl. M-2, Upgraded to Ba1 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Ba2 (sf)

Cl. M-2A, Upgraded to A3 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AI*, Upgraded to A3 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AR, Upgraded to A3 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AS, Upgraded to A3 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AT, Upgraded to A3 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2AU, Upgraded to A3 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. M-2B, Upgraded to Ba2 (sf); previously on Mar 18, 2020
Definitive Rating Assigned B1 (sf)

Cl. M-2BI*, Upgraded to Ba2 (sf); previously on Mar 18, 2020
Definitive Rating Assigned B1 (sf)

Cl. M-2BR, Upgraded to Ba2 (sf); previously on Mar 18, 2020
Definitive Rating Assigned B1 (sf)

Cl. M-2BS, Upgraded to Ba2 (sf); previously on Mar 18, 2020
Definitive Rating Assigned B1 (sf)

Cl. M-2BT, Upgraded to Ba2 (sf); previously on Mar 18, 2020
Definitive Rating Assigned B1 (sf)

Cl. M-2BU, Upgraded to Ba2 (sf); previously on Mar 18, 2020
Definitive Rating Assigned B1 (sf)

Cl. M-2I*, Upgraded to Ba1 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Ba2 (sf)

Cl. M-2R, Upgraded to Ba1 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Ba2 (sf)

Cl. M-2RB, Upgraded to Ba2 (sf); previously on Mar 18, 2020
Definitive Rating Assigned B1 (sf)

Cl. M-2S, Upgraded to Ba1 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Ba2 (sf)

Cl. M-2SB, Upgraded to Ba2 (sf); previously on Mar 18, 2020
Definitive Rating Assigned B1 (sf)

Cl. M-2T, Upgraded to Ba1 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Ba2 (sf)

Cl. M-2TB, Upgraded to Ba2 (sf); previously on Mar 18, 2020
Definitive Rating Assigned B1 (sf)

Cl. M-2U, Upgraded to Ba1 (sf); previously on Mar 18, 2020
Definitive Rating Assigned Ba2 (sf)

Cl. M-2UB, Upgraded to Ba2 (sf); previously on Mar 18, 2020
Definitive Rating Assigned B1 (sf)

Issuer: Provident Funding Mortgage Trust 2020-1

Cl. B-1, Upgraded to Aaa (sf); previously on Feb 26, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to Aa1 (sf); previously on Feb 26, 2020
Definitive Rating Assigned A1 (sf)

Cl. B-3, Upgraded to A1 (sf); previously on Feb 26, 2020 Definitive
Rating Assigned Baa2 (sf)

Cl. B-4, Upgraded to Baa2 (sf); previously on Feb 26, 2020
Definitive Rating Assigned Ba2 (sf)

Cl. B-5, Upgraded to Ba3 (sf); previously on Feb 26, 2020
Definitive Rating Assigned B2 (sf)

*Reflects Interest-Only Classes

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

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool. In these
transactions, high prepayment rates averaging 30%-45% over the last
six months, driven by the low interest rate environment, have
benefited the bonds by increasing the paydown and building credit
enhancement.

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

For transactions where more than 4% of the loans in pool have been
enrolled in payment relief programs for more than 3 months, Moody's
further increased the expected loss to account for the rising risk
of potential deferral losses to the subordinate bonds. Moody's also
considered higher adjustments for transactions where more than 10%
of the pool is either currently enrolled or was previously enrolled
in a payment relief program. Specifically, Moody's account for the
marginally increased probability of default for borrowers that have
either been enrolled in a payment relief program for more than 3
months or have already received a loan modification, including a
deferral, since the start of the pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remained unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are enrolled in payment relief plans in the underlying pool ranged
between 1%-5% over the last six months.

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

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of 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
Moody's ESG framework, given the substantial implications for
public health and safety.

Principal Methodologies

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

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

Up

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

Down

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

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


RCKT MORTGAGE 2021-5: Moody's Assigns B3 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 52
classes of residential mortgage-backed securities (RMBS) issued by
RCKT Mortgage Trust 2021-5 (RCKT 2021-5). The ratings range from
Aaa (sf) to 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 (CFR) 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, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-16, Definitive Rating Assigned Aaa (sf)

Cl. A-17, Definitive Rating Assigned Aaa (sf)

Cl. A-18, Definitive Rating Assigned Aaa (sf)

Cl. A-19, Definitive Rating Assigned Aaa (sf)

Cl. A-20, Definitive Rating Assigned Aaa (sf)

Cl. A-21, Definitive Rating Assigned Aaa (sf)

Cl. A-22, Definitive Rating Assigned Aaa (sf)

Cl. A-23, Definitive Rating Assigned Aaa (sf)

Cl. A-24, Definitive Rating Assigned Aa1 (sf)

Cl. A-25, Definitive Rating Assigned Aa1 (sf)

Cl. A-26, Definitive Rating Assigned Aa1 (sf)

Cl. A-27, Definitive Rating Assigned Aaa (sf)

Cl. A-28, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

Cl. A-X-12*, Definitive Rating Assigned Aa1 (sf)

Cl. A-X-13*, Definitive Rating Assigned Aa1 (sf)

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

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

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

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

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

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

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

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

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

Cl. B-4, Definitive Rating Assigned 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 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.



REALT 2021-1: Fitch Assigns B Rating on Class G Certs
-----------------------------------------------------
Fitch Ratings has assigned the following final ratings and Rating
Outlooks to Real Estate Asset Liquidity Trust (REALT) 2021-1
commercial mortgage pass-through certificates, series 2021-1:

-- CAD335,300,000 class A-1 'AAAsf'; Outlook Stable;

-- CAD137,733,000 class A-2 'AAAsf'; Outlook Stable;

-- CAD12,233,000 class B 'AAsf'; Outlook Stable;

-- CAD15,632,000 class C 'Asf'; Outlook Stable;

-- CAD4,757,000 class D-1 'BBBsf'; Outlook Stable;

-- CAD12,234,000bc class D-2 'BBBsf'; Outlook Stable;

-- CAD4,078,000bc class E 'BBB-sf'; Outlook Stable;

-- CAD6,796,000bc class F 'BBsf'; Outlook Stable;

-- CAD5,437,000bc class G 'Bsf'; Outlook Stable.

Fitch does not rate the following classes:

-- CAD485,266,000a class X;

-- CAD9,517,104bc class H.

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

(b) Non-offered certificates.

(c) Horizontal credit risk retention interest representing at least
5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity (as of the closing
date).

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 79 fixed-rate loans secured by
150 commercial properties located in Canada with an aggregate
principal balance of CAD543.7 million as of the cutoff date. The
loans were contributed to the trust by Royal Bank of Canada and
Bank of Montreal. The master and special servicer is MCAP Financial
Corporation.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 20.9% of the properties
by balance, cash flow analyses of 73.0% 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 the loans are current and are not subject
to any ongoing forbearance requests; however, five loans (15.0% of
the pool) received coronavirus relief in 2020. See the "Coronavirus
Considerations and Payment Accommodations" section of the
transaction presale report for additional information.

KEY RATING DRIVERS

Fitch Leverage in Line with Recent Canadian Transactions: The
transaction has leverage in line with that of other, recent,
Fitch-rated Canadian multiborrower transactions. The pool's Fitch
debt service coverage ratio (DSCR) of 1.14x is lower than the 2019
Canadian transaction DSCR of 1.15x, but higher than the 2020
transaction DSCR of 1.12x. The pool's Fitch loan to value ratio
(LTV) of 107.4% is higher than that of the 2019 Canadian
transaction, which had an LTV of 103.2%, but lower than the 2020
transaction LTV of 109.5%.

Canadian Loan Attributes and Historical Performance: The ratings
reflect strong historical Canadian commercial real estate (CRE)
loan performance, including a low delinquency rate and low
historical losses of less than 0.1%, as well as positive loan
attributes, such as amortization (no IO loans) and recourse to the
borrower, and additional guarantors on many loans.

Significant Amortization: There are no IO or partial IO loans in
the pool. Additionally, the pool is scheduled to amortize 16.4%
from cutoff balance to maturity, which is more than the 2019
Canadian transaction's scheduled amortization of 15.9%, less than
the 2020 Canadian transaction's scheduled amortization of 19.3% and
significantly greater than the YTD 2021 U.S. multiborrower average
of 5.0%.

Recourse: Seventy loans, accounting for 80.8% of the pool, are
either full or partial recourse to the borrowers, sponsors or
additional guarantors, which is above the 2019 and 2020 Canadian
transactions' recourse percentages of 66.3% and 72.7%,
respectively. In Fitch's analysis, the probability of default (PD)
is reduced for loans with recourse to well-capitalized entities or
warm-body guarantors.

High Sponsor Concentration: The sponsor concentration index (SCI)
of 1,073 indicates a very concentrated pool by sponsor. The SCI
score for the 2019 and 2020 Canadian transactions was 400 and 538,
respectively. The largest sponsor, Anthony Giuffre, the CEO of
Avenue Living Asset Management, is a sponsor for 24 loans
accounting for 29.8% of the pool. All the loans for which Anthony
Giuffre is the sponsor are full recourse to Anthony Giuffre as well
as additional entities. Fitch conducted a virtual management
meeting with Anthony Giuffre and Jason Jogia, the chief investment
officer of Avenue Living Asset Management. For more information,
refer to the Loan and Sponsor Concentration section of the presale
report.

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'/'AAsf'/'Asf'/'BBBsf'/'BBB-
    sf'/'BBsf'/'Bsf';

-- 10% NCF Decline: 'Asf'/'A-
    sf'/'BBBsf'/'BB+sf'/'BBsf'/'Bsf'/'CCCsf';

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

-- 30% NCF Decline: 'BBB-
    sf'/'BB+sf'/'BBsf'/'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'/'AAsf'/'Asf'/'BBBsf'/'BBB-
    sf'/'BBsf'/'Bsf';

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by PricewaterhouseCoopers 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.


SANDSTONE PEAK: S&P Assigns BB- (sf) Rating on $16.88MM E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Sandstone Peak Ltd.'s
fixed- and floating-rate notes.

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

The 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; and

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

  Ratings Assigned

  Sandstone Peak Ltd.

  Class A-1, $279.00 million: AAA (sf)
  Class A-2, $9.00 million: Not rated
  Class B-1, $46.50 million: AA (sf)
  Class B-2, $7.50 million: AA (sf)
  Class C (deferrable), $27.00 million: A (sf)
  Class D (deferrable), $24.75 million: BBB (sf)
  Class E (deferrable), $16.88 million: BB- (sf)
  Subordinated notes, $43.35 million: Not rated



SILVER AIRCRAFT: Fitch Cuts Rating on Series C Notes to 'CCC'
-------------------------------------------------------------
Fitch Ratings has affirmed the ratings of all series of outstanding
notes issued by Shenton Aircraft Investment I Ltd. (SAIL) and
downgraded all series of notes issued by Silver Aircraft Lease
Investment Limited (Silver). Further, the Rating Outlook on each
series of notes remains Negative, except for the Silver series C
notes.

DEBT                              RATING            PRIOR
----                              ------            -----
Shenton Aircraft Investment I Ltd.

Series 2015-1A 82321UAA1    LT Asf     Affirmed     Asf
Series 2015-1B 82321UAB9    LT BBBsf   Affirmed     BBBsf

Silver Aircraft Lease Investment Limited

A 827304AA4                 LT A-sf    Downgrade    Asf
B 827304AB2                 LT BBsf    Downgrade    BBBsf
C 827304AC0                 LT CCCsf   Downgrade    BBsf

TRANSACTION SUMMARY

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

The Outlook remains Negative on all series of notes, reflecting
Fitch's base case expectation for the structure to withstand
immediate and near-term stresses at the updated assumptions, and
stressed scenarios commensurate with their respective ratings.
Continued global travel restrictions and overall airline recovery
driven by the pandemic and the subsequent airlines 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, which can be more impactful on these three
pools since they contain a large percent of older aircraft. These
negative factors could manifest in the transactions, resulting in
lower cash flows and pressure on ratings in the near-term.

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

Cash flow modeling for SAIL was not conducted as performance has
been within expectations, and the transaction was modeled within
the past 18 months, consistent with criteria. While Silver
experienced stability in airline lessee credit with the 'CCC' rated
bucket improving noticeably, improved utilization with other
metrics being fairly stable since the last review, the
transaction's performance has been slightly outside of Fitch's
expectations. Therefore, Fitch conduced a cash flow analysis of
Silver for this review.

BOC Aviation Limited (BOCA; Issuer Default Rating [IDR] A-/Stable),
a subsidiary of Bank of China Limited (A/Stable), and certain
affiliates are the sellers of the assets. BOCA Ireland, a
subsidiary of BOCA, acts as servicer for both transactions. Fitch
deems the servicer to be adequate to service ABS based on its
experience as a lessor, overall servicing capabilities and
historical ABS performance to date.

KEY RATING DRIVERS

Deteriorating Airline Lessee Credit:

The credit profiles of the airline lessees in the pools remain
stable-to-improved since the prior review, but remain under stress
due to the ongoing coronavirus-related impact on all global
airlines in 2021. The proportion of the airline lessees assumed at
a 'CCC' IDR and below in the SAIL pool decreased to 52% from 65%,
while those of Silver decreased to 52% from 70%. The assumptions
reflect the airlines' ongoing credit profiles and fleets in the
current operating environment, due to the continued
pandemic-related impact on the sector. Any publicly rated airlines
in the pool whose ratings have shifted have been updated.

Asset Quality and Appraised Pool Value:

Each pool features mostly liquid narrow-body (NB) aircraft, which
is viewed positively. Wide-body (WB) aircraft total 29.0% and 31.6%
in SAIL and Silver, respectively. One aircraft remains off-lease in
SAIL totaling 6% of the pool, while Silver has no off-leased
aircraft. Uncertainty remains over ongoing pressure on aircraft
market values (MVs) and how the current environment will impact
near-term lease maturities.

IBA Group Ltd. (IBA) and Morten Beyer & Agnew Inc. (mba) are shared
appraisers between the two transactions. The third appraiser for
SAIL is BK Associates, Inc. and for Silver is Collateral
Verifications, LLC. Appraisals were last updated in December 2020
for both SAIL and Silver, with reported values of $514.0 million
for SAIL and $572.4 million for Silver, as of the November 2021
servicer report.

Fitch was provided with a more recent set of appraisals in late
2021 in conjunction with this review. Fitch derived conservative
asset values for each transaction as there is continued pressure
and weaker MVs for certain aircraft variants, particularly WBs.
Fitch utilized the average excluding highest value of the
maintenance-adjusted base values (MABVs) for NBs, consistent with
the prior review. For WBs, Fitch used the average of the
maintenance-adjusted MV. Based on updated appraisals provided to
Fitch, this resulted in Fitch modeled values of $479.0 million for
Silver. This value assumption is approximately 16% lower than the
current transaction values, or 9% lower than the average MABV of
the updated appraisals.

Transaction Performance:

Lease collections have fluctuated in 2021 but have remained
rangebound since the prior review. Based on the November 2021
servicer report covering the October collection period, SAIL and
Silver received $3.6 million and $3.8 million in basic rent
collections, lower than the average monthly receipts of $4.7
million and $4.1 million over the last 12 months. Loan-to-values
(LTVs) on Silver's series of notes increased since the prior review
based on the updated Fitch LTVs and values utilized in this review.
Conversely, SAIL LTVs remain relatively stable from the prior
review based on updated Fitch LTVs.

All series A and B notes in each transaction continue to receive
interest payments through the October collection period. Available
cashflow has been sufficient to pay a portion of note A principal
amount for each transaction, but Silver's series A notes have
received minimal principal payments for the recent nine months. The
debt service coverage ratios (DSCRs) for both transactions remain
below their respective trigger levels. For SAIL, DSCR has been in
breach of the rapid amortization trigger for a couple years and has
prioritized series A expected principal. Due to the older
structure, a portion of minimum series B principal is anticipated
to be paid prior to any series A principal, as outlined in
transaction documents. For Silver, series B has not received
principal since the March 2020 collection period over 18 months
ago.

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.

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

Maintenance costs over the immediate next six months were assumed
to be incurred as reported. Costs in the following month were
reduced by 50% and assumed to increase straight line to 100% over a
12-month period. Any deferred costs were incurred in the following
12 months. Further, maintenance costs were adjusted in the
medium-term based on the comparison between the maintenance
look-forward schedule in the servicer report and the initial
forecasted schedule. 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:

Base Assumptions with Weaker WB Values:

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

-- The pool contains high concentrations of WB aircraft at
    approximately 29.0% and 31.6% for SAIL and Silver,
    respectively. Due to continuing MV pressure on WB and
    worsening supply and demand dynamics, Fitch explored the
    potential cash flow decline if WB values were haircut by an
    additional 10% of Fitch's modeled values.

-- For Silver, net cash flow declines by approximately $10
    million at the 'BBBsf' rating stress. Under this scenario,
    series A and B notes pass under the 'BBsf' and 'Bsf' stress
    scenarios, respectively, while series C notes does not pass
    under the 'Bsf' stress scenario.

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

Base Assumptions with Stronger Values:

-- 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, as of the most recent appraisals provided to
    Fitch. For Silver, net cash flow increases by approximately
    $44 million at the 'BBBsf' rating stress. Under the scenario,
    series A, B and C notes are able to pass under the 'Asf',
    'BBBsf' and 'Bsf' stress scenarios, respectively.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


SOLRR AIRCRAFT 2021-1: Moody's Gives Ba3 Rating to Series C Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
series A, B and C notes issued by Solrr Aircraft 2021-1 LLC (SOLRR
USA) and Solrr Aircraft 2021-1 Limited (SOLRR Ireland) (together
the issuers). The ultimate assets backing the rated notes consist
primarily of a portfolio of aircraft and their related initial and
future leases. The cash flows from the initial and subsequent
leases and proceeds from aircraft dispositions (aircraft sales and
part outs) will be the primary source of payment on the notes. As
of the cut-off date, the initial assets will consist of 22 aircraft
subject to initial leases to 10 lessees domiciled in eight
countries. An affiliate of Sculpor Capital LP (Sculptor) is the
sponsor of the transaction and initial E note holder. Stratos
Aircraft Management Limited (Stratos) is the servicer of the
underlying assets, with Altavair L.P. (Altavair) being the
sub-servicer of the five Delta aircraft.

The issuers will use the proceeds from the issuance to acquire the
initial aircraft owning entities (AOE) that own the aircraft.

The complete rating actions are as follows:

Issuers: Solrr Aircraft 2021-1 Limited / Solrr Aircraft 2021-1 LLC

Series A Fixed Rate Secured Notes Series 2021-1, Definitive Rating
Assigned A1 (sf)

Series B Fixed Rate Secured Notes Series 2021-1, Definitive Rating
Assigned Baa2 (sf)

Series C Fixed Rate Secured Notes Series 2021-1, Definitive Rating
Assigned Ba3 (sf)

RATINGS RATIONALE

The definitive note ratings are based on (1) the credit quality of
the underlying aircraft portfolio which include mainly young
narrowbody aircraft, the strong initial contractual cash flows from
scheduled lease payments and end-of-lease payments and the expected
cash flows from subsequent leases, (2) the transaction's structure
and priority of payments, (3) the ability, experience and expertise
of Stratos and Altavair as servicer and sub-servicer, (4) the
results of Moody's quantitative modeling analyses, including
sensitivity analyses with respect to certain assumptions, (5)
Moody's assessed initial cumulative loan-to-value (CLTV) ratios for
each series of notes, (6) improving, albeit still challenging,
operating environment that heightens asset risks, and (7)
qualitative considerations for risks related to asset diversity,
legal, operational, country, data quality, bankruptcy remoteness,
and ESG (environmental, social and governance) factors, among
others.

The series A, B and C notes have initial Moody's CLTV ratios of
approximately 78.6%, 91.5% and 100.9%, respectively. Moody's
assumed value reflects the minimum of several third-party
appraisers' initial half-life market values, adjusted by a portion
of the appraised maintenance adjustment. Moody's CLTV ratio
reflects the loan-to-value ratio of the combined amounts of each
series of notes and the series that are senior to it.

Sculptor projects that, as of the transaction closing date,
subsidiaries of SOLRR USA and SOLRR Ireland will acquire eight of
the aircraft from Lunar Aircraft HoldCo Limited and certain of its
subsidiaries or affiliates (the seller). The sellers will sell the
AOEs that own the aircraft to the issuer during the nine-month
purchase period. The remaining 14 aircraft will be acquired from
third party sellers after the transaction closing date, increasing
the risk of novation of these aircraft. The risk of pool
composition deterioration due to failed novations is mitigated by a
relatively homogenous pool composition and structural features such
as the aircraft substitution criteria.

Other considerations and modeling assumptions Moody's applied in
the analysis of this transaction:

Liquid narrowbody aircraft, which make up 100% of the pool to be
securitized, are considered strong leasing assets owing to their
large diversified installed or expected operator bases.The pool
includes a relatively homogeneous mix of new technology (30.5%),
mostly young (91%) aircraft, with a weighted average (WA) remaining
lease term of 6.4 years. The long leases should support contractual
cash flows through the pandemic.

The pool consists of 22 aircraft on lease to 10 lessees in eight
countries. The largest one and three lessees represent 24% and
58.3% of the portfolio, respectively. Around 48% of the initial
contractual lease rent comes from airlines that are rated
investment grade. Moody's obtained credit estimates for the
remaining airlines. All lessees are current on their rental
payments. Additionally, a majority of the aircraft in the portfolio
(95%) have leases that will expire after 2023, when Moody's expects
a recovery in global air travel demand to pre-pandemic (2019)
levels, thus protecting the transaction from COVID-19-related
re-leasing risks. Around 81% of the initial aircraft are leased to
airlines domiciled in the U.S., developed Europe and Asia Pacific.

Noteholders will benefit from any end of lease (EOL) payments
received from certain lessees at the end of their leases. Based on
projections from the appraisal firm, Alton, the aggregate projected
EOL payments from the lessees total $128 million, or 18% of the
aggregate note balance. In its analysis, Moody's gave partial
credit to the EOL payments.

QUANTITATIVE MODELING ASSUMPTIONS

Initial value: Moody's initial assumed value of the aircraft in the
portfolio is $700.4 million.

Lessee defaults: Moody's inferred the probability of default of
each initial airline using either its (1) actual credit rating
where available, having a WA rating of around Ba1, or (2) credit
estimate. Moody's assumed a subsequent lessee has a default risk
equivalent to a low speculative-grade rating of B3.

Out-of-production adjustment: 12 years for the new technology
aircraft; 24 months for the current technology A320-200, A321-200,
B737-800 and B737-900ER.

Payment deferrals: Moody's assumed that 25% of the next 24 months
of lease rent under long term leases to airlines in Asia and Latin
America was deferred, reflecting current market conditions in those
regions, and 100% of the deferred rent was recovered in the
following 12 months of the respective leases. Additionally, Moody's
cash flow modeling analyses reflects the current reduced rent that
two lessees are paying as part of their deferral plan.

ENVIRONMENTAL RISK: The environmental risk for this aircraft lease
transaction is moderate owing to current and future carbon and air
emission regulations for airplanes, which could reduce demand for
these aircraft or relegate older aircraft to airlines with lower
credit quality. The risk is partially mitigated in this transaction
owing to the young pool of new technology aircraft.

SOCIAL RISK: The social risk for this transaction is moderate.
Aircraft lease ABS are exposed to social risks that could decrease
demand for aircraft, reducing the revenue available to repay the
notes. Demographic shifts can affect air travel demand, and in turn
aircraft values and lease rates. A health pandemic, terrorism, or a
global or regional economic slowdown could result in a sharp
decline in air travel demand growth, which could reduce demand for
aircraft or weaken the credit profiles of the airlines that are
lessees in the securitization. The coronavirus pandemic will
continue to have a residual impact on the ongoing performance of
aircraft lease ABS as the US economy continues on the path toward
normalization. Economic activity will continue to strengthen in
2021 because of several factors, including the rollout of vaccines,
growing household consumption and an accommodative central bank
policy. However, specific sectors and individual businesses will
remain weakened by extended pandemic related restrictions. Moody's
regard the coronavirus outbreak as a social risk under Moody's ESG
framework, given the substantial implications for public health and
safety. Moody's regard the coronavirus outbreak as a social risk
under Moody's ESG framework, given the substantial implications for
public health and safety.

GOVERNANCE RISK: This securitization's governance risk is moderate
and typical of other aircraft lease transactions in the market. As
described in Moody's publication "Governance considerations are a
key determinant of credit quality for all issuers," September 2019,
Moody's examine five governance considerations in Moody's analysis
as described below.

1) Financial strategy and risk management -- this transaction
limits the ability of the issuers and their respective subsidiary
asset entities to engage in activities other than the ones related
to the underlying assets and this transaction, including in respect
of the issuance of additional notes and other actions.

2) Management credibility and track record -- while the sponsor and
servicer are not rated by Moody's, the legal structure and
documentation of the transaction mitigates the governance risk.

3) The organizational/transaction structure -- this transaction's
trust and issuer groups are structured as bankruptcy remote special
purpose entities that could have misalignment of interests among
the transaction parties, and specifically between the holder(s) of
the series E notes and the noteholders. For instance, the issuers'
board of directors of which the majority is appointed by the E note
holders could approve aircraft sales that are disadvantageous to
noteholders in order to unlock the equity.

4) The board structure -- includes a board of directors for the
issuers, with one independent director, that makes decisions that
will maximize the value of the collateral, such as engaging a
successor servicer upon termination of the servicer and selling
aircraft, and an independent trustee, managing agent, and paying
agent. However, the requirement for independent director is
somewhat weaker than those of many other ABS transactions Moody's
rate.

5) Compliance and reporting -- Moody's will consider the
sufficiency and frequency of this securitization's reporting in the
form of servicing reports.

In addition, Moody's note that this securitization has no objective
servicer standard of care for the servicer. The servicer may have
potential conflicts of interests in servicing the securitization
and other aircraft portfolios with similar aircraft assets.
However, the servicer covenants not to discriminate among the
various portfolios that Stratos manages, and the risk is further
mitigated because the servicer is independent of any class of
noteholders so would be less likely to make decisions that could
benefit equity at the expense of the senior notes.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Securities Backed by Aircraft and Associated
Leases" published in July 2020.

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

Up

Factors that could lead to an upgrade of the ratings on the notes
are (1) collateral cash flows that are significantly greater than
Moody's initial expectations, (2) significant improvement in the
credit quality of the airlines leasing the aircraft, and (3) slower
than expected deterioration in the value of the aircraft that
secure the transaction. Moody's updated expectations of collateral
cash flows may be better than its original expectations because of
lower frequency of default by the underlying lessees, recovery in
aircraft values owing to stronger global air travel demand, lower
than expected depreciation in the value of the aircraft that secure
the obligor's promise of payment, and higher realization of EOL
payments that are used to prepay the notes. As the primary drivers
of performance, positive changes in the global commercial aviation
industry could also affect the ratings.

Down

Factors that could lead to a downgrade of the ratings on the notes
are (1) collateral cash flows that are materially below Moody's
initial expectations, (2) a significant decline in the credit
quality of the airlines leasing the aircraft, and (3) greater than
expected deterioration in the value of the aircraft that secure the
transaction. Other reasons for worse-than-expected transaction
performance could include poor servicing of the assets, for example
sales disadvantageous to noteholders, or error on the part of
transaction parties.


STARWOOD MORTGAGE 2021-5: Fitch Gives Final 'B-' Rating on B-2 Debt
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to Starwood Mortgage
Residential Trust 2021-5.

DEBT              RATING              PRIOR
----              ------              -----
STAR 2021-5

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 B-sf    New Rating    B-(EXP)sf
B-3-1       LT NRsf    New Rating    NR(EXP)sf
B-3-2-RR    LT NRsf    New Rating
XS-RR       LT NRsf    New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch rates the residential mortgage-backed certificates to be
issued by Starwood Mortgage Residential Trust 2021-5,
Mortgage-Backed Certificates, Series 2021-5 (STAR 2021-5) as
indicated above. The certificates are supported by 644 loans with a
balance of approximately $421.01 million as of the cutoff date.
This will be the fourth Fitch-rated STAR transaction in 2021.

The certificates are secured primarily by mortgage loans that were
originated by third-party originators, with Luxury Mortgage
Corporation, HomeBridge Financial Services, Inc., CrossCountry
Mortgage LLC, and Hometown Equity Mortgage LLC sourcing 92.1% of
the pool. The remaining mortgage loans were originated by various
originators who contributed less than 5% each to the pool.

Of the loans in the pool, 54.2% are designated as nonqualified
mortgage (non-QM) and 45.7% are investment properties not subject
to the Ability to Repay rule, while 0.1% of loans are designated as
QM.

There is very limited LIBOR exposure in this transaction. The
collateral consists of one adjustable-rate loan, which reference
one-year LIBOR, while the remaining adjustable-rate loans reference
one-month SOFR. The certificates are fixed rate and capped at the
net weighted average (WA) coupon.

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 9.7% (revised from 11%) above a long-term
sustainable level (vs. 11.7% on a national level). Underlying
fundamentals are not keeping pace with the growth in prices, which
is a result of a supply/demand imbalance driven by low inventory,
low mortgage rates and new buyers entering the market. These trends
have led to significant home price increases over the past year,
with home prices rising 18.6% yoy nationally as of June 2021.

Non-Prime Credit Quality (Mixed):The collateral consists mainly of
30-year, fixed-rate fully amortizing loans (63.4%). 21.0% are
adjustable rate loans (mainly 7/1 ARMs). The pool is seasoned
approximately five months in aggregate, as determined by Fitch. The
borrowers in this pool have strong credit profiles with a 741 WA
FICO score and 45% debt-to-income (DTI), as determined by Fitch,
and relatively high leverage with an original combined
loan-to-value (CLTV) of 66.8% that translates to a Fitch calculated
sustained LTV (sLTV) of 73.0%.

The Fitch DTI is higher than the DTI in the transaction documents
(non-zero DTI is 31.7% in the transaction documents), due to Fitch
assuming a 55% DTI for asset depletion loans and converting the
debt service coverage ratio (DSCR) to a DTI for the DSCR loans.

Of the pool, 50.5% consists of loans where the borrower maintains a
primary residence, while 49.5% comprises an investor property or
second home; 33.0% of the loans were originated through a retail
channel. Additionally, 54.2% are designated as non-QM, 0.1% are
designated as QM and 45.7% are exempt from QM because they are
investor loans.

The pool contains 133 loans over $1 million, with the largest being
$4.45 million. Self-employed non- DSCR borrowers make up 48.2% of
the pool, 9.6% are asset depletion loans and 38.1% are investor
cash flow DSCR loans.

Approximately 45.8% of the pool comprises loans on investor
properties (7.7% underwritten to the borrowers' credit profile and
38.1% comprising investor cash flow loans). Two-tenths of a percent
of the loans have subordinate financing, and there are no second
lien loans.

Two loans in the pool were underwritten to foreign nationals or
nonpermanent residents. Fitch treated these loans as being investor
occupied, having no documentation for income and employment, and
having no liquid reserves. Fitch assumed a FICO of 650 for
nonpermanent residents without a credit score.

Although the credit quality of the borrowers is higher than prior
non-QM transactions, the pool characteristics resemble nonprime
collateral, and therefore, the pool was analyzed using Fitch's
nonprime model.

Geographic Concentration (Negative): Approximately 61% of the pool
is concentrated in California. The largest MSA concentration is in
the Los Angeles-Long Beach-Santa Ana, CA MSA (35.2%), followed by
the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (12.2%)
and the Miami-Fort Lauderdale-Miami Beach MSA (6.5%). The top three
MSAs account for 53.9% of the pool. As a result, there was a 1.16x
PD penalty for geographic concentration which increased the 'AAA'
loss by 1.50%.

Loan Documentation (Negative): Approximately 86.9% of the pool was
underwritten to less than full documentation. 33.9% was
underwritten to a 12- or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the CFPB's ATR Rule (Rule), which reduces the risk
of borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigor
of the Rule's mandates with respect to the underwriting and
documentation of the borrower's ATR. Additionally, 9.6% is an Asset
Depletion product, 0% is a CPA or PnL product, and 38.1% is DSCR
product.

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

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

Fitch released an updated version of the "U.S. RMBS Loan Loss
Model" and "U.S. RMBS Loan Loss Model Criteria" on Nov. 15, 2021.
This update included revised rental data that is used in the
Sustainable Home Price Model as a result, the sustainable market
value declines (MVDs) were impacted and losses were revised lower
(base case loss is now 1.75%). The transaction priced on Nov. 12,
2021 and a revised structure was analyzed. Fitch's revised losses
and transaction credit enhancement (CE) are listed below.

-- A-1 Rated 'AAAsf';

-- Fitch Expected Loss 17.75%;

-- transaction CE 21.10%;

-- A-2 Rated 'AAsf';

-- Fitch Expected Loss 13.25%;

-- transaction CE 16.70%;

-- A-3 Rated 'Asf';

-- Fitch Expected Loss 9.25%;

-- transaction CE 10.15%;

-- M-1 Rated 'BBBsf';

-- Fitch Expected Loss 6.25%;

-- transaction CE 6.80%;

-- B-1 Rated 'BBsf';

-- Fitch Expected Loss 4.50%;

-- transaction CE 4.70%;

-- B-2 Rated 'B-sf';

-- Fitch Expected Loss 2.60%;

-- transaction CE 2.50%.

The final ratings assigned remain unchanged from the expected
ratings.

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 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 41.3% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton Services LLC, and Recovco Mortgage
Management, LLC. The third-party due diligence described in Form
15E focused on compliance review, credit review, and valuation
review. Fitch considered this information in its analysis and, as a
result, Fitch did not make any adjustment(s) to its analysis due to
the due diligence findings. Based on the results of the 100% due
diligence performed on the pool, the overall expected loss was
reduced by 0.39%.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor,
Starwood Non-Agency Lending, LLC, engaged SitusAMC, Clayton
Services LLC, and Recovco Mortgage Management, LLC to perform the
review. Loans reviewed under these engagements were given
compliance, credit and valuation grades and assigned initial grades
for each subcategory.

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

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

ESG CONSIDERATIONS

STAR 2021-5 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk due to operational risk being well
controlled for in STAR 2021-5, strong transaction due diligence as
well as a 'RPS1-' Fitch-rated servicer, which resulted in a
reduction in expected losses and is relevant to the ratings in
conjunction with other factors.

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


SYCAMORE TREE 2021-1: S&P Assigns Prelim BB-(sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings today assigned its preliminary ratings to
Sycamore Tree CLO 2021-1 Ltd./Sycamore Tree CLO 2021-1 LLC's fixed-
and floating-rate debt.

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

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

The preliminary ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Preliminary Ratings Assigned

  Sycamore Tree CLO 2021-1 Ltd./Sycamore Tree CLO 2021-1 LLC

  Class AL, $223.00 million: AAA (sf)
  Class AN, $25.00 million: AAA (sf)
  Class B-1, $28.00 million: AA (sf)
  Class B-2, $28.00 million: AA (sf)
  Class C-1 (deferrable), $22.00 million: A (sf)
  Class C-2 (deferrable), $2.0 million: A (sf)
  Class D (deferrable), $24.00 million: BBB- (sf)
  Class E (deferrable), $13.00 million: BB- (sf)
  Subordinated notes, $38.34 million: Not rated



TCW CLO 2018-1: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A1-R, B-R, and
C-RR replacement notes from TCW CLO 2018-1 Ltd./TCW CLO 2018-1 LLC,
a CLO originally issued in 2018 and partially refinanced in 2020
that is managed by TCW Asset Management Co. LLC. The new class
A-2b-RR notes will not be rated. At the same time, S&P withdrew its
ratings on the original class A-1a, A-b-R1, A-1b-R2, B-1, B-2-R1,
B-2-R2, and C-R notes following payment in full on the Nov. 12,
2021, refinancing date. S&P also affirmed its ratings on the class
D and E notes, which were not refinanced. The class A-2a notes are
not rated and will not be 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 Nov. 12, 2022.

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

-- The class A-1a, A-1b-R1, and A-1b-R2 were combined to make the
new class A1-R notes. The class B-1, B-2-R1, and B-2-R2 notes were
combined to make the new class B-R notes.

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

  Replacement And Original Note Issuances

  Replacement notes

  Class A1-R, $240.00 million: Three-month LIBOR + 0.97%
  Class A-2b-RR, $14.00 million: Three-month LIBOR + 1.40%
  Class B-R, $46.00 million: Three-month LIBOR + 1.65%
  Class C-RR, $26.00 million: Three-month LIBOR + 2.20%

  Original notes

  Class A-1a, $215.00 million: Three-month LIBOR + 1.05%
  Class A-1b-R1, $18.75 million: 1.92%
  Class A-1b-R2, $6.25 million: Three-month LIBOR + 1.70%
  Class A-2b-R, $14.00 million: Three-month LIBOR + 1.95%
  Class B-1, $21.00 million: Three-month LIBOR + 1.75%
  Class B-2-R1, $5.00 million: 2.69%
  Class B-2-R2, $20.00 million: Three-month LIBOR + 2.40%
  Class C-R, $26.00 million: Three-month LIBOR + 3.40%

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

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

  Ratings Assigned

  TCW CLO 2018-1 Ltd./TCW CLO 2018-1 LLC

  Class A1-R, $240 million: AAA (sf)
  Class B-R, $46 million: AA (sf)
  Class C-RR (deferrable), $26 million: A (sf)

  Ratings Affirmed

  TCW CLO 2018-1 Ltd./TCW CLO 2018-1 LLC

  Class D: BBB- (sf)
  Class E: BB- (sf)

  Ratings Withdrawn

  TCW CLO 2018-1 Ltd./TCW CLO 2018-1 LLC

  Class A-1a: to not rated from 'AAA (sf)'
  Class A-1b-R1: to not rated from 'AAA (sf)'
  Class A-1b-R2: to not rated from 'AAA (sf)'
  Class B-1: to not rated from 'AA (sf)'
  Class B-2-R1: to not rated from 'AA (sf)'
  Class B-2-R2: to not rated from 'AA (sf)'
  Class C-R: to not rated from 'A (sf)'

  Other Outstanding Ratings

  TCW CLO 2018-1 Ltd./TCW CLO 2018-1 LLC
  
  Class A-2A: Not rated
  Class A-2b-RR: Not rated
  Subordinated notes: Not rated


TELOS CLO 2013-3: Moody's Hikes Rating on Class E-R Notes to B2
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Telos CLO 2013-3, Ltd.:

US$24,100,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2026 (the "Class C-R Notes"), Upgraded to Aaa (sf);
previously on February 3, 2021 Upgraded to Aa1 (sf)

US$30,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2026 (the "Class D-R Notes"), Upgraded to A2 (sf);
previously on February 3, 2021 Upgraded to Baa2 (sf)

US$24,100,000 Class E-R Mezzanine Secured Deferrable Floating Rate
Notes due 2026 (the "Class E-R Notes"), Upgraded to B2 (sf);
previously on August 31, 2020 Downgraded to B3 (sf)

Telos CLO 2013-3, Ltd., originally issued in Februrary 2013 and
refinanced in August 2017, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in July 2019.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since February 2021. The Class
A-R notes have been paid in full and Class B-R notes have been paid
down by approximately 11.9% or $6.0 million since then. Based on
Moody's calculation, which reflects note payments on the October
2021 payment date, the OC ratios for the Class C-R, Class D-R and
Class E-R notes are currently 196.22%, 135.88% and 109.17%,
respectively, versus February 2021 levels of 145.73%, 119.80% and
104.95%, respectively.

Nevertheless, the credit quality of the portfolio has deteriorated
since February 2021. Based on the trustee's October 2021 report[1],
the weighted average rating factor is currently 3903 compared to
3631 in February 2021.

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: $133,865,673

Diversity Score: 28

Weighted Average Rating Factor (WARF): 3448

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.94%

Weighted Average Recovery Rate (WARR): 47.51%

Weighted Average Life (WAL): 3.38 years

Par haircut in OC tests and interest diversion test: 1.68%

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

Methodology Used for the Rating Action

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


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

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


TICP CLO VIII: S&P Assigns BB- (sf) Rating on Class D-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to TICP CLO VIII Ltd./TICP
CLO VIII LLC's floating-rate notes. This is a 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 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.

  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- Rating on 5 Tranches
--------------------------------------------------------
Fitch Ratings has assigned ratings to Towd Point Mortgage Trust
2021-1 (TPMT 2021-1).

DEBT           RATING               PRIOR
----           ------               -----
TPMT 2021-1

A1      LT AAAsf    New Rating    AAA(EXP)sf
A2      LT AA-sf    New Rating    AA-(EXP)sf
M1      LT A-sf     New Rating    A-(EXP)sf
M2      LT BBB-sf   New Rating    BBB-(EXP)sf
B1      LT BB-sf    New Rating    BB-(EXP)sf
B2      LT B-sf     New Rating    B-(EXP)sf
B3      LT NRsf     New Rating    NR(EXP)sf
B4      LT NRsf     New Rating    NR(EXP)sf
B5      LT NRsf     New Rating    NR(EXP)sf
A1A     LT AAAsf    New Rating    AAA(EXP)sf
A1AX    LT AAAsf    New Rating    AAA(EXP)sf
A1B     LT AAAsf    New Rating    AAA(EXP)sf
A1BX    LT AAAsf    New Rating    AAA(EXP)sf
A2A     LT AA-sf    New Rating    AA-(EXP)sf
A2AX    LT AA-sf    New Rating    AA-(EXP)sf
A2B     LT AA-sf    New Rating    AA-(EXP)sf
A2BX    LT AA-sf    New Rating    AA-(EXP)sf
M1A     LT A-sf     New Rating    A-(EXP)sf
M1AX    LT A-sf     New Rating    A-(EXP)sf
M1B     LT A-sf     New Rating    A-(EXP)sf
M1BX    LT A-sf     New Rating    A-(EXP)sf
M2A     LT BBB-sf   New Rating    BBB-(EXP)sf
M2AX    LT BBB-sf   New Rating    BBB-(EXP)sf
M2B     LT BBB-sf   New Rating    BBB-(EXP)sf
M2BX    LT BBB-sf   New Rating    BBB-(EXP)sf
B1A     LT BB-sf    New Rating    BB-(EXP)sf
B1AX    LT BB-sf    New Rating    BB-(EXP)sf
B1B     LT BB-sf    New Rating    BB-(EXP)sf
B1BX    LT BB-sf    New Rating    BB-(EXP)sf
B2A     LT B-sf     New Rating    B-(EXP)sf
B2AX    LT B-sf     New Rating    B-(EXP)sf
B2B     LT B-sf     New Rating    B-(EXP)sf
B2BX    LT B-sf     New Rating    B-(EXP)sf
B3A     LT NRsf     New Rating    NR(EXP)sf
B3AX    LT NRsf     New Rating    NR(EXP)sf
B3B     LT NRsf     New Rating    NR(EXP)sf
B3BX    LT NRsf     New Rating    NR(EXP)sf
A3      LT AA-sf    New Rating    AA-(EXP)sf
A4      LT A-sf     New Rating    A-(EXP)sf
A5      LT BBB-sf   New Rating    BBB-(EXP)sf

TRANSACTION SUMMARY

Fitch Ratings has rated the residential mortgage-backed notes to be
issued by Towd Point Mortgage Trust 2021-1 (TPMT 2021-1) as
indicated. The transaction is closing 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 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.


TOWD POINT 2021-SJ1: Fitch Assigns B-(EXP) Rating on Class B2 Debt
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Towd Point Mortgage
Trust 2021-SJ1 (TPMT 2021-SJ1).

DEBT              RATING
----              ------
TPMT 2021-SJ1

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

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed notes
backed by seasoned and re-performing (SPL, RPL) closed-end,
junior-lien, residential mortgage loans to be issued by Towd Point
Mortgage Trust 2021-SJ1 (TPMT 2021-SJ1), as indicated above. The
transaction is expected to close on Nov. 26, 2021. The notes are
supported by one collateral group that consists of 13,535 SPLs and
RPLs junior-lien loans with a total balance of approximately $661.8
million, including $30 million, or 5%, of the aggregate pool
balance in non-interest-bearing deferred principal amounts, as of
the statistical calculation date.

Distributions of 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 10.4% above a long-term sustainable level (vs.
10.5% 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.

Closed-End Junior Liens (Negative): The collateral pool consists of
100% closed-end, junior-lien, SPLs and RPLs with a weighted average
model credit score of 700, sustainable loan to value ratio of
60.8%, 50.5% 36 months of clean pay history (under the Mortgage
Bankers Association method) and seasoning of approximately 181
months, per Fitch's analysis. Of the pool, approximately 2.2% were
delinquent (DQ) as of the statistical calculation date. Roughly 68%
have been modified.

No recovery and 100% loss severity (LS) were assumed based on the
historical behavior of junior-lien loans in economic stress
scenarios, and a transactional feature that applies the balance of
a defaulted loan as a realized loss to the trust at 150 days DQ
using the Office of Thrift Supervision (OTS) methodology, excluding
forbearance mortgage loans. Fitch assumes junior-lien loans default
at a rate comparable to first-lien loans, after controlling for
credit attributes, no additional default penalty was applied.

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
those classes in the absence of servicer advancing. Similar to the
prior Fitch-rated TPMT 2019-SJ3 transaction, excess cash flow will
not be used to turbo down the senior classes.

Realized Loss and Write-Down Feature (Positive): Loans that are DQ
for 150 days or more under the OTS method will be considered a
realized loss (excluding forbearance mortgage loans) and,
therefore, will cause the most subordinated class to be written
down. Despite the 100% LS assumed for each defaulted loan, Fitch
views the write-down feature positively, as cash flows will not be
needed to pay timely interest to the 'AAAsf' and 'AA-sf' notes
during loan resolution by the servicers. In addition, subsequent
recoveries realized after the write-down at 150 days DQ (excluding
forbearance mortgage loans) will be passed on to bondholders as
principal.

No Servicer P&I Advances (Mixed): The servicers will not advance DQ
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 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-SJ1 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 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 41.7% 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.

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 Westcor. The third-party due diligence
described in Form 15E focused on regulatory compliance, pay
history, servicing comments, the presence of key documents in the
loan file and data integrity. In addition, AMC and Westcor were
retained to perform an updated title and tax search, as well as a
review to confirm that the mortgages were recorded in the relevant
local jurisdiction and the related assignment chains. A regulatory
compliance and data integrity review was completed on 29.5% of the
pool by loan count (36.2% of the pool by balance).

The regulatory compliance review indicated that 518 reviewed loans,
or approximately 13.0% of the total pool, received a final grade of
'C' or 'D'. For 168 of these loans, this was due to missing loan
documentation that prevented testing for predatory lending
compliance. The inability to test for predatory lending may expose
the trust to potential assignee liability, which creates added risk
for bond investors. Typically, Fitch makes LS adjustments to
account for this. However, all loans in the pool are already
receiving 100% LS; therefore, no adjustments were made.

Reasons for the remaining 350 'C' and 'D' grades include missing
final HUD1s that are not subject to predatory lending, missing
state disclosures and other compliance-related documents. Fitch
believes these issues do not add material risk to bondholders, as
the statute of limitations has expired. No adjustment to loss
expectations were made for any of the 518 loans that received
either a 'C' or 'D' grade. The diligence results indicated similar
operational risk as in prior TPMT transactions, as well as other
Fitch-reviewed RPL transactions.

ESG CONSIDERATIONS

TPMT 2021-SJ1 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.


UBS COMMERCIAL 2018-C8: Fitch Affirms B- Rating on Cl. F-RR Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of UBS Commercial Mortgage
Trust (UBSCM) 2018-C8 Commercial Mortgage Pass-Through
Certificates. The Rating Outlooks remains Negative for two
classes.

    DEBT               RATING             PRIOR
    ----               ------             -----
UBS Commercial Mortgage Trust 2018-C8

A-1 90276VAA7     LT AAAsf    Affirmed    AAAsf
A-2 90276VAB5     LT AAAsf    Affirmed    AAAsf
A-3 90276VAD1     LT AAAsf    Affirmed    AAAsf
A-4 90276VAE9     LT AAAsf    Affirmed    AAAsf
A-S 90276VAH2     LT AAAsf    Affirmed    AAAsf
A-SB 90276VAC3    LT AAAsf    Affirmed    AAAsf
B 90276VAJ8       LT AA-sf    Affirmed    AA-sf
C 90276VAK5       LT A-sf     Affirmed    A-sf
D 90276VAN9       LT BBBsf    Affirmed    BBBsf
D-RR 90276VAQ2    LT BBB-sf   Affirmed    BBB-sf
E-RR 90276VAS8    LT BBsf     Affirmed    BBsf
F-RR 90276VAU3    LT B-sf     Affirmed    B-sf
X-A 90276VAF6     LT AAAsf    Affirmed    AAAsf
X-B 90276VAG4     LT AA-sf    Affirmed    AA-sf

KEY RATING DRIVERS

Increased Loss Expectations Since Issuance: Fitch's loss
expectations for the pool have remained relatively stable since the
prior rating action but have increased since issuance due to
performance declines on some of the Fitch Loans of Concern (FLOCs)
affected by the pandemic and higher losses on two of the specially
serviced loans. One (The Village at La Orilla; 1.4% of pool) is a
new transfer since February 2021. There are 12 FLOCs (16.8%),
including three specially serviced loans (3.1%).

Fitch's current ratings incorporate a base case loss of 4.70%. The
Negative Outlooks factor additional sensitivities on two hotel
loans, one mixed use loan and two retail loans to account for
ongoing business disruption as a result of the pandemic, reflecting
that losses could reach 5.00%.

The largest increase in loss since the prior rating action is the
4851 South Alameda Street loan (1.7%), which is secured by a
255,993-sf industrial property in Los Angeles, CA. Physical
property occupancy was 59.5% as of January 2021, up from 45.9% in
June 2020 but still below 65.1% in December 2019 and 86.6% in
December 2018. The recent occupancy improvement is due to leases
with three new tenants totaling 13.9% of NRA that commenced in
November and December 2020. Occupancy previously declined after
major tenant Antiquarian Traders (28% of NRA) vacated during the
second half of 2019, ahead of its 2024 scheduled lease expiration.
Additional month-to-month tenants have vacated causing further cash
flow declines.

YE 2020 NOI declined 30.4% from YE 2019 and the servicer-reported
NOI DSCR dropped to 1.06x from 1.53x over the same period. The loan
is currently cash managed. Fitch's base case loss of 33% reflects
an 8.50% cap rate on the YE 2020 NOI.

The next largest increase in loss, The Village at La Orilla (1.4%),
which is secured by a 59,189-sf anchored retail center located in
Albuquerque, NM, was transferred to special servicing in February
2021 for payment default. YE 2020 NOI declined 44% from YE 2019 due
to the pandemic, as rent collections were severely impacted with
several tenants either closed completely or not operating at full
capacity during 2020 due to state restrictions.

The largest tenant, Flix Brewhouse (63.5% of NRA leased through
November 2031), closed in March 2020 and had reopened on Sept. 30,
2021 per media reports. However, the servicer indicated in early
October 2021 that this space is vacant, and the lender recently
approved a replacement tenant lease with RoadHouse Cinemas. As of
the March 2021 rent roll, the property was 100% occupied and other
largest tenants include Village Pizza (6.5%; August 2027) and L&A
Fitness (5.1%; June 2028).

The servicer is dual tracking foreclosure and discussions with the
borrower on a loan reinstatement plan. Fitch's base case loss of
25% reflects a 9.25% cap rate and a 20% stress to the YE 2019 NOI.

Minimal Change to Credit Enhancement: As of the October 2021
distribution date, the pool's aggregate principal balance has paid
down by 1.6% to $1.03 billion from $1.05 billion at issuance. There
are 31 loans (58.1% of pool) that are full-term interest-only and
six loans (7%) still have a partial interest-only component during
their remaining loan term, compared with 19.2% of the original pool
at issuance.

One loan (Yorkshire & Lexington Towers; 1.5%) is scheduled to
mature in October 2022, four loans (4.9%) in 2023, eight loans
(8.9%) in 2027 and 54 (84.8%) in 2028. Four loans (4.5%) have been
defeased.

Coronavirus Exposure: Retail and hotel loans represent 21.8% (21
loans) and 7.7% (seven loans) of the pool, respectively. Fitch
applied an additional stress to the pre-pandemic cash flows for two
hotel loans (3.9%), two retail loans (0.6%) and one loan mixed use
(office/retail) loan (1.2%) given significant pandemic-related 2020
NOI declines. These additional stresses contributed to the Negative
Outlooks.

Credit Opinion Loan: One loan (Yorkshire & Lexington Towers; 1.5%
of pool) received a standalone investment-grade credit opinion of
'BBBsf*' at issuance.

RATING SENSITIVITIES

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

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

-- Downgrades to classes A-1, A-2, A-3, A-4, A-SB, A-S, B, X-A
    and X-B are not likely due to their position in the capital
    structure, but may occur should interest shortfalls affect
    these classes.

-- Downgrades to classes C, D and D-RR are possible should
    expected losses for the pool increase significantly and/or all
    loans susceptible to the coronavirus pandemic suffer losses.

-- Downgrades to classes E-RR and F-RR would occur should loss
    expectations increase from continued performance decline of
    the FLOCs, loans susceptible to the pandemic not stabilize,
    additional loans default or transfer to special servicing
    and/or higher losses are incurred on the specially serviced
    loans than expected.

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

-- Stable to improved asset performance, particularly on the
    FLOCs, coupled with additional paydown and/or defeasance.

-- Upgrades to classes B, C and X-B would only occur with
    significant improvement in CE, defeasance, and/or performance
    stabilization of FLOCs and other properties affected by the
    coronavirus pandemic. Classes would not be upgraded above
    'Asf' if there were likelihood of interest shortfalls.

-- Upgrades to classes D, D-RR and E-RR may occur as the number
    of FLOCs are reduced, properties vulnerable to the pandemic
    return to pre-pandemic levels, and/or there is sufficient CE
    to the classes.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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.


UWM MORTGAGE 2021-INV4: Moody's Assigns (P)B3 Rating to B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
thirty-four classes of residential mortgage-backed securities
(RMBS) issued by UWM Mortgage Trust 2021-INV4. The ratings range
from (P)Aaa (sf) to (P)B3 (sf).

UWM Mortgage Trust 2021-INV4 is a securitization of 2,119
fully-amortizing, fixed rate, first-lien non-owner occupied
residential investor properties mortgage loans with original terms
to maturity between 17 and 30 years, with an aggregate stated
principal balance of approximately $762,335,879. 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 average
stated principal balance is approximately $359,762 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 27.5% 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 1.11% in a baseline
scenario-median is 0.82% and reaches 7.02% 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-INV4

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-14, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

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

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 1.11%
at the mean, 0.82% at the median, and reaches 7.02% 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 2,119 fully-amortizing, fixed rate,
first-lien non-owner occupied residential investor properties
mortgage loans with original terms to maturity between 17 and 30
years, with an aggregate stated principal balance of approximately
$762,335,879. The average stated principal balance is approximately
$359,762 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
766 and approximately 65.8% respectively. The WA original debt-to
income (DTI) ratio is approximately 37.7%. 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 (approximately 6.2% by loan balance),
Arizona (approximately 5.6% by loan balance), Utah (approximately
5.3% by loan balance) and Colorado (approximately 4.9% by loan
balance). All other states each represent 4.5% or less by loan
balance. Approximately 24.6% (by loan balance) of the pool is
backed by properties that are two-to-four family residential
properties whereas loans backed by single family residential
properties represent approximately 43.6% (by loan balance) of the
pool.

Approximately 80.1% and 18.9% (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 its 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 27.5% (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 0.95% 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 0.85% of the closing pool balance.

Moody's calculate the credit neutral floors for a given target
rating as shown in Moody's principal methodology. The senior
subordination floor and the subordinate floor of 0.95% and 0.85%,
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.


VERUS 2021-7: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2021-7's mortgage-backed notes.

The note issuance is an RMBS securitization backed by primarily
first-lien, fixed-rate, and adjustable-rate residential mortgage
loans, including mortgage loans with initial interest-only periods
and/or balloon terms. The loans are secured primarily by
single-family residences, planned unit developments, two- to
four-family residential properties, condominiums, multifamily
homes, manufactured housing, and mixed-use properties to both prime
and nonprime borrowers. The pool has 1,210 loans backed by 1,224
properties, which are primarily non-qualified mortgage/ATR
compliant and ATR-exempt loans. Six of the 1,210 loans are cross
collateralized loans backed by 20 properties.

The preliminary ratings are based on information as of Nov. 17,
2021. The collateral and structural information reflect the term
sheet dated Nov. 12, 2021. Subsequent information may result in the
assignment of final ratings that differ from the preliminary
ratings.

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

-- The pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The transaction's geographic concentration;
-- The mortgage aggregator, Invictus Capital Partners; and
-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and liquidity
available in the transaction.

  Preliminary Ratings Assigned(i)

  Verus Securitization Trust 2021-7

  Class A-1, $467,992,000: AAA (sf)
  Class A-2, $46,632,000: AA (sf)
  Class A-3, $70,785,000: A (sf)
  Class M-1, $29,858,000: BBB (sf)
  Class B-1, $22,142,000: BB (sf)
  Class B-2, $20,128,000: B- (sf)
  Class B-3, $13,420,007: Not rated
  Class A-IO-S, $670,957,007(ii): Not rated
  Class XS, $670,957,007(ii): Not rated
  Class DA: Not rated
  Class R: Not rated

(i)The collateral and structural information reflect the term sheet
dated Nov. 12, 2021; the preliminary ratings address the ultimate
payment of interest and principal.

(ii)The notional amount equals the aggregate stated principal
balance of loans in the pool.



WELLS FARGO 2020-1: Moody's Upgrades Rating on Cl. B-5 Bonds to B1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven classes
of Wells Fargo Mortgage Backed Securities 2020-1 Trust. The
transaction is a securitization of fixed rate, prime jumbo and
high-balance conforming mortgage loans. Wells Fargo Bank, N.A. is
the master servicer.

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

Issuer: Wells Fargo Mortgage Backed Securities 2020-1 Trust

Cl. A-17, Upgraded to Aaa (sf); previously on Feb 27, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-18, Upgraded to Aaa (sf); previously on Feb 27, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Feb 27, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 27, 2020
Definitive Rating Assigned A2 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on Feb 27, 2020 Definitive
Rating Assigned Baa2 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Feb 27, 2020
Definitive Rating Assigned Ba2 (sf)

Cl. B-5, Upgraded to B1 (sf); previously on Feb 27, 2020 Definitive
Rating Assigned B2 (sf)

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool. In this
transaction, high prepayment rates averaging 35%-71% over the last
six months, driven by the low interest rate environment, have
benefited the bonds by increasing the paydown and building credit
enhancement.

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

Moody's also considered higher adjustments for this transaction
since more than 10% of the pool is either currently enrolled or was
previously enrolled in a payment relief program. Specifically,
Moody's account for the marginally increased probability of default
for borrowers that have either been enrolled in a payment relief
program for more than 3 months or have already received a loan
modification, including a deferral, since the start of the
pandemic.

Moody's estimated the proportion of loans granted payment relief in
a pool based on a review of loan level cashflows. In Moody's
analysis, Moody's considered a loan to be enrolled in a payment
relief program if (1) the loan was not liquidated but took a loss
in the reporting period (to account for loans with monthly
deferrals that were reported as current), or (2) the actual balance
of the loan increased in the reporting period, or (3) the actual
balance of the loan remain unchanged in the last and current
reporting period, excluding interest-only loans and pay ahead
loans. Based on Moody's analysis, the proportion of borrowers that
are enrolled in payment relief plans in the underlying pool ranged
between 3%-4% over the last six months.

Given the pervasive financial strains tied to the pandemic,
servicers have been making advances on increased amount of
non-cash-flowing loans, sometimes resulting in interest shortfalls
due to insufficient funds in subsequent periods when such advances
are recouped. Moody's expect such interest shortfalls to be
reimbursed over the next several months.

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

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

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

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

Up

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

Down

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


WFRBS COMMERCIAL 2013-C13: Fitch Affirms B Rating on Class F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of WFRBS Commercial Mortgage
Trust commercial mortgage pass-through certificates series
2013-C13.

    DEBT                RATING            PRIOR
    ----                ------            -----
WFRBS 2013-C13

A-3 92937UAC2     LT AAAsf    Affirmed    AAAsf
A-4 92937UAD0     LT AAAsf    Affirmed    AAAsf
A-S 92937UAF5     LT AAAsf    Affirmed    AAAsf
A-SB 92937UAE8    LT AAAsf    Affirmed    AAAsf
B 92937UAG3       LT AAsf     Affirmed    AAsf
C 92937UAH1       LT Asf      Affirmed    Asf
D 92937UAJ7       LT BBB-sf   Affirmed    BBB-sf
E 92937UAL2       LT BBsf     Affirmed    BBsf
F 92937UAN8       LT Bsf      Affirmed    Bsf
X-A 92937UAS7     LT AAAsf    Affirmed    AAAsf
X-B 92937UAU2     LT Asf      Affirmed    Asf

KEY RATING DRIVERS

Increased Loss Expectations: While the majority of the pool has
exhibited stable performance, loss expectations have increased
since Fitch's last rating action, driven primarily by the 301 South
College Street loan. There are six Fitch Loans of Concern (FLOCs;
18.1% of pool), including two loans (1.7%) in special servicing.
Fitch's current ratings reflect a base case loss of 3.70%. The
Negative Outlook on class F reflect losses that could reach 4.60%
after factoring a potential outsized loss on the 301 South College
Street loan and an additional stress on one hotel loan affected by
the pandemic.

The largest contributor to loss, and largest change in loss since
the last rating action, is the largest loan, 301 South College
Street (12.1% of pool), which is secured by a 988,636-sf, 42-story
office tower known as One Wells Fargo Center located in Charlotte,
NC. The property serves as the East Coast headquarters of Wells
Fargo Bank, which occupies 69% of the NRA, with 50% expiring at YE
2021, and 19% expiring at YE 2032. Wells Fargo Bank has announced
it will downsize its space at the property, executing a lease with
the borrower that reduces its footprint by approximately 502,000 sf
(50% of NRA) commencing in January 2022.

Property occupancy is expected to drop to 48% compared to 98%
reported at June 2021. NOI DSCR is also expected to fall below
1.0x. Currently, all excess cash is being trapped into a reserve
account for tenant improvement and leasing commissions related to
the Wells Fargo space; the reserve has a balance of $17.6 million
as of October 2021, which equates to approximately $35 psf of
vacant square feet. Fitch requested an update from the master
servicer on the borrower's plans to re-tenant the space, but has
not received a response. Fitch's base case loss of 12% reflects a
cap rate of 8.75% and a 50% haircut to the YE 2020 NOI to reflect
Wells Fargo's downsizing.

Specially Serviced Loans: The two specially serviced loans are
secured by hotel properties; both loans transferred to the special
servicer in 2020 due to financial hardships caused by the pandemic.
The largest specially serviced loan, Holiday Inn Express - Largo
(0.9% of pool), is secured by an 89-key limited service hotel
located in Largo, MD. The property is adjacent to University of
Maryland University College and minutes away from FedEx Field. The
loan transferred to special servicing in June 2020 due to imminent
monetary default. A foreclosure sale was held, but the lender was
outbid.

According to the special servicer, the pending sale needs to be
confirmed by the courts, but is expected to close in November.
Fitch's base case loss of 20% factors a stress to the most recent
appraisal, reflecting a stressed value of approximately $66,000 per
key.

The other specially serviced loan, Holiday Inn - Ames (0.8% of
pool), is secured by a 75-key full-service hotel located in Ames,
IA. The property was originally flagged as a Radisson Hotel, but
was converted to a Holiday Inn in 2018. A 20-year license agreement
was executed with Radisson in conjunction with the conversion which
expires in 2038. The subject is located two miles from Iowa State
University, which is the primary demand generator in the area.

The loan transferred to special servicing in July 2020 due to
payment default as a result of the pandemic. Per the special
servicer, a modification proposal is currently being negotiated.
Fitch's base case loss of 40% factors a stress to the most recent
appraisal, reflecting a stressed value of $57,000 per key.

Improved Credit Enhancement; Defeasance: As of the October 2021
remittance, the pool's aggregate principal balance has been paid
down 25.3% since issuance; there have been no realized losses to
date. Since Fitch's last rating action, two loans (1.2% of last
rating action pool balance) paid in full ahead of their scheduled
maturity dates. Twenty loans (28.4% of current pool) are defeased.
Six loans (17.4%) are full term, interest only and nine loans
(32.6% of pool) had partial interest-only payments, all of which
are now amortizing. Interest shortfalls totaling approximately
$143,000 are impacting the non-rated class.

Additional Loss Considerations: Fitch ran an additional sensitivity
analysis applied an additional stress to the pre-pandemic cash
flows for one hotel loan (0.9% of the pool) given the significant
2020 NOI declines related to the pandemic, as well as the potential
outsized loss of 20% to the balloon balance of the 301 South
College Street loan due to refinance concerns and low occupancy;
these additional stresses contributed to the Negative Outlook on
class F.

RATING SENSITIVITIES

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

-- Downgrades could occur with an increase in pool-level losses,
    particularly with the Fitch Loans of Concerns and specially
    serviced loans. Downgrades to classes A-3 through A-S are not
    likely given their position in the capital structure, but may
    occur should interest shortfalls increase these classes.
    Downgrades to classes B, C and D may occur should pool level
    losses increase significantly and/or loans that are
    susceptible to the pandemic suffer losses.

-- Downgrades to classes E and F are possible should loss
    expectations increase from continued performance declines in
    the FLOCs, loans susceptible to the pandemic not stabilize
    and/or deteriorate further, additional loans default or
    transfer to special servicing, the potential for outsized
    losses on 301 South College Street and/or higher realized
    losses than expected on the specially serviced loans.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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.


WHITEBOX CLO III: Moody's Assigns Ba3 Rating to $20.37MM E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Whitebox CLO III LTD (the "Issuer").

Moody's rating action is as follows:

US$254,100,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$18,900,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$46,200,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned Aa2 (sf)

US$18,900,000 Class C Secured Deferrable Floating Rate Notes due
2034, Assigned A2 (sf)

US$24,150,000 Class D Secured Deferrable Floating Rate Notes due
2034, Assigned Baa3 (sf)

US$20,370,000 Class E Secured Deferrable Floating Rate Notes due
2034, Assigned Ba3 (sf)

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

RATINGS RATIONALE

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

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

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

In addition to the 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: $420,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2831

Weighted Average Spread (WAS): 3.35%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 8.91 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.


ZAIS CLO 2: Moody's Hikes Rating on $4.4MM Class E Notes to Caa3
----------------------------------------------------------------
Moody's Investors Service, Inc. upgrades ratings on two classes of
CLO notes issued by ZAIS CLO 2, Limited:

US$12,000,000 Class C-R Senior Secured Deferrable Mezzanine
Floating Rate Notes due 2026 (the "Class C-R Notes"), Upgraded to
Aaa (sf); previously on May 27, 2021 Upgraded to Aa2 (sf)

US$4,400,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Upgraded to Caa3 (sf); previously on
August 25, 2020 Downgraded to Ca (sf)

ZAIS CLO 2, Limited, originally issued in September 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 October 2018.

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
notes and an increase in the transaction's over-collateralization
(OC) ratios since May 2021. The Class A-2R notes paid off
completely and the Class B-R notes paid down by approximately 63.2%
or $7.7 million since May 2021. Based on the trustee's October 2021
report[1], the OC ratios for the Class C-R and Class E notes are
reported at 180.52% and 105.72%, respectively, versus the trustee's
April 2021 reported[2] levels of 136.84% and 99.70%, 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, weighted average spread, diversity
score and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:

Performing par and principal proceeds balance: $48,991,263

Defaulted par: $1,028,567

Diversity Score: 26

Weighted Average Rating Factor (WARF): 4034

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.91%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.15%

Weighted Average Life (WAL): 2.53 years

Par haircut in OC tests and interest diversion test: 2.54%

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

Methodology Used for the Rating Action

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

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

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


[*] S&P Raises Ratings on 43 Classes from 13 US Cash Flow CLO Deals
-------------------------------------------------------------------
S&P Global Ratings raised its ratings on 43 classes of notes from
13 U.S. cash flow CLO transactions, affirmed its ratings on 18
classes, and lowered 1 rating. Forty-two of these ratings were
removed from CreditWatch, where 40 were placed with positive
implications and two were placed with negative implications on Aug.
20, 2021. One rating was discontinued in connection with its full
repayment.

A list of Affected Ratings can be viewed at:

          https://bit.ly/3HualOQ

S&P said, "The rating actions followed the application of our
global corporate CLO criteria and our credit and cash flow analysis
of each transaction. Our analysis of the transactions entailed a
review of their performance, and the ratings list highlights key
performance metrics behind specific rating changes."

All of the CLOs in its actions have exited their reinvestment
period and are paying down the notes in the order specified in
their respective documents. Most had one or more tranche ratings
lowered during the pandemic last year.

CLOs in their amortization phase possess dynamics that can affect
the analysis, such as paydowns that can increase the credit support
to the senior portion of the capital structure. However, the
benefit of this can be offset by increased concentration risk. In
some instances, the ratings were raised by multiple rating
categories.

In addition, credit conditions in the leveraged finance market have
improved markedly over the past year, and a significant number of
corporate loan issuers have seen their ratings raised out of the
'CCC' range. The reduction in exposure to 'CCC' assets benefited
S&P's quantitative analysis for many of the tranches and was also
another factor for the upgrades.

S&P said, "In line with our criteria, our cash flow analysis
applied forward-looking assumptions on the expected timing and
pattern of defaults and recoveries under various interest rate
scenarios. This was done to assess the transactions' ability to pay
timely interest and/or ultimate principal to each of the rated
classes under the stresses outlined in our criteria. For CLO
tranches with ratings of 'B' or above, the results of the cash flow
analysis, along with qualitative factors as applicable,
demonstrated to us that the rated outstanding classes have adequate
credit enhancement available at the current rating levels following
the rating actions. For CLO tranches with ratings of 'B-' or lower,
we rely primarily on our 'CCC' criteria and guidance.

"If, in our view, payment of principal or interest when due is
dependent on favorable business, financial, or economic conditions,
we will generally assign a rating in the 'CCC' category. If, on the
other hand, we believe a tranche can withstand a steady-state
scenario without being dependent on such favorable conditions to
meet its financial commitments, we will generally raise the rating
to 'B- (sf)' even if our CDO Evaluator and S&P Cash Flow Evaluator
models indicate a lower rating. In assessing how a CLO tranche
might perform under a steady-state scenario, we considered the
speculative-grade nonfinancial corporate default rate (the default
rate of nonfinancial corporations rated 'BB+' or lower) over the
decade prior to the 2020 pandemic and determined whether the
tranche currently has sufficient credit enhancement, in our view,
to withstand the average corporate default rate from this time
frame.

"While each class' indicative cash flow results were a primary
factor in our rating decisions, we may also incorporate other
qualitative considerations when reviewing the indicative ratings
suggested by our projected cash flows." These considerations
typically include:

-- Existing subordination or overcollateralization and recent
trends;

-- The cushion available for coverage ratios and comparative
analysis with other CLO classes with similar ratings;

-- Forward-looking scenarios for 'CCC' and 'CCC-' rated
collateral, as well as collateral with stressed market values;

-- The risk of imminent default;

-- Current obligor and industry concentration levels; and

-- Additional sensitivity runs (if applicable) to account for any
of the above.

S&P's ratings on some classes were constrained by the application
of its largest-obligor default test, which is a supplemental stress
test included as part of its corporate CLO criteria. The test is
intended to address event and model risks that might be present in
rated transactions.

The upgrades primarily reflect increased credit support,
improvement in the credit quality of the portfolio, improvement in
overcollateralization levels, passing cash flow results at higher
ratings, and application of the 'CCC' criteria and guidance as
applicable.

S&P said, "The affirmations indicate that the current credit
enhancement available to those classes is still commensurate with
the current ratings, in our view. Although our cash flow analysis
indicated higher ratings for some classes of notes, we affirmed
their ratings after considering one or more qualitative factors.
These are disclosed for such classes in the accompanying ratings
table.

"The downgrade primarily reflects our view that the class has a
virtual certainty of default of timely interest and ultimate
principal in line with our definition of 'CC (sf)' credit risk,
given that the remaining collateral in the CLO portfolio is
insufficient to repay the class in full.

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



[*] S&P Takes Various Actions on 144 Ratings from 24 US CLO Deals
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on 29 classes of notes from
24 U.S. cash flow CLO transactions and affirmed its ratings on 115
classes. Thirty-four of these ratings were removed from
CreditWatch, where they were placed with positive implications on
August 20, 2021.

A list of Affected Ratings can be viewed at:

            https://bit.ly/3ouG1dV

The rating actions followed the application of our global corporate
CLO criteria and our credit and cash flow analysis of each
transaction. S&P's analysis of the transactions entailed a review
of their performance, and the ratings list highlights key
performance metrics behind specific rating changes.

Nearly all the CLOs in the actions are still in their reinvestment
period. Most had one or more tranche ratings lowered during the
pandemic last year. Since then, credit conditions in the leveraged
finance market have improved markedly, and a significant number of
corporate loan issuers have seen their ratings raised out of the
'CCC' range. The reduction in exposure to 'CCC' assets benefited
our quantitative analysis for many of the tranches and was one of
the primary factors for the upgrades.

S&P said, "For CLO tranches with ratings of 'B-' or lower, we rely
primarily on our 'CCC' criteria and guidance. If, in our view,
payment of principal or interest when due is dependent on favorable
business, financial, or economic conditions, we will generally
assign a rating in the 'CCC' category. If, on the other hand, we
believe a tranche can withstand a steady-state scenario without
being dependent on such favorable conditions to meet its financial
commitments, we will generally raise the rating to 'B- (sf)' even
if our CDO Evaluator and S&P Cash Flow Evaluator models indicate a
lower rating. In assessing how a CLO tranche might perform under a
steady-state scenario, we considered the speculative-grade
nonfinancial corporate default rate (the default rate of
nonfinancial corporations rated 'BB+' or lower) over the decade
prior to the 2020 pandemic and determined whether the tranche
currently has sufficient credit enhancement, in our view, to
withstand the average corporate default rate from this time
frame."

The upgrades of tranches rated 'B (sf)' and higher primarily
reflect improvement in the credit quality of the portfolio,
improvement in overcollateralization levels, and passing cash flow
results at higher ratings.

S&P said, "The affirmations indicate that the current credit
enhancement available to those classes is still commensurate with
the current ratings, in our view. Although our cash flow analysis
indicated higher ratings for some classes of notes, our
affirmations of these ratings allow for turnover in the underlying
portfolios given that the transactions are still within their
reinvestment periods.

"In line with our criteria, our cash flow analysis applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries under various interest rate scenarios. This
was done to assess the transactions' ability to pay timely interest
and/or ultimate principal to each of the rated classes under the
stresses outlined in our criteria. For CLO tranches with ratings of
'B' or above, the results of the cash flow analysis, along with
qualitative factors as applicable, demonstrated to us that the
rated outstanding classes have adequate credit enhancement
available at the current rating levels following the rating
actions.

"While each class' indicative cash flow results were a primary
factor in our rating decisions, we also incorporate other
qualitative considerations when reviewing the indicative ratings
suggested by our projected cash flows." These considerations
typically include:

-- Existing subordination or overcollateralization and recent
trends;

-- The cushion available for coverage ratios and comparative
analysis with other CLO classes with similar ratings;

-- Forward-looking scenarios for 'CCC' and 'CCC-' rated
collateral, as well as collateral with stressed market values;

-- Current obligor and industry concentration levels; and

-- Additional sensitivity runs (if applicable) to account for any
of the above.

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



[*] S&P Takes Various Actions on 65 Tranches from 11 US CLO Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 65 ratings from 11 U.S.
cash flow CLO transactions. The review yielded 48 upgrades, 16
affirmations, and one withdrawal. At the same time, S&P removed 46
ratings from CreditWatch, where they were placed with positive (45
ratings) and negative (one rating) implications on August 20, 2021.


A list of Affected Ratings can be viewed at:

       https://bit.ly/3ch8Tkt

S&P said, "The rating actions followed the application of our
global corporate CLO criteria and our credit and cash flow analysis
of each transaction. Our analysis of the transactions entailed a
review of their performance, and the ratings highlights key
performance metrics behind specific rating changes." Most of the
transactions have exited their reinvestment period and are paying
down the notes in the order specified in their respective
documents. Most also had one or more tranche ratings lowered during
the pandemic in 2020.

CLOs in their amortization phase possess dynamics that can affect
the analysis, such as paydowns that can increase the credit support
to the senior portion of the capital structure. However, the
benefit of this can be offset by increased concentration risk. In
addition, credit conditions in the leveraged finance market have
improved markedly over the past year, and a significant number of
corporate loan issuers have seen their ratings raised out of the
'CCC' range. S&P considered this reduced exposure to 'CCC' assets
as a benefit in our quantitative analysis for many tranches.

S&P said, "Our cash flow analysis applied forward-looking
assumptions on the expected timing and pattern of defaults and
recoveries under various interest rate scenarios to assess the
transactions' ability to pay timely interest and/or ultimate
principal to each rated class under the stresses outlined in our
criteria. For CLO tranches rated 'B' or above, the results of the
cash flow analysis, along with applicable qualitative factors,
demonstrated that the outstanding classes have adequate credit
enhancement available at the current rating levels. For CLO
tranches rated 'B-' or lower, we rely primarily on our 'CCC'
criteria and guidance.

"If we believe the principal or interest payment depends on
favorable business, financial, or economic conditions when due, we
will generally assign a rating in the 'CCC' category. However, if
we believe a tranche can withstand a steady-state scenario without
being dependent on those favorable conditions to meet its financial
commitments, we will generally raise the rating to 'B- (sf)', even
if our CDO Evaluator and S&P Cash Flow Evaluator models would
indicate a lower rating. In assessing how a CLO tranche might
perform under a steady-state scenario, we considered the
speculative-grade (rated 'BB+' or lower) nonfinancial corporate
default rate over the decade before the 2020 COVID-19 pandemic and
determined if the tranche has sufficient credit enhancement to
withstand the average corporate default rate from this time frame.

"While each class' indicative cash flow results were a primary
factor in our rating decisions, we also incorporate other
qualitative considerations when reviewing the indicative ratings
suggested by our projected cash flows." These considerations
typically include:

-- Existing subordination or overcollateralization and recent
trends,

-- The cushion available for coverage ratios and comparative
analysis with other CLO classes with similar ratings,

-- Forward-looking scenarios for 'CCC' and 'CCC-' rated
collateral, as well as collateral with stressed market values,

-- The risk of imminent default,

-- Current obligor and industry concentration levels, and

-- Additional sensitivity runs (if applicable) to account for any
of the above.

S&P said, "Our ratings on some classes were constrained by the
application of our largest-obligor default test, which is a
supplemental stress test included as part of our corporate CLO
criteria. The test is intended to address event and model risks
that might be present in rated transactions."

The upgrades primarily reflect the transactions' increased credit
support, improved credit quality and overcollateralization levels,
passing cash flow results at higher ratings, and the application of
the 'CCC' criteria and guidance, as applicable.

S&P said, "The affirmations reflect our view that the available
credit enhancement still commensurate with the assigned ratings.
Although our cash flow analysis indicated higher ratings for some
classes, we affirmed the ratings after considering one or more
qualitative factors, as outlined in the ratings table below.

"We withdraw our rating on one tranche as its notional balance has
paid off in full.

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


                            *********

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for bond issues that reportedly trade well below par.  Prices are
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                            *********

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