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

              Sunday, December 12, 2021, Vol. 25, No. 345

                            Headlines

AA MMF 1: S&P Assigns Preliminary B- (sf) Rating on Class D Notes
AASET 2014-1: Fitch Affirms CCC Rating on Class C Debt
AGL CLO 14: Moody's Assigns Ba3 Rating to $22.5MM Class E Notes
ALL FINANCING 1998: Moody's Affirms Caa3 Rating on 5 Tranches
BACM 2016-UBS10: Fitch Affirms CCC Rating on 2 Tranches

BAIN CAPITAL 2021-6: Moody's Assigns Ba3 Rating to Class E Notes
BALBOA BAY 2021-2: Moody's Assigns Ba3 Rating to $19MM Cl. E Notes
BANK 2018-BNK10: Fitch Affirms BB- Rating on 2 Tranches
BANK 2021-BNK38: Fitch Assigns B- Rating on 2 Tranches
BATTALION CLO XIV: Moody's Gives Ba3 Rating to Class E-R Notes

BENCHMARK 2021-B31: Fitch Assigns B- Rating on 2 Tranches
BINOM 2021-INV1: S&P Assigns Prelim B (sf) Rating on B-2 Certs
BPR TRUST 2021-NRD: Moody's Assigns (P)B3 Rating to Cl. F Certs
CBAM 2021-15: Moody's Assigns Ba3 Rating to $19.2MM Class E Notes
CFMT 2021-FRR1: DBRS Finalizes B(low) Rating on 6 Classes

CFMT 2021-HB7: DBRS Finalizes B Rating on Class M5 Notes
CIFC FUNDING 2016-I: S&P Affirms 'B- (sf)' Rating on F-R Notes
CIM TRUST 2019-INV3: Moody's Hikes Rating on Cl. B-5 Bonds to Ba3
CIT GROUP 1995-2: S&P Affirms CC (sf) Rating on Class B Notes
COMM 2014-UBS6: Fitch Affirms CCC Rating on 2 Tranches

CONNECTICUT AVE 2021-R01: DBRS Gives (P) BB Rating on 4 Classes
CONNECTICUT AVE 2021-R02: Fitch Assigns B+ Rating on 4 Tranches
CONNECTICUT AVENUE 2021-R01: DBRS Finalizes BB Rating on 4 Classes
FIRST INVESTORS 2020-1: S&P Raises Class F Notes Rating to BB (sf)
FREDDIE MAC 2021-HQA4: Moody's Assigns (P)B1 Rating to 10 Tranches

GCAT 2021-NQM7: S&P Assigns Prelim B (sf) Rating on B-2 Certs
GENERATE CLO 8: S&P Assigns BB- (sf) Ratings on Class E-R Notes
GLS AUTO 2021-4: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
GOLDENTREE LOAN 11: S&P Assigns B- (sf) Rating on Class F Notes
GREAT LAKES VI: S&P Assigns Prelim BB-(sf) Rating on Class E Notes

ICG US 2020-1: S&P Assigns BB-(sf) Rating on $17MM Class E-R Notes
INVESCO CLO 2021-3: Moody's Assigns Ba3 Rating to $22.5MM E Notes
JP MORGAN 2008-R1: Moody's Withdraws Ca Rating on Cl. 2-A-1 Bonds
JP MORGAN 2021-13: DBRS Finalizes B(high) Rating on Class B5 Certs
JP MORGAN 2021-HTL5: Moody's Assigns B3 Rating to Cl. F Certs

LCM 35 LTD: Moody's Assigns Ba3 Rating to $20MM Class E Notes
MAGNETITE LTD XXIII: S&P Assigns Prelim BB- Rating on E-R Notes
MAGNETITE LTD XXVIII: S&P Assigns BB- Rating on Class E-R Notes
MARANON LOAN 2021-3: S&P Assigns BB- (sf) Rating on Class E Notes
MJX VENTURE II: Moody's Assigns Ba2 Rating to Series J Cl. E Notes

MORGAN STANLEY 2016-C29: Fitch Cuts Ratings on 2 Tranches to CCC
MOUNT LOGAN 2018-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
OCP CLO 2015-10: Moody's Assigns Ba3 Rating to $16.5MM E-R2 Notes
OCP CLO 2021-22: S&P Assigns BB- (sf) Rating on Class E Notes
OHA LOAN 2015-1: S&P Assigns BB- (sf) Rating on Class E-R3 Notes

PALMER SQUARE 2019-1: Moody's Assigns B2 Rating to $6MM E-R Notes
PALMER SQUARE 2021-3: Moody's Assigns B3 Rating to $16MM F Notes
PARALLEL LTD 2021-2: Moody's Assigns Ba3 Rating to $17MM D Notes
PRIME STRUCTURED 2021-1: Moody's Assigns B1 Rating to Cl. F Certs
PROVIDENT FUNDING 2019-1: Moody's Ups Cl. B-5 Bonds Rating to Ba2

PROVIDENT FUNDING 2021-INV2: Moody's Gives B3 Rating to B-5 Certs
RATE MORTGAGE 2021-HB1: Moody's Assigns (P)B3 Rating to B-5 Certs
RCKT MORTGAGE 2021-6: Fitch Gives 'B-(EXP)' Rating to B-5 Debt
SANTANDER BANK 2021-1: Fitch Gives 'B(EXP)' Rating to D Notes
SAPPHIRE AVIATION I: Fitch Affirms CCC Rating on Series C Notes

SOUND POINT XIV: Moody's Ups Rating on $35MM Class E Notes to Ba3
STARWOOD MORTGAGE 2021-6: Fitch Gives 'B-(EXP)' Rating to B-2 Debt
SUMMIT ISSUER 2021-1: Fitch Rates Class C Notes 'BB-'
SYMPHONY CLO XXIII: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
TOWD POINT 2021-SJ2: Fitch Assigns B-(EXP) Rating on 7 Tranches

TRAPEZA CDO IV: Fitch Lowers Class E Notes Rating to 'D'
TWIN BROOK 2021-1: S&P Assigns Prelim BB(sf) Rating on Cl. E Notes
VENTURE 28A CLO: Moody's Assigns Ba3 Rating to $28MM Cl. ER Notes
VERUS SECURITIZATION 2021-6: DBRS Finalizes B Rating on B-2 Notes
VOYA CLO 2019-3: S&P Assigns BB- (sf) Rating on Class E-R Notes

WELLS FARGO 2016-C33: Fitch Affirms B- Rating on 2 Tranches
WELLS FARGO 2021-C61: Fitch Gives Final 'B-sf' on Class J-RR Certs
WHETSTONE PARK: S&P Assigns BB- (sf) Rating on $20MM Class E Notes
[*] Fitch Puts 143 Tranches From 55 CDO Deals Under Observation
[*] Moody's Takes Actions on $110.3MM of US RMBS Issued 2004-2007

[*] S&P Takes Various Actions on 10 Classes from 7 US RMBS Deals
[*] S&P Takes Various Actions on 52 Classes from 18 U.S. RMBS Deals

                            *********

AA MMF 1: S&P Assigns Preliminary B- (sf) Rating on Class D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AA MMF 1
Ltd.'s floating-rate notes.

The note issuance is a $1 billion middle-market loan facility
managed by Apollo Credit Management LLC. Upon the closing date, the
preliminary rated notes will not be funded, and there will be no
assets in the portfolio. When a loan is originated by the facility
and included in the portfolio, the notes will be funded in a manner
that results in the satisfaction of certain coverage tests. S&P
will assesses the portfolio as it ramps up and will review it for
the assignment of final ratings once there are 8-10 obligors in the
portfolio.

The preliminary ratings are based on information as of Dec. 3,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

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

-- The coverage tests, which consider S&P criteria as it relates
to the required level of credit support.

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

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

  Preliminary Ratings Assigned

  AA MMF 1 Ltd.

  Class A, $767.50 million: A- (sf)
  Class B (deferrable), $50.75 million: BBB- (sf)
  Class C (deferrable), $78.50 million: BB- (sf)
  Class D (deferrable), $25.00 million: B- (sf)
  Subordinated notes, $78.25 million: Not rated



AASET 2014-1: Fitch Affirms CCC Rating on Class C Debt
------------------------------------------------------
Fitch Ratings has affirmed the ratings on the outstanding series A,
B, and C notes issued across four aviation ABS transactions by
Apollo Aviation Securitization Equity Trust 2014-1, 2018 Refinance
(2014-1), AASET 2017-1 Trust (2017-1), AASET 2019-2 Trust (2019-2)
and AASET 2020-1 Trust (2020-1). The Rating Outlooks remain
Negative on all series of notes.

   DEBT            RATING           PRIOR
   ----            ------           -----
AASET 2017-1 Trust

A 000366AA2   LT BBBsf  Affirmed    BBBsf
B 000366AB0   LT BBsf   Affirmed    BBsf
C 000366AC8   LT CCCsf  Affirmed    CCCsf

AASET 2014-1, 2018 Refinance

A 03766#AA2   LT Asf    Affirmed    Asf
B 03766#AC8   LT BBBsf  Affirmed    BBBsf
C 03766#AB0   LT CCCsf  Affirmed    CCCsf

AASET 2019-2 Trust

A 00038RAA4   LT Asf    Affirmed    Asf
B 00038RAB2   LT BBBsf  Affirmed    BBBsf
C 00038RAC0   LT BBsf   Affirmed    BBsf

AASET 2020-1 Trust

A 00255UAA3   LT Asf    Affirmed    Asf
B 00255UAB1   LT BBBsf  Affirmed    BBBsf
C 00255UAC9   LT Bsf    Affirmed    Bsf

TRANSACTION SUMMARY

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

Fitch maintained the Negative Outlook 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. Furthermore, continued global travel
restrictions and overall airline recovery driven by the pandemic,
including ongoing regional flareups and potential for and
occurrence of new virus variants, all combined resulting in
continued delays in recovery of the airline industry.

This remains a credit negative for these aircraft ABS transactions,
and airlines globally remain under pressure, despite the recent
opening up of borders regionally and pick-up in air travel across
many regions. This could lead to additional near-term lease
deferrals, airline defaults and bankruptcies, along with lower
aircraft demand and value impairments, which all can be impactful
on the pools. These negative factors could manifest in the
transactions resulting in lower cash flows and pressure on ratings
in the near term.

Cash flow modeling for 2014-1, 2017-1 and 2020-1 was not conducted
as performance has been within expectations, and the transactions
were modeled within the past 18 months, consistent with criteria.
While 2019-2 experienced improvements in airline lessee credit with
the 'CCC' rated group improving noticeably and other metrics fairly
stable since the last review, the transaction's performance has
been slightly outside of Fitch's expectations. Therefore, Fitch
performed a cash flow analysis of 2019-2 for this review.

Fitch updated rating assumptions for both rated and non-rated
airlines, which was a key driver of these rating actions along with
modeled cash flows. Recessionary timing was assumed to start
immediately for 2019-2, as this was the only transaction modeled
for this reviewl this is 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.

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

KEY RATING DRIVERS

Deteriorating Airline Lessee Credit:

The credit profiles of the airline lessees in the pools exhibited
improvements versus the prior review in late 2020. The proportion
of the airline lessees assumed at a 'CCC' Issuer Default Rating
(IDR) and below decreased for each transaction since the prior
review: 62.3% from 79.0% for 2014-1, 37.7% from 67.5% for 2017-1,
49.9% from 67.5% for 2019-2 and 62.3% from 91.0% for 2020-1. The
assumptions reflect the airlines' ongoing credit profiles and
fleets in the current operating environment, including 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, with the exception of 2019-2, consists of older
mid-to-end-of-life aircraft with weighted average (WA) ages ranging
from approximately 16.9-20.0 years. The WA age of the 2019-2 pool
is 13.2 years, which is more characteristic of a mid-life aircraft
pool.

Each pool features mostly liquid narrowbody (NB) aircraft, which is
viewed positively. Widebody (WB) aircraft total 23.4%, 19.6%, 7.3%,
and 12.5% in 2014-1, 2017-1, 2019-2, and 2020-1, respectively.
Reported off-lease assets for each transaction total 8.3% in
2014-1, 27.1% in 2017-1, 13.9% in 2019-2, and 4.5% in 2020-1; an
improvement since the prior review for 2014-1 and 2020-1, but
higher for 2017-1 and 2019-2. Uncertainty remains over ongoing
pressure on aircraft market values (MV) and how the current
environment will affect near-term lease maturities.

The 2014-1 and 2017-1 appraisers are AVITAS, Inc. (AVITAS), morten
beyer & agnew Inc. (mba) and BK Associates Inc (BK). Appraisers for
both 2019-2 and 2020-1 are AVITAS, mba and Collateral Valuations,
Inc. (CV). The transaction document values are $276.5 million for
2014-1; $290.1 million for 2017-1; $555.0 million for 2019-2; and
$384.8 million for 2020-1 (all as of the November 2021 reporting
period).

Fitch took into account conservative asset values for each
transaction as there is continued pressure and weaker market values
for certain aircraft variants, particularly WBs. For 2019-2, Fitch
utilized the average excluding highest value (AEH) of the
maintenance-adjusted base values (MABVs) for NBs. MVs were not
provided for this review, so Fitch utilized proxy MV data based on
aircraft with similar characteristics to derive the WB modeled
values in 2019-2. This resulted in Fitch modeled values of $493.5
million, which is approximately a 11% haircut down from the current
transaction values.

Transaction Performance

Lease deferrals occurred across all four transactions since March
2020. As of the November reporting period, 2014-1, 2017-1, 2019-2,
and 2020-1 had 10, four, six, and nine lessees that are delinquent
and behind on lease payments by at least one-month, respectively,
and each 60%, 46%, 52%, and 57% of their respective pools.

Lease collections have fluctuated in 2021 remaining relatively
rangebound since the prior review. As of the November reporting
period, 2017-1 and 2020-1 received $2.4 million and $3.3 million in
basic rent collections, which is consistent with the average
monthly receipts of $1.9 million and $3.3 million over the last 12
months. 2014-1 and 2019-2 received $2.0 million and $3.2 million,
which is lower than the average monthly receipt of $2.8 million and
$4.4 million over the last 12 months, but cash flow remains fairly
stable since the last review.

Loan-to-values (LTVs), based on updated Fitch LTVs, remained stable
for the 2017-1 and 2019-2 notes since the prior review, while LTVs
on 2014-1 and 2020-1 notes increased since the prior review. All
series A and B notes continue to receive interest payments.
Available cashflow has been sufficient to pay a portion of note A
principal amount in all but two periods for 2014-1 and 2019-2 since
the prior review. Since the prior review, 2017-1 and 2020-1 also
had sufficient cashflow to pay a portion of note A principal
amount; however, payments were more sporadic. The debt service
coverage ratios (DSCRs) remain below their respective cash trap
triggers and early amortization event triggers for each
transaction.

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 modeling 2019-2, any leases whose maturities are up in two
years or whose lessee credit ratings are 'CC' or 'D', Fitch assumed
an additional three-month downtime for NBs and six months for WBs,
on top of lessor-specific remarketing downtime assumptions, to
account for potential remarketing challenges in placing this
aircraft with a new lessee in the current distressed environment.

Near-term lease maturities are a credit negative for the
transactions given the challenging environment as many airlines are
returning aircraft and not renewing, it is difficult to place
returned aircraft on new lease, and selling aircraft may result in
highly stressed, lower values, and Fitch took these factors into
account in this analysis.

With the significant reduction in air travel, maintenance revenue
and costs will be affected 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 for
2019-2, and such missed payments were assumed to be recouped in the
following 12 months thereafter.

On 2019-2, maintenance costs over the immediate next six months
were assumed to be incurred as reported. Costs in the following
month were reduced by 50% and assumed to increase straight line to
100% over a 12-month period. Any deferred costs were incurred in
the following 12 months.

RATING SENSITIVITIES

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

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

-- Findings of new coronavirus variants could result in re
    impositions of travel restrictions, leading to a potential
    decline in transaction cash flows in the near-term. Fitch
    explored the impact if gross cash flow received over the next
    year is reduced by 50% each period. For 2019-2, the notes
    would remain at their current ratings.

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

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

-- In this scenario, Fitch increased the model value up to the
    average MABV, the transaction document value as of the October
    collection report. Under this scenario, 2019-2 experiences an
    improvement to cash flows and all notes would remain at their
    current ratings.

BEST/WORST CASE RATING SCENARIO

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

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

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.


AGL CLO 14: Moody's Assigns Ba3 Rating to $22.5MM Class E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by AGL CLO 14 Ltd. (the "Issuer" or "AGL CLO 14").

Moody's rating action is as follows:

US$310,000,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$51,000,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

US$19,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Assigned Aa2 (sf)

US$26,250,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

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

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

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

RATINGS RATIONALE

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

AGL CLO 14 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, cash and eligible investments, and up to 7.5%
of the portfolio may consist of permitted obligations; provided
that no more than 3% of the portfolio may consist of permitted
obligations that are senior secured bonds or senior secured notes.
The portfolio is approximately 96% ramped as of the closing date.

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

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

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

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

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

Par amount: $500,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2949

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 47.50%

Weighted Average Life (WAL): 9.5 years

Methodology Underlying the Rating Action:

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

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

The performance of the 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.


ALL FINANCING 1998: Moody's Affirms Caa3 Rating on 5 Tranches
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of 13 tranches
from three ALL FINANCING transactions, which are backed by student
loans originated under the Federal Family Education Loan Program
(FFELP). The loans are guaranteed by the US government for a
minimum of 97% of defaulted principal and accrued interest.

The complete rating actions are as follows:

Issuer: ALL FINANCING (1998), LLC

IV-C-1, Affirmed C (sf); previously on Nov 15, 2016 Downgraded to
C

Senior Ser. IV-A-8, Affirmed Caa2 (sf); previously on Jun 26, 2019
Downgraded to Caa2

Senior Ser. IV-A-10, Affirmed Caa2 (sf); previously on Jun 26, 2019
Downgraded to Caa2

Senior Ser. IV-A-14, Affirmed Caa3 (sf); previously on Jun 26, 2019
Downgraded to Caa3

Senior Ser. IV-A-15, Affirmed Caa3 (sf); previously on Jun 26, 2019
Downgraded to Caa3

Senior Ser. IV-A-16, Affirmed Caa3 (sf); previously on Jun 26, 2019
Downgraded to Caa3

Senior Ser. IV-A-17, Affirmed Caa3 (sf); previously on Jun 26, 2019
Downgraded to Caa3

Senior Ser. IV-A-18, Affirmed Caa3 (sf); previously on Jun 26, 2019
Downgraded to Caa3

Sr Ser. IVA-11, Affirmed Caa2 (sf); previously on Jun 26, 2019
Downgraded to Caa2

Issuer: ALL FINANCING (2010), LLC

2010-A-3 (Senior Non-Amt Tax Exempt), Affirmed Aaa (sf); previously
on Aug 2, 2011 Confirmed at Aaa

2010-B (Sub Taxable), Affirmed Aaa (sf); previously on Apr 28, 2014
Upgraded to Aaa

Issuer: ALL FINANCING (2012), LLC

Senior Ser. A, Affirmed Aaa (sf); previously on Dec 21, 2012
Definitive Rating Assigned Aaa

Subordinate Ser. B, Affirmed Aa1 (sf); previously on Nov 8, 2017
Upgraded to Aa1

RATINGS RATIONALE

The addition of the (sf) indicator to the rating reflects the
creation of Securitization Special Purpose Entities ( SSPEs)
following the Issuer's 150(d)(3) conversion from an exclusively
qualified scholarship funding corporation to an organization
engaging in broader charitable activities on Aug 31, 2021. If the
issuer is an SSPE, even if the sponsor is a non-profit or a public
instrumentality, Moody's considers the transaction to be a standard
student loan ABS whose ratings therefore carry an (sf) indicator.

The actions also reflect the recent performance of the transactions
and expected loss on the tranches across Moody's cash flow
scenarios. Moody's quantitative analysis derives the expected loss
for a tranche using 28 cash flow scenarios with weights accorded to
each scenario.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating Securities Backed by FFELP Student Loans"
published in April 2021.

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

Up

Moody's could upgrade the ratings if the paydown speed of the loan
pool increases as a result of declining borrower usage of
deferment, forbearance and IBR, increasing voluntary prepayment
rates, or prepayments with proceeds from sponsor repurchases of
student loan collateral. Moody's could also upgrade the ratings
owing to a build-up in credit enhancement.

Down

Moody's could downgrade the ratings if the paydown speed of the
loan pool declines as a result of lower than expected voluntary
prepayments, and higher than expected deferment, forbearance and
IBR rates, which would threaten full repayment of the class by its
final maturity date. In addition, because the US Department of
Education guarantees at least 97% of principal and accrued interest
on defaulted loans, Moody's could downgrade the rating of the notes
if it were to downgrade the rating on the United States government.



BACM 2016-UBS10: Fitch Affirms CCC Rating on 2 Tranches
-------------------------------------------------------
Fitch Ratings has affirmed all ratings of BACM 2016-UBS10
Commercial Mortgage Pass-Through Certificates, Series 2016-UBS10.
The Rating Outlooks for Five classes have been revised to Stable
from Negative.

    DEBT                RATING           PRIOR
    ----                ------           -----
BACM 2016-UBS10

A-3 06054MAD5    LT AAAsf    Affirmed    AAAsf
A-4 06054MAE3    LT AAAsf    Affirmed    AAAsf
A-S 06054MAH6    LT AAAsf    Affirmed    AAAsf
A-SB 06054MAC7   LT AAAsf    Affirmed    AAAsf
B 06054MAJ2      LT AA-sf    Affirmed    AA-sf
C 06054MAK9      LT A-sf     Affirmed    A-sf
D 06054MAW3      LT BBB-sf   Affirmed    BBB-sf
E 06054MAY9      LT Bsf      Affirmed    Bsf
F 06054MBA0      LT CCCsf    Affirmed    CCCsf
X-A 06054MAF0    LT AAAsf    Affirmed    AAAsf
X-B 06054MAG8    LT AA-sf    Affirmed    AA-sf
X-D 06054MAL7    LT BBB-sf   Affirmed    BBB-sf
X-E 06054MAN3    LT Bsf      Affirmed    Bsf
X-F 06054MAQ6    LT CCCsf    Affirmed    CCCsf

KEY RATING DRIVERS

Improved Loss Expectations: Fitch's loss expectations for the pool
have improved since the prior rating action. The Outlook revisions
on classes B, C and D (and interest only classes X-B and X-D)
reflects better than expected outcomes from loans that repaid at
maturity in addition to improved 2020 performance on some of the
Fitch Loans of Concern (FLOCs).

Fitch has designated 15 FLOCs (47.2%), including four specially
serviced loans (7.8%). Four loans, including Belk Headquarters
(8.5%), Grove City Premium Outlets (3.7%), The Granville (1.5%),
and Comfort Inn -- Cross Lanes (1.03%) are the largest contributors
to loss expectations. Fitch's current ratings incorporate a base
case loss of 6.30%. The Negative Outlook on class E (and interest
only class X-E) reflects losses that could reach 9.50% when
factoring in potential outsized losses on the Belk Headquarters and
Grove City Premium Outlets loans.

The largest FLOC is the Hyatt Regency Huntington Beach Resort & Spa
(9.2%), which is secured by a 517-key full-service hotel located in
Huntington Beach, CA, approximately 40 miles south of Los Angeles.
Amenities at the subject include seven food & beverage outlets (44%
of hotel revenue in 2019), 110,000 sf of indoor and outdoor meeting
space, two swimming pools, fitness facility, 20,000-sf spa, and a
walking bridge connecting the hotel to the beach. Due to local
ordinances the property was required to close in March 2020 but has
since re-opened. The hotel continues to outperform its competitive
set but has experienced a decline in performance due to the
pandemic.

Occupancy has increased from 36.9% (9/2020 YTD) to 59.0% (9/2021
YTD) and the debt service coverage ratio (DSCR) has dropped from
2.80x in 2019 to 0.30x as of YE 2020 increasing to 0.98x (TTM June
2021). Additionally, the loan began to amortize in June 2020. The
loan transferred to Special Servicing in July 2020 and is paid
through June 2020. A loan modification granting a forbearance was
closed in November 2020, the terms include a three-month P&I
deferment (July-September 2020) followed by a six-month IO period,
and deferral of FF&E payments.

The second largest FLOC and largest contributor to modeled losses
is Belk Headquarters (8.5%), secured by a 473,698-sf single-tenant
office property built in 1987 in Charlotte, NC. The property is
100% leased to Belk and has served as Belk's headquarters since
1989. Property performance has been steady with a drop in DSCR in
2018 due to amortization. In July 2021, Belk announced it was
looking to sublease their HQ building after the decision to shift
to predominantly remote work for corporate employees.

In its analysis, Fitch applied an approximate 25% stress to the
2020 NOI due to single Belk tenancy and the company's plans to
sublease their space. Fitch's loss expectations of approximately
19% reflects a stressed value of $86/sf; the stressed value aligns
with Fitch's dark value analysis. In addition to the base case
analysis, Fitch performed a sensitivity on the loan, which assumed
a 50% loss severity on the maturity balance; this sensitivity
reflects Fitch's concerns with Belk's intention to sublease their
space.

The third largest FLOC is 525 Seventh Avenue (6.7%), a 23-story,
505,273-sf office property located in the Garment District of
Manhattan. The property was built in 1925. The office component is
primarily occupied by tenants that work in the fashion industry and
the rent roll is granular with most tenants comprising less than 2%
of NRA. There is also a ground floor retail component that spans
the entire perimeter of the building occupied by a Starbucks, Duane
Reade, FedEx and an Italian restaurant. Occupancy has increased to
83% as of the June 2021 rent roll from 81% at YE 2020, 90.9% at YE
2019, 93.6% at YE 2018 and 98.7% at YE 2017. Per the September 2021
rent roll, leases totaling 43.0% of NRA roll by maturity, including
8.9% through YE 2022. Fitch's value was based on leases in place as
of the September 2021 rent roll.

The next largest FLOC is Grove City Premium Outlets (3.7%), secured
by a 531,200-sf open-air outlet center located in Grove City, PA, a
tertiary market located along I-79, approximately 55 miles north of
Pittsburgh. Occupancy as of June 2021 was 72% and the largest
tenants include Lee Wrangler Clearance (5.0% of NRA, 11/22 LXD),
Old Navy (3.8% of NRA, 1/26 LXD), and Nike (3.1%, 6/23 LXD). DSCR
has remained steady at 2.29x in YTD June 2021 up slightly from
2.23x at YE 2020. Fitch's base case loss of 24% reflects an implied
cap rate of 18.75%. Fitch's analysis included an additional
sensitivity scenario whereby a potential outsized loss of 50% was
applied to the current balance of the loan to reflect refinance
concerns.

The three remaining Specially Serviced Loans include (1) the Le
Meridien Cambridge MIT (3.1%), a 210-room full service hotel
located adjacent to MIT and five miles east of Boston. The loan was
transferred to special servicing in April 2020 for imminent
monetary default and was granted coronavirus relief through a
modification that closed in August 2020; (2) Princeton Pike
Corporate Center (3.1%), an 809,458-sf suburban office property
consisting of 8 buildings located in Lawrence Township, NJ. The
loan was transferred to special servicing in April 2021 for
imminent monetary default due to the borrower requesting a loan
modification due to its projections that DSCR would drop below
1.00x and additional capital and leasing funds are needed to
increase occupancy. The special servicer confirmed that a
modification closed on Sept. 17, 2021 and the loan is expected to
return to the master servicer after three payments are made.; and
(3) Robin's Nest (0.65%), a 31,557-sf neighborhood retail center.
The Loan transferred to special servicing in May 2021 due to
payment default and escalating vacancies. The Borrower has
expressed desire to bring the loan current and the special servicer
is evaluating next steps. The collateral has suffered from covid-19
hardships with three tenants totaling 39.7% NRA vacating the
property. As of the June 2021 rent roll occupancy has dropped to
51.2% from 90.1% in June 2020.

Undercollateralization: The transaction is undercollateralized by
approximately $775,000 due to a WODRA on the Hyatt Regency
Huntington Beach Resort & Spa loan, which was reflected in the
March 2021 remittance report.

Credit Enhancement Improvement/Amortization: As of the November
2021 distribution date, the pool's aggregate principal balance has
been paid down by 26.1% to $645.9 million from $876.3 million at
issuance. In addition, two loans (1.5%) have been defeased. There
are eight Interest-only loans (20.5%) and seven loans (17.4%) which
are currently IO, not having not yet started to amortize.

Coronavirus Exposure: Retail and hotel loans represent 17.4% (15
loans) and 4.8% (five loans) of the pool, respectively. Fitch
applied an additional stress to pre-pandemic cash flows for two
hotel loans (12.3%) given significant pandemic-related 2020 NOI
declines; these additional stresses did not contribute to the
Negative Outlooks. Fitch performed a sensitivity on the Belk
Headquarters loan that assumed a 50% loss severity on the maturity
balance reflecting Fitch's concerns with Belk's intention to
sublease their space.

Additionally, Fitch performed a sensitivity scenario that assumed a
potential outsized loss on the maturity balance of the Grove City
Premium Outlets loan, reflecting refinance concerns due to
declining occupancy and weakening sales trends, tertiary market
locations and potential for sustained underperformance. These
additional stresses contributed to maintain the Negative Outlook on
class E (and interest-only class X-E).

RATING SENSITIVITIES

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

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

-- In addition, classes rated 'AAA' or 'AA-' would be downgraded
    should interest shortfalls occur. Downgrades to the classes
    rated 'BBB-' and 'B' are possible should performance of the
    FLOCs decline, should loans susceptible to the coronavirus
    pandemic not stabilize and/or should further loans transfer to
    special servicing. The Outlooks on class E and X-E may be
    revised back to Stable if performance of the FLOCs improves
    and/or properties vulnerable to the coronavirus stabilize.

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 classes rated 'A-
    sf' and 'AA-sf' are not expected but would likely occur with
    significant improvement in CE and/or defeasance and/or the
    stabilization to the properties impacted from the coronavirus
    pandemic.

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


BAIN CAPITAL 2021-6: Moody's Assigns Ba3 Rating to Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Bain Capital Credit CLO 2021-6, Limited (the
"Issuer").

Moody's rating action is as follows:

US$283,500,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$9,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

US$49,100,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned Aa2 (sf)

US$21,700,000 Class C Secured Deferrable Floating Rate Notes due
2034, Assigned A2 (sf)

US$27,500,000 Class D Secured Deferrable Floating Rate Notes due
2034, Assigned Baa3 (sf)

US$23,200,000 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.

Bain Capital Credit CLO 2021-6, Limited is a managed cash flow CLO.
The issued notes will be collateralized primarily by broadly
syndicated senior secured corporate loans. At least 90% of the
portfolio must consist of first lien senior secured loans and up to
10% of the portfolio may consist of second lien loans, senior
unsecured loans or permitted non-loan assets. The portfolio is
approximately 90% ramped as of the closing date.

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

In addition to the Rated 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: $450,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2980

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


BALBOA BAY 2021-2: Moody's Assigns Ba3 Rating to $19MM Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Balboa Bay Loan Funding 2021-2 Ltd (the "Issuer" or
"Balboa 2021-2").

Moody's rating action is as follows:

US$248,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$12,000,000 Class A-2 Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$42,000,000 Class B Senior Secured Floating Rate Notes due 2035,
Assigned Aa2 (sf)

US$21,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned A2 (sf)

US$26,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned Baa3 (sf)

US$19,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2035, 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.

Balboa 2021-2 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 second lien loans, senior unsecured loans, first lien last out
loans and permitted non-loan assets. The portfolio is approximately
75% ramped as of the closing date.

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

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

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

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

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

Par amount: $400,000,000

Diversity Score: 60

Weighted Average Rating Factor (WARF): 2930

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 48.0%

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.


BANK 2018-BNK10: Fitch Affirms BB- Rating on 2 Tranches
-------------------------------------------------------
Fitch Ratings has affirmed all ratings and revised two Outlooks to
Stable from Negative of BANK 2018-BNK10 Commercial Mortgage
Pass-Through Certificates, Series 2018-BNK10.

    DEBT               RATING            PRIOR
    ----               ------            -----
BANK 2018-BNK10

A-1 065404AW5    LT AAAsf    Affirmed    AAAsf
A-2 065404AX3    LT AAAsf    Affirmed    AAAsf
A-3 065404AY1    LT AAAsf    Affirmed    AAAsf
A-4 065404BA2    LT AAAsf    Affirmed    AAAsf
A-5 065404BB0    LT AAAsf    Affirmed    AAAsf
A-S 065404BC8    LT AAAsf    Affirmed    AAAsf
A-SB 065404AZ8   LT AAAsf    Affirmed    AAAsf
B 065404BD6      LT AA-sf    Affirmed    AA-sf
C 065404BE4      LT A-sf     Affirmed    A-sf
D 065404AA3      LT BBB-sf   Affirmed    BBB-sf
E 065404AC9      LT BB-sf    Affirmed    BB-sf
X-A 065404BF1    LT AAAsf    Affirmed    AAAsf
X-B 065404BG9    LT A-sf     Affirmed    A-sf
X-D 065404AN5    LT BBB-sf   Affirmed    BBB-sf
X-E 065404AQ8    LT BB-sf    Affirmed    BB-sf

KEY RATING DRIVERS

Improved Loss Expectations: Fitch's loss expectations for the pool
have improved since the prior rating action. The Outlook revision
on class E (and interest only class X-E) reflects better than
expected 2020 performance on some of the Fitch Loans of Concern
(FLOCs) and higher recovery expectations on the specially serviced
loans. Fitch's current ratings reflect a base case loss of 4.25%.
Losses are marginally higher when factoring additional
coronavirus-related stresses and an outsized loss on the Warwick
Mall loan (2.2%).

Fitch has designated 10 FLOCs (22.9% of pool), including three (1%)
specially serviced loans. However, all of the specially serviced
loans are current and expected to return to the master servicer.

The largest driver to expected losses is the Warwick Mall, which is
secured by an approximately 588,000-sf portion of a regional mall
located in Warwick, RI. Non-collateral anchors include Macy's and
Target. The property was 94% occupied as of the June 2021 rent
roll. The mall reopened in June 2020 after closing in March due to
the pandemic. The YE 2020 servicer-reported NOI was 14% below YE
2019.

Major collateral tenants include JCPenney (23.4% NRA, lease expiry
in March 2030), Jordan's Furniture (19.3%, December 2026),
Nordstrom Rack (6.4%, November 2022) and Old Navy (3.8%, January
2026). Jordan Furniture recently extended its lease for five years
through December 2026. The prior theater, Showcase Cinema (9.7%),
did not renew and vacated at its April 2021 lease expiration;
however, the borrower has executed a 15-year lease with a new
theater tenant, Apple Cinemas, which was expected to begin around
Nov. 1, 2021.

Fitch's base case loss of 21% reflects a 20% cap rate to the YE
2020 NOI. Fitch ran an additional sensitivity that applied an
outsized loss of 30%, which equates to a 25% cap rate and 15%
haircut to the YE 2020 NOI, to account for refinance concerns, the
secondary market location, non-institutional sponsorship, as well
as the potential protracted impact of the pandemic. The sensitivity
loss on this regional mall was lowered to 30% from 40% at the last
rating action due to the positive leasing momentum; this
contributed to the Outlook revisions of classes E and X-E to Stable
from Negative.

The largest FLOC is the Wisconsin Hotel Portfolio (5.5%), which is
secured by a 11-property, 1,255-key hotel portfolio located in five
different submarkets in Wisconsin. Property performance has
suffered from hardships related to the pandemic, but the borrower
remains current on payments. NOI debt service coverage ratio (DSCR)
has decreased to 0.61x as of June 2021 from -0.12x at YE 2020,
1.63x at YE 2019, and 1.74x at YE 2018. Portfolio occupancy as of
June 2021 was reported to be 36%, down from 64% at YE 2019. Fitch's
base case loss of approximately 1% incorporates a 10% haircut
applied to the portfolio's YE 2019 NOI to reflect hotel performance
volatility. Fitch ran an additional sensitivity that applies a loss
of 15%, which is based on a 26% haircut to the YE 2019 NOI to
reflect significant performance concerns related to the pandemic.

Minimal Change to Credit Enhancement: As of the November 2021
distribution date, the pool's aggregate balance has been paid down
by 2.5% to $1.25 billion from $1.29 billion at issuance. 67 of the
original 68 loans remain in the pool; two loans (0.5%) are
defeased. Twenty-four loans representing 54.9% of the pool are
full-term interest-only loans, and six loans representing 12.3% of
the pool remain in their partial interest-only period. The pool is
scheduled to amortize by 7.4% of the initial pool balance by
maturity.

Alternative Loss Consideration; Coronavirus Exposure: Six loans
(13.6%) are secured by hotel properties and 16 loans (23.3%) are
secured by retail properties. Fitch's sensitivity analysis applied
an additional stress to the pre-pandemic cash flows for two hotel
loans given the significant 2020 NOI declines related to the
pandemic; despite these additional stresses combined with the
outsized loss of 30% on the Warwick Mall loan, the Outlooks for
classes E and X-E are revised to Stable from Negative due to
sufficient credit enhancement and better than expected performance
of loans that were impacted by the pandemic.

Investment-Grade Credit Opinion Loans: At issuance, two loans had
investment-grade credit opinions. Apple Campus 3 (7.5% of the pool)
received a credit opinion of 'BBB-sf' on a standalone basis.
Moffett Towers II - Building 2 (3.3% of the pool) received a credit
opinion of 'BBB-sf' on a standalone basis.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool-level losses
    from underperforming or specially serviced loans. Downgrades
    to the senior A-1, A-2, A-3, A-4, A-5 A-SB and A-S classes,
    along with class B, are not expected given their sufficient CE
    relative to expected losses and continued amortization, but
    may occur if interest shortfalls occur or loss expectations
    increase considerably. Downgrades to classes C, X-B, D, and X-
    D are possible should additional defaults occur or loss
    expectations increase.

-- Downgrades to classes E and X-E 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,
    higher losses than expected are incurred on the specially
    serviced loans and/or with an outsized loss on the Warwick
    Mall loan.

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

-- Upgrades would occur with stable to improved asset
    performance, particularly on the FLOCs, coupled with
    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, X-D, E and X-E may occur as the number
    of FLOCs are reduced, properties vulnerable to the pandemic
    return to pre-pandemic levels and there is sufficient CE to
    the classes.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


BANK 2021-BNK38: Fitch Assigns B- Rating on 2 Tranches
------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
BANK 2021-BNK38, commercial mortgage pass-through certificates,
Series 2021-BNK38 as follows:

-- $5,800,000 class A-1 'AAAsf'; Outlook Stable;

-- $11,800,000 class A-2 'AAAsf'; Outlook Stable;

-- $17,100,000 class A-3 'AAAsf'; Outlook Stable;

-- $8,200,000 class A-SB 'AAAsf'; Outlook Stable;

-- $100,000,000ab class A-4 'AAAsf'; Outlook Stable;

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

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

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

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

-- $341,894,000ab class A-5 'AAAsf'; Outlook Stable;

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

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

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

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

-- $484,794,000c class X-A 'AAAsf'; Outlook Stable;

-- $97,825,000c class X-B 'AA-sf'; Outlook Stable;

-- $69,256,000b class A-S 'AAAsf'; Outlook Stable;

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

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

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

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

-- $28,569,000b class B 'AA-sf'; Outlook Stable;

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

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

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

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

-- $31,1650b class C 'A-sf'; Outlook Stable;

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

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

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

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

-- $31,165,000cd class X-D 'BBB-sf'; Outlook Stable;

-- $8,657,000cd class X-F 'BB+sf'; Outlook Stable;

-- $7,792,000cd class X-G 'BB-sf'; Outlook Stable;

-- $6,925,000cd class X-H 'B-sf'; Outlook Stable;

-- $17,314,000d class D 'BBBsf'; Outlook Stable;

-- $13,851,000d class E 'BBB-sf'; Outlook Stable;

-- $8,657,000d class F 'BB+sf'; Outlook Stable;

-- $7,792,000d class G 'BB-sf'; Outlook Stable.

-- $6,925,000d class H 'B-sf'; Outlook Stable.

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

-- $24,240,455cd class X-J;

-- $24,240,455d class J;

-- $36,450,708de RR Interest.

(a)The initial certificate balances of classes A-4 and A-5 are
unknown and expected to be $441,894,000 in aggregate, subject to a
5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-4 balance range is $0 to $200,000,000, and the expected
class A-5 balance range is $241,894,000 to $441,894,000. Fitch's
certificate balances for classes A-4 and A-5 are assumed at the
midpoint of each range.

(b)Exchangeable Certificates. The class A-4, class A-5, class A-S,
class B and class C are exchangeable certificates. Each class of
exchangeable certificates may be exchanged for the corresponding
classes of exchangeable certificates, and vice versa. The dollar
denomination of each of the received classes of certificates must
be equal to the dollar denomination of each of the surrendered
classes of certificates. The class A-4 may be surrendered (or
received) for the received (or surrendered) classes A-4-1, A-4-2,
A-4-X1 and A-4-X2. The class A-5 may be surrendered (or received)
for the received (or surrendered) class A-5-1, A-5-2, A-5-X1 and
A-5-X2. The class A-S may be surrendered (or received) for the
received (or surrendered) class A-S-1, A-S-2, A-S-X1 and A-SX2. The
class B may be surrendered (or received) for the received (or
surrendered) class B-1, B-2, B-X1 and B-X2. The class C may be
surrendered (or received) for the received (or surrendered) class
C-1, C-2, C-X1 and C-X2. The ratings of the exchangeable classes
would reference the ratings on the associated referenced or
original classes;

(c)Notional amount and interest only;

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

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

The expected ratings are based on information provided by the
issuer as of Dec. 7, 2021.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 65 loans secured by 84
commercial properties having an aggregate principal balance of
$729,014,163 as of the cut-off date. The loans were contributed to
the trust by Wells Fargo Bank, National Association, Bank of
America, National Association, Morgan Stanley Mortgage Capital
Holdings LLC, and National Cooperative Bank, N.A. The Master
Servicers are expected to be Wells Fargo Bank, National Association
and National Cooperative Bank, N.A. and the Special Servicers are
expected to be Midland Loan Services, a Division of PNC Bank,
National Association and National Cooperative Bank, N.A.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 36.7% of the loans by
balance, cash flow analyses of 80.6% of the pool and asset summary
reviews on 100% of the pool.

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

KEY RATING DRIVERS

Lower Fitch Leverage than Recent Transactions: This transaction's
leverage is lower than that of other multiborrower transactions
recently rated by Fitch. The pool's Fitch debt service coverage
ratio (DSCR) of 1.75x is higher than the 2021 YTD and 2020 averages
of 1.38x and 1.32x, respectively. Additionally, the pool's Fitch
loan to value (LTV) ratio of 97.1% is below the 2021 YTD and 2020
average of 103.0% and 99.6%, respectively. Excluding the
co-operative (co-op) and the credit opinion loans, the pool's DSCR
and LTV are 1.34x and 112.6%, respectively. The YTD 2021 and 2020
averages excluding credit opinions and co-op loans are 1.30x/110.3%
and 1.24x/111.3%, respectively.

Investment-Grade Credit Opinions and Co-op Loans: The pool includes
three loans, representing 19.9% of the pool, that received
investment-grade credit opinions. This falls between the YTD 2021
and 2020 average credit opinion concentrations of 13.7% and 24.5%,
respectively. On a standalone basis, Park Avenue Plaza (9.6% of
pool) received a credit opinion of 'BBB-sf', Cambridge Crossing -
350 & 450 Water (7.5%) received a credit opinion of 'BBB-sf' and
Twin Ridge (2.7%) received a credit opinion of 'BBB-sf'.
Additionally, the pool contains 21 loans, representing 9.1% of the
pool, that are secured by residential cooperatives and exhibit
leverage characteristics significantly lower than typical conduit
loans. The weighted average (WA) Fitch DSCR and LTV for the co-op
loans are 6.06x and 29.5%, respectively.

Highly Concentrated Pool: The pool's 10 largest loans represent
59.2% of the pool's cutoff balance. This is greater than the YTD
2021 and 2020 averages of 51.1% and 56.8%, respectively. The pool's
Loan Concentration Index (LCI) is 467, which is greater than the
YTD 2021 and 2020 averages of 378 and 440, respectively.

Limited Amortization: The pool is scheduled to only amortize by
2.1% of the initial pool balance prior to maturity, which is below
the 2021 YTD and 2020 averages of 4.9% and 5.3%, respectively.
Forty-five loans (88.9%) are full-term interest only, which is
higher than the YTD 2021 and 2020 averages of 70.4% and 67.7%,
respectively. Four loans (3.5%) are partial-term interest only,
which is below the 2021 YTD and 2020 averages of 17.1% and 20.0%,
respectively.

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


BATTALION CLO XIV: Moody's Gives Ba3 Rating to Class E-R Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Battalion CLO XIV Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$359,100,000 Class A-R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$68,400,000 Class B-R Senior Secured Floating Rate Notes due
2035, Assigned Aa2 (sf)

US$29,200,000 Class C-1R Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned A2 (sf)

US$5,000,000 Class C-2R Mezzanine Secured Deferrable Fixed Rate
Notes due 2035, Assigned A2 (sf)

US$34,200,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2035, Assigned Baa3 (sf)

US$23,215,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2035, Assigned Ba3 (sf)

RATINGS RATIONALE

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

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

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

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the reinvestment
period; extensions of the stated maturity and non-call period;
changes to certain collateral quality tests; and changes to the
overcollateralization test levels; the inclusion of Libor
replacement provisions; additions to the CLO's ability to hold
workout and restructured assets; changes to the definition of
"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: $570,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3050

Weighted Average Spread (WAS): 3.65%

Weighted Average Coupon (WAC): 5.50%

Weighted Average Recovery Rate (WARR): 47.50%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


BENCHMARK 2021-B31: Fitch Assigns B- Rating on 2 Tranches
---------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Benchmark 2021-B31 Mortgage Trust commercial mortgage pass-through
certificates, series 2021-B31, as follows:

-- $19,800,000 class A-1 'AAAsf'; Outlook Stable;

-- $138,050,000 class A-2 'AAAsf'; Outlook Stable;

-- $23,220,000 class A-3 'AAAsf'; Outlook Stable;

-- $185,000,000 (a) class A-4 'AAAsf'; Outlook Stable;

-- $605,676,000 (a) class A-5 'AAAsf'; Outlook Stable;

-- $23,526,000 class A-AB 'AAAsf'; Outlook Stable;

-- $1,137,454,000 (b) class X-A 'AAAsf'; Outlook Stable;

-- $142,182,000 class A-S 'AAAsf'; Outlook Stable;

-- $63,981,000 class B 'AA-sf'; Outlook Stable;

-- $60,428,000 class C 'A-sf'; Outlook Stable;

-- $124,409,000 (b) class X-B 'A-sf'; Outlook Stable;

-- $63,981,000 (b) class X-D; 'BBB-sf'; Outlook Stable;

-- $26,660,000 (b) class X-F; 'BB-sf'; Outlook Stable;

-- $14,218,000 (b) class X-G; 'B-sf'; Outlook Stable;

-- $37,322,000 class D; 'BBBsf'; Outlook Stable;

-- $26,659,000 class E; 'BBB-sf'; Outlook Stable;

-- $31,991,000 class F; 'BB-sf'; Outlook Stable;

-- $14,218,000 class G; 'B-sf'; Outlook Stable.

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

-- $55,095,655 (b) class X-H;

-- $55,095,655 class H;

-- $74,832,509 (c) VRR Interest.

(a) The initial certificate balances of class A-4 and A-5 are not
yet known and are expected to be $790,676,000 in the aggregate,
subject to a 5% variance. The certificate balances will be
determined based on the final pricing of those classes of
certificates. The expected class A-4 balance range is
$0-$370,000,000, and the expected class A-5 balance range is
$420,676,000-$790,676,000. The class balances for A-4 and A-5 as
shown above reflect the midpoint of each range.

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

(c) Vertical risk retention interest.

The expected ratings are based on information provided by the
issuer as of Dec. 2, 2021.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 57 loans secured by 97
commercial properties having an aggregate principal balance of
$1,496,650,164 as of the cut-off date. The loans were contributed
to the trust by Citi Real Estate Funding Inc., German American
Capital Corporation, JPMorgan Chase Bank, National Association, and
Goldman Sachs Mortgage Company. The Master Servicer is expected to
be Midland Loan Services, National Association and the Special
Servicer is expected to be Rialto Capital Advisors, LLC.

KEY RATING DRIVERS

Fitch Leverage: The transaction's Fitch leverage is in line with
recent U.S. multiborrower transactions rated by Fitch. The pool's
Fitch trust loan-to-value ratio (LTV) of 101.4% is slightly lower
than the 2021 YTD average of 103.0% and above the 2020 average of
99.6%. Additionally, the pool's Fitch trust debt service coverage
ratio (DSCR) of 1.37 is below the 2021 YTD average of 1.38 and
above the 2020 average of 1.32x, respectively. Excluding credit
opinion loans, the pool's weighted average (WA) Fitch DSCR is 1.31x
and WA LTV is 111.5%.

Investment Grade Credit Opinion Loans: The pool includes five
loans, totaling 21.5% of the pool, which received investment grade
credit opinions. This is above the 2021 YTD average of 13.7% and
below the 2020 average of 24.5% for other Fitch-rated U.S.
multiborrower transactions. Cambridge Crossing (9.9% of the pool)
received a credit opinion of 'BBB-sf', One Memorial Drive (4.2%)
received a credit opinion of 'BBB-sf', The Eddy (2.9%) received a
credit opinion of 'BBB-sf', and The Colony Cooperative (2.3%) and
Hyde Park Cooperative (2.2%) both received credit opinions of
'AAAsf'.

High Concentration of Full-term IO Loans: Forty-five loans,
representing 81.0% of the pool's cutoff balance, are interest only
for their entire loan terms. This is significantly greater than the
YTD 2021 average of 70.4% and 2020 average of 67.7%. Additionally,
there are five loans with a partial IO period totaling 7.6% of the
pool. This contributes to the lower-than-average scheduled
principal paydown for the transaction of just 3.15% by maturity. By
comparison, the average scheduled paydown for recent Fitch-rated
U.S. multiborrower transactions is 4.9% for 2021 YTD and 5.3% for
2020.

Diverse Pool by Loan Size: The 10 largest loans make up 46.0% of
the pool, significantly lower than the 2021 YTD and 2020 averages
of 51.5% and 56.8%, respectively. This contributes to a loan
concentration index (LCI) of 342, which is lower than the 2021 YTD
and 2020 average LCIs of 378 and 441, respectively, for Fitch-rated
multiborrower transactions.

Significant Office Concentration: Office properties represent 45.4%
of the pool, higher than 2021 YTD and 2020 averages of 36.6% and
41.2%, respectively. Retail (20.6%) and multifamily (19.3%)
represent other material property type concentrations.

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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


BINOM 2021-INV1: S&P Assigns Prelim B (sf) Rating on B-2 Certs
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to BINOM
Securitization Trust 2021-INV1's mortgage pass-through certificates
series 2021-INV1.

The certificates are backed by first-lien, fixed-rate,
adjustable-rate, fully amortizing, and interest-only residential
mortgage loans primarily secured by single-family residences,
condominiums, and two- to four-family homes to both prime and
nonprime borrowers. The pool consists of 1,342 business-purpose
investor loans (including 75 cross-collateralized loans backed by
354 properties) that are exempt from the qualified mortgage and
ability-to-repay rules.

The preliminary ratings are based on the term sheet dated Nov. 30,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The pool's collateral composition;

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

-- The mortgage aggregator and mortgage originators; and

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

  BINOM Securitization Trust 2021-INV1

  Class A-1, $160,510,000: AAA (sf)
  Class A-2, $16,493,000: AA (sf)
  Class A-3, $28,565,000: A (sf)
  Class M-1, $13,624,000: BBB (sf)
  Class B-1, $9,562,000: BB (sf)
  Class B-2, $6,215,000: B (sf)
  Class B-3, $4,062,623: Not rated
  Class A-IO-S, notional(ii): Not rated
  Class XS, notional(ii): Not rated
  Class C, notional (ii): Not rated
  Class P, $1,000: Not rated
  Class R: Not rated

(i)The collateral and structural information in this report reflect
the term sheet dated Nov. 30, 2021.

(ii)Notional balance.

IO--Interest only.



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

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)Aaa (sf)

*Reflects Interest-Only Class

RATINGS RATIONALE

The certificates are collateralized by a single, $275.0 MM
floating-rate, interest only loan secured by the borrower's fee
interests in Northridge Fashion Center, a regional shopping center
located in Northridge, CA. The collateral for the loan consists of
a 882,117 square foot ("SF") portion of the 1.44 MM ("MM") SF
two-story, enclosed mall. Moody's ratings are based on the credit
quality of the loans and the strength of the securitization
structure.

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.

Northridge Fashion Center is 20 miles northwest of downtown Los
Angeles, in Northridge, CA. The collateral for the loan consists of
a 882,117 SF portion of the 1.44 MM SF two-story, enclosed mall on
47.4 acres of land.

The property's non-collateral anchors include Macy's (189,650 SF),
Macy's Men & Home (185,200 SF), and JCPenney (181,660 SF).
Collateral anchors include Curacao (97,847 SF, 11.1% of total net
rentable area ("NRA"), 3.0% of base rent), AMC (51,000 SF, 5.8% of
NRA, 3.4% of base rent), Dick's Sporting Goods (50,272 SF, 5.7% of
total NRA, 3.3% of base rent), and Gold's Gym (39,202 SF, 4.4% of
total NRA, 2.8% of base rent). The property includes over 100
in-line retailers. Some notable, in-line tenants include Porto's
Bakery Cafe (17,668 SF, 2.0% of total NRA, 2.0% of base rent),
Victoria's Secret (10,180 SF, 1.2% of total NRA, 2.6% of base
rent), and Apple (7,652 SF, 0.9% of total NRA, 1.4% of base rent).

As of September 1, 2021, the collateral component of the mall
reported an occupancy rate of 94.3% (96.5% including non-collateral
anchor tenants). The collateral property has a four-year average
historical occupancy rate of 97.8% (98.9% in 2017; 98.4% in 2018;
98.2% in 2019; and 95.6% in 2020). In terms of in-line space, the
property has a four-year average historical occupancy rate of 93.1%
(96.9% in 2017; 95.3% in 2018; 92.5% in 2019; and 87.8% in 2020).

The coronavirus crisis dramatically reduced sales and occupancy
levels as the property was closed for two 3-month periods in 2020.
Comparable 2020 in-line sales and the corresponding occupancy cost
ratio (excl. Apple, jewelry, food court) averaged $295 PSF and
26.7%, respectively. Including all tenants less than 10,000 SF, the
in-line sales and occupancy cost ratio were $352 PSF and 22.2%,
respectively. Of note, Apple implemented a number of strict social
distancing protocols at its stores nationwide (i.e. reduced
capacity, temperature checks, reduced staff, etc.), which
negatively affected sales.

Occupancy rates at the property also declined to new lows due to
the fallout from the coronavirus pandemic as well as increasing
bankruptcies and store closures throughout the retail industry.
Occupancy (excl. anchors) fell to 87.8% in 2020 from 92.5% in 2019.
The NOI at the property correspondingly decreased to $26.5 MM
during 2020 by approximately 31.6% from $32.9 MM. For the TTM
ending August 2021, NOI further declined $22.5 MM.

Separately, the tenant's negotiating power appears to have
strengthened in recent years as gross lease structures have become
more common. The property's expense recover ratio has steadily
declined over the past four years -- from 114.6% (2017), to 109.5%
(2018), to 101.2% (2019), to 96.4% (2020), to 81.9% (TTM August
2021). However, Brookfield believes that most future leases will be
structured on a net bases as many of the property's gross leases
were executed during the pandemic. The property's low occupancy
cost ratio of 14% also supports rental increase potential.

The property's performance has improved in certain respects since
re-opening in October 2020. For the TTM ended October 2021 ("TTM
October 2021"), comparable in-line sales and occupancy costs
improved to $477 PSF (excl. Apple, jewelry, food court). The
occupancy rate (incl. non-collateral anchors) also rebounded to
96.5% as of September 1, 2021. Rent collections as a percent of
gross rent averaged 93.0% from April 2020 to September 2021, albeit
showing its lowest collection in September 2021 (91.2% collected).

The property has been expanded and renovated numerous times since
its development in 1971. Most recently, the borrower spent $54
million in an extensive redevelopment, which included the purchase
of a formerly occupied Sears-owned box that closed in January 2020.
The capital investment also included the addition of Dick's
Sporting Goods, Curacao, Blaze Pizza and Gold's Gym. Porto's Bakery
and Café will backfill a former Sears auto space. The
redevelopment of the former department store and auto center
outparcel is nearing completion with both Curacao and Dick's
Sporting Goods having taken possession of their space. All spaces
are likely to be occupied by the end of Q1 2022. Separately, AMC
Theaters recently executed a 10-year lease commencing May 1, 2022,
that backfills a space formerly occupied by Pacific Theaters. They
are currently building out their space at their own expense and it
is likely to open during Q1 2022.

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 ("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 Moody's first-mortgage DSCR is 2.23x and Moody's first-mortgage
stressed DSCR at a 9.25% constant is 0.94x. Moody's DSCR is based
on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance of $275.0 MM is
115.1%. Moody's LTV Ratio is based on Moody's Value. Moody's did
not adjust Moody's value to reflect the current interest rate
environment as part of Moody's analysis for this transaction.

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 property's quality
grade is 3.25.

Notable strengths of the transaction include: the property's
location, the demographics in its trade area, its historical
occupancy, the recent redevelopment and leasing momentum, its
pre-coronavirus in-line sales performance, and its institutional
quality sponsorship with retail experience.

Notable concerns of the transaction include: the effects of the
coronavirus pandemic, recent decline in operating performance,
tenant rollover, lack of asset diversification, floating-rate
mortgage loan profile and certain credit negative legal features.

The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in November 2021.

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.

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.


CBAM 2021-15: Moody's Assigns Ba3 Rating to $19.2MM Class E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by CBAM 2021-15, LLC (the "Issuer" or "CBAM
2021-15").

Moody's rating action is as follows:

US$252,000,000 Class A Floating Rate Notes due 2036, Assigned Aaa
(sf)

US$20,500,000 Class B-1 Floating Rate Notes due 2036, Assigned Aa2
(sf)

US$31,500,000 Class B-2 Fixed/Floating Rate Notes due 2036,
Assigned Aa2 (sf)

US$20,000,000 Class C Deferrable Floating Rate Notes due 2036,
Assigned A2 (sf)

US$24,800,000 Class D Deferrable Floating Rate Notes due 2036,
Assigned Baa3 (sf)

US$19,200,000 Class E Deferrable Floating Rate Notes due 2036,
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.

CBAM 2021-15 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans and
unsecured loans. The portfolio is approximately 99% ramped as of
the closing date.

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

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

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

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

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

Par amount: $400,000,000

Diversity Score: 55

Weighted Average Rating Factor (WARF): 2738

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 46.0%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


CFMT 2021-FRR1: DBRS Finalizes B(low) Rating on 6 Classes
---------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Multifamily Mortgage Certificate-Backed Certificates,
Series 2021-FRR1 issued by CFMT 2021-FRR1:

-- Class A-K45 at A (low) (sf)
-- Class B-K45 at BBB (low) (sf)
-- Class C-K45 at BB (low) (sf)
-- Class D-K45 at B (low) (sf)
-- Class A-K54 at BBB (low) (sf)
-- Class B-K54 at BB (low) (sf)
-- Class C-K54 at B (low) (sf)
-- Class A-K58 at BBB (low) (sf)
-- Class B-K58 at BB (low) (sf)
-- Class C-K58 at B (low) (sf)
-- Class A-KW01 at A (low) (sf)
-- Class B-KW01 at BBB (low) (sf)
-- Class C-KW01 at BB (low) (sf)
-- Class D-KW01 at B (low) (sf)
-- Class A-K98 at BBB (low) (sf)
-- Class B-K98 at BB (low) (sf)
-- Class C-K98 at B (low) (sf)
-- Class A-K99 at BB (low) (sf)
-- Class B-K99 at B (low) (sf)

All trends are Stable.

This transaction is a re-securitization collateralized by the
beneficial interests in six commercial mortgage-backed pass-through
certificates from six underlying transactions: FREMF 2015-K45
Mortgage Trust, Multifamily Mortgage Pass-Through Certificates,
Series 2015-K45; FREMF 2016-K54 Mortgage Trust, Multifamily
Mortgage Pass-Through Certificates, Series 2016-K54; FREMF 2016-K58
Mortgage Trust, Multifamily Mortgage Pass-Through Certificates,
Series 2016-K58; FREMF 2019-K98 Mortgage Trust, Multifamily
Mortgage Pass-Through Certificates, Series 2019-K98; FREMF 2019-K99
Mortgage Trust, Multifamily Mortgage Pass-Through Certificates,
Series 2019-K99; and FREMF 2016-KW01 Mortgage Trust, Multifamily
Mortgage Pass-Through Certificates, Series 2016-KW01. The ratings
are dependent on the performance of the underlying transactions.

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



CFMT 2021-HB7: DBRS Finalizes B Rating on Class M5 Notes
--------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Asset-Backed Notes, Series 2021-3 issued by CFMT 2021-HB7, LLC:

-- $545.8 million Class A at AAA (sf)
-- $63.6 million Class M1 at AA (low) (sf)
-- $46.4 million Class M2 at A (low) (sf)
-- $43.1 million Class M3 at BBB (low) (sf)
-- $41.7 million Class M4 at BB (low) (sf)
-- $30.1 million Class M5 at B (sf)

The AAA (sf) rating reflects 72.6% of the cumulative advance rate.
The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and
B (sf) ratings reflect 81.0%, 87.2%, 92.9%, 98.4%, and 102.5% of
the cumulative advance rates, respectively.

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

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

As of the Cut-Off Date (September 30, 2021), the collateral has
approximately $752.2 million in unpaid principal balance (UPB) from
2,671 nonperforming home equity conversion mortgage (HECM) reverse
mortgage loans and real estate-owned (REO) properties secured by
first liens typically on single-family residential properties,
condominiums, townhomes, multifamily (two- to four-family)
properties, manufactured homes, and planned unit developments. The
mortgage assets were originally originated between 2004 and 2016.

The transaction uses a sequential structure. No subordinate note
shall receive any principal payments until the senior notes (Class
A notes) have been reduced to zero. This structure provides credit
enhancement in the form of subordinate classes and reduces the
effect of realized losses. These features increase the likelihood
that holders of the most senior class of notes will receive regular
distributions of interest and/or principal. All note classes have
available fund caps.

The Class M notes have principal lockout terms insofar as they are
not entitled to principal payments until after the expected final
payment of the upstream notes. Available cash will be trapped until
these dates at which stage the notes will start to receive
payments. Note that the DBRS Morningstar cash flow, as it pertains
to each note, models the first payment being received after these
dates for each of the respective notes; hence at the time of
issuance, these rules are not likely to affect the natural cash
flow waterfall.

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



CIFC FUNDING 2016-I: S&P Affirms 'B- (sf)' Rating on F-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-RR, B-RR,
C-RR, D-1-RR, D-2-RR, and E-RR replacement notes from CIFC Funding
2016-I Ltd./CIFC Funding 2016-I LLC, a CLO originally issued in
2016 that is managed by CIFC Asset Management LLC. At the same
time, S&P withdrew its ratings on the previously refinanced class
A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R notes following
payment in full on the Dec. 3, 2021, refinancing date. S&P also
affirmed its ratings on the current class F-R and X notes.

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

  Replacement And Previously Refinanced Note Issuances

  Replacement notes

  Class A-RR, $322.50 million: Three-month LIBOR + 1.08%
  Class B-RR, $57.50 million: Three-month LIBOR + 1.70%
  Class C-RR, $30.00 million: Three-month LIBOR + 2.20%
  Class D-1-R, $17.50 million: Three-month LIBOR + 2.90%
  Class D-2-R, $12.50 million: Three-month LIBOR + 4.25%
  Class E-RR, $20.00 million: Three-month LIBOR + 7.50%

  Previously refinanced notes

  Class A-1-R, $298.00 million: Three-month LIBOR + 1.35%
  Class A-2-R, $24.50 million: 2.9876%
  Class B-R, $57.50 million: Three-month LIBOR + 1.95%
  Class C-R, $30.00 million: Three-month LIBOR + 2.80%
  Class D-1-R, $17.50 million: Three-month LIBOR + 4.00%
  Class D-2-R, $12.50 million: Three-month LIBOR + 4.30%
  Class E-R, $20.00 million: Three-month LIBOR + 7.70%

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes X,
A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and F-R notes have adequate
credit enhancement available at the rating levels associated with
the rating actions. Although the class E-RR notes do not pass our
cash flow stresses, we assigned a 'BB- (sf)' rating to this class
given the stable transaction performance over the past year, the
reduction in spread across the refinanced notes as part of this
amendment, and the class E-RR notes' credit enhancement level
(similar to other CLO notes with the same rating).

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

  Ratings Assigned

  CIFC Funding 2016-I Ltd./CIFC Funding 2016-I LLC

  Class A-RR, $322.50 million: AAA (sf)
  Class B-RR, $57.50 million: AA (sf)
  Class C-RR, $30.00 million: A (sf)
  Class D-1-RR, $17.50 million: BBB+ (sf)
  Class D-2-RR, $12.50 million: BBB- (sf)
  Class E-RR, $20.00 million: BB- (sf)
  Subordinated notes, $49.25 million: NR

  Ratings Affirmed

  CIFC Funding 2016-I Ltd./CIFC Funding 2016-I LLC

  Class X: 'AAA (sf)'
  Class F-R: 'B- (sf)'

  Ratings Withdrawn

  CIFC Funding 2016-I Ltd./CIFC Funding 2016-I LLC

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

  NR--Not rated.



CIM TRUST 2019-INV3: Moody's Hikes Rating on Cl. B-5 Bonds to Ba3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 30 classes
from four RMBS transactions issued by CIM Trust in 2019. CIM Trust
2019-J1 is a two-pool Y-structure securitization of 15 and 30-year
prime residential mortgages. The first pool consists of 30-year
fixed rate mortgages and the second pool consists of all 15-year
fixed rate mortgages. The other three transactions are
securitizations of fixed-rate investment property mortgage loans
secured by first liens on agency-eligible non-owner occupied
residential properties.

The complete rating action is as follows:

Issuer: CIM Trust 2019-INV1

Cl. A-11, Upgraded to Aaa (sf); previously on Mar 28, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-12, Upgraded to Aaa (sf); previously on Mar 28, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. B-2, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)

Cl. B-2A, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)

Cl. B-3, Upgraded to Aa2 (sf); previously on Oct 30, 2019 Upgraded
to A2 (sf)

Cl. B-4, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded
to Baa3 (sf)

Cl. B-5, Upgraded to Ba3 (sf); previously on Oct 30, 2019 Upgraded
to B1 (sf)

Issuer: CIM Trust 2019-INV2

Cl. A-14, Upgraded to Aaa (sf); previously on May 31, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on May 31, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on May 31, 2019
Definitive Rating Assigned Aa3 (sf)

Cl. B-1A, Upgraded to Aa1 (sf); previously on May 31, 2019
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded
to A1 (sf)

Cl. B-2A, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded
to A1 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on May 31, 2019 Definitive
Rating Assigned Baa2 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on May 31, 2019
Definitive Rating Assigned Ba2 (sf)

Cl. B-5, Upgraded to Ba3 (sf); previously on May 31, 2019
Definitive Rating Assigned B2 (sf)

Issuer: CIM Trust 2019-INV3

Cl. A-14, Upgraded to Aaa (sf); previously on Sep 30, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Sep 30, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. B-2, Upgraded to Aa2 (sf); previously on Oct 30, 2019 Upgraded
to A1 (sf)

Cl. B-2A, Upgraded to Aa2 (sf); previously on Oct 30, 2019 Upgraded
to A1 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on Oct 30, 2019 Upgraded
to Baa1 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Oct 30, 2019 Upgraded
to Ba1 (sf)

Cl. B-5, Upgraded to Ba3 (sf); previously on Sep 30, 2019
Definitive Rating Assigned B2 (sf)

Issuer: CIM Trust 2019-J1

Cl. 1-A-19, Upgraded to Aaa (sf); previously on Aug 30, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. 1-A-20, Upgraded to Aaa (sf); previously on Aug 30, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. 1-A-21, Upgraded to Aaa (sf); previously on Aug 30, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-M, Upgraded to Aaa (sf); previously on Aug 30, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 30, 2019
Definitive Rating Assigned A2 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Aug 30, 2019 Definitive
Rating Assigned Baa2 (sf)


A List of Affected Credit Ratings is available at
https://bit.ly/3DESce5.

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 22%-86% 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 0%-3.6% 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
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.


CIT GROUP 1995-2: S&P Affirms CC (sf) Rating on Class B Notes
-------------------------------------------------------------
S&P Global Ratings affirmed its ratings on one class from CIT Group
Securitization Corp. II's (CIT) series 1995-2 and three classes
from Origen Manufactured Housing Contract Trust 2006-A, Origen
Manufactured Housing Contract Trust Collateralized Notes 2007-A,
and Origen Manufactured Housing Contract Trust Collateralized Notes
2007-B. At the same time, S&P lowered its rating on one class from
Origen Manufactured Housing Contract Sr/Sub Asset-Backed Certs
Series 2002-A.

The transactions are backed by collateral pools of manufactured
housing loans that are currently serviced by Caliber Home Loans
Inc. for CIT series 1995-2 and Shellpoint Mortgage servicing for
the Origen series 2002-A, 2006-A, 2007-A, and 2007-B.

S&P said, "The 'CCC- (sf)' and 'CC (sf)' ratings reflect our view
that credit support will remain insufficient to cover our expected
losses for these classes. As defined in our criteria, the 'CCC-
(sf)' level ratings reflect our view that the related classes are
vulnerable to nonpayment and are dependent upon favorable business,
financial, and economic conditions in order to be paid interest
and/or principal according to the terms of each transaction. The
'CC (sf)' ratings reflect our view that the related classes remain
virtually certain to default.

"We will continue to monitor the transactions' performance to
ensure that the credit enhancement remains sufficient, in our view,
to cover our expected cumulative net loss expectations under our
stress scenarios for each rated class."

  Ratings Affirmed

  CIT Group Securitization Corp. II

  Series 1995-2 class B: CC (sf)

  Origen Manufactured Housing Contract Trust 2006-A

  Class A-2: CC (sf)

  Origen Manufactured Housing Contract Trust Collateralized Notes
2007-A

  Class A-2: CC (sf)

  Origen Manufactured Housing Contract Trust Collateralized Notes
2007-B

  Class A: CC (sf)

  Ratings Lowered

  Origen Manufactured Housing Contract Sr/Sub Asset-Backed Certs

  Series 2002-A

  Class M2 to 'CCC- (sf)' from 'CCC (sf)'


COMM 2014-UBS6: Fitch Affirms CCC Rating on 2 Tranches
------------------------------------------------------
Fitch Ratings has affirmed 15 classes and revised two Rating
Outlooks to Stable from Negative of COMM 2014-UBS6 Mortgage Trust
pass-through certificates, which were issued by Deutsche Bank
Securities, Inc.

    DEBT              RATING           PRIOR
    ----              ------           -----
COMM 2014-UBS6

A-3 12592PBC6    LT AAAsf  Affirmed    AAAsf
A-4 12592PBE2    LT AAAsf  Affirmed    AAAsf
A-5 12592PBF9    LT AAAsf  Affirmed    AAAsf
A-M 12592PBH5    LT AAAsf  Affirmed    AAAsf
A-SB 12592PBD4   LT AAAsf  Affirmed    AAAsf
B 12592PBJ1      LT AA-sf  Affirmed    AA-sf
C 12592PBL6      LT A-sf   Affirmed    A-sf
D 12592PAJ2      LT BBsf   Affirmed    BBsf
E 12592PAL7      LT Bsf    Affirmed    Bsf
F 12592PAN3      LT CCCsf  Affirmed    CCCsf
PEZ 12592PBK8    LT A-sf   Affirmed    A-sf
X-A 12592PBG7    LT AAAsf  Affirmed    AAAsf
X-B 12592PAA1    LT AA-sf  Affirmed    AA-sf
X-C 12592PAC7    LT BBsf   Affirmed    BBsf
X-D 12592PAE3    LT CCCsf  Affirmed    CCCsf

KEY RATING DRIVERS

Improved Loss Expectations: Fitch's loss expectations for the pool
have improved since the prior rating action. The Outlook revision
on class D (and interest only class X-C) reflects better than the
expected 2020 performance on some of the Fitch Loans of Concern
(FLOCs), increased credit enhancement (CE) from loan payoffs and
higher recovery expectations on the specially serviced loans.
Fitch's current ratings reflect a base case loss of 6.5%. The
Negative Outlook on class E reflects losses that could reach 7.2%
when factoring an outsized loss on the University Edge loan (3.3%)
and an additional coronavirus-related stress to one hotel loan
(0.3%).

Fitch has designated 11 FLOCs (15.7% of pool), which includes seven
(10%) specially serviced loans. Three of the specially serviced
loans (Wyndham Garden Austin, Scoop East Hampton and Staybridge
Suites Peoria) are in the process of being assumed or liquidated
for better than expected recoveries.

The largest contributor to expected losses is the University
Village loan (3.6%), which transferred to special servicing in July
2019 for imminent default. The loan is secured by a 1,164-bed
student housing complex located in Tuscaloosa, AL, approximately
two miles from the University of Alabama campus. Occupancy declined
to 57% for the 2015-16 school year from 94% at issuance. Occupancy
improved to 99% as of September 2018, but dropped again to 36% as
of November 2020 and a similar occupancy reported for September
2021.

According to local media reports, a number of crime incidents have
been reported at the property since December 2018 that have
negatively affected leasing demand. The servicer reports that a
receiver is in place to stabilize the property and improve the
negative image through a rebranding effort before marketing the
property for sale.

Given the continued underperformance and the negative image within
the market, Fitch expects significant losses for the loan. Fitch's
loss expectations of approximately 75% reflects a stressed value of
$14,675/bed.

The second largest contributor to losses is the University Edge
loan, which is secured by a 578-bed off-campus student housing
project located in Akron, OH, across the street from the University
of Akron. The property opened in 2014 with units ranging in size
from two to four bedrooms, each with two to four bathrooms.

Community amenities include a fitness center, tanning salon,
computer lab, business center, grilling areas, fire pit, sculpture
park and a parking garage with 48 covered spaces designated to
serve retail traffic. The servicer has implemented cash management
due to the low debt service coverage ratio, which was reported to
be 0.71 as of June 2021. Per the June 2021 rent roll, the
multifamily property was 87.54% occupied and the commercial
property was 80.77% occupied.

The borrower reports that property performance has been impacted by
declining enrollment at the University of Akron, declining market
rents and increased competition. The borrower has also indicated it
is unable to make payments moving forward and has requested a
transfer to special servicing. Fitch's loss expectations of
approximately 30% are based on a 20% haircut to the YE 2019 NOI.
Fitch also applied an additional sensitivity that assumed an
outsized loss of 50% to the maturity balance, reflecting the
property's continued poor performance and negative image within the
market. The loan remains a FLOC and Fitch will continue to monitor
the loan's status.

Increased Credit Enhancement: As of the November 2021 distribution
date, the pool's aggregate principal balance has paid down by 16%
to $1.05 billion from $1.30 billion at issuance. Fourteen loans
(9.8%) have been defeased. The majority of the pool (84.3% of pool)
is currently amortizing. Four loans (15.7%) are full-term interest
only. There has been $18.1 million in realized losses to date,
which were the result of the disposition of the Black Gold Suites
Hotel Portfolio in January 2019 and Cray Plaza in January 2020.

Alternative Loss Consideration; Coronavirus Exposure: Nine loans
(14.7%) are secured by hotel properties and 21 loans (31.6%) are
secured by retail properties. Fitch's sensitivity analysis applied
an additional stress to the pre-pandemic cash flows for one hotel
loan given the significant 2020 NOI declines related to the
pandemic; despite this additional stress combined with the outsized
loss of 50% on the University Edge loan, the Outlook for classes D
and X-C are revised to Stable from Negative due to sufficient CE
and better than expected performance of loans that were impacted by
the pandemic.

RATING SENSITIVITIES

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

-- Downgrades would occur with an increase in pool-level losses
    from underperforming or specially serviced loans. Downgrades
    to the senior A-3, A-4, A-5, A-SB, A-M and X-A classes are not
    expected given their sufficient CE relative to expected losses
    and continued amortization, but may occur if interest
    shortfalls occur or loss expectations increase considerably.
    Downgrades to classes B, C, D,X-B and X-C may occur should
    expected losses for the pool increase significantly.

-- Downgrades to class E would occur with higher than expected
    losses on the specially serviced loans. A downgrade to class F
    and X-D would occur as losses are realized.

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

-- Upgrades would occur with stable to improved asset
    performance, 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, E, X-C 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.
    Upgrades to classes F and X-D are unlikely absent significant
    performance improvement on the FLOCs and substantially higher
    recoveries than expected on the specially serviced loans, and
    there is sufficient CE to the classes.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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-R01: DBRS Gives (P) BB Rating on 4 Classes
---------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Connecticut Avenue Securities (CAS), Series 2021-R01 Notes to be
issued by Connecticut Avenue Securities Trust 2021-R01 (CAS
2021-R01):

-- $274.7 million Class 1M-1 at BBB (high) (sf)
-- $80.1 million Class 1M-2A at BBB (sf)
-- $80.1 million Class 1M-2B at BBB (sf)
-- $80.1 million Class 1M-2C at BBB (sf)
-- $240.4 million Class 1M-2 at BBB (sf)
-- $188.9 million Class 1B-1A at BB (high) (sf)
-- $188.9 million Class 1B-1B at BB (sf)
-- $377.8 million Class 1B-1 at BB (sf)
-- $80.1 million Class 1E-A1 at BBB (sf)
-- $80.1 million Class 1A-I1 at BBB (sf)
-- $80.1 million Class 1E-A2 at BBB (sf)
-- $80.1 million Class 1A-I2 at BBB (sf)
-- $80.1 million Class 1E-A3 at BBB (sf)
-- $80.1 million Class 1A-I3 at BBB (sf)
-- $80.1 million Class 1E-A4 at BBB (sf)
-- $80.1 million Class 1A-I4 at BBB (sf)
-- $80.1 million Class 1E-B1 at BBB (sf)
-- $80.1 million Class 1B-I1 at BBB (sf)
-- $80.1 million Class 1E-B2 at BBB (sf)
-- $80.1 million Class 1B-I2 at BBB (sf)
-- $80.1 million Class 1E-B3 at BBB (sf)
-- $80.1 million Class 1B-I3 at BBB (sf)
-- $80.1 million Class 1E-B4 at BBB (sf)
-- $80.1 million Class 1B-I4 at BBB (sf)
-- $80.1 million Class 1E-C1 at BBB (sf)
-- $80.1 million Class 1C-I1 at BBB (sf)
-- $80.1 million Class 1E-C2 at BBB (sf)
-- $80.1 million Class 1C-I2 at BBB (sf)
-- $80.1 million Class 1E-C3 at BBB (sf)
-- $80.1 million Class 1C-I3 at BBB (sf)
-- $80.1 million Class 1E-C4 at BBB (sf)
-- $80.1 million Class 1C-I4 at BBB (sf)
-- $160.3 million Class 1E-D1 at BBB (sf)
-- $160.3 million Class 1E-D2 at BBB (sf)
-- $160.3 million Class 1E-D3 at BBB (sf)
-- $160.3 million Class 1E-D4 at BBB (sf)
-- $160.3 million Class 1E-D5 at BBB (sf)
-- $160.3 million Class 1E-F1 at BBB (sf)
-- $160.3 million Class 1E-F2 at BBB (sf)
-- $160.3 million Class 1E-F3 at BBB (sf)
-- $160.3 million Class 1E-F4 at BBB (sf)
-- $160.3 million Class 1E-F5 at BBB (sf)
-- $160.3 million Class 1-X1 at BBB (sf)
-- $160.3 million Class 1-X2 at BBB (sf)
-- $160.3 million Class 1-X3 at BBB (sf)
-- $160.3 million Class 1-X4 at BBB (sf)
-- $160.3 million Class 1-Y1 at BBB (sf)
-- $160.3 million Class 1-Y2 at BBB (sf)
-- $160.3 million Class 1-Y3 at BBB (sf)
-- $160.3 million Class 1-Y4 at BBB (sf)
-- $80.1 million Class 1-J1 at BBB (sf)
-- $80.1 million Class 1-J2 at BBB (sf)
-- $80.1 million Class 1-J3 at BBB (sf)
-- $80.1 million Class 1-J4 at BBB (sf)
-- $160.3 million Class 1-K1 at BBB (sf)
-- $160.3 million Class 1-K2 at BBB (sf)
-- $160.3 million Class 1-K3 at BBB (sf)
-- $160.3 million Class 1-K4 at BBB (sf)
-- $240.4 million Class 1M-2Y at BBB (sf)
-- $240.4 million Class 1M-2X at BBB (sf)
-- $377.8 million Class 1B-1Y at BB (sf)
-- $377.8 million Class 1B-1X at BB (sf)

Classes 1M-2, 1A-I1, 1A-I2, 1A-I3, 1A-I4, 1E-A1, 1E-A2, 1E-A3,
1E-A4, 1B-I1, 1B-I2, 1B-I3, 1B-I4, 1E-B1, 1E-B2, 1E-B3, 1E-B4,
1C-I1, 1C-I2, 1C-I3, 1C-I4, 1E-C1, 1E-C2, 1E-C3, 1E-C4, 1E-D1,
1E-D2, 1E-D3, 1E-D4, 1E-D5, 1E-F1, 1E-F2, 1E-F3, 1E-F4, 1E-F5,
1-J1, 1-J2, 1-J3, 1-J4, 1-K1, 1-K2, 1-K3, 1-K4, 1-X1, 1-X2, 1-X3,
1-X4, 1-Y1, 1-Y2, 1-Y3, 1-Y4, 1M-2Y, 1M-2X, 1B-1, 1B-1Y, and 1B-1X
are Related Combinable and Recombinable Notes (RCR Notes). Classes
1A-I1, 1A-I2, 1A-I3, 1A-I4, 1B-I1, 1B-I2, 1B-I3, 1B-I4, 1C-I1,
1C-I2, 1C-I3, 1C-I4, 1-X1, 1-X2, 1-X3, 1-X4, 1-Y1, 1-Y2, 1-Y3,
1-Y4, 1M-2X, and 1B-1X are interest-only RCR Notes.

The BBB (high) (sf), BBB (sf), BB (high) (sf), and BB (sf) ratings
reflect 1.600%, 1.250%, 0.975%, and 0.700% of credit enhancement,
respectively. Other than the specified classes above, DBRS
Morningstar does not rate any other classes in this transaction.

CAS 2021-R01 is the 40th benchmark transaction in the CAS series.
The Notes are subject to the credit and principal payment risk of a
certain reference pool (the Reference Pool) of residential mortgage
loans held in various Fannie Mae-guaranteed mortgage-backed
securities.

As of the Cut-Off Date, the Reference Pool consists of 246,836
greater-than-20-year fully amortizing first-lien fixed-rate
mortgage loans underwritten to a full documentation standard, with
original loan-to-value (LTV) ratios greater than 60% and less than
or equal to 80%. The mortgage loans were estimated to be originated
on or after February 2020 and were securitized by Fannie Mae
between October 1, 2020, and January 31, 2021.

On the Closing Date, the trust will enter into a Collateral
Administration Agreement (CAA) with Fannie Mae. Fannie Mae, as the
credit protection buyer, will be required to make transfer amount
payments. The trust is expected to use the aggregate proceeds
realized from the sale of the Notes to purchase certain eligible
investments to be held in a securities account. The eligible
investments are restricted to highly rated, short-term investments.
Cash flow from the Reference Pool will not be used to make any
payments; instead, a portion of the eligible investments held in
the securities account will be liquidated to make principal
payments to the Noteholders and return amount, if any, to Fannie
Mae upon the occurrence of certain specified credit events and
modification events.

The coupon rates for the Notes are based on the Secured Overnight
Financing Rate (SOFR). There are replacement provisions in place in
the event that SOFR is no longer available. DBRS Morningstar did
not run interest rate stresses for this transaction, as the
interest is not linked to the performance of the reference
obligations. Instead, the trust will use the net investment
earnings on the eligible investments together with Fannie Mae's
transfer amount payments to pay interest to the Noteholders.

In this transaction, approximately 43.56% of the loans were
originated using property values determined by using Fannie Mae's
Appraisal Waiver (AW) rather than a traditional full appraisal.
Loans where the AW is offered generally have better credit
attributes.

Notable Changes

This transaction incorporates the following notable changes:

(1) Unlike prior CAS transactions, the minimum credit enhancement
test—one of the two performance tests—is not set to fail at the
Closing Date. This will allow rated nonsenior classes to receive
principal payments from the first Payment Date.

(2) Nonsenior rated tranches will now be locked out from receiving
principal payments if any of the performance tests fail. In prior
CAS transactions, nonsenior rated tranches were allocated scheduled
principal even when the performance tests were not satisfied.

(3) CAS 2021-R01 is the first CAS transaction where the coupon
rates for the various notes are based on the SOFR, whereas the
coupon rates for prior transactions were based on Libor.

The calculation of principal payments to the Notes will be based on
actual principal collected on the Reference Pool. Starting with
this transaction, there has been a revision to principal
allocation. The scheduled principal in prior transactions was
allocated pro rata between the senior and nonsenior (mezzanine and
subordinate) tranches, regardless of deal performance, while the
unscheduled principal was allocated pro rata subject to certain
performance tests being met. Starting with CAS 2021-R01
transaction, the scheduled and unscheduled principal will be
combined and only be allocated pro rata between the senior and
nonsenior tranches if the performance tests are satisfied.

Additionally, the nonsenior tranches will also be entitled to
supplemental subordinate reduction amount if the offered reference
tranche percentage increases above 5.50%.

The interest payments for these transactions are not linked to the
performance of the reference obligations except to the extent that
modification losses have occurred.

The Notes will be scheduled to mature on the payment date in
October 2041 but will be subject to mandatory redemption prior to
the scheduled maturity date upon the termination of the CAA.

The administrator and trustor of the transaction will be Fannie
Mae. Wells Fargo Bank, N.A. (rated AA with a Negative trend and R-1
(high) with a Negative trend by DBRS Morningstar) will act as the
Indenture Trustee, Exchange Administrator, Custodian and Investment
Agent. U.S. Bank National Association (rated AA (high) with a
Stable trend and R-1 (high) with a Stable trend by DBRS
Morningstar) will act as the Delaware Trustee.

The Reference Pool consists of approximately 1.1% of loans
originated under the Home Ready program. HomeReady is Fannie Mae's
affordable mortgage product designed to expand the availability of
mortgage financing to creditworthy low- to moderate-income
borrowers.

If a reference obligation is refinanced under the High LTV
Refinance Program, then the resulting refinanced reference
obligation may be included in the Reference Pool as a replacement
of the original reference obligation. The High LTV Refinance
Program provides refinance opportunities to borrowers with existing
Fannie Mae mortgages who are current in their mortgage payments but
whose LTV ratios exceed the maximum permitted for standard
refinance products. The refinancing and replacement of a reference
obligation under this program will not constitute a credit event.

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

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

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



CONNECTICUT AVE 2021-R02: Fitch Assigns B+ Rating on 4 Tranches
---------------------------------------------------------------
Fitch Ratings assigns ratings and Rating Outlooks to Fannie Mae's
risk transfer transaction, Connecticut Avenue Securities Trust,
series 2021-R02 (CAS 2021-R02).

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

2A-H    LT NRsf     New Rating    NR(EXP)sf
2M-1    LT BBB-sf   New Rating    BBB-(EXP)sf
2M-1H   LT NRsf     New Rating    NR(EXP)sf
2M-2A   LT BBB-sf   New Rating    BBB-(EXP)sf
2M-AH   LT NRsf     New Rating    NR(EXP)sf
2M-2B   LT BB+sf    New Rating    BB+(EXP)sf
2M-BH   LT NRsf     New Rating    NR(EXP)sf
2M-2C   LT BBsf     New Rating    BB(EXP)sf
2M-CH   LT NRsf     New Rating    NR(EXP)sf
2B-1A   LT BB-sf    New Rating    BB-(EXP)sf
2B-AH   LT NRsf     New Rating    NR(EXP)sf
2B-1B   LT B+sf     New Rating    B+(EXP)sf
2B-BH   LT NRsf     New Rating    NR(EXP)sf
2B-2    LT NRsf     New Rating    NR(EXP)sf
2B-2H   LT NRsf     New Rating    NR(EXP)sf
2B-3H   LT NRsf     New Rating    NR(EXP)sf
2M-2    LT BBsf     New Rating    BB(EXP)sf
2A-I1   LT BBB-sf   New Rating    BBB-(EXP)sf
2A-I2   LT BBB-sf   New Rating    BBB-(EXP)sf
2A-I3   LT BBB-sf   New Rating    BBB-(EXP)sf
2A-I4   LT BBB-sf   New Rating    BBB-(EXP)sf
2E-A1   LT BBB-sf   New Rating    BBB-(EXP)sf
2E-A2   LT BBB-sf   New Rating    BBB-(EXP)sf
2E-A3   LT BBB-sf   New Rating    BBB-(EXP)sf
2E-A4   LT BBB-sf   New Rating    BBB-(EXP)sf
2B-I1   LT BB+sf    New Rating    BB+(EXP)sf
2B-I2   LT BB+sf    New Rating    BB+(EXP)sf
2B-I3   LT BB+sf    New Rating    BB+(EXP)sf
2B-I4   LT BB+sf    New Rating    BB+(EXP)sf
2E-B1   LT BB+sf    New Rating    BB+(EXP)sf
2E-B2   LT BB+sf    New Rating    BB+(EXP)sf
2E-B3   LT BB+sf    New Rating    BB+(EXP)sf
2E-B4   LT BB+sf    New Rating    BB+(EXP)sf
2C-I1   LT BBsf     New Rating    BB(EXP)sf
2C-I2   LT BBsf     New Rating    BB(EXP)sf
2C-I3   LT BBsf     New Rating    BB(EXP)sf
2C-I4   LT BBsf     New Rating    BB(EXP)sf
2E-C1   LT BBsf     New Rating    BB(EXP)sf
2E-C2   LT BBsf     New Rating    BB(EXP)sf
2E-C3   LT BBsf     New Rating    BB(EXP)sf
2E-C4   LT BBsf     New Rating    BB(EXP)sf
2E-D1   LT BB+sf    New Rating    BB+(EXP)sf
2E-D2   LT BB+sf    New Rating    BB+(EXP)sf
2E-D3   LT BB+sf    New Rating    BB+(EXP)sf
2E-D4   LT BB+sf    New Rating    BB+(EXP)sf
2E-D5   LT BB+sf    New Rating    BB+(EXP)sf
2E-F1   LT BBsf     New Rating    BB(EXP)sf
2E-F2   LT BBsf     New Rating    BB(EXP)sf
2E-F3   LT BBsf     New Rating    BB(EXP)sf
2E-F4   LT BBsf     New Rating    BB(EXP)sf
2E-F5   LT BBsf     New Rating    BB(EXP)sf
2-J1    LT BBsf     New Rating    BB(EXP)sf
2-J2    LT BBsf     New Rating    BB(EXP)sf
2-J3    LT BBsf     New Rating    BB(EXP)sf
2-J4    LT BBsf     New Rating    BB(EXP)sf
2-K1    LT BBsf     New Rating    BB(EXP)sf
2-K2    LT BBsf     New Rating    BB(EXP)sf
2-K3    LT BBsf     New Rating    BB(EXP)sf
2-K4    LT BBsf     New Rating    BB(EXP)sf
2-X1    LT BB+sf    New Rating    BB+(EXP)sf
2-X2    LT BB+sf    New Rating    BB+(EXP)sf
2-X3    LT BB+sf    New Rating    BB+(EXP)sf
2-X4    LT BB+sf    New Rating    BB+(EXP)sf
2-Y1    LT BBsf     New Rating    BB(EXP)sf
2-Y2    LT BBsf     New Rating    BB(EXP)sf
2-Y3    LT BBsf     New Rating    BB(EXP)sf
2-Y4    LT BBsf     New Rating    BB(EXP)sf
2M-2Y   LT BBsf     New Rating    BB(EXP)sf
2M-2X   LT BBsf     New Rating    BB(EXP)sf
2B-1    LT B+sf     New Rating    B+(EXP)sf
2B-1Y   LT B+sf     New Rating    B+(EXP)sf
2B-1X   LT B+sf     New Rating    B+(EXP)sf
2B-2Y   LT NRsf     New Rating    NR(EXP)sf
2B-2X   LT NRsf     New Rating    NR(EXP)sf

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% sustainable LTV).

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 (CE) 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.

CAS 2021-R02 has a Social Relevance Score of '4' [+] for Human
Rights, Community Relations, Access & Affordability due to the fact
that 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.

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 market value declines (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 ESG Relevance Score of '4' [+] for Human
Rights, Community Relations, Access & Affordability due to the fact
that CAS is a GSE program which addresses access and affordability
while driving strong performance, 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.


CONNECTICUT AVENUE 2021-R01: DBRS Finalizes BB Rating on 4 Classes
------------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Connecticut Avenue Securities (CAS), Series 2021-R01 Notes issued
by Connecticut Avenue Securities Trust 2021-R01 (CAS 2021-R01):

-- $274.7 million Class 1M-1 at BBB (high) (sf)
-- $80.1 million Class 1M-2A at BBB (sf)
-- $80.1 million Class 1M-2B at BBB (sf)
-- $80.1 million Class 1M-2C at BBB (sf)
-- $240.4 million Class 1M-2 at BBB (sf)
-- $188.9 million Class 1B-1A at BB (high) (sf)
-- $188.9 million Class 1B-1B at BB (sf)
-- $377.8 million Class 1B-1 at BB (sf)
-- $80.1 million Class 1E-A1 at BBB (sf)
-- $80.1 million Class 1A-I1 at BBB (sf)
-- $80.1 million Class 1E-A2 at BBB (sf)
-- $80.1 million Class 1A-I2 at BBB (sf)
-- $80.1 million Class 1E-A3 at BBB (sf)
-- $80.1 million Class 1A-I3 at BBB (sf)
-- $80.1 million Class 1E-A4 at BBB (sf)
-- $80.1 million Class 1A-I4 at BBB (sf)
-- $80.1 million Class 1E-B1 at BBB (sf)
-- $80.1 million Class 1B-I1 at BBB (sf)
-- $80.1 million Class 1E-B2 at BBB (sf)
-- $80.1 million Class 1B-I2 at BBB (sf)
-- $80.1 million Class 1E-B3 at BBB (sf)
-- $80.1 million Class 1B-I3 at BBB (sf)
-- $80.1 million Class 1E-B4 at BBB (sf)
-- $80.1 million Class 1B-I4 at BBB (sf)
-- $80.1 million Class 1E-C1 at BBB (sf)
-- $80.1 million Class 1C-I1 at BBB (sf)
-- $80.1 million Class 1E-C2 at BBB (sf)
-- $80.1 million Class 1C-I2 at BBB (sf)
-- $80.1 million Class 1E-C3 at BBB (sf)
-- $80.1 million Class 1C-I3 at BBB (sf)
-- $80.1 million Class 1E-C4 at BBB (sf)
-- $80.1 million Class 1C-I4 at BBB (sf)
-- $160.3 million Class 1E-D1 at BBB (sf)
-- $160.3 million Class 1E-D2 at BBB (sf)
-- $160.3 million Class 1E-D3 at BBB (sf)
-- $160.3 million Class 1E-D4 at BBB (sf)
-- $160.3 million Class 1E-D5 at BBB (sf)
-- $160.3 million Class 1E-F1 at BBB (sf)
-- $160.3 million Class 1E-F2 at BBB (sf)
-- $160.3 million Class 1E-F3 at BBB (sf)
-- $160.3 million Class 1E-F4 at BBB (sf)
-- $160.3 million Class 1E-F5 at BBB (sf)
-- $160.3 million Class 1-X1 at BBB (sf)
-- $160.3 million Class 1-X2 at BBB (sf)
-- $160.3 million Class 1-X3 at BBB (sf)
-- $160.3 million Class 1-X4 at BBB (sf)
-- $160.3 million Class 1-Y1 at BBB (sf)
-- $160.3 million Class 1-Y2 at BBB (sf)
-- $160.3 million Class 1-Y3 at BBB (sf)
-- $160.3 million Class 1-Y4 at BBB (sf)
-- $80.1 million Class 1-J1 at BBB (sf)
-- $80.1 million Class 1-J2 at BBB (sf)
-- $80.1 million Class 1-J3 at BBB (sf)
-- $80.1 million Class 1-J4 at BBB (sf)
-- $160.3 million Class 1-K1 at BBB (sf)
-- $160.3 million Class 1-K2 at BBB (sf)
-- $160.3 million Class 1-K3 at BBB (sf)
-- $160.3 million Class 1-K4 at BBB (sf)
-- $240.4 million Class 1M-2Y at BBB (sf)
-- $240.4 million Class 1M-2X at BBB (sf)
-- $377.8 million Class 1B-1Y at BB (sf)
-- $377.8 million Class 1B-1X at BB (sf)

Classes 1M-2, 1A-I1, 1A-I2, 1A-I3, 1A-I4, 1E-A1, 1E-A2, 1E-A3,
1E-A4, 1B-I1, 1B-I2, 1B-I3, 1B-I4, 1E-B1, 1E-B2, 1E-B3, 1E-B4,
1C-I1, 1C-I2, 1C-I3, 1C-I4, 1E-C1, 1E-C2, 1E-C3, 1E-C4, 1E-D1,
1E-D2, 1E-D3, 1E-D4, 1E-D5, 1E-F1, 1E-F2, 1E-F3, 1E-F4, 1E-F5,
1-J1, 1-J2, 1-J3, 1-J4, 1-K1, 1-K2, 1-K3, 1-K4, 1-X1, 1-X2, 1-X3,
1-X4, 1-Y1, 1-Y2, 1-Y3, 1-Y4, 1M-2Y, 1M-2X, 1B-1, 1B-1Y, and 1B-1X
are Related Combinable and Recombinable Notes (RCR Notes). Classes
1A-I1, 1A-I2, 1A-I3, 1A-I4, 1B-I1, 1B-I2, 1B-I3, 1B-I4, 1C-I1,
1C-I2, 1C-I3, 1C-I4, 1-X1, 1-X2, 1-X3, 1-X4, 1-Y1, 1-Y2, 1-Y3,
1-Y4, 1M-2X, and 1B-1X are interest-only RCR Notes.

The BBB (high) (sf), BBB (sf), BB (high) (sf), and BB (sf) ratings
reflect 1.600%, 1.250%, 0.975%, and 0.700% of credit enhancement,
respectively. Other than the specified classes above, DBRS
Morningstar does not rate any other classes in this transaction.

CAS 2021-R01 is the 40th benchmark transaction in the CAS series.
The Notes are subject to the credit and principal payment risk of a
certain reference pool (the Reference Pool) of residential mortgage
loans held in various Fannie Mae-guaranteed mortgage-backed
securities.

As of the Cut-Off Date, the Reference Pool consists of 246,836
greater-than-20-year fully amortizing first-lien fixed-rate
mortgage loans underwritten to a full documentation standard, with
original loan-to-value (LTV) ratios greater than 60% and less than
or equal to 80%. The mortgage loans were estimated to be originated
on or after February 2020 and were securitized by Fannie Mae
between October 1, 2020, and January 31, 2021.

On the Closing Date, the trust will enter into a Collateral
Administration Agreement (CAA) with Fannie Mae. Fannie Mae, as the
credit protection buyer, will be required to make transfer amount
payments. The trust is expected to use the aggregate proceeds
realized from the sale of the Notes to purchase certain eligible
investments to be held in a securities account. The eligible
investments are restricted to highly rated, short-term investments.
Cash flow from the Reference Pool will not be used to make any
payments; instead, a portion of the eligible investments held in
the securities account will be liquidated to make principal
payments to the Noteholders and return amount, if any, to Fannie
Mae upon the occurrence of certain specified credit events and
modification events.

The coupon rates for the Notes are based on the Secured Overnight
Financing Rate (SOFR). There are replacement provisions in place in
the event that SOFR is no longer available. DBRS Morningstar did
not run interest rate stresses for this transaction, as the
interest is not linked to the performance of the reference
obligations. Instead, the trust will use the net investment
earnings on the eligible investments together with Fannie Mae's
transfer amount payments to pay interest to the Noteholders.

In this transaction, approximately 43.56% of the loans were
originated using property values determined by using Fannie Mae's
Appraisal Waiver (AW) rather than a traditional full appraisal.
Loans where the AW is offered generally have better credit
attributes.

Notable Changes

This transaction incorporates the following notable changes:

1. Unlike prior CAS transactions, the minimum credit enhancement
test—one of the two performance tests—is not set to fail at the
Closing Date. This will allow rated nonsenior classes to receive
principal payments from the first Payment Date.

2. Nonsenior rated tranches will now be locked out from receiving
principal payments if any of the performance tests fail. In prior
CAS transactions, nonsenior rated tranches were allocated scheduled
principal even when the performance tests were not satisfied.

3. CAS 2021-R01 is the first CAS transaction where the coupon rates
for the various notes are based on the SOFR, whereas the coupon
rates for prior transactions were based on Libor.

The calculation of principal payments to the Notes will be based on
actual principal collected on the Reference Pool. Starting with
this transaction, there has been a revision to principal
allocation. The scheduled principal in prior transactions was
allocated pro rata between the senior and nonsenior (mezzanine and
subordinate) tranches, regardless of deal performance, while the
unscheduled principal was allocated pro rata subject to certain
performance tests being met. Starting with CAS 2021-R01
transaction, the scheduled and unscheduled principal will be
combined and only be allocated pro rata between the senior and
nonsenior tranches if the performance tests are satisfied.

Additionally, the nonsenior tranches will also be entitled to
supplemental subordinate reduction amount if the offered reference
tranche percentage increases above 5.50%.

The interest payments for these transactions are not linked to the
performance of the reference obligations except to the extent that
modification losses have occurred.

The Notes will be scheduled to mature on the payment date in
October 2041 but will be subject to mandatory redemption prior to
the scheduled maturity date upon the termination of the CAA.

The administrator and trustor of the transaction will be Fannie
Mae. Wells Fargo Bank, N.A. (rated AA with a Negative trend and R-1
(high) with a Negative trend by DBRS Morningstar) will act as the
Indenture Trustee, Exchange Administrator, Custodian and Investment
Agent. U.S. Bank National Association (rated AA (high) with a
Stable trend and R-1 (high) with a Stable trend by DBRS
Morningstar) will act as the Delaware Trustee.

The Reference Pool consists of approximately 1.1% of loans
originated under the Home Ready program. HomeReady is Fannie Mae's
affordable mortgage product designed to expand the availability of
mortgage financing to creditworthy low- to moderate-income
borrowers.

If a reference obligation is refinanced under the High LTV
Refinance Program, then the resulting refinanced reference
obligation may be included in the Reference Pool as a replacement
of the original reference obligation. The High LTV Refinance
Program provides refinance opportunities to borrowers with existing
Fannie Mae mortgages who are current in their mortgage payments but
whose LTV ratios exceed the maximum permitted for standard
refinance products. The refinancing and replacement of a reference
obligation under this program will not constitute a credit event.

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

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

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



FIRST INVESTORS 2020-1: S&P Raises Class F Notes Rating to BB (sf)
------------------------------------------------------------------
S&P Global Ratings raised its ratings on 23 classes from seven
First Investors Auto Owner Trust transactions. At the same time,
S&P affirmed its ratings on six classes from the transactions.

The transactions' collateral pools comprise auto loan receivables
that were originated to mainly subprime borrowers.

S&P said, "The rating actions reflect each transaction's collateral
performance to date, our views regarding future collateral
performance, and each transaction's structure, credit enhancement
levels, and remaining cumulative net loss (CNL) expectations. Our
analysis also incorporated secondary credit factors, such as credit
stability and sector- and issuer-specific analyses.

"Our analysis includes our view of the latest developments,
including our most recent macroeconomic outlook that incorporates a
baseline forecast for U.S. GDP and unemployment. Considering all
these factors, we believe the notes' creditworthiness is consistent
with the raised and affirmed ratings."

  Table 1

  Collateral Performance (%)(i)

                     Pool   Current   60+ days
  Series   Month   factor       CNL    delinq.
  2017-2      52    11.76      9.72       4.97
  2017-3      48    14.76      9.29       5.50
  2018-1      42    18.11      6.64       4.79
  2018-2      36    23.29      5.96       4.81
  2019-1      31    26.65      4.63       4.02
  2019-2      25    36.47      3.45       3.95
  2020-1      20    39.95      2.73       3.86

  (i)As of the November 2021 distribution date.
  CNL--Cumulative net.
  Delinq.--Delinquencies.


  Table 2

  CNL Expectations (%)

                 Initial           Prior        Current
                lifetime        lifetime       lifetime
  Series        CNL exp.         CNL exp.   CNL exp.(i)
  2017-2     10.25-10.75     11.50-12.00     Up to 9.85
  2017-3     10.75-11.25     11.50-12.00     Up to 9.60
  2018-1     11.75-12.25     10.50-11.00      6.75-7.25
  2018-2     11.75-12.25     11.50-12.00      6.75-7.25
  2019-1      9.75-10.25       9.00-9.50      6.25-6.75
  2019-2     10.75-11.25       9.00-9.50      6.25-6.75
  2020-1     10.75-11.25       9.00-9.50      6.25-6.75

  (i)As of the November 2021 distribution date.
  CNL exp.--Cumulative net loss expectations.

Each transaction has a sequential principal payment structure in
which the notes are paid principal by seniority, as well as credit
enhancement in the form of a nonamortizing reserve account,
overcollateralization, subordination for the higher-rated tranches,
and excess spread. The hard credit enhancement for each transaction
is at the specified target or floor. The credit enhancement levels
have increased for all of the outstanding classes as a percentage
of their current collateral balances and are a major consideration
behind the upgrades and affirmations.

  Table 3

  Hard Credit Support (%)
  As of the November 2021 distribution date

                            Initial hard            Current hard
  Series   Class   credit support (%)(i)     credit support (%)(i)
  2017-2   D                        7.03                   62.43
  2017-2   E                        1.75                   17.51
  2017-3   C                       13.50                   97.47
  2017-3   D                        5.50                   43.28
  2017-3   E                        1.50                   16.16
  2018-1   D                       12.25                   66.80
  2018-1   E                        7.25                   39.20
  2018-1   F                        2.65                   13.78
  2018-2   C                       20.00                   88.11
  2018-2   D                       11.85                   53.12
  2018-2   E                        6.80                   31.43
  2018-2   F                        2.40                   12.54
  2019-1   B                       23.58                   90.11
  2019-1   C                       15.08                   58.22
  2019-1   D                        8.34                   32.90
  2019-1   E                        4.34                   17.90
  2019-1   F                        2.00                    9.13
  2019-2   A                       31.10                   87.25
  2019-2   B                       23.80                   67.24
  2019-2   C                       14.30                   41.20
  2019-2   D                        7.60                   22.83
  2019-2   E                        4.15                   13.37
  2019-2   F                        1.50                    6.11
  2020-1   A                       31.35                   80.97
  2020-1   B                       24.35                   63.45
  2020-1   C                       14.85                   39.67
  2020-1   D                        7.85                   22.16
  2020-1   E                        4.35                   13.39
  2020-1   F                        1.50                    6.25

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

S&P said, "We incorporated an analysis of the current hard credit
enhancement compared to the remaining expected CNL for those
classes for which hard credit enhancement alone without credit to
the expected excess spread was sufficient, in our view, to raise
the ratings to or affirm the ratings at 'AAA (sf)'. For the other
classes, we incorporated a cash flow analysis to assess the loss
coverage level, giving credit to excess spread. Our various
cash-flow scenarios included forward-looking assumptions on
recoveries, timing of losses, and voluntary absolute prepayment
speeds that we believe are appropriate, given each transaction's
performance to date.

"In addition to our break-even cash flow analysis, we also
conducted sensitivity analyses for these series to determine the
impact that a moderate ('BBB') stress scenario would have on our
ratings if losses began trending higher than our revised base-case
loss expectation. In our view, the results demonstrated that the
classes all have adequate credit enhancement at the raised or
affirmed rating levels.

"We will continue to monitor the performance of the outstanding
transactions to ensure the credit enhancement remains sufficient,
in our view, to cover our cumulative net loss expectations under
our stress scenarios for each of the rated classes."

  RATINGS RAISED

  First Investors Auto Owner Trust

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

  RATINGS AFFIRMED

  First Investors Auto Owner Trust

  Series    Class     Rating

  2017-3    C         AAA (sf)
  2019-1    B         AAA (sf)
  2019-2    A         AAA (sf)
  2019-2    B         AAA (sf)
  2020-1    A         AAA (sf)
  2020-1    B         AAA(sf)



FREDDIE MAC 2021-HQA4: Moody's Assigns (P)B1 Rating to 10 Tranches
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
classes of credit risk transfer notes issued by Freddie Mac STACR
REMIC TRUST 2021-HQA4. The ratings range from (P)Baa3 (sf) to (P)B1
(sf). Freddie Mac STACR REMIC TRUST 2021-HQA4 (STACR 2021-HQA4) is
the fourth transaction of 2021 in the HQA series 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). Class coupons of floating rate notes
are based on secured overnight financing rate (SOFR) and their
respective fixed margin.

The notes in STACR 2021-HQA4 receive principal payments as the
loans in the reference pool amortize or prepay. Principal payments
to the notes are paid from assets in the trust account established
from proceeds of the notes issuance. Interest payments to the notes
are paid from a combination of investment income from trust assets,
an asset of the trust known as the interest-only (IO) Q-REMIC
interest, and Freddie Mac. Freddie Mac is responsible to cover (1)
any interest owed on the notes not covered by the investment income
from the trust assets and the yield on the IO Q-REMIC interest and
(2) to reimburse the trust for any investment losses from sales of
the trust assets.

Investors have no recourse to the underlying reference pool. The
credit risk exposure of the notes depends on the actual realized
losses and modification losses incurred by the reference pool.
Freddie Mac is obligated to pay off the notes in December 2041 if
any balances remain outstanding. Of note, this is the second STACR
REMIC transaction in the 2021 HQA series with 20-year stated bullet
maturity on the offered notes, the same as STACR 2021-HQA3.

In this transaction, the notes' coupon is indexed to SOFR. Based on
the transaction's synthetic structure, the particular choice of
benchmark has minimal credit impact. Interest payments to the notes
are backstopped by the sponsor, which prevents the notes from
incurring interest shortfalls as a result of increases in the
benchmark index. However, the coupon rate on the notes could impact
the amount of interest available to absorb modification losses, if
any, from the reference pool.

The complete rating actions are as follows:

Issuer: Freddie Mac STACR REMIC TRUST 2021-HQA4

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

Cl. M-2, Assigned (P)Ba3 (sf)

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

Cl. M-2AI*, Assigned (P)Ba2 (sf)

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

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

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

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

Cl. M-2B, Assigned (P)B1 (sf)

Cl. M-2BI*, Assigned (P)B1 (sf)

Cl. M-2BR, Assigned (P)B1 (sf)

Cl. M-2BS, Assigned (P)B1 (sf)

Cl. M-2BT, Assigned (P)B1 (sf)

Cl. M-2BU, Assigned (P)B1 (sf)

Cl. M-2I*, Assigned (P)Ba3 (sf)

Cl. M-2R, Assigned (P)Ba3 (sf)

Cl. M-2RB, Assigned (P)B1 (sf)

Cl. M-2S, Assigned (P)Ba3 (sf)

Cl. M-2SB, Assigned (P)B1 (sf)

Cl. M-2T, Assigned (P)Ba3 (sf)

Cl. M-2TB, Assigned (P)B1 (sf)

Cl. M-2U, Assigned (P)Ba3 (sf)

Cl. M-2UB, Assigned (P)B1 (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
0.93%, in a baseline scenario-median is 0.72%, and reaches 4.70% at
a stress level consistent with Moody's Aaa ratings.

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

Collateral Description

The reference pool consists of 102,116 prime, fixed-rate, one- to
four-unit, first-lien conforming mortgage loans acquired by Freddie
Mac. The loans were originated on or after January 1, 2015 with a
weighted average seasoning of six months. Each of the loans in the
reference pool had a loan-to-value (LTV) ratio at origination that
was greater than 80% and less than or equal to 97%. 9.2% of the
pool are loans underwritten through Home Possible and 98.7% of
loans in the pool are covered by mortgage insurance as of the
cut-off date.

About 11.8% of loans (by balance) in this transaction were
underwritten through Freddie Mac's Automated Collateral Evaluation
(ACE) program. Under ACE program, Freddie Mac assesses whether the
estimate of value or sales price of a mortgaged property, as
submitted by the seller, is acceptable as the basis for the
underwriting of the mortgage loan. If a loan is assessed as
eligible for appraisal waiver, the seller will not be required to
obtain an appraisal and will be relieved from R&Ws related to
value, condition and marketability of the property. A loan
originated without a full appraisal will lack details about the
property's condition. Moody's consider ACE loans weaker than loans
with full appraisal. Specifically, for refinance loans, seller
estimated value, which is the basis for calculating LTV, may be
biased where there is no arms-length transaction information.
Although such value is validated against Freddie Mac's in-house HVE
model, there's still possibility for over valuations subject to
Freddie Mac's tolerance levels. All ACE loans in this transaction
are either rate or term refinance loans where Moody's made haircuts
to property values to account for overvaluation risk.

Aggregation/Origination Quality

Moody's consider Freddie Mac's overall seller management and
aggregation practices to be adequate and Moody's did not apply a
separate loss-level adjustment for aggregation quality.

Underwriting

Freddie Mac uses a delegated underwriting process to purchase
loans. Sellers are required to represent and warrant that loans are
made in accordance with negotiated terms or Freddie Mac's guide.
Numerous checks in the selling system ensures that loans with the
correct characteristics are delivered to Freddie Mac. Sellers are
required to cure, make an indemnification payment or repurchase the
loans if a material underwriting defect is discovered subject to
certain limits. In certain cases, Freddie Mac may elect to waive
the enforcements of the repurchase if an alternative such as an
indemnification payment is provided.

Quality Control

Freddie Mac monitors each seller's risk exposure both on an
aggregated basis as well as by product lines. A surveillance team
reviews sellers' financials at least on an annual basis, monitors
exposure limits, risk ratings, lenders QC reports and internal
audit results and may adjust credit limits, require additional
loan/operational reviews or put the seller on a watch list, as
needed.

Home Possible Program

Approximately 9.2% of the loans by cut-off date balance were
originated under the Home Possible program. The program is designed
to make responsible homeownership accessible to low- to
moderate-income homebuyers, by requiring low down payments, lower
risk-adjusted pricing, flexibility in sources of income, and, in
certain circumstances, lower than standard mortgage insurance
coverage.

Home Possible loans in STACR 2021-HQA4's reference pool,
collectively, have a WA FICO of 749 and WA LTV of 93.3%, versus a
WA FICO of 753 and a WA LTV of 90.8% for the rest of the loans in
the pool. While Moody's MILAN model takes into account
characteristics listed on the loan tape, such as lower FICOs and
higher LTVs, there may be risks not captured by Moody's model due
to less stringent underwriting, including allowing more flexible
sources of funds for down payment and lower risk-adjusted pricing.
Moody's applied an adjustment to the loss levels to address the
additional risks that Home Possible loans may add to the reference
pool.

Enhanced Relief Refinance (ERR)

The ERR program is designed to provide refinance opportunities to
borrowers with existing Freddie Mac's mortgage loans who are
current on their mortgage payments but whose LTV ratios exceed the
maximum permitted for standard refinance products. The program is
intended to offer refinance opportunities to borrowers so they can
reduce their monthly payment. STACR 2021-HQA4's reference pool does
not include ERR loans at closing, however, transaction documents
allow for the replacement of loans in the reference pool with ERR
loans in the future. The replacement will not constitute a
prepayment on the replaced loan, credit event or a modification
event.

At closing, Moody's did not make any adjustment to its collateral
losses due to the existence of the ERR program. Moody's believe the
programs are beneficial for loans in the pool, especially during an
economic downturn when limited refinancing opportunities would be
available to borrowers with low or negative equity in their
properties. However, since such refinanced loans are likely to have
later maturities and slower prepayment rates than the rest of the
loans, the reference pool is at risk of having a high concentration
of high LTV loans at the tail of the transaction's life. Moody's
will monitor ERR loans in the reference pool and may make an
adjustment in the future if the percentage of them becomes
significant after closing.

Mortgage insurance

98.7% (by balance) of the loans in the pool were originated with
mortgage insurance. 97.2% of the loans benefit from BPMI which is
usually terminated when LTV falls below 78% under scheduled
amortization, and 1.5% of the loans benefit from LPMI or IPMI which
lasts through the life of the loan.

Freddie Mac will cover the amount that is reported as payable under
any effective mortgage insurance policy, but not received due to a
mortgage insurer insolvency or due to a settlement between the
mortgage insurer and Freddie Mac. The servicer is required to
reimburse Freddie Mac for claim curtailments rejections due to the
servicer's violation of the mortgage insurance policy.

The MILAN model output accounts for the presence of mortgage
insurance backed by Freddie Mac. Moody's rejection rate assumption
is 0% under base case and 1% under Aaa scenario.

Servicing arrangement

As master servicer, Freddie Mac has strong servicer oversight and
monitoring processes. Generally, Freddie Mac does not itself
conduct servicing activities. When a mortgage loan is sold to
Freddie Mac, the seller enters into an agreement to service the
mortgage loan for Freddie Mac in accordance with a comprehensive
servicing guide for servicers to follow. Freddie Mac monitors
primary servicer performance and compliance through its Servicer
Success Program, scorecard and servicing quality assurance group.
Freddie Mac also reviews individual loan files to identify
servicing performance gaps and trends.

Moody's consider the servicing arrangement to be adequate and
Moody's did not make any adjustments to its loss levels based on
Freddie Mac's servicer management.

Third-party Review

Moody's consider the scope of the TPR based on Freddie Mac's
acquisition and QC framework to be adequate. Moody's assessed an
adjustment to loss at a Aaa stress level due to lack of compliance
review on TILA-RESPA Integrated Disclosure (TRID) violations.

The results and scope of the pre-securitization third-party,
loan-level review (due diligence) suggest a heavier reliance on
sellers' representations and warranties (R&Ws) compared with
private label securitizations. The scope of the TPR, for example,
is weaker because the sample size is small (only 0.37% of the loans
in reference pool are included in the sample). To the extent that
the TPR firm classifies certain credit or valuation discrepancies
as 'findings', Freddie Mac will review and may provide rebuttals to
those findings, which could result in the change of event grades by
the review firm.

The third-party due diligence scope focuses on the following:

Compliance: The diligence firm reviewed 329 loans for compliance
with federal, state and local high cost Home Ownership and Equity
Protection Act (HOEPA) regulations (316 loans were reviewed for
compliance plus 13 loans were reviewed for both credit/valuation
and compliance). None were determined to be noncompliant.

Appraisals: The third-party diligence provider also reviewed
property valuation on 1,095 loans in the sample pool (1,082 loans
were reviewed for credit/valuation plus 13 loans were reviewed for
both credit/valuation and compliance). 26 loans received final
valuation grades of "C". 19 of the 26 loans are ACE loans and had
Appraisal Desktop with Inspections (ADI) or Retroactive 2055 which
did not support the original appraised value within the 10%
tolerance. The valuation result is in line with the prior STACR
transaction in terms of percentage of TPR sample. Moody's didn't
make additional adjustment based on this result given Moody's have
already made property value haircuts to all ACE loans in the
reference pool.

Credit: The third-party diligence provider reviewed credit on 1,095
loans in the sample pool. Within these 1,095 loans, the diligence
provider reviewed 1,082 loans for credit only, and 13 loans were
reviewed for both credit/valuation and compliance. 8 loans had
final grades of "C" and 13 loans had final grades of "D" due to
underwriting defects. These loans were removed from the
transaction. The results were worse than prior STACR transactions
Moody's rated.

Data integrity: The third-party review firm analyzed the sample
pool for data calculation and comparison to the imaged file
documents. The review revealed 109 data discrepancies on 102
loans.

Unlike private label RMBS transactions, a review of TRID violation
was not part of Freddie Mac's due diligence scope. A lack of
transparency regarding how many loans in the transaction contain
material violations of the TRID rule is a credit negative. However,
since Moody's expect overall losses on STACR transactions owing to
TRID violations to be fairly minimal, Moody's only made a slight
qualitative adjustment to losses under a Aaa scenario. Furthermore,
lender R&Ws and the GSEs' ability to remove defective loans from
the transactions will likely mitigate some of aforementioned
concerns.

Reps & Warranties Framework

Freddie Mac is not providing loan level R&Ws for this transaction
because the notes are a direct obligation of Freddie Mac. The
reference obligations are subject to R&Ws made by the sellers. As
such, Freddie Mac commands robust R&Ws from its seller/servicers
pertaining to all facets of the loan, including but not limited to
compliance with laws, compliance with all underwriting guidelines,
enforceability, good property condition and appraisal procedures.
Freddie Mac will be responsible for enforcing the R&Ws made by the
sellers/lenders in the reference pool. To the extent that Freddie
Mac discovers a confirmed underwriting defect or a major servicing
defect, the respective loan will be removed from the reference
pool. Since Freddie Mac retains a significant portion of the risk
in the transaction, it will likely take necessary steps to address
any breaches of R&Ws. For example, Freddie Mac undertakes quality
control reviews and servicing quality assurance reviews of small
samples of the mortgage loans that sellers deliver to Freddie Mac.
These processes are intended to determine, among other things, the
accuracy of the R&Ws made by the sellers in respect of the mortgage
loans that are sold to Freddie Mac. Moody's made no adjustments to
the transaction regarding the R&W framework.

The notes

Moody's refer to the M-1, M-2A, M-2B, B-1A, B-1B, B-2A and B-2B
notes as the original notes, and the M-2, M-2R, M-2S, M-2T, M-2U,
M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT,
M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, M-2UB, B-1, B-2, B-1AR, B-1AI,
B-2AR and B-2AI notes as the Modifiable and Combinable REMICs
(MACR) notes; together Moody's refer to them as the notes.

The M-2 notes can be exchanged for M-2A and M-2B notes, M-2R and
M-2I notes, M-2S and M-2I, M-2T and M-2I, and M-2U and M-2I notes.

The M-2A notes can be exchanged for M-2AR and M-2AI notes, M-2AS
and M-2AI notes, M-2AT and M-2AI, and M-2AU and M-2AI notes.

The M-2B notes can be exchanged for M-2BR and M-2BI notes, M-2BS
and M-2BI notes, M-2BT and M-2BI notes, and M-2BU and M-2BI notes.

Classes M-2I, M-2AI, M-2BI, B-1AI and B-2AI are interest only notes
referencing to the balances of Classes M-2, M-2A, M-2B, B-1A and
B-2A, respectively.

Classes M-2RB, M-2SB, M-2TB and M-2UB are each an exchangeable for
two classes that are initially offered at closing. Moody's ratings
of M-2RB, M-2SB, M-2TB and M-2UB reference the rating of Class M-2B
only, disregarding the rating of M-2AI. This is the case because
Class M-2AI's cash flow represents an insignificant portion of the
overall promise. In the event Class M-2B gets written down through
losses and Class M-2AI is still outstanding, Moody's would continue
to rate Classes M-2RB, M-2SB, M-2TB and M-2UB consistent with Class
M-2B's last outstanding rating so long as Classes M-2RB, M-2SB,
M-2TB and M-2UB are still outstanding.

Transaction Structure

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. Realized
losses are allocated in a reverse sequential order starting with
the Class B-3H reference tranche.

Interest due on the notes is determined by the outstanding
principal balance and the interest rate of the notes. The interest
payment amount is the interest accrual amount of a class of notes
minus any modification loss amount allocated to such class on each
payment date, or plus any modification gain amount. The
modification loss and gain amounts are calculated by taking the
respective positive and negative difference between the original
accrual rate of the loans, multiplied by the unpaid balance of the
loans, and the current accrual rate of the loans, multiplied by the
interest-bearing unpaid balance.

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

The STACR 2021-HQA4 transaction allows for principal distribution
to subordinate notes by the supplemental subordinate reduction
amount even if performance triggers fail. The supplemental
subordinate reduction amount equals the excess of the offered
reference tranche percentage over 5.5%. The distribution of the
supplemental subordinated reduction amount would reduce principal
balances of the offered reference tranche and correspondingly limit
the credit enhancement of class A-H reference tranche to be always
below 5.5% plus the note balance of B-3H. This feature is
beneficial to the offered certificates.

Credit Events and Modification Events

Reference tranche write-downs occur as a result of loan level
credit events. A credit event with respect to any loan means any of
the following events: (i) a short sale with respect to the related
mortgaged property is settled, (ii) a related seriously delinquent
mortgage note is sold prior to foreclosure, (iii) the mortgaged
property that secured the related mortgage note is sold to a third
party at a foreclosure sale, (iv) an REO disposition occurs, or (v)
the related mortgage note is charged-off. As a result, the
frequency of credit events will be the same as actual loan default
frequency, and losses will impact the notes similar to that of a
typical RMBS deal.

Loans that experience credit events that are subsequently found to
have an underwriting defect, a major servicing defect or are deemed
ineligible will be subject to a reverse credit event. Reference
tranche balances will be written up for all reverse credit events
in sequential order, beginning with the most senior tranche that
has been subject to a previous write-down. In addition, the amount
of the tranche write-up will be treated as an additional principal
recovery, and will be paid to noteholders in accordance with the
cash flow waterfall.

If a loan experiences a forbearance or mortgage rate modification,
the difference between the original mortgage rate and the current
mortgage rate will be allocated to the reference tranches as a
modification loss. The Class B-3H reference tranche, which
represents 0.25% of the pool, will absorb modification losses
first. The final coupons on the notes will have an impact on the
amount of interest available to absorb modification losses from the
reference pool.

Tail Risk

Similar to prior STACR transactions, the initial subordination
level of 3.5% is lower than the deal's minimum credit enhancement
trigger level of 3.75%. The transaction begins by failing the
minimum credit enhancement test, leaving the subordinate tranches
locked out of unscheduled principal payments until the deal builds
an additional 0.25% subordination. STACR 2021-HQA4 does not have a
subordination floor. This is mitigated by the sequential principal
payment structure of the deal, which ensures that the credit
enhancement of the subordinate tranches is not eroded early in the
life of the transaction.

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

Down

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

Up

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

Methodology

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


GCAT 2021-NQM7: S&P Assigns Prelim B (sf) Rating on B-2 Certs
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GCAT
2021-NQM7 Trust's mortgage pass-through certificates.

The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing, and
interest-only residential mortgage loans primarily secured by
single-family residential properties, planned-unit developments,
condominiums, two- to four-family residential properties,
townhouses, and cooperatives to both prime and nonprime borrowers.
The pool has 654 loans, which are either nonqualified or ATR-exempt
mortgage loans.

The preliminary ratings are based on information as of Dec. 6,
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 asset pool's collateral composition;

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

-- The mortgage aggregator, Blue River Mortgage II LLC; and

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

  Preliminary Ratings Assigned(i)

  GCAT 2021-NQM7 Trust

  Class A-1, $221,550,000: AAA (sf)
  Class A-1IO, $221,550,000(ii): AAA (sf)
  Class A-1B, $221,550,000: AAA (sf)
  Class A-1X, $221,500,000(iii): AAA (sf)
  Class A-2, $13,323,000: AA (sf)
  Class A-3, $14,972,000: A (sf)
  Class M-1, $9,477,000: BBB (sf)
  Class B-1, $7,142; BB (sf)
  Class B-2, $4,396,000: B (sf)
  Class B-3, $3,845,969: Not rated
  Class A-IO-S, Notional(iv): Not rated
  Class X, Notional(iv): Not rated
  Class R, N/A: Not rated

(i)The preliminary ratings address the ultimate payment of interest
and principal.

(ii)Class A-1IO will have a notional balance amount equal to the
balance of class A-1.

(iii)Class A-1X will have a notional amount equal to the lesser of
the balance of class A-1 immediately before that distribution date
and the notional amount set forth on a schedule for the related
accrual period. After the 38th distribution date, the notional
amount of the A-1X certificates will be zero.

(iv)The notional amount equals the aggregate principal balance of
the loans.



GENERATE CLO 8: S&P Assigns BB- (sf) Ratings 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 Generate CLO 8
Ltd./Generate CLO 8 LLC (formerly known as [f/k/a] York CLO-8
Ltd./York CLO-8 LLC), a CLO originally issued in November 2020 as
York CLO-8 Ltd., and is managed by Generate Advisors 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 X-R, A-R, B-R, C-R, D-R, and E-R notes
were issued at a lower spread than the original notes.

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

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

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

-- Of the identified underlying collateral obligations, 96.14%
have recovery ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.

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

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

  Ratings Assigned

  Generate CLO 8 Ltd./
  Generate CLO 8 LLC (f/k/a York CLO-8 Ltd./York CLO-8 LLC)

  Class X-R, $4.36 million: AAA (sf)
  Class A-R, $310.00 million: AAA (sf)
  Class B-R, $70.00 million: AA (sf)
  Class C-R (deferrable), $30.00 million: A (sf)
  Class D-R (deferrable), $30.00 million: BBB- (sf)
  Class E-R (deferrable), $17.50 million: BB- (sf)
  Subordinated notes, $36.50 million: Not rated

  Ratings Withdrawn

  York CLO-8 Ltd./York CLO-8 LLC

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

f/k/a--Formerly known as.
NR--Not rated



GLS AUTO 2021-4: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GLS Auto
Receivables Issuer Trust 2021-4's automobile receivables-backed
notes series 2021-4.

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

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

The preliminary ratings reflect:

-- The availability of approximately 54.8%, 46.8%, 37.0%, 27.3%,
and 22.8% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios (including
excess spread). These credit support levels provide coverage of
approximately 3.25x, 2.75x, 2.15x, 1.55x, and 1.27x S&P's
16.25%-17.25% expected cumulative net loss for the class A, B, C,
D, and E notes, respectively. These break-even scenarios withstand
cumulative gross losses of approximately 87.6%, 74.8%, 61.7%,
45.4%, and 38.0%, respectively.

-- S&P's expectations that under a moderate ('BBB') stress
scenario (1.60x its expected loss level), all else being equal, the
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 Rating Definitions.

-- S&P's analysis of more than seven years of origination static
pool and securitization performance data on Global Lending Services
LLC's 17 Rule 144A securitizations.

-- The collateral characteristics of the subprime automobile loans
securitized in this transaction, including the representation in
the transaction documents that all contracts in the pool have made
a least one payment.

-- The notes' underlying credit enhancement in the form of
subordination, overcollateralization, a reserve account, and excess
spread for the class A, B, C, D, and E notes.

-- The timely interest and principal payments made to the notes
under S&P's stressed cash flow modeling scenarios, which it
believes are appropriate for the assigned preliminary ratings.

  Preliminary Ratings Assigned

  GLS Auto Receivables Issuer Trust 2021-4

  Class A, $282.03 million: AAA (sf)
  Class B, $71.35 million: AA (sf)
  Class C, $73.91 million: A (sf)
  Class D, $75.34 million: BBB- (sf)
  Class E, $33.26 million: BB- (sf)



GOLDENTREE LOAN 11: S&P Assigns B- (sf) Rating on Class F Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to GoldenTree Loan
Management US CLO 11 Ltd./GoldenTree Loan Management US CLO 11
LLC's floating-rate notes.

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

The 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

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

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

(i)Class X will be repaid with interest proceeds over 16 periods,
beginning with the April 2022 payment date.



GREAT LAKES VI: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Great Lakes
CLO VI LLC's floating-rate notes.

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

The preliminary ratings are based on information as of Dec. 3,
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 middle-market speculative-grade (rated 'BB+' and
lower) senior secured term loans.

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

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

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

  Preliminary Ratings Assigned

  Great Lakes CLO VI LLC

  Class A-X, $4.90 million: AAA (sf)
  Class A, $219.00 million: AAA (sf)
  Class B, $35.00 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $27.50 million: BBB- (sf)
  Class E (deferrable), $26.50 million: BB- (sf)
  Subordinated notes, $45.00 million: Not rated



ICG US 2020-1: S&P Assigns BB-(sf) Rating on $17MM 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 notes from ICG US CLO 2020-1 Ltd./ICG US CLO 2020-1
LLC, a CLO previously issued in October 2020 and is managed by ICG
Debt Advisors LLC. At the same time, S&P withdrew its ratings on
the original class A-1, A-2a, A-2b, B, C, and D notes following
payment in full.

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

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

-- Of the identified underlying collateral obligations, 99.91%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.

-- Of the identified underlying collateral obligations, 94.80%
have recovery ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.

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

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

  Ratings Assigned

  ICG US CLO 2020-1 Ltd./ICG US CLO 2020-1 LLC

  Class A-R, $244.00 mil.: AAA (sf)
  Class B-R, $56.00 mil.: AA (sf)
  Class C-R (deferrable), $28.00 million: A (sf)
  Class D-R (deferrable), $22.00 million: BBB- (sf)
  Class E-R (deferrable), $17.00 million: BB- (sf)
  Subordinated notes, $39.80 million: NR

  Ratings Withdrawn

  ICG US CLO 2020-1 Ltd./ICG US CLO 2020-1 LLC

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

  NR--Not rated.



INVESCO CLO 2021-3: Moody's Assigns Ba3 Rating to $22.5MM E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Invesco CLO 2021-3, Ltd. (the "Issuer" or "Invesco
CLO 2021-3").

Moody's rating action is as follows:

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

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

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

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

US$22,500,000 Class E Deferrable Junior Secured 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.

Invesco CLO 2021-3 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 senior unsecured loans, second lien
loans, first-lien last-out loans and permitted debt securities. The
portfolio is approximately 90% ramped as of the closing date.

Invesco CLO Equity Fund 3 L.P. (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

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

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

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

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

Par amount: $500,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2917

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


JP MORGAN 2008-R1: Moody's Withdraws Ca Rating on Cl. 2-A-1 Bonds
-----------------------------------------------------------------
Moody's Investors Service has withdrawn the rating of Cl. 2-A-1
from resecuritization (resec) transaction J.P. Morgan Alternative
Loan Trust, Series 2008-R1.

Complete rating actions are as follows:

Issuer: J.P. Morgan Alternative Loan Trust, Series 2008-R1

Cl. 2-A-1, Withdrawn (sf); previously on Jun 4, 2019 Affirmed Ca
(sf)

RATINGS RATIONALE

The Cl. 2-A-1 resec bond is backed by multiple underlying
securities, one of which has been withdrawn for small pool factor.
Because the rating on resec bonds generally link to the rating on
the underlying securities and their performance, Moody's cannot
maintain the ratings on this bond due to the withdrawal of the
rating of the underlying security.

Moody's has decided to withdraw the rating because it believes it
has insufficient or otherwise inadequate information to support the
maintenance of the rating.


JP MORGAN 2021-13: DBRS Finalizes B(high) Rating on Class B5 Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage
Pass-Through Certificates, Series 2021-13 issued by J.P. Morgan
Mortgage Trust 2021-13:

-- $1.6 billion Class A-1 at AAA (sf)
-- $1.4 billion Class A-2 at AAA (sf)
-- $1.3 billion Class A-3 at AAA (sf)
-- $1.3 billion Class A-3-A at AAA (sf)
-- $1.3 billion Class A-3-X at AAA (sf)
-- $992.0 million Class A-4 at AAA (sf)
-- $992.0 million Class A-4-A at AAA (sf)
-- $992.0 million Class A-4-X at AAA (sf)
-- $330.7 million Class A-5 at AAA (sf)
-- $330.7 million Class A-5-A at AAA (sf)
-- $330.7 million Class A-5-B at AAA (sf)
-- $330.7 million Class A-5-X at AAA (sf)
-- $794.8 million Class A-6 at AAA (sf)
-- $794.8 million Class A-6-A at AAA (sf)
-- $794.8 million Class A-6-X at AAA (sf)
-- $527.8 million Class A-7 at AAA (sf)
-- $527.8 million Class A-7-A at AAA (sf)
-- $527.8 million Class A-7-B at AAA (sf)
-- $527.8 million Class A-7-X at AAA (sf)
-- $197.2 million Class A-8 at AAA (sf)
-- $197.2 million Class A-8-A at AAA (sf)
-- $197.2 million Class A-8-X at AAA (sf)
-- $84.6 million Class A-9 at AAA (sf)
-- $84.6 million Class A-9-A at AAA (sf)
-- $84.6 million Class A-9-X at AAA (sf)
-- $246.0 million Class A-10 at AAA (sf)
-- $246.0 million Class A-10-A at AAA (sf)
-- $246.0 million Class A-10-X at AAA (sf)
-- $115.0 million Class A-11 at AAA (sf)
-- $115.0 million Class A-11-X at AAA (sf)
-- $115.0 million Class A-11-A at AAA (sf)
-- $115.0 million Class A-11-AI at AAA (sf)
-- $115.0 million Class A-11-B at AAA (sf)
-- $115.0 million Class A-11-BI at AAA (sf)
-- $115.0 million Class A-12 at AAA (sf)
-- $115.0 million Class A-13 at AAA (sf)
-- $152.2 million Class A-14 at AAA (sf)
-- $152.2 million Class A-15 at AAA (sf)
-- $114.2 million Class A-15-A at AAA (sf)
-- $38.1 million Class A-15-B at AAA (sf)
-- $38.1 million Class A-15-C at AAA (sf)
-- $1.5 billion Class A-16 at AAA (sf)
-- $127.2 million Class A-17 at AAA (sf)
-- $1.6 billion Class A-X-1 at AAA (sf)
-- $1.6 billion Class A-X-2 at AAA (sf)
-- $115.0 million Class A-X-3 at AAA (sf)
-- $152.2 million Class A-X-4 at AAA (sf)
-- $33.8 million Class B-1 at AA (high) (sf)
-- $33.8 million Class B-1-A at AA (high) (sf)
-- $33.8 million Class B-1-X at AA (high) (sf)
-- $25.4 million Class B-2 at A (high) (sf)
-- $25.4 million Class B-2-A at A (high) (sf)
-- $25.4 million Class B-2-X at A (high) (sf)
-- $16.1 million Class B-3 at BBB (high) (sf)
-- $6.8 million Class B-4 at BB (high) (sf)
-- $5.9 million Class B-5 at B (high) (sf)

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

Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A,
A-5-B, A-5-X, A-6, A-7, A-7-A, A-7-B, A-7-X, A-8, A-9, A-10,
A-11-A, A-11-AI, A-11-B, A-11-BI, A-12, A-13, A-14, A-15, A-15-C,
A-16, A-17, A-X-2, A-X-3, B-1 and B-2 are exchangeable
certificates. These classes can be exchanged for combinations of
exchange certificates as specified in the offering documents.

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

The AAA (sf) ratings on the Certificates reflect 6.00% of credit
enhancement provided by subordinated certificates. The AA (high)
(sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high)
(sf) ratings reflect 4.00%, 2.50%, 1.55%, 1.15%, and 0.80% of
credit enhancement, respectively.

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

This securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 1,697 loans with a total principal
balance of $1,691,343,269 as of the Cut-Off Date (October 1,
2021).

The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of primarily 30 years and a
weighted-average loan age of three months. Approximately 98.7% of
the pool are traditional, nonagency, prime jumbo mortgage loans.
The remaining 1.3% of the pool are conforming, high-balance
mortgage loans that were underwritten using an automated
underwriting system designated by Fannie Mae or Freddie Mac and
were eligible for purchase by such agencies. In addition, 78.7% of
the pool were originated in accordance with the new general
qualified mortgages rule.

The originators for the aggregate mortgage pool are United
Wholesale Mortgage, LLC (UWM; 63.7%), and various other
originators, each comprising less than 10% of the pool. The
mortgage loans will be serviced by UWM (63.7%), JPMorgan Chase
Bank, N.A. (JPMCB; rated AA (low) with a Stable trend by DBRS
Morningstar; 29.9%), and various other servicers and subservicers
each comprising less than 10.0% of the pool. With respect to the
Mortgage Loans serviced by loanDepot and UWM, Cenlar FSB, with
respect to the Mortgage Loans serviced by A&D, Specialized Loan
Servicing LLC and with respect to the Mortgage Loans serviced by
USAA, Nationstar Mortgage LLC.

Servicing will be transferred from Shellpoint Mortgage Servicing
(SMS) to JPMCB on the servicing transfer date (December 1, 2021, or
a later date) as determined by the Issuing Entity and JPMCB. For
this transaction, the servicing fee payable for mortgage loans
serviced by JPMCB, loanDepot, SMS, and UWM is composed of three
separate components: the aggregate base servicing fee, the
aggregate delinquent servicing fee, and the aggregate additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.

Nationstar Mortgage LLC (Nationstar) will act as the Master
Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by
DBRS Morningstar) will act as Securities Administrator and Delaware
Trustee. JPMCB and Wells Fargo Bank, N.A. (rated AA with a Negative
trend by DBRS Morningstar) will act as Custodian. Pentalpha
Surveillance LLC will serve as the Representations and Warranties
Reviewer.

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

CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT

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

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

As of the Cut-Off Date, none of the loans are currently subject to
a coronavirus-related forbearance plan. In the event a borrower
requests or enters into a coronavirus-related forbearance plan
after the Cut-Off Date but prior to the Closing Date, the Mortgage
Loan Seller will remove such loan from the mortgage pool and remit
the related Closing Date substitution amount. Loans that enter a
coronavirus-related forbearance plan after the Closing Date will
remain in the pool.

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



JP MORGAN 2021-HTL5: Moody's Assigns B3 Rating to Cl. F Certs
-------------------------------------------------------------
Moody's Investors Service has assigned definitive 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, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa2 (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)

Cl. X-CP*, Definitive Rating Assigned A2 (sf)

Cl. X-EXT*, Definitive Rating Assigned 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 Moody's first mortgage actual DSCR is 1.79X and Moody's
mortgage actual stressed DSCR is 0.71X. Moody's DSCR is based on
Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance of $419,430,000 is
161.6%. Moody's LTV ratio is based on Moody's value. Moody's did
not adjust Moody's value to reflect the current interest rate
environment as part of Moody's analysis for this transaction.

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 "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in November 2021.

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.

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.


LCM 35 LTD: Moody's Assigns Ba3 Rating to $20MM Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by LCM 35 Ltd. (the "Issuer").

Moody's rating action is as follows:

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

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

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

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

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

US$20,000,000 Class E Deferrable Mezzanine 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.

LCM 35 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 and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 85% ramped as of the closing
date.

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

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

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

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

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

Par amount: $500,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2874

Weighted Average Spread (WAS): 3.45%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.1 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.


MAGNETITE LTD XXIII: S&P Assigns Prelim BB- Rating on E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from Magnetite XXIII
Ltd., a CLO originally issued in November 2019 that is managed by
BlackRock Financial Management Inc.

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

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

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

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

-- The stated maturity and the reinvestment period will be
extended 2.25 years.

-- The non-call period will be extended two years.

-- The transaction will be upsized from to $637.50 million from
$516.62 million.

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

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

  Preliminary Ratings Assigned

  Magnetite XXIII Ltd.

  Class A-R, $408.00 million: AAA (sf)
  Class B-R, $76.50 million: AA (sf)
  Class C-R (deferrable), $38.25 million: A (sf)
  Class D-R (deferrable), $38.25 million: BBB- (sf)
  Class E-R (deferrable), $25.50 million: BB- (sf)
  Subordinated notes, $56.80 million: Not rated



MAGNETITE LTD XXVIII: S&P Assigns BB- 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 Magnetite XXVIII Ltd./Magnetite
XXVIII LLC, a CLO originally issued in October 2020 that is managed
by BlackRock Financial Management Inc., a subsidiary of BlackRock
Inc. At the same time, withdrew its ratings on the original class
A, B, C, D, and E notes following payment in full.

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

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

-- The non-call period was extended until December 2023.

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

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

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

-- A limitation on non-ESG collateral obligations was introduced.

  Replacement And Original Note Issuances

  Replacement notes

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

  Original notes

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

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

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

  Ratings Assigned

  Magnetite XXVIII Ltd./Magnetite XXVIII LLC

  Class A-R, $288.00 million: AAA (sf)
  Class B-R, $54.00 million: AA (sf)
  Class C-R (deferrable), $27.00 million: A (sf)
  Class D-R (deferrable), $27.00 million: BBB- (sf)
  Class E-R (deferrable), $18.00 million: BB- (sf)
  Subordinated notes, $40.85 million: NR

  Ratings Withdrawn

  Magnetite XXVIII Ltd./Magnetite XXVIII LLC

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

  NR--Not rated.



MARANON LOAN 2021-3: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned ratings to Maranon Loan Funding 2021-3
Ltd./Maranon Loan Funding 2021-3 LLC's floating-rate notes and
loans.

The issuance is a CLO transaction backed primarily by middle-market
speculative-grade (rated 'BB+' and lower) senior secured term loans
and 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 management team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and

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

  Ratings Assigned

  Maranon Loan Funding 2021-3 Ltd./Maranon Loan Funding 2021-3 LLC

  Class X(i), $20.0 million: AAA (sf)
  Class A, $180.0 million: AAA (sf)
  Class A-L, $50.0 million: AAA (sf)
  Class B, $40.0 million: AA (sf)
  Class C (deferrable), $33.0 million: A (sf)
  Class D (deferrable)(ii), $31.5 million: BBB- (sf)
  Class E (deferrable)(ii), $30.5 million: BB- (sf)
  Variable dividend notes, $50.0 million: Not rated

(i)The class X notes are expected to be paid down during the first
16 payment dates in equal installments of $1.25 million, beginning
July 2022 and ending April 2026.

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



MJX VENTURE II: Moody's Assigns Ba2 Rating to Series J Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by MJX Venture Management II LLC (the "Issuer").

Moody's rating action is as follows:

US$250,000 Series J/Class X Notes Due 2034, Assigned Aaa (sf)

US$15,800,000 Series J/Class A-1 Notes Due 2034, Assigned Aaa (sf)

US$750,000 Series J/Class A-2 Notes Due 2034, Assigned Aaa (sf)

US$3,150,000 Series J/Class B Notes Due 2034, Assigned Aa1 (sf)

US$1,550,000 Series J/Class C Notes Due 2034, Assigned A1 (sf)

US$1,575,000 Series J/Class D Notes Due 2034, Assigned Baa2 (sf)

US$1,400,000 Series J/Class E Notes Due 2034, Assigned Ba2 (sf)

The Class X Notes, Class A-1 Notes, the Class A-2 Notes, the Class
B Notes, the Class C Notes, the Class D Notes, and the Class E
Notes are referred to herein as the "Rated Notes," and are the
Series J issuance by the Issuer in a program of financing the risk
retention interest in CLOs.

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.

MJX Venture Management II LLC is the collateral manager of Venture
28A CLO, Limited (the "Underlying CLO"). The proceeds from the
issuance of the Rated Notes will be used to finance the purchase of
a 5% vertical slice of all the CLO tranches (the "Underlying CLO
Notes") issued by the Underlying CLO, in order for the Issuer to
comply with the EU Securitisation Rules.

The Rated Notes are collateralized primarily by the Underlying CLO
Notes. In addition, the Rated Notes benefit from additional credit
enhancement provided by (i) 25% of the senior management fees from
the Underlying CLO (the "Pledged Management Fee"), and (ii) in the
event the Rated Notes experience a default, certain excess
collections from other, non-defaulted Series of notes issued by the
Issuer.

On each payment date, each class of Rated Notes will receive an
interest payment equal to 5% of the interest payment paid to the
entire class of the related Underlying CLO Notes. In the event of a
permitted refinancing or re-pricing, the respective interest amount
each class of Rated Notes receives will be reduced by the amount
the respective refinancing or re-pricing reduced the interest rates
on the Underlying CLO Notes.

The Issuer's priority of payments includes an interest trapping
mechanism following the occurrence of certain events (the
"Cash-Trap Events"). Upon a Cash-Trap Event, after payment of
interest on the Rated Notes, all remaining interest proceeds from
the Underlying CLO Notes and the Pledged Management Fee will be
trapped in a cash-trap account. Cash-Trap Events include, but are
not limited to, failure of an overcollateralization test, deferral
of interest on certain Underlying CLO Notes, and certain collateral
manager-related events. Unless the Cash-Trap Event is cured,
amounts in the cash-trap account will be applied to repay the Rated
Notes at maturity or redemption.

Although the Rated Notes constitute full recourse indebtedness of
the Issuer, the holders of the Rated Notes have no right to
foreclose upon the assets of the Issuer's other Series and have
limited rights to assets constituting excess collections from other
Series. Holders of other Series of Debt of the Issuer are likewise
precluded from foreclosing on the assets of the Rated Notes and are
limited in their rights to excess collections from the Rated
Notes.

In addition to a variety of other factors, Moody's analysis of the
Issuer's bankruptcy remoteness took into account a substantive
consolidation legal opinion. The opinion provided comfort that the
Issuer's structure and separateness features minimize the risk that
a bankruptcy court would order the consolidation of the assets and
liabilities of Issuer's parent and the Issuer.

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: $525,000,000

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2784

Weighted Average Spread (WAS): 3.55%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 46.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


MORGAN STANLEY 2016-C29: Fitch Cuts Ratings on 2 Tranches to CCC
----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 13 classes of Morgan
Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust
2016-C29 commercial mortgage pass-through certificates. The Rating
Outlooks remains Negative for two classes.

    DEBT              RATING             PRIOR
    ----              ------             -----
MSBAM 2016-C29

A-2 61766EBB0    LT AAAsf   Affirmed     AAAsf
A-3 61766EBD6    LT AAAsf   Affirmed     AAAsf
A-4 61766EBE4    LT AAAsf   Affirmed     AAAsf
A-S 61766EBH7    LT AAAsf   Affirmed     AAAsf
A-SB 61766EBC8   LT AAAsf   Affirmed     AAAsf
B 61766EBJ3      LT AA-sf   Affirmed     AA-sf
C 61766EBK0      LT A-sf    Affirmed     A-sf
D 61766EAL9      LT BBB-sf  Affirmed     BBB-sf
E 61766EAN5      LT BB-sf   Affirmed     BB-sf
F 61766EAQ8      LT CCCsf   Downgrade    B-sf
X-A 61766EBF1    LT AAAsf   Affirmed     AAAsf
X-B 61766EBG9    LT AA-sf   Affirmed     AA-sf
X-D 61766EAA3    LT BBB-sf  Affirmed     BBB-sf
X-E 61766EAC9    LT BB-sf   Affirmed     BB-sf
X-F 61766EAE5    LT CCCsf   Downgrade    B-sf

KEY RATING DRIVERS

Increased Loss Expectations: The downgrades reflect increased loss
expectations since Fitch's prior rating action, primarily driven by
higher losses on the Grove City Premium Outlets, Radisson Hotel
Freehold and Gulfport Premium Outlets loans. There are 15 Fitch
Loans of Concern (FLOCs; 31.2%), including seven specially serviced
loans (12.2%).

Fitch's current ratings incorporate a base case loss of 5.90%. The
Negative Rating Outlooks factor in potential outsized losses on the
Grove City Premium Outlets and Gulfport Premium Outlets loans, as
well as additional sensitivities on three hotel loans and one
multifamily loan to account for ongoing business disruption as a
result of the pandemic, reflecting that losses could reach 8.20%.

The largest increase in loss since the prior rating action and
largest contributor to losses is the largest loan, Grove City
Premium Outlets (7.6%), which is secured by a 531,200-sf outlet
center located in Grove City, PA, approximately 50 miles north of
Pittsburgh. Occupancy fell to 72% as of June 2021 from 79.6% in
June 2020 and 82.1% at YE 2019, due to 11 tenants totaling 9% of
the NRA vacating at or prior to lease expiration between 2020 and
2021, including Gap Outlet, Bass Shoes, Van Heusen and New York &
Company.

The largest tenants include Lee Wrangler Clearance (5.1% of NRA
leased through November 2022), Old Navy (3.8%; January 2026) and
Nike Factory Store (3.1%; June 2023). Of the 71,000-sf of leases
that expired in the first half of 2021, 29,000-sf (41%) vacated.
The remaining tenants that expired in 1H-2021 executed short-term
renewals with substantial reductions in base rent. Approximately
23% of leases expire in 2022 and an additional 14% in 2023. The
2022 rollover is mostly concentrated in the November 2022
expiration of largest tenant Lee Wrangler Clearance.

Inline sales were $275 psf as of YTD September 2021, compared with
$272 psf as of YTD September 2020 and down significantly from $363
psf as of TTM November 2018.

Fitch's base case loss of 24% is based on a 15% cap rate and 20%
haircut to the YE 2020 NOI to reflect upcoming rollover and
downward-trending occupancy and cash flow. Fitch's analysis
included an additional sensitivity scenario whereby a potential
outsized loss of 50% was applied to the current balance of the loan
to reflect refinance concerns.

The next largest increase in loss, the specially serviced Radisson
Hotel Freehold loan (2.6%), which is secured by a 121-room full
service hotel located in Freehold, NJ, transferred to special
servicing in October 2020 for payment default. The borrower was
recently granted an eight-month forbearance for the deferral of
principal, interest and reserves from the August 2020 through March
2021 payment dates, with all deferred amounts to be repaid in equal
monthly installments from the September 2021 through March 2024
payment dates.

The forbearance agreement also included the conversion of payments
to interest-only from April 2021 through maturity. The borrower
also received a PPP loan under the CARES Act. However, the loan was
60 days delinquent as of the November 2021 distribution date.

The hotel has continually outperformed its competitive set since
issuance and reported occupancy, ADR and RevPAR penetration ratios
of 131.8%, 101.6% and 133.9%, respectively, as of TTM June 2021.
The hotel reported TTM June 2021 occupancy, ADR and RevPAR of
49.7%, $123.61 and $61.45, respectively, compared with 45.7%,
$131.48 and $60.03 as of TTM September 2020 and 70.3%, $133 and $94
as of TTM August 2019. Fitch's base case loss of 28% factors a
stress to the most recently available appraisal for the hotel,
reflecting a stressed value of $120,331 per key.

The next largest increase in loss is the Gulfport Premium Outlets
loan (2.3%), which is secured by a 300,238-sf outlet center located
in Gulfport, MS. While cash flow remains strong, occupancy declined
to 75.7% as of June 2021 from 84.2% in June 2020, 87.2% in December
2019 and 96% at issuance. The recent occupancy decline is due to
five tenants totaling 8% of the NRA vacating at expiration between
2020 and 2021, including Disney Store Outlet, Ann Taylor Factory
Store and Lane Bryant. Current largest tenants include H&M (6.5%;
January 2029), Lee Wrangler Clearance (5.8%; November 2021), Nike
Factory Store (4.5%; January 2022) and Polo Ralph Lauren (3.5%;
January 2026).

Projected annual comparable inline tenant sales of $436 psf were
reported for as of the September 2021 tenant sales report, up from
$304 psf at YE 2020 and $318 psf as of TTM November 2019. As of the
June 2021 rent roll, upcoming lease rollover includes 11.2% of the
NRA in 2021, 21.7% in 2022 and 5.6% in 2023. The 2021 rollover
includes Lee Wrangler Clearance and the 2022 rollover includes Nike
Factory Store and Banana Republic Outlet (3.3%; November 2022).

Fitch's base case loss of 17% is based on a 15% cap rate and 20%
haircut to the YE 2020 NOI to reflect the tertiary market location,
downward-trending occupancy and near-term lease rollover. Fitch's
analysis included an additional sensitivity scenario whereby a
potential outsized loss of 30% was applied to the current balance
of the loan to reflect refinance concerns.

Increased Credit Enhancement (CE): As of the November 2021
distribution date, the pool's principal balance has paid down by
8.7% to $739 million from $809 million at issuance. Four loans
($28.8 million) were repaid between December 2020 and October 2021,
including the REO La Quinta Inn - Dallas, TX asset ($4.9 million),
which was disposed with a small loss, which was better than
expected. Nine loans (11%) are defeased, up from six loans (8.8%)
at the prior rating action. Ten loans (30.5%) are full-term
interest-only and the remainder of the pool is now amortizing.

One loan (Le Meridien Cambridge MIT; 2.7%) matures in December
2021, one loan (0.7%) in 2023, 11 loans (23.4%) in 2025 and 50
loans (72.1%) in 2026.

Alternative Loss Considerations; Coronavirus Exposure: Fitch
performed an additional sensitivity scenario that assumed potential
outsized losses on the current balances of the Grove City Premium
Outlets and Gulfport Premium Outlets loans, reflecting refinance
concerns due to declining occupancy and weakening sales trends,
tertiary market locations and potential for sustained
underperformance. These additional stresses contributed to the
Negative Outlooks.

Retail, hotel and multifamily loans represent 37.2% (22 loans),
13.2% (eight loans) and 11.8% (eight loans) of the pool,
respectively. In addition to the outsized losses on the two outlet
center loans, Fitch applied an additional stress to the
pre-pandemic cash flows for three hotel loans (5%) and one
multifamily loan (0.8%) given significant pandemic-related 2020 NOI
declines. These additional stresses also contributed to the
Negative Outlooks.

RATING SENSITIVITIES

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

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

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

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

-- Upgrades would occur with stable to improved asset
    performance, particularly on the FLOCs, coupled with
    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 pandemic. Classes would not
    be upgraded above 'Asf' if there were likelihood of interest
    shortfalls.

-- Upgrades to classes D, E, X-D and X-E may occur as the number
    of FLOCs are reduced, properties vulnerable to the pandemic
    return to pre-pandemic levels and there is sufficient CE to
    the classes. Upgrades to classes F and X-F are unlikely absent
    significant performance improvement on the FLOCs and
    substantially higher recoveries than expected on the specially
    serviced loans, and there is sufficient CE to the classes.

BEST/WORST CASE RATING SCENARIO

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

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

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

ESG CONSIDERATIONS

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.


MOUNT LOGAN 2018-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R loans and the A-R, B-R, C-1-R, C-2-R, D-R, and E-R notes from
Mount Logan Funding 2018-1 L.P./Mount Logan Funding 2018-1 LLC, a
CLO originally issued in March 2018 that is managed by Mount Logan
Management LLC; this transaction originally closed under the name
Garrison Funding 2018-1 L.P.

The preliminary ratings are based on information as of Dec. 7,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Dec. 14, 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 stated maturity, reinvestment period, and non-call period
will be extended.

-- Of the identified underlying collateral obligations, 94.18%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 63.06%
have recovery ratings assigned by S&P Global Ratings.

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

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

  Preliminary Ratings Assigned

  Mount Logan Funding 2018-1 L.P./Mount Logan Funding 2018-1 LLC

  Class A-R loans, $75.000 million: AAA (sf)
  Class A-R notes, $93.000 million: AAA (sf)
  Class B-R, $36.000 million: AA (sf)
  Class C-1-R (deferrable), $8.211 million: A (sf)
  Class C-2-R (deferrable), $15.789 million: A (sf)
  Class D-R (deferrable), $18.000 million: BBB- (sf)
  Class E-R (deferrable), $15.000 million: BB- (sf)
  Subordinated notes, $44.200 million: Not rated



OCP CLO 2015-10: Moody's Assigns Ba3 Rating to $16.5MM E-R2 Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to four classes of
CLO refinancing notes issued by OCP CLO 2015-10, Ltd. (the
"Issuer").

Moody's rating action is as follows:

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

US$176,000,000 Class A-1-R2 Senior Secured Floating Rate Notes due
2034 (the "Class A-1-R2 Notes"), Assigned Aaa (sf)

US$84,000,000 Class A-2-R2 Senior Secured Floating Rate Notes due
2034 (the "Class A-2-R2 Notes"), Assigned Aaa (sf)

US$16,500,000 Class E-R2 Senior Secured Deferrable Floating Rate
Notes due 2034 (the "Class E-R2 Notes"), Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of 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, bonds, unsecured loans, and first
lien last out loans.

Onex Credit Partners, 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 three year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

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

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

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3263

Weighted Average Spread (WAS): 3.35%

Weighted Average Coupon (WAC): 7.0%

Weighted Average Recovery Rate (WARR): 48.0%

Weighted Average Life (WAL): 8.0 years

The discount rate used to calculate both the PV of the promise and
the PV of the cash flows received is the coupon rate of the fixed
rate notes, or the scenario-specific Libor curve plus the promised
spread of the floating rate notes. For the Term SOFR based Class
A-2-R2 Notes, Moody's made a negative adjustment of 0.15% to the
promised spread when using the scenario-specific Libor curve. In
addition, Moody's also modeled the transaction using the discount
rate of the Class A-2-R2 Notes based on SOFR.

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.


OCP CLO 2021-22: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to OCP CLO 2021-22 Ltd./OCP
CLO 2021-22 LLC's floating-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

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

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



OHA LOAN 2015-1: S&P Assigns BB- (sf) Rating on Class E-R3 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R3, B-R3,
C-R3, D-R3, and E-R3 replacement notes and new class X notes from
OHA Loan Funding 2015-1 Ltd./OHA Loan Funding 2015-1 Inc., a CLO
originally issued in 2015 and previously issued in December 2019,
which is managed by Oak Hill Advisors L.P. S&P Global Ratings did
not rate the transaction when it was originally issued in 2015.

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-R3, B-R3, C-R3, D-R3, and E-R3 notes
were issued at a lower spread over three-month LIBOR than the
original notes.

-- The replacement class A-R3 and B-R3 notes were issued at a
floating spread, replacing the current class A-2-R2 and B-2-R2
fixed coupon notes.

-- The weighted average cost of debt tightened to 1.67% from
1.91%.

-- The stated maturity was extended approximately four years.

-- The reinvestment period was extended approximately two years.

-- The weighted average life test date was extended to 10 years
post the refinancing date.

-- A two-year non-call period was implemented.

-- The class X notes issued in connection with this refinancing
will be paid down using interest proceeds over eight payment dates
beginning with the July 2022 payment date.

  Replacement And Previously Refinanced Note Issuances

  Replacement notes

  Class X, $1.50 million: Three-month LIBOR + 0.70%
  Class A-R3, $400.00 million: Three-month LIBOR + 1.15%
  Class B-R3, $90.20 million: Three-month LIBOR + 1.70%
  Class C-R3 (deferrable), $38.70 million: Three-month LIBOR +
2.05%
  Class D-R3 (deferrable), $113.34 million: Three-month LIBOR +
3.20%
  Class E-R3 (deferrable), $25.80 million: Three-month LIBOR +
6.65%
  Subordinated notes, $89.16 million: Not applicable

  Previously refinanced notes

  Class A-1-R2, $409.00 million: Three-month LIBOR + 1.35%
  Class A-2-R2, $7.00 million: 3.248%
  Class B-1-R2, 470.00 million: Three-month LIBOR + 1.90%
  Class B-2-R2, $4.40 million: 3.508%
  Class C-R2 (deferrable), $38.50 million: Three-month LIBOR +
2.65%
  Class D-R2 (deferrable), $39.00 million: Three-month LIBOR +
4.00%
  Class E-R2 (deferrable), $25.40 million: Three-month LIBOR +
7.00%
  Subordinated notes, $89.157 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

  OHA Loan Funding 2015-1 Ltd./OHA Loan Funding 2015-1 Inc.

  Class X, $1.50 million: AAA (sf)
  Class A-R3, $400.00 million: AAA (sf)
  Class B-R3, $90.20 million: AA (sf)
  Class C-R3 (deferrable), $38.70 million: A (sf)
  Class D-R3 (deferrable), $38.70 million: BBB- (sf)
  Class E-R3 (deferrable), $25.80 million: BB- (sf)
  Subordinated notes, $89.16 million: NR

  Ratings Withdrawn

  OHA Loan Funding 2015-1 Ltd./OHA Loan Funding 2015-1 Inc.

  Class A-1-R2: to NR from 'AAA (sf)'
  Class B-1-R2: to NR from 'AA (sf)'
  Class B-2-R2: to NR from 'AA (sf)'
  Class C-R2: to NR from 'A (sf)'
  Class D-R2: to NR from 'BBB- (sf)'
  Class E-R2: to NR from 'B+ (sf)'
  
  NR--Not rated.



PALMER SQUARE 2019-1: Moody's Assigns B2 Rating to $6MM E-R Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
CLO refinancing notes issued by Palmer Square CLO 2019-1, Ltd. (the
"Issuer").

Moody's rating action is as follows:

US$248,000,000 Class A-1-R Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$56,000,000 Class A-2-R Senior Secured Floating Rate Notes Due
2034, Assigned Aa2 (sf)

US$22,000,000 Class B-R Senior Secured Deferrable Floating Rate
Notes Due 2034, Assigned A2 (sf)

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

US$18,000,000 Class D-R Secured Deferrable Floating Rate Notes Due
2034, Assigned Ba3 (sf)

US$6,000,000 Class E-R Secured Deferrable Floating Rate Notes Due
2034, Assigned B2 (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
90.0% of the portfolio must consist of first lien senior secured
loans, cash, and eligible investments, and up to 10.0% of the
portfolio may consist of second lien loans, senior unsecured loans
and permitted non-loan assets, of which 5.0% may consist of
permitted non-loan assets.

Palmer Square 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 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: $400,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2904

Weighted Average Spread (WAS): 3.25%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.5%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


PALMER SQUARE 2021-3: Moody's Assigns B3 Rating to $16MM F Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Palmer Square CLO 2021-3, Ltd. (the "Issuer" or
"Palmer Square CLO 2021-3").

Moody's rating action is as follows:

US$480,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$96,000,000 Class B Senior Secured Floating Rate Notes due 2035,
Assigned Aa2 (sf)

US$44,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2035, Assigned A2 (sf)

US$48,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2035, Assigned Baa3 (sf)

US$36,000,000 Class E Secured Deferrable Floating Rate Notes due
2035, Assigned Ba3 (sf)

US$16,000,000 Class F Secured Deferrable Floating Rate Notes due
2035, Assigned B3 (sf)

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

RATINGS RATIONALE

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

Palmer Square CLO 2021-3 is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90.0% of the portfolio must
consist of senior secured loans, cash and eligible investments, and
up to 10.0% of the portfolio may consist of second-lien loans,
senior unsecured and permitted non-loan assets, of which 5.0% may
consist of permitted non-loan assets. The portfolio is
approximately 90% ramped as of the closing date.

Palmer Square 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: $800,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2849

Weighted Average Spread (WAS): 3.25%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 47.00%

Weighted Average Life (WAL): 9.1 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.


PARALLEL LTD 2021-2: Moody's Assigns Ba3 Rating to $17MM D Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Parallel 2021-2 Ltd. (the "Issuer" or "Parallel
2021-2").

Moody's rating action is as follows:

US$248,000,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$56,000,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

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

US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

US$17,000,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2034, Assigned Ba3 (sf)

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

RATINGS RATIONALE

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

Parallel 2021-2 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,
senior unsecured loans and bonds. The portfolio is approximately
90% ramped as of the closing date.

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

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

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

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

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

Par amount: $400,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2764

Weighted Average Spread (WAS): 3.40%

Weighted Average Recovery Rate (WARR): 47%

Weighted Average Life (WAL): 9.12 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.


PRIME STRUCTURED 2021-1: Moody's Assigns B1 Rating to Cl. F Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive credit ratings to
the following classes of certificates issued by Prime Structured
Mortgage (PriSM) Trust:

Issuer: Prime Structured Mortgage Trust, Series 2021-1

CAD450,000,000, 1.856% Cl. A Certificate, Definitive Rating
Assigned Aaa (sf)

CAD192,267,000 Cl. VFC Certificate, Definitive Rating Assigned Aaa
(sf)

CAD11,800,000 Cl. B Certificate, Definitive Rating Assigned Aa2
(sf)

CAD6,743,000, 2.00% Cl. C Certificate, Definitive Rating Assigned
A2 (sf)

CAD5,057,000 Cl. D Certificate, Definitive Rating Assigned Baa2
(sf)

CAD4,046,000 Cl. E Certificate, Definitive Rating Assigned Ba1
(sf)

CAD2,697,000 Cl. F Certificate, Definitive Rating Assigned B1 (sf)

This transaction represents the second issuance by PriSM Trust,
which is sponsored by TD Securities Inc. (TDSI), a wholly owned
subsidiary of The Toronto-Dominion Bank (TD, Aa1, stable; a1,
Aa2(cr); Prime-1). The certificates are supported by 1,844 prime
quality, amortizing, uninsured, conventional fixed rate mortgage
loans originated by First National Financial LP, CMLS Financial
Ltd., Marathon Mortgage Corp, Paradigm Quest Inc., and RFA Bank of
Canada with a total balance of CAD674,296,212 as of the November 1,
2021 cut-off date. All mortgage loans were extended to obligors
located in Canada and are secured by Canadian residential
properties.

RATINGS RATIONALE

The ratings of the certificates are based on an analysis of the
characteristics of the underlying portfolio, protection provided by
credit enhancement and the structural integrity of the
transaction.

In analyzing the portfolio, Moody's determined the MILAN Credit
Enhancement (CE) of 5% and the portfolio Expected Loss (EL) of
0.45%. The MILAN CE and portfolio EL are key input parameters for
Moody's cash flow model.

MILAN CE of 5%: This is consistent with the average MILAN CE
assumption for the previous PriSM transaction (Series 2020-1) and
other prime Canadian RMBS and covered bond transactions. It follows
Moody's assessment of the loan-by-loan information taking into
account the historical performance and the pool composition
including (i) the relatively low weighted average current
loan-to-value (LTV) ratio of 65.08% (ii) and high weighted average
borrower credit score of 793.

The MILAN CE may be different from the credit enhancement that is
consistent with a Aaa rating for a tranche, because the MILAN CE
does not take into account the structural features of the
transaction. Moody's took this difference into account in its
ratings of the senior classes.

The Class A and Class VFC certificates together comprise the senior
principal certificates. The Class A certificate is a bullet bond
with a targeted final distribution date of November 15, 2024 and
the Class VFC is a variable funding certificate that will be
purchased by TD Bank (or an asset-backed commercial paper conduit
administered by TDSI). Prior to Class A maturity, the principal
repayments from the mortgages will be used to repay the principal
of the VFC certificate, with any excess deposited into the
principal accumulation account. On the targeted final distribution
date for the Class A certificate, it is intended that the amount on
deposit in the principal accumulation account will be used in
conjunction with the issuance of an additional Class VFC
certificate, to repay the Class A certificate in full. Subsequent
to this, the scheduled and unscheduled principal payments will be
used to repay the additional Class VFC certificate, and then the
subordinate classes of certificates in order of seniority.

Portfolio expected loss of 0.45%: This is based on Moody's
assessment of the lifetime loss expectation for the pool taking
into account (i) the historical collateral performance of similar
loans to date; as provided by the seller; (ii) the current
macroeconomic environment in Canada and (iii) benchmarking with
similar RMBS transactions.

Credit Enhancement: Credit enhancement in this transaction is
primarily comprised of subordination provided by the junior
tranches plus excess spread. Under the sequential pay structure,
all scheduled principal payments and prepayments are used to pay
down the certificates in order of seniority.

Operational Risk Analysis: TDSI's is considered to be a strong
master servicer given TD Bank's credit rating of Aa2(cr)/P-1 and
its decades of experience in the Canadian residential mortgage
market. TDSI has also provided representations and warranties and
is ultimately responsible for all the servicing obligations of the
mortgages. Moody's believe that TDSI has adequate controls and
procedures in place to provide high quality servicing.

Balloon Risk Analysis: TDSI (the seller) is required to (or cause
the applicable originator to) offer to renew or refinance all
mortgage loans at their contractual maturity, provided the borrower
is not in default and satisfies TD's third party lender
underwriting criteria at such time. Upon renewal or refinance of a
mortgage loan, TDSI will repurchase that mortgage loan from the
custodian for an amount equal to the full principal amount of the
loan plus accrued interest. If, prior to the end of the contractual
term of a performing mortgage loan, the related borrower has not
received an offer from TDSI or the originator or entered into an
agreement with another party to renew, refinance, or repay the
loan, then TDSI as master servicer of the portfolio will be
required to extend all such loans at the greater of the prevailing
market interest rate and the rate in force on that loan immediately
before the extension. Mortgage loans that are extended by the
master servicer would continue to be held by the custodian and
collections would continue to flow through to the certificate
holders. The combination of TDSI's conditional obligation to offer
to renew all mortgage loans at the end of their contractual term,
and the requirement on the part of the master servicer to extend
any remaining performing loans at the end of their contractual
term, eliminates the risk that a performing borrower may be pushed
into default by a demand for repayment at the end of the
contractual term. This effectively mitigates the balloon risk
associated with the mortgage pool.

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
December 2020.

This methodology was calibrated based on settings specific for
Canada.

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

Significantly different loss assumptions compared with Moody's
expectations at close, due to either a change in economic
conditions from Moody's central scenario forecast or idiosyncratic
performance factors would lead to rating actions. For instance,
should economic conditions be worse than forecast, the higher
defaults and loss severities resulting from higher unemployment,
worsening household affordability and a weaker housing market could
result in a downgrade of the ratings. Deleveraging of the capital
structure or conversely a deterioration in the certificate's
available credit enhancement could result in an upgrade or a
downgrade of the rating, respectively.


PROVIDENT FUNDING 2019-1: Moody's Ups Cl. B-5 Bonds Rating to Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 15 classes of
RCKT Mortgage Trust 2019-1 (RCKT 2019-1) and Provident Funding
Mortgage Trust 2019-1 (PFMT 2019-1). PFMT 2019-1 is a
securitization of agency-eligible mortgage loans originated and
serviced by Provident Funding. RCKT 2019-1 is a securitization of
prime jumbo and agency-eligible mortgage loans originated and
serviced by Quicken Loans Inc. The assets of both transactions
consist of first lien, fully amortizing, fixed-rate qualified
mortgage (QM) loans, each with an original term to maturity of 30
years.

The complete rating action is as follows:

A List of Affected Credit Ratings is available at
https://bit.ly/3IgzgWq

Issuer: Provident Funding Mortgage Trust 2019-1

Cl. A-5, Upgraded to Aaa (sf); previously on Dec 5, 2019 Definitive
Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aaa (sf); previously on Dec 5, 2019 Definitive
Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to Aa2 (sf); previously on Dec 5, 2019 Definitive
Rating Assigned A2 (sf)

Cl. B-3, Upgraded to A1 (sf); previously on Dec 5, 2019 Definitive
Rating Assigned Baa1 (sf)

Cl. B-4, Upgraded to Baa1 (sf); previously on Dec 5, 2019
Definitive Rating Assigned Baa3 (sf)

Cl. B-5, Upgraded to Ba2 (sf); previously on Dec 5, 2019 Definitive
Rating Assigned Ba3 (sf)

Cl. A-5A, Upgraded to Aaa (sf); previously on Dec 5, 2019
Definitive Rating Assigned Aa1 (sf)

Issuer: RCKT Mortgage Trust 2019-1

Cl. A-13, Upgraded to Aaa (sf); previously on Oct 17, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-14, Upgraded to Aaa (sf); previously on Oct 17, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aaa (sf); previously on Oct 17, 2019
Definitive Rating Assigned A1 (sf)

Cl. B-1A, Upgraded to Aaa (sf); previously on Oct 17, 2019
Definitive Rating Assigned A1 (sf)

Cl. B-2, Upgraded to Aa1 (sf); previously on Oct 17, 2019
Definitive Rating Assigned A2 (sf)

Cl. B-2A, Upgraded to Aa1 (sf); previously on Oct 17, 2019
Definitive Rating Assigned A2 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on Oct 17, 2019 Definitive
Rating Assigned Baa2 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Oct 17, 2019
Definitive Rating Assigned Ba1 (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 pools. In these
transactions, high prepayment rates averaging 42%-53% 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 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.

RCKT 2019-1 includes a stop-advance feature, whereby the servicer
and the securities administrator will not advance principal and
interest to loans that are 120 days or more delinquent. According
to the deal structure, after the servicer stops advancing principal
and interest on delinquent loans, at the end of the 120 days
delinquency period, the interest accrued on these "Stop Advance
Mortgage Loans (SAML)" will be removed from the calculation of the
interest distribution amounts. This interest reduction will be
allocated reverse sequentially first to the subordinate bonds, then
to the senior support bond, and then pro-rata among senior bonds.
Once a SAML is liquidated, the net recovery from that loan's
liquidation is allocated first to pay down the loan's outstanding
principal amount and then to repay its accrued interest. The
recovered accrued interest on the loan is used to repay the
interest reduction incurred by the bonds that resulted from that
SAML. The elevated delinquency levels during the coronavirus
pandemic has increased the risk of interest shortfalls due to stop
advancing. As of October 2021, class B6 has around 13 bps of
outstanding stop advance shortfall as of original balance. Due to
the rising house price appreciation and high cure rate of loans in
payment relief program, Moody's expect such interest shortfalls to
be reimbursed over the next several months.

Moody's updated loss expectations on the 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 its
ESG framework, given the substantial implications for public health
and safety.

Principal Methodologies

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

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

Up

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

Down

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


PROVIDENT FUNDING 2021-INV2: Moody's Gives B3 Rating to B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 32
classes of residential mortgage-backed securities (RMBS) issued by
Provident Funding Mortgage Trust (PFMT) 2021-INV2. The ratings
range from Aaa (sf) to B3 (sf).

PFMT 2021-INV2 is the second securitization of GSE-eligible
investor (INV) mortgage loans originated and sponsored by Provident
Funding Associates, L.P. (Provident Funding) and Colorado Federal
Savings Bank (Colorado FSB). PFMT 2021-INV2 is a two-pool
Y-structure consisting of 20 to 30-year fixed rate mortgages (Group
1) and the second pool consists of 10 to 15-year fixed rate
mortgages (Group 2).

Borrowers of the mortgage loans backing this transaction have
strong credit profiles demonstrated by strong credit scores, high
percentage of equity and significant liquid reserves. As of the
cut-off date, no borrower under any mortgage loan is in a COVID-19
related forbearance plan with the servicer.

Provident Funding will act as the servicer of the mortgage loans.
Wells Fargo Bank, N.A. (Wells Fargo, rated Aa1) will be the master
servicer, securities administrator, paying agent and certificate
registrar and the trustee will be Wilmington Savings Fund Society,
FSB. As of the closing date, Computershare Trust Company , N.A.
will act as agent for Wells Fargo Bank as master servicer,
certificate registrar, paying agent and securities administrator
under the pooling and servicing agreement.

PFMT 2021-INV2 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor.

The complete rating actions are as follows:

Issuer: Provident Funding Mortgage Trust 2021-INV2

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

Cl. 1-A-2, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-3, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-4, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-5, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-6, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-7, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-8, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-9, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-10, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-12, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-13, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-14, Definitive Rating Assigned Aa1 (sf)

Cl. 1-A-15, Definitive Rating Assigned Aa1 (sf)

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

Cl. 1-A-X-2*, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-X-4*, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-X-6*, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-X-8*, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-X-10*, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-X-13*, Definitive Rating Assigned Aaa (sf)

Cl. 1-A-X-15*, Definitive Rating Assigned Aa1 (sf)

Cl. 2-A-1, Definitive Rating Assigned Aaa (sf)

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

Cl. 2-A-3, Definitive Rating Assigned Aaa (sf)

Cl. 2-A-4, Definitive Rating Assigned Aaa (sf)

Cl. 2-A-X-1*, Definitive Rating Assigned Aaa (sf)

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

Cl. B-2, Definitive Rating Assigned A2 (sf)

Cl. B-3, Definitive Rating Assigned Baa2 (sf)

Cl. B-4, Definitive Rating Assigned Ba2 (sf)

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

* Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's loss estimates are based on a loan-by-loan assessment of
the securitized collateral pool as of the cut-off date using
Moody's Individual Loan Level Analysis (MILAN) model. Moody's
expected loss for this pool in a baseline scenario are 0.46% and
0.09% for Group 1 and Group 2, respectively, and reach 4.13% and
0.74% for Group 1 and Group 2, respectively, at a stress level
consistent with Moody's Aaa(sf) rating scenario.

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 (TPR),
and the representations & warranties (R&W) framework of the
transaction.

Collateral Description

As of the cut-off date of November 1, 2021, the pool contains 1,348
mortgage loans with an aggregate principal balance (UPB) of
$356,558,040. The loans are fully amortizing each with an original
term to maturity of up to 30 years. The collateral is divided into
two loan groups. The first loan group (Group 1) consists of a pool
of fixed rate mortgage loans with original terms to maturity of 20
to 30 years secured by first liens on non-owner occupied
residential investor properties. The second loan group (Group 2)
consists of a pool of fixed rate mortgage loans with original terms
to maturity of 10 and 15 years secured by first liens on non-owner
occupied residential investor properties (collectively the
"mortgage loans").

The mortgage loans have principal balances which meet the
requirements for purchase by Fannie Mae or Freddie Mac, and were
underwritten pursuant to the guidelines of Fannie Mae or Freddie
Mac (collectively, GSEs), using Fannie Mae's Desktop Underwriter
Program (DU) or Freddie Mac's Loan Product Advisor (LPA)
(collectively, GSE-eligible loans), as applicable. However, none of
the mortgage loans will be insured or guaranteed by any government
agency. None of the mortgage loans have been 30 days or more
delinquent since origination.

Borrowers of the mortgage loans backing this transaction have
strong credit profiles demonstrated by strong credit scores, high
percentage of equity and significant liquid reserves. The average
stated principal balance is $264,509 and the weighted average (WA)
current mortgage rate is 3.0%. The mortgage pool has a WA original
term of 297 months. The mortgage pool has a WA seasoning of 3
months. The borrowers have a WA credit score of 784, a WA combined
loan-to-value ratio (CLTV) of 55.7% and WA debt-to-income ratio
(DTI) of 36.3%. Approximately 43.4% (by UPB) of the properties are
located in California.

Approximately 20.2% of the pool (by UPB) is made up of "Appraisal
Waiver" (AW) loans, whereby the sponsors obtained an appraisal
waiver for each such mortgage loan from Fannie Mae. In each case,
Fannie Mae did not require an appraisal of the related mortgaged
property as a condition of approving the related mortgage loan for
purchase. Such loans 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 its
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.

Third-Party Review

One TPR firm verified the accuracy of the loan level information.
The TPR firm conducted detailed credit, property valuation, data
accuracy and compliance reviews on a random sample of 301 (22.3% by
loan count) of the initial population of the pre-securitization
mortgage loans. The due diligence results confirm compliance with
the originator's underwriting guidelines for the vast majority of
loans and no material regulatory compliance issues. However, with
sampling, there is a risk that loan defects may not be discovered
and such loans would remain in the pool. Moreover, vulnerabilities
of the R&W framework, such as the lack of an automatic review of
R&Ws by independent reviewer and the weaker financial strength of
the R&W provider, reduce the likelihood that such defects would be
discovered and cured during the transaction's life. Therefore,
Moody's made an adjustment to loss levels to account for this
risk.

Representations & Warranties

Moody's assessed Provident Funding Mortgage Trust 2021-INV2's R&W
framework as adequate, consistent with that of other prime RMBS
transactions. An effective R&W framework protects a transaction
against the risk of loss from fraudulent or defective loans.
Moody's assessed the R&W framework based on three factors: (a) the
financial strength of the R&W provider; (b) the strength of the
R&Ws (including qualifiers and sunsets) and (c) the effectiveness
of the enforcement mechanisms. Moody's evaluated the impact of
these factors collectively on the ratings in conjunction with the
transaction's specific details and in some cases, the strengths of
some of the factors can mitigate weaknesses in others.

However, Moody's applied an adjustment to its losses to account for
the following two risks. First, Moody's accounted for the risk that
the R&W providers, may be unable to repurchase defective mortgage
loans in a stressed economic environment. Moody's tempered this
adjustment by taking into account the strong TPR results which
suggest a lower probability that poorly performing mortgage loans
will be found defective following review by the independent
reviewer.

Second, Moody's accounted for the risk that while the sponsors have
provided R&Ws that are generally consistent with a set of credit
neutral R&Ws that Moody's identified in its methodology, the R&W
framework in this transaction differs from that of some other prime
RMBS transactions Moody's have rated because there is a risk that
some loans with R&W defects may not be reviewed because an
independent reviewer is not named at closing and there is a
possibility that an independent reviewer will not be appointed
altogether. Instead, reviews are performed at the option and
expense of the controlling holder, or if there is no controlling
holder (which is the case at closing, because an affiliate of
sponsor will hold the subordinate classes and thus there will be no
controlling holder initially), a senior holder group.

Origination quality

Moody's consider Provident Funding and Colorado FSB an adequate
originators of agency-eligible mortgage loans based on the
company's staff and processes for underwriting, quality control,
risk management and performance. The company sources loans through
a nationwide network of independent brokers, correspondent lenders
and in-house retail channel.

Servicing arrangement

Provident Funding will service the mortgage loans pursuant to the
pooling and servicing agreement. Moody's consider the overall
servicing arrangement for this pool to be adequate given the
servicing abilities of the Provident Funding as primary servicer.
Moody's also consider the presence of a strong master servicer to
be a mitigant against the risk of any servicing disruptions.
Moody's did not make any adjustments to its base case and Aaa
stress loss assumptions based on the servicing arrangement.

Unlike prior transactions, in which Wells Fargo Bank fulfilled the
role of master servicer, in this transaction, Computershare will
act as agent for Wells Fargo Bank as master servicer, certificate
registrar, paying agent and securities administrator. The
transaction documents contain a clause whereby the master servicer
will maintain a long- term senior unsecured credit rating of "Baa3"
or higher from Moody's.

Computershare is a national banking association and a wholly-owned
subsidiary of Computershare 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.

Other Considerations

The servicer has the option to purchase any mortgage loan which is
90 days or more delinquent, which may result in the step-down test
used in the calculation of the senior prepayment percentage to be
satisfied when otherwise it would not have been. Moreover, because
the purchase may occur prior to the breach review trigger of 120
days delinquency, the loan may not be reviewed for breaches of
representations and warranties and thus, systemic defects may
remain undetected. In Moody's analysis, Moody's considered that the
loans will be purchased by the servicer at par and a TPR firm
having performed a review on a random sample of approximately 25%
(by loan count) of the mortgage loans. Moreover, the reporting for
this transaction will list the mortgage loans purchased by the
servicer.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.00% of the closing pool balance,
and a subordination lock-out amount of 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.

Transaction Structure

The transaction is structured as a two-pool 'Y' structure. The
funds from the two pools are not commingled, i.e., there are two
separate available distribution amounts. Funds collected, including
principal, are first used to make interest payments to the senior
bonds in each group. Next, principal payments are made to the
senior bonds in each group based on the principal collections for
the underlying assets in each group. Next, interest and then
principal payments are paid to the subordinate bonds in sequential
order, subject to such subordinate class percentage of the
subordinate principal distribution amounts for both loan groups.
Available distribution amounts are then used to reimburse realized
losses and certificate writedown amounts first to super senior
bonds and then to the senior support bonds of each group, and then
to the subordinate bonds sequentially.

Senior bonds of the two pools benefit from limited
cross-collateralization provisions with respect to prepayments and
disproportionate realized losses. Provided certain conditions are
satisfied and Group 1 or Group 2 senior bonds have been paid in
full, principal received or advanced from the loan group where the
senior bonds have paid in full will be directed as a distribution
of principal to the senior bonds of the non-related loan group
prior to any principal distribution to the subordinate bonds. In a
situation where Group 1 or Group 2 is under or overcollateralized,
cash flow from the overcollateralized group will be used to make
interest and principal payments to the senior bonds from the
undercollateralized group.

Compared to some other Y-structures that Moody's has rated, the
extent of loss allocation across groups is limited, particularly
for the super senior bonds. For example, realized losses for a
given group are allocated to the super seniors in that group before
the senior support bonds in the unrelated group. This risk is
mitigated by the 4.25% credit enhancement for the senior support
certificates and the 15.00% credit enhancement for the super senior
certificates.

In general, 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 balance of the senior support bond in
the related group until its principal balance is reduced to zero.
Next realized losses are allocated to super senior bond in the
related group until their principal balance is written off. After
this, losses are allocated to the senior support bonds in the
unrelated group and finally losses are allocated to the super
senior bonds in the unrelated group.

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
allocates increasing amounts of prepayments to the subordinate
bonds thereafter only if loan performance of the underlying
collateral satisfies both delinquency and loss tests.

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.


RATE MORTGAGE 2021-HB1: Moody's Assigns (P)B3 Rating to B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 82
classes of residential mortgage-backed securities (RMBS) issued by
RATE Mortgage Trust (RATE) 2021-HB1. The ratings range from (P)Aaa
(sf) to (P)B3 (sf).

RATE 2021-HB1 is the first agency-eligible high balance issue and
fifth issue overall from Guaranteed Rate, Inc. (Guaranteed Rate or
GRI), the sponsor of the transaction.

The transaction is a prime RMBS securitization of predominantly
30-year, fixed rate agency-eligible high balance mortgage loans
with an aggregate stated principal balance of $382,880,138. All the
loans in the pool are originated by Guaranteed Rate and are
designated as Qualified Mortgages (QM) either under the QM safe
harbor or the GSE temporary exemption under the Ability-to-Repay
(ATR) rules. Borrowers of the mortgage loans backing this
transaction have strong credit profiles demonstrated by strong
credit scores and low loan-to-value (LTV) ratios. No borrower under
any mortgage loan is currently in an active COVID-19 related
forbearance plan with the servicer. All mortgage loans are current
as of the cut-off date.

Similar to the RATE 2021-J3 transaction Moody's have rated, RATE
2021-HB1 contains a structural deal mechanism according to which
the servicing administrator will not advance principal and interest
(P&I) to mortgage loans that are 120 days or more delinquent. Here,
the servicing administrator will be responsible for funding any
advance of delinquent monthly payments of principal and interest
due but not received by the servicer on the mortgage loans. The
sponsor and the servicing administrator are the same party, GRI.

One TPR firm verified the accuracy of the loan level information
that Moody's received from the sponsor. This firm conducted
detailed credit, property valuation, data accuracy and compliance
reviews on 205 (37.3% by loan count) mortgage loans in the final
collateral pool. ServiceMac, LLC (ServiceMac) will service all of
the mortgage loans as of the cut-off Date. Computershare Trust
Company, N.A. (CTCNA) will be the master servicer. Moody's consider
the presence of a strong master servicer to be a mitigant against
the risk of any servicing disruptions.

The transaction 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 for each of the
certificate classes using Moody's proprietary cash flow tool.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model.

The complete rating actions are as follows:

Issuer: Rate Mortgage Trust 2021-HB1

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-22, Assigned (P)Aaa (sf)

Cl. A-23, Assigned (P)Aaa (sf)

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

Cl. A-25, Assigned (P)Aaa (sf)

Cl. A-26, Assigned (P)Aaa (sf)

Cl. A-27, Assigned (P)Aaa (sf)

Cl. A-28, Assigned (P)Aaa (sf)

Cl. A-29, Assigned (P)Aaa (sf)

Cl. A-30, Assigned (P)Aaa (sf)

Cl. A-31, Assigned (P)Aa1 (sf)

Cl. A-32, Assigned (P)Aa1 (sf)

Cl. A-33, Assigned (P)Aa1 (sf)

Cl. A-34, Assigned (P)Aa1 (sf)

Cl. A-35, Assigned (P)Aa1 (sf)

Cl. A-36, Assigned (P)Aa1 (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-X-22*, Assigned (P)Aaa (sf)

Cl. A-X-23*, Assigned (P)Aaa (sf)

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

Cl. A-X-25*, Assigned (P)Aaa (sf)

Cl. A-X-26*, Assigned (P)Aaa (sf)

Cl. A-X-27*, Assigned (P)Aaa (sf)

Cl. A-X-28*, Assigned (P)Aaa (sf)

Cl. A-X-29*, Assigned (P)Aaa (sf)

Cl. A-X-30*, Assigned (P)Aaa (sf)

Cl. A-X-31*, Assigned (P)Aaa (sf)

Cl. A-X-32*, Assigned (P)Aa1 (sf)

Cl. A-X-33*, Assigned (P)Aa1 (sf)

Cl. A-X-34*, Assigned (P)Aa1 (sf)

Cl. A-X-35*, Assigned (P)Aa1 (sf)

Cl. A-X-36*, Assigned (P)Aa1 (sf)

Cl. A-X-37*, Assigned (P)Aa1 (sf)

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

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

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

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

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

Cl. B-X-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
0.36%, in a baseline scenario-median is 0.17% and reaches 5.07% 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 representations and
warranties (R&W) framework, and the transaction's legal structure
and documentation.

Collateral Description

In general, the borrowers have high FICO scores, high income,
significant liquid assets and a stable employment history, all of
which have been verified as part of the underwriting process and
for loans in the due diligence sample, reviewed by the TPR firm.
All the loans were originated through the retail channel. The
borrowers have a high weighted average total monthly income of
$18,813, significant weighted average liquid cash reserves of
$155,074 (approximately 41.2% of the pool has more than 24 months
of mortgage payments in reserve), and sizeable equity in their
properties (weighted average LTV of 66.9%, CLTV of 67.2%). The pool
has approximately 1.4 months of seasoning as of November 1, 2021,
and all loans are contractually current as of the cut-off date. All
of the mortgage loans in RATE 2021-HB1 are qualified mortgages (QM)
meeting the requirements of the safe harbor provision under the QM
safe harbor (per the original (old) QM rule) or the GSE temporary
exemption under the Ability-to-Repay (ATR) rules.

Origination Quality

Guaranteed Rate has originated 100% of the loan pool. Moody's
consider Guaranteed Rate to be an acceptable originator of
agency-eligible loans following a detailed review of its
underwriting guidelines, quality control processes, policies and
procedures, technology infrastructure, disaster recovery plan, and
historical performance information relative to its peers.
Therefore, Moody's did not apply a separate adjustment for
origination quality.

Founded in 2000 by Victor Ciardelli, Guaranteed Rate is the largest
non-bank jumbo mortgage originator in the U.S. and 3rd largest
retail originator overall (as of Q1 2021). Headquartered in
Chicago, the company has approximately 350+ branch offices across
the U.S. and is licensed in all 50 states and Washington, D.C. The
company employs over 6,500 employees nationwide. In 2020 Guaranteed
Rate funded nearly $74B in total loan volume ($9B from jumbo
loans), up 100% from 2019. The company invests heavily in
technology. Guaranteed Rate originates primarily through its retail
channels and focuses primarily on purchase, agency-eligible loans.
The company is an approved Ginnie Mae, Fannie Mae, and Freddie Mac
lender.

Servicing Arrangement

Moody's consider the overall servicing arrangement for this pool to
be adequate. ServiceMac has the necessary processes, staff,
technology and overall infrastructure in place to effectively
service a transaction. CTCNA is responsible for servicer oversight,
the termination of servicers and the appointment of successor
servicers in its role as a master servicer. Moody's did not make
any adjustments to Moody's base case and Aaa stress loss
assumptions based on the servicing arrangement.

Third-Party Review

One independent TPR firm was engaged to conduct due diligence for
the credit, regulatory compliance, property valuation, and data
accuracy on 205 loans in the final collateral pool (37.3% by loan
count). The due diligence results confirm compliance with the
originator's underwriting guidelines, no material regulatory
compliance issues, and no material property valuation issues. The
TPR identified all loans as level A grades and no level B, level C
or level D grades in its review. However, the sample size does not
meet Moody's credit neutral criteria, therefore, Moody's made an
adjustment to loss levels to account for this risk.

Representations & Warranties

Moody's evaluate the R&W framework based on three factors: (a) the
financial strength of the remedy provider; (b) the strength of the
R&Ws (including qualifiers and sunsets) and (c) the effectiveness
of the enforcement mechanisms. Moody's evaluated the impact of
these factors collectively on the ratings in conjunction with the
transaction's specific details and in some cases, the strengths of
some of the factors can mitigate weaknesses in others. Moody's also
considered the R&W framework in conjunction with other transaction
features, such as the independent due diligence, custodial receipt,
and property valuations, as well as any sponsor alignment of
interest, to evaluate the overall exposure to loan defects and
inaccurate information. Overall, Moody's consider the R&W framework
for this transaction to be adequate, generally consistent with that
of other prime transactions which Moody's rated. However, Moody's
applied an adjustment to its losses to account for the risk that
the R&W provider (unrated) may be unable to repurchase defective
loans in a stressed economic environment.

Transaction Structure

RATE 2021-HB1 has one pool with a shifting interest structure that
benefits from a subordination floor. Funds collected, including
principal, are first used to make interest payments and then
principal payments to the senior bonds, and then interest and
principal payments to each subordinate bond. As in all transactions
with shifting interest structures, the senior bonds benefit from a
cash flow waterfall that allocates all prepayments to the senior
bond for a specified period of time and increasing amounts of
prepayments to the subordinate bonds thereafter, but only if loan
performance satisfies delinquency and loss tests.

Similar to the RATE 2021-J3 transaction Moody's have rated, RATE
2021-HB1 contains a structural deal mechanism according to which
the servicing administrator will not advance principal and interest
to 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.

The balance and the interest accrued on these "Stop Advance
Mortgage Loans (SAML)" will be removed from the calculation of the
principal and interest distribution amounts with respect to the
seniors and subordinate bonds. The interest distribution amount
will be reduced by the interest accrued on the SAML loans. This
reduction will be allocated first to the subordinate certificates
and then to the senior certificates in the reverse order of payment
priority. In the case of the senior certificates, such reduction in
distribution amounts, are allocated (i) first to the senior support
(including the linked interest-only classes) and (ii) then to the
super senior classes (including the linked interest-only classes),
on a pro rata basis.

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. However, the reimbursement of
stop advance shortfalls happens only after liquidation or curing of
SAML. As a result, higher delinquencies could lead to higher
shortfalls especially for the subordinate bonds as compared to a
transaction without the stop advance feature.

While the transaction is backed by collateral with strong credit
characteristics, Moody's considered scenarios in which the
delinquency pipeline rises, and results in higher shortfalls for
the certificates outstanding. 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.

Tail Risk & Subordination Floor

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


RCKT MORTGAGE 2021-6: Fitch Gives 'B-(EXP)' Rating to B-5 Debt
--------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by RCKT Mortgage Trust 2021-6 (RCKT 2021-6)

DEBT                RATING
----                ------
RCKT Mortgage Trust 2021-6

A-1      LT AAA(EXP)sf   Expected Rating
A-10     LT AAA(EXP)sf   Expected Rating
A-11     LT AAA(EXP)sf   Expected Rating
A-12     LT AAA(EXP)sf   Expected Rating
A-13     LT AAA(EXP)sf   Expected Rating
A-14     LT AAA(EXP)sf   Expected Rating
A-15     LT AAA(EXP)sf   Expected Rating
A-16     LT AAA(EXP)sf   Expected Rating
A-17     LT AAA(EXP)sf   Expected Rating
A-18     LT AAA(EXP)sf   Expected Rating
A-19     LT AAA(EXP)sf   Expected Rating
A-2      LT AAA(EXP)sf   Expected Rating
A-20     LT AAA(EXP)sf   Expected Rating
A-21     LT AAA(EXP)sf   Expected Rating
A-21-X   LT AAA(EXP)sf   Expected Rating
A-22     LT AAA(EXP)sf   Expected Rating
A-23     LT AAA(EXP)sf   Expected Rating
A-24     LT AAA(EXP)sf   Expected Rating
A-25     LT AAA(EXP)sf   Expected Rating
A-26     LT AAA(EXP)sf   Expected Rating
A-27     LT AAA(EXP)sf   Expected Rating
A-28     LT AAA(EXP)sf   Expected Rating
A-3      LT AAA(EXP)sf   Expected Rating
A-4      LT AAA(EXP)sf   Expected Rating
A-5      LT AAA(EXP)sf   Expected Rating
A-6      LT AAA(EXP)sf   Expected Rating
A-7      LT AAA(EXP)sf   Expected Rating
A-8      LT AAA(EXP)sf   Expected Rating
A-9      LT AAA(EXP)sf   Expected Rating
A-X-1    LT AAA(EXP)sf   Expected Rating
A-X-10   LT AAA(EXP)sf   Expected Rating
A-X-11   LT AAA(EXP)sf   Expected Rating
A-X-12   LT AAA(EXP)sf   Expected Rating
A-X-13   LT AAA(EXP)sf   Expected Rating
A-X-14   LT AAA(EXP)sf   Expected Rating
A-X-2    LT AAA(EXP)sf   Expected Rating
A-X-3    LT AAA(EXP)sf   Expected Rating
A-X-4    LT AAA(EXP)sf   Expected Rating
A-X-5    LT AAA(EXP)sf   Expected Rating
A-X-6    LT AAA(EXP)sf   Expected Rating
A-X-7    LT AAA(EXP)sf   Expected Rating
A-X-8    LT AAA(EXP)sf   Expected Rating
A-X-9    LT AAA(EXP)sf   Expected Rating
B-1      LT AA-(EXP)sf   Expected Rating
B-1A     LT AA-(EXP)sf   Expected Rating
B-X-1    LT AA-(EXP)sf   Expected Rating
B-2      LT A-(EXP)sf    Expected Rating
B-2A     LT A-(EXP)sf    Expected Rating
B-X-2    LT A-(EXP)sf    Expected Rating
B-3      LT BBB-(EXP)sf  Expected Rating
B-4      LT BB-(EXP)sf   Expected Rating
B-5      LT B-(EXP)sf    Expected Rating
B-6      LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 688 loans with a total balance of
approximately $649 million as of the cutoff date. The pool consists
of prime fixed-rate mortgages acquired by Woodward Capital
Management LLC (Woodward) from Rocket Mortgage, LLC (Rocket
Mortgage), formerly known as Quicken Loans, LLC. Distributions of
principal and interest and loss allocations are based on a
senior-subordinate, shifting-interest structure.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.6% 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 a result of a
supply/demand imbalance driven by low inventory, low mortgage rates
and new buyers entering the market. These trends have led to
significant home price increases over the past year, with home
prices rising 18.6% yoy nationally as of June 2021.

High-Quality Mortgage Pool (Positive): The collateral consists of
688 loans, totaling $649 million, and seasoned approximately four
months in the aggregate. (calculated as the difference between
origination date and first pay date) The borrowers have a strong
credit profile (759 Fitch model FICO and 35% DTI) and moderate
leverage (80% sLTV). The pool consists of 96.4% of loans where the
borrower maintains a primary residence, while 3.6% comprise a
second home. Additionally, 47.2% of the loans were originated
through a retail channel and 100% are designated as Safe Harbor
(APOR) qualified mortgage (QM).

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature for loans more than 120 days delinquent (a
stop-advance loan). Unpaid interest on stop-advance loans reduces
the amount of interest that is contractually due to bondholders in
reverse-sequential order. While this feature helps limit cash flow
leakage to subordinate bonds, it can result in interest reductions
to rated bonds in high-stress scenarios. A key difference with this
transaction, compared to other programs that treat stop-advance
loans similarly, is that liquidation proceeds are allocated to
interest before principal. As a result, Fitch included the full
interest carry in its loss projections and views the risk of
permanent interest reductions as lower than other programs with a
similar feature.

Low Operational Risk (Positive): Operational risk is well
controlled for in this transaction. Rocket Mortgage (fka Quicken
Loans) is assessed as an 'Above Average' originator and is
contributing all of the loans to the pool. The originator has a
robust origination strategy and maintains experienced senior
management and staff, strong risk management and corporate
governance controls and a robust due diligence process. Primary
servicing functions will be performed by Rocket Mortgage, which is
rated 'RPS2'.

Credit Enhancement (CE) Floor (Positive): To mitigate tail risk,
which arises as the pool seasons and fewer loans are outstanding, a
subordination floor of 1.20% will be available for the senior bonds
and a subordinate floor of 0.85% of the original balance will be
maintained for the subordinate classes. The floor is sufficient to
protect against the 100 average- sized loans incurring Fitch's
'AAAsf' expected loss

RATING SENSITIVITIES

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

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

-- The defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model projected 41.9% at 'AAA'. The analysis
    indicates that there is some potential rating migration with
    higher MVDs for all rated classes, compared with the model
    projection. Specifically, a 10% additional decline in home
    prices would lower all rated classes by one full category.

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, LLC. The third-party due diligence
described in Form 15E focused on a review that consisted of credit,
regulatory compliance, and property valuation. Fitch considered
this information in its analysis and, as a result, Fitch made the
following adjustment(s) to its analysis: a 5% PD credit to the 76%
of the pool by loan count in which diligence was conducted.
This/These adjustment(s) resulted in a 24bps reduction to the
'AAAsf' expected loss.

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.


SANTANDER BANK 2021-1: Fitch Gives 'B(EXP)' Rating to D Notes
--------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
the notes issued by Santander Bank, N.A. (SBNA), Santander Bank
Auto Credit-Linked Notes series 2021-1 (SBCLN 2021-1).

DEBT            RATING
----            ------
Santander Bank Auto Credit-Linked Notes 2021-1

A-1   LT NR(EXP)sf    Expected Rating
A-2   LT NR(EXP)sf    Expected Rating
B     LT BBB(EXP)sf   Expected Rating
C     LT BB(EXP)sf    Expected Rating
D     LT B(EXP)sf     Expected Rating
E     LT NR(EXP)sf    Expected Rating
R     LT NR(EXP)sf    Expected Rating

KEY RATING DRIVERS

Collateral Performance — Strong Credit Quality: 2021-1 has a
weighted average (WA) FICO score of 774, with 92.5% of scores above
675, and the remaining 7.5% in the 630-675 range. The pool has a
larger concentration of extended term loans, with 84-month loans
totaling 15%, up slightly from 11.9% in 2021-A. Vehicle type and
model concentrations are improved compared to SCART 2021-A and
prior transactions; the concentration among the top three vehicle
models is lower at 60.0%, versus 96.7% in 2021-A. The pool's WA
loan-to-value ratio (LTV) is 94.1%, and WA seasoning is 12.0
months.

Payment Structure — Only Note Subordination for CE: Initial hard
CE totals 4.50%, 3.50% and 2.80% for classes B, C and D,
respectively, consistent with the prior transaction, entirely
consisting of subordinated note balances, including the additional
class E and R notes. There is no additional enhancement provided,
including no excess spread. Initial CE is sufficient to withstand
Fitch's base case CNL proxy of 1.80% at the applicable rating loss
multiples.

Seller/Servicer Operational Review — Stable Origination and
Servicing: Santander Bank, N.A.demonstrates adequate abilities as
originator and Santander Consumer USA Inc. (SCUSA) demonstrates
adequate abilities as servicer, as evidenced by historical
portfolio delinquency, loss experience and prior securitization
performance. Fitch deems SCUSA capable to service this series.

Pro-Rata Pay Structure (Negative): Auto loan cash flows are
allocated among the class B and C notes based on a pro-rata pay
structure, with the class A certificates (retained by SBNA)
receiving a pro-rata allocation payment, and the subordinate class
D, E and R notes are to remain unpaid until all other classes are
paid in full, in sequential order.

In addition, lower-rated subordinated classes will be locked out of
principal entirely if the transaction CNL exceeds a set CNL
schedule. The lockout feature helps maintain subordination for a
longer period should CNL occur earlier in the life of the deal.
This feature redirects subordinate principal to classes of higher
seniority sequentially, except class A certificates. Further, if
the pool CNL exceeds 4.00%, the transaction switches from pro rata
and pays fully sequentially, including for class A certificates.

CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, class E and R notes
are locked out of payments until other classes of notes are paid in
full, leading to a floor amount of subordination of 2.50% below the
class D notes at issuance.

Excessive Counterparty Exposure: The excessive exposure in the
transaction arises due to SBNA's role providing a material degree
of credit support to the transaction. Noteholders will not have
recourse to the reference portfolio or to the cash generated by the
assets. Instead, the transaction relies on SBNA to make interest
payments based on the note rate and principal payments based on the
performance of the reference pool. The monthly payment due will be
deposited by SBNA into a segregated trust account held at Citibank,
N.A. (rated A+/F1/Stable; the securities administrator) for the
benefit of the notes. If SBNA fails to make a payment to
noteholders, it will be deemed an event of default.

SBNA is also the servicer and will retain the class A certificates.
Given this dependence on the bank, ratings on the notes are
directly linked to, and capped by, the IDR of the counterparty,
SBNA (BBB+/F2/Stable).

RATING SENSITIVITIES

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

-- Changes in loss timing have the potential to shift the paydown
    of the outstanding notes, due to the timing of when
    performance triggers are tripped. Additionally, unanticipated
    increases in the frequency of defaults could produce CNL
    levels higher than the base case and would likely result in
    declines of CE and remaining net loss coverage levels
    available to the notes. Weakening asset performance is
    strongly correlated to increasing levels of delinquencies and
    defaults that could negatively affect CE levels.

-- Additionally, unanticipated declines in recoveries could also
    result in lower net loss coverage, which may make certain note
    ratings susceptible to potential negative rating actions,
    depending on the extent of the decline in coverage.

For this transaction, Fitch conducted sensitivity analyses by
stressing the transaction's assumed loss timing, the transaction's
initial base case CNL and recovery rate assumptions, examining the
rating implications on all rated classes of issued notes. The loss
timing sensitivity modifies the base case loss timing curve to
delay the sequential payment triggers to the middle of the
transaction's life while maintaining overall loss levels.

The CNL sensitivity stresses the CNL proxy to the level necessary
to reduce each rating by one full category, to non-investment grade
(BBsf) and to 'CCCsf', based on the break-even loss coverage
provided by the CE structure.

Additionally, Fitch conducts a 1.5x and a 2.0x increase to the CNL
proxy, representing both moderate and severe stresses,
respectively. Fitch also evaluates the impact of stressed recovery
rates on an auto loan ABS structure and rating impact with a 50%
haircut. These analyses are intended to provide an indication of
the rating sensitivity of notes to unexpected deterioration of a
trust's performance. A more prolonged disruption from the pandemic
is accounted for in the severe downside stress of 2.0x and could
result in downgrades of up to two rating categories for the
subordinate notes.

Due to the pandemic, the U.S. and the broader global economy was
under significant under stress, with surging unemployment and
pressure on businesses stemming from government-led social
distancing guidelines. While delinquencies and losses did increase
slightly, the magnitude was limited due to government stimulus and
lender support in the form of loan extensions. However, the U.S.
economy has rebounded from weak pandemic levels.

For sensitivity purposes, Fitch assumed a 2.0x increase in
delinquency stress. The results below indicate no adverse rating
impact to the notes. However, Fitch acknowledges that lower
prepayments and longer recovery lag times due to delayed ability to
repossess and recover on vehicles may result from the pandemic.
However, changes in these assumptions, all else equal, would not
have an adverse impact on modeled loss coverage. Fitch has
maintained its stressed assumptions.

Loss Timing Sensitivity

As mentioned previously, prior to the triggering of a sequential
payment event through the CNL schedule, the class B and C notes are
paid pro rata until paid in full. This pro-rata paydown presents a
risk to the notes, which may share in any losses incurred and not
receive adequate principal paydown over time. In Fitch's
front-loaded primary scenario, this trigger activates almost
immediately, leading to higher loss coverage than the mid- and
back-loaded scenarios presented previously.

While Fitch believes a more backloaded scenario is less likely, to
evaluate the potential structural challenge, an additional timing
scenario was considered in which 20% of the CNL is expected to
occur within the first two years of the transaction's life was
delayed to the second two years, in a 15%/15%/35%/35% loss curve.

The delayed loss curve leads to the sequential order event
occurring later in the life of the transaction under the class B, C
and D stress scenarios. However, due to the delay in defaults, the
class B, C and D notes are able to pay down sooner than in the
prior back-loaded curve, which delays the trigger events but sees a
more significant portion of losses occurring earlier in the deal.
Because of this, loss coverage improves in an extremely back-loaded
scenario, due to the other subordinate notes (including the class
D) being locked out until the B and C notes are paid in full under
any scenario.

In the below scenario, class B and D notes would see no change in
ratings, whereas the C notes, remaining pro rata with the B notes
for the most part, achieve a rating multiple level with the class B
notes.

Cumulative Net Loss Rating Sensitivity

In addition to the delayed timing mentioned above, Fitch stressed
each class of notes prior to any amortization to its first dollar
of default to examine the structure's ability to withstand the
aforementioned stressed CNL scenarios.

Defined Rating Categories

The first sensitivity analysis consists of utilizing the break-even
CNL loss coverage available to the notes and assessing the level of
CNL it would take to reduce each rating by one full category, to
non-investment grade and to 'CCCsf'. The implied CNL proxy
necessary to reduce the ratings as stated above will vary by class
based on the break-even loss coverage provided by the CE
structure.

Under this analysis, all analytical assumptions are unchanged, with
total loss coverage available to class B notes at 4.37%. Therefore,
the implied CNL proxy would have to increase to 2.91% for class B
notes to be downgraded by one rating category or a 1.5x multiple
(4.37%/1.50 = 2.91%). Applying the same approach but increasing net
losses to levels commensurate with rating downgrade to 'CCCsf'
suggests net losses would have to increase to 5.83%.

The second sensitivity also focuses on stressing the impact of CNLs
outside of base case expectations by a 1.5x and a 2.0x multiple
relative to available loss coverage. This analysis provides a good
indication of the rating sensitivity of the notes to unexpected
deterioration of the trust's performance. In this example, under
the 1.5x scenario, the base case proxy increases to 1.65% and an
implied loss multiple of 2.84x, which would suggest a downgrade to
the 'Asf' range. Under the more severe 2.0x stress, the base case
proxy increases to 2.20%, which results in an implied multiple of
2.13x or a downgrade to the 'BBBsf' range.

Due to de-levering and structural features, a typical auto loan ABS
transaction tends to build CE and loss coverage levels over time,
absent any increase to projected defaults/losses beyond
expectations. However, the current transaction, which is based on a
reference pool and is not a standard auto loan ABS transaction,
sees only limited de-levering and increases in enhancement over the
life of the transaction, as classes B and C pay down pro rata.

The greatest risk of losses to an auto loan ABS transaction is over
the first one to two years of the transaction, where the benefit of
de-levering may be muted. This analysis does not give explicit
credit to the de-levering and building CE typically afforded in
auto loan ABS transactions.

Recovery Rate Sensitivity

Recoveries can have a material impact on auto loan pool
performance, particularly in stressed economic environments where
default frequency is higher. This sensitivity analysis evaluates
the impact of stressed recovery rates on the considered structure
and rating impact.

Historically, recovery rates on auto loan collateral have ranged
from 40% to 70%. Utilizing the base case of 1.80% detailed in the
CNL sensitivities above, recovery rate credit under Fitch's primary
scenario is 50%, resulting in a cumulative gross default (CGD) base
case proxy of 3.60%. Applying a 50% haircut to the 50% recovery
rate results in a stressed recovery rate of 25% and a base case CNL
proxy of 2.70% (3.60% x 75% = 2.70%). Under this stressed scenario,
the implied multiple declines to 2.84x (4.67%/1.65% = 2.83x),
resulting in an implied rating of 'BBsf'.

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

-- Conversely, stable to improved asset performance driven by
    stable delinquencies and defaults would lead to marginally
    increasing CE levels and consideration for potential upgrades.
    If CNL is 20% less than the projected proxy, the expected
    ratings for the subordinate notes could be raised one notch
    for class B (which are capped at the originator's ratings) and
    upgraded by one category for classes C and D.

-- However, this upgrade potential is very remote, as low losses
    would mean the transaction remains pro rata for a longer
    period, leading to less enhancement build over time and no
    enhancement build for the class D notes.

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.


SAPPHIRE AVIATION I: Fitch Affirms CCC Rating on Series C Notes
---------------------------------------------------------------
Fitch Ratings has affirmed the ratings on the outstanding series A,
B and C notes issued by Sapphire Aviation Finance I Limited (SAPA
I) and Sapphire Aviation Finance II Limited (SAPA II) ABS
transactions. The Rating Outlook remains Negative on all series of
notes, except SAPA I series C notes.

   DEBT           RATING            PRIOR
   ----           ------            -----
Sapphire Aviation Finance I

A 80306AAA8   LT BBBsf  Affirmed    BBBsf
B 80306AAB6   LT BBsf   Affirmed    BBsf
C 80306AAC4   LT CCCsf  Affirmed    CCCsf

Sapphire Aviation Finance II Limited

A 80307AAA7   LT Asf    Affirmed    Asf
B 80307AAB5   LT BBBsf  Affirmed    BBBsf
C 80307AAC3   LT Bsf    Affirmed     Bsf

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 ongoing performance of the transactions since the
prior review in December 2020.

The Outlook remains Negative on all series of notes except on the
SAPA I series C 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 driven by
the pandemic including ongoing regional flareups and potential for
and occurrence of new virus variants, has 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 a pick-up in air travel across
many regions. 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 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.

Cash flow modeling was not conducted for both transactions as
performance has been within expectations and each transaction was
modeled within the past 18 months, all consistent with criteria.

Avolon Aerospace Leasing Limited (Avolon) and certain affiliates
are the sellers for the assets and is an indirect subsidiary of
Avolon Holdings Limited (Issuer Default Rating [IDR] currently
rated BBB-/Stable). Avolon and certain of their subsidiaries are
the initial sellers, and Avolon acts as servicer to both
transactions. Fitch deems the servicer to be adequate to service
these transactions based on its experience as a lessor and overall
servicing capabilities.

KEY RATING DRIVERS

Stable-to-Improving 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 SAPA I declined to 45% from 73%, and
for SAPA II improved to 75% from 92%, respectively, both versus
their prior reviews. 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 30% and 32% in
SAPA I and II, respectively, which is consistent since the prior
review. Eight assets are reported as off-lease in SAPA I totaling
approximately 16% of the pool down from 20% in the prior review,
while SAPA II was unchanged reporting no off-lease aircraft
consistent with its prior review. Uncertainty remains over ongoing
pressure on aircraft market values (MVs) and how the current
environment will impact near-term lease maturities.

The appraisers for both transactions are Morten Beyer & Agnew Inc.
(mba) and IBA Group Limited (IBA). SAPA I also includes BK
Associates Inc., and SAPA II also includes Collateral Verifications
LLC. The transaction document values are currently $597.2 million
for SAPA I and $616.3 million for SAPA II, based on December 2020
appraisals. When controlling for asset sales and non-novation of
aircraft that occurred since the prior review, the pool values
declined by approximately 12% for both transactions versus values
over a year ago, which is within Fitch's expectations. In the prior
review, these values were $726.4 million for SAPA I and $746.8
million for SAPA II, prior to experiencing approximately $42
million and $48 million of aircraft sales and non-novation of
assets, respectively.

Transaction Performance

Lease collections have fluctuated in 2021 but have remained
rangebound since the prior review. Based on the November 2021
servicer report (October collection period), SAPA I and II received
$5.8 million and $3.7 million in basic rent collections,
respectively, which was higher for SAPA I compared to its LTM
average monthly receipts of $4.4 million, while being relatively
consistent for SAPA II compared to its LTM average of $3.9 million
for SAPA II.

Loan-to-values (LTVs) on SAPA I series A, B and C notes remain
relatively stable-to-improved from the prior review, as they
benefitted from end-of-lease payments and aircraft and part-out
sales. LTVs on SAPA II series A, B and C notes increased as total
collections, mainly from basic and utilization rents, were not at a
level sufficient to amortize the notes more than asset value
depreciation.

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 since the last review in every period for both transactions.
Series B notes for SAPA I received payments in three of the last 12
months, with the August 2021 payment nearly bringing the notes back
on schedule. Series C notes have not received any payments since
the prior review for both transactions.

The debt-service coverage ratios for SAPA I and II are currently at
0.88x and 0.64x, remaining below the cash trap (1.20x) and
early/rapid amortization event (1.15x) trigger levels.

RATING SENSITIVITIES

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

Base Assumptions with Weaker WB Values

-- The Negative Outlooks on all series of notes reflect the
    potential for further negative rating actions due to concerns
    over the ultimate impact of the coronavirus pandemic, the
    resulting concerns associated with airline performance and
    aircraft values and other assumptions across the aviation
    industry due to the severe decline in travel and grounding of
    airlines. Due to the correlation between global economic
    conditions and the airline industry, the ratings can be
    affected by the strength of the macro-environment over the
    remaining terms of these transactions.

-- The pools contain concentrations of WB aircraft between 29% to
    33% for both transactions. 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 10%
    of Fitch's modeled values at the prior review.

-- Under this scenario, both transactions experience a
    significant weakening to cash flows. SAPA I series B and C
    notes display further downside sensitivity, while SAPA II
    outstanding notes are able to withstand the stresses at their
    current ratings.

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 Fitch's prior review, Fitch utilized average excluding
    highest (AEH) MABV for NBs and AEH MAMV for WBs. Under this
    scenario, both transactions experienced a significant
    improvement to cash flows. SAPA I series A, B and C notes, and
    SAPA II series C notes could experience an uplift of up to one
    rating category under this scenario.

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.


SOUND POINT XIV: Moody's Ups Rating on $35MM Class E Notes to Ba3
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Sound Point CLO XIV, Ltd.:

US$55,500,000 Class B-1-R Senior Secured Floating Rate Notes due
2029 (the "Class B-1-R Notes"), Upgraded to Aaa (sf); previously on
February 12, 2021 Assigned Aa1 (sf)

US$25,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2029
(the "Class B-2-R Notes"), Upgraded to Aaa (sf); previously on
February 12, 2021 Assigned Aa1 (sf)

US$42,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C-R Notes"), Upgraded to Aa3 (sf);
previously on February 12, 2021 Assigned A1 (sf)

US$35,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D-R Notes"), Upgraded to Baa1 (sf);
previously on February 12, 2021 Assigned Baa2 (sf)

US$35,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Upgraded to Ba3 (sf); previously on
June 9, 2020 Downgraded to B1 (sf)

RATINGS RATIONALE

These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since January 2021. The Class
A-R2 note has been paid down by approximately 15.5% or $69.8
million since then. Based on the trustee's October 2021 report[1],
the OC ratios for the Class A/B, Class C and Class D are reported
at 130.58%, 120.37% and 113.00% , respectively, versus January
2021[2], levels of 128.18%, 118.80% and 111.98% , respectively.

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: $614,346,530

Defaulted par: $514,161

Diversity Score: 66

Weighted Average Rating Factor (WARF): 2527

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.02%

Weighted Average Recovery Rate (WARR): 48.16%

Weighted Average Life (WAL): 3.23 years

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


STARWOOD MORTGAGE 2021-6: Fitch Gives 'B-(EXP)' Rating to B-2 Debt
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Starwood Mortgage
Residential Trust 2021-6.

DEBT              RATING
----              ------
STAR 2021-6

A-1      LT AAA(EXP)sf  Expected Rating
A-2      LT AA(EXP)sf   Expected Rating
A-3      LT A(EXP)sf    Expected Rating
M-1      LT BBB(EXP)sf  Expected Rating
B-1      LT BB(EXP)sf   Expected Rating
B-2      LT B-(EXP)sf   Expected Rating
B-3      LT NR(EXP)sf   Expected Rating
XS       LT NR(EXP)sf   Expected Rating
A-IO-S   LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by Starwood Mortgage Residential Trust
2021-6, Mortgage-Backed Certificates, Series 2021-6 (STAR 2021-6),
as indicated above. The certificates are supported by 658 loans
with a balance of approximately $451.40 million as of the cutoff
date. This will be the fifth 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; Nations Direct Mortgage; and Royal Pacific Funding
sourcing 97.1% of the pool. The remaining 2.9% of the mortgage
loans were originated by various originators who contributed less
than 5% each to the pool.

Of the loans in the pool, 65.7% are designated as nonqualified
mortgages (non-QM, or NQM), and 34.3% are not subject to the
Consumer Finance Protection Bureau's (CFPB) Ability to Repay rule
(ATR rule, or the Rule).

There is LIBOR exposure in this transaction. The collateral
consists of 1.55% adjustable-rate loans, which reference one-year
LIBOR, while the remaining adjustable-rate loans reference
one-month SOFR (Secured Overnight Financing Rate). The 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, 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 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.

Nonprime Credit Quality (Mixed): The collateral consists mainly of
30-year, fixed-rate fully amortizing loans (69.1%), 17.8%
fixed-rate loans with an initial interest-only (IO) term and 3.4%
adjustable-rate 7/1 ARMs that are fully amortizing, while 6.6% are
7/1 ARMs with an initial IO term. The pool is seasoned at
approximately six months in aggregate, as determined by Fitch.

The borrowers in this pool have relatively strong credit profiles,
with a 742 weighted average (WA) FICO score and a 40.5%
debt-to-income (DTI) ratio, as determined by Fitch, and an original
combined loan-to-value (CLTV) ratio of 68.1% that translates to a
Fitch-calculated sustainable loan-to-value (sLTV) ratio of 75.3%.

The Fitch DTI is higher than the DTI in the transaction documents
(DTI is 29.6% 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, 59.6% consists of loans where the borrower maintains a
primary residence, while 40.4% comprises an investor property or
second home; 44.0% of the loans were originated through a retail
channel. Additionally, 65.7% are designated as non-QM, 0.2% are
designated as QM and 34.1% are exempt from QM because they are
investor loans.

The pool contains 126 loans over $1 million, with the largest being
$4.0 million. Self-employed non-debt service coverage ratio (DSCR)
borrowers make up 17.2% of the pool, 6.8% are asset depletion loans
and 27.1% are investor cash flow DSCR loans.

Approximately 36% of the pool comprises loans on investor
properties (9% underwritten to the borrowers' credit profile and
27% comprising investor cash flow loans). A 2.5% portion of the
loans has subordinate financing mainly due to deferred balances,
and there are no second lien loans.

Thirteen 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 in
prior NQM transactions, the pool characteristics resemble nonprime
collateral, therefore, the pool was analyzed using Fitch's nonprime
model.

Geographic Concentration (Negative): Approximately 48.3% of the
pool is concentrated in California. The largest MSA concentration
is in the Los Angeles-Long Beach-Santa Ana, CA MSA (29.1%),
followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA
MSA (16.5%) and the Miami-Fort Lauderdale-Miami Beach, FL MSA
(6.8%). The top three MSAs account for 52.4% of the pool. As a
result, there was a 1.11x probability of default (PD) penalty for
geographic concentration, which increased the 'AAA' loss by 0.99%.

Loan Documentation (Negative): Approximately 88.6% of the pool was
underwritten to less than full documentation, and 53.9% 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, which reduces the risk of
borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to the
rigor of the Rule's mandates with respect to the underwriting and
documentation of the borrower's ability to repay. Additionally, 6%
is an Asset Depletion product, 0% is a CPA or PnL product, and
27.1% is DSCR product.

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

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.

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 41.5% 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 0.40%.

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 was populated by the due
diligence company and no material discrepancies were noted.

ESG CONSIDERATIONS

STAR 2021-6 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk due to operational risk being well
controlled for in STAR 2021-6, strong transaction due diligence as
well as 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.


SUMMIT ISSUER 2021-1: Fitch Rates Class C Notes 'BB-'
-----------------------------------------------------
Fitch Ratings affirms Summit Issuer LLC's revenue notes class A-1,
A-2, B and C series 2020-1 as follows:

-- $50 million(a) 2020-1 class A-1-VFN 'A-'; Outlook Stable;

-- $122.7 million 2020-1 class A-2 'A-'; Outlook Stable;

-- $18.9 million 2020-1 class B 'BBB-'; Outlook Stable;

-- $33.6 million 2020-1 class C 'BB-'; Outlook Stable.

(a) This note is a Variable Funding Note (VFN) and has a maximum
commitment of $50 million contingent on leverage consistent with
the class A-1 notes. This class reflects a $3.3 million balance as
of October 2021.

RATING RATIONALE

The transaction is a securitization of SummitIG's high capacity
network of fiber optic cable assets. These assets include conduits,
cable, permits, rights and contracts, which support SummitIG's dark
fiber network, the collateral consists of mission-critical assets
which support one of the largest data center hubs in the U.S. The
Northern Virginia hub interconnects high quality clients including
cloud providers, telecom companies, data center operators and large
enterprise customers.

The ratings are based on the cash flows of the transaction, as
supported by a mission critical asset, which in turn supports an
essential service. The dark fiber network represents a
differentiated deployment of a product that is crucial to support
the internet. Given the operational nature of the asset, future
capex is expected to be limited.

SummitIG is the dominant market participant in the Northern
Virginia market and benefits from high barriers to entry including
that collateral assets and corresponding cash flows are protected
by first-mover advantage, which precludes another provider from
replicating its service offerings. This is further bolstered by
sustained growth in the usage of the internet and the supporting
data center infrastructure, for which this asset is a necessity and
the sponsor has deployed capacity to support, in anticipation of
further growth.

KEY RATING DRIVERS

Dominant Market Position; High Barriers to Entry (Revenue Risk:
Stronger):

SummitIG has established a unique, single-focus dark fiber network
platform, catering to users through a high capacity system in
Northern Virginia. SummitIG's dark fiber infrastructure has
high-capacity conduit and fiber-optic cables providing customized
connectivity solutions to its customers. More than two thirds of
SummitIG's network is on unique or differentiated routes, and the
network has sufficient capacity to continue adding customers at
minimal cost.

Further, the network benefits from considerable barriers to entry
from competing providers and technology types. The ability for a
competitor to build a platform capable of providing a comparable
level of service is limited. This is a result of extensive capital
requirements, SummitIG's established network within the geography,
and existing long-term agreements which grant SummitIG limited
access rights of way (interstate highway and other highway systems)
with a renewal option.

Anticipated Repayment Date and Prefunding Debt Structure (Debt
Structure [A-1, A-2, B]: Midrange; (Debt Structure [C]: Weaker):
SummitIG's three tranches of debt are secured by a first-priority
perfected security interest in the company's dark fiber network and
benefits from its related cash flow. The tranches contemplate an
Anticipated Repayment Date (ARD) in 2025, or 2023 with two one-year
extensions for the class A-1 VFN.

Prior to this, each tranche will only receive interest unless cash
sweep conditions related to the debt service coverage ratio (DSCR)
(


SYMPHONY CLO XXIII: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R and E-R replacement notes from Symphony CLO
XXIII Ltd./Symphony CLO XXIII LLC, a CLO originally issued in
November 2020 that is managed by Symphony Alternative Asset
Management LLC.

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

On the Dec. 3, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

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

-- Of the identified underlying collateral obligations, 99.51%
have credit ratings assigned by S&P Global Ratings.

-- Of the identified underlying collateral obligations, 97.76%
have recovery ratings assigned by S&P Global Ratings.

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

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

  Preliminary Ratings Assigned

  Symphony CLO XXIII Ltd./Symphony CLO XXIII LLC

  Class A-R, $248.00 million: AAA (sf)
  Class B-R, $56.00 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), $15.00 million: BB- (sf)
  Subordinated notes, $37.53 million: Not rated



TOWD POINT 2021-SJ2: Fitch Assigns B-(EXP) Rating on 7 Tranches
---------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Towd Point Mortgage
Trust 2021-SJ2 (TPMT 2021-SJ2).

DEBT             RATING
----             ------
TPMT 2021-SJ2

A1A    LT AAA(EXP)sf   Expected Rating
A1B    LT AA-(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
A1     LT AA-(EXP)sf   Expected Rating
A1C    LT AAA(EXP)sf   Expected Rating
A1CX   LT AAA(EXP)sf   Expected Rating
A1D    LT AAA(EXP)sf   Expected Rating
A1DX   LT AAA(EXP)sf   Expected Rating
A1E    LT AA-(EXP)sf   Expected Rating
A1EX   LT AA-(EXP)sf   Expected Rating
A1F    LT AA-(EXP)sf   Expected Rating
A1FX   LT AA-(EXP)sf   Expected Rating
A3     LT AA-(EXP)sf   Expected Rating
A4     LT A-(EXP)sf    Expected Rating
A5     LT BBB-(EXP)sf  Expected Rating
A2A    LT AA-(EXP)sf   Expected Rating
A2AX   LT AA-(EXP)sf   Expected Rating
A2B    LT AA-(EXP)sf   Expected Rating
A2BX   LT AA-(EXP)sf   Expected Rating
M1A    LT A-(EXP)sf    Expected Rating
M1AX   LT A-(EXP)sf    Expected Rating
M1B    LT A-(EXP)sf    Expected Rating
M1BX   LT A-(EXP)sf    Expected Rating
M2A    LT BBB-(EXP)sf  Expected Rating
M2AX   LT BBB-(EXP)sf  Expected Rating
M2B    LT BBB-(EXP)sf  Expected Rating
M2BX   LT BBB-(EXP)sf  Expected Rating
B1A    LT BB-(EXP)sf   Expected Rating
B1AX   LT BB-(EXP)sf   Expected Rating
B1B    LT BB-(EXP)sf   Expected Rating
B1BX   LT BB-(EXP)sf   Expected Rating
B1C    LT BB-(EXP)sf   Expected Rating
B1CX   LT BB-(EXP)sf   Expected Rating
B2A    LT B-(EXP)sf    Expected Rating
B2AX   LT B-(EXP)sf    Expected Rating
B2B    LT B-(EXP)sf    Expected Rating
B2BX   LT B-(EXP)sf    Expected Rating
B2C    LT B-(EXP)sf    Expected Rating
B2CX   LT B-(EXP)sf    Expected Rating
B3A    LT NR(EXP)sf    Expected Rating
B3AX   LT NR(EXP)sf    Expected Rating
B3B    LT NR(EXP)sf    Expected Rating
B3BX   LT NR(EXP)sf    Expected Rating
B3C    LT NR(EXP)sf    Expected Rating
B3CX   LT NR(EXP)sf    Expected Rating
XA     LT NR(EXP)sf    Expected Rating
XB     LT NR(EXP)sf    Expected Rating
XS1    LT NR(EXP)sf    Expected Rating
XS2    LT NR(EXP)sf    Expected Rating
XS3    LT NR(EXP)sf    Expected Rating
X      LT NR(EXP)sf    Expected Rating
D      LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed notes
issued by Towd Point Mortgage Trust 2021-SJ2 (TPMT 2021-SJ2) as
indicated above. The collateral pool generally consists of
peak-vintage seasoned performing loans (SPLs) and re-performing
loans (RPLs). The pool is backed first and junior lien standalone
loans, as well as first and junior lien open and closed home equity
line of credit (HELOC) residential mortgage loans. The transaction
is expected to close on Dec. 27, 2021.

The notes are supported by one collateral group consisting of 9,998
seasoned performing loans (SPLs) and reperforming loans (RPLs) with
a total balance of approximately $581.6 million, including $34.2
million, or 6%, of the aggregate pool balance in
noninterest-bearing deferred principal amounts, as of the
statistical calculation date. The maximum available draw amount for
HELOC loans is expected to be $13.6 million as of the statistical
calculation date.

Additionally, approximately $527.7 million of the collateral
consists of junior liens, while the remaining $53.9 million
comprises first liens, as of the statistical calculation date.
Fitch's analysis incorporated the maximum available draw amount for
HELOC loans; however, the data in this presale reflects the total
aggregate pool balance of $581.6 million.

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. To the extent the holders of the class D certificates are
required to fund additional draws, the class D balance will
increase. Class D is paid sequentially in the waterfall and
receives interest payments after class B4 and principal payments
after class B5. 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
for this pool as 10.5% above a long-term sustainable level (versus
11.7% on a national level). Underlying fundamentals are not keeping
pace with 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.

Credit Quality (Negative): The collateral pool consists of
generally peak-vintage SPLs and RPLs with a weighted average (WA)
model credit score of 715, a sustainable loan-to-value ratio (sLTV)
of 59.4%, 73.4% at 36 months of clean pay history (under the
Mortgage Bankers Association [MBA] method) and seasoning of
approximately 175 months, per Fitch's analysis. None of the loans
were delinquent (DQ) as of the statistical calculation date.
Roughly 42% have been modified.

Junior liens account for 91% of the collateral pool. No recovery
and 100% loss severity (LS) were assumed on junior lien loans 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.

Additionally, about 10% of pool consists of open HELOCs, with the
ability for borrowers to draw down additional amounts. To address
this risk, the maximum draw amount was used in Fitch's loss
analysis and for determining applicable loan-to-value ratios
(LTVs).

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 reallocate 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 2021-SJ1 transaction, excess cash flow will
not be used to turbo down the senior classes.

Junior Lien Realized Loss and Writedown Feature (Positive): Junior
lien 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 junior
lien loan, Fitch views the writedown feature positively, as cash
flows will not be needed to pay timely interest to the 'AAAsf' and
'AA-sf' rated notes during loan resolution by the servicers. In
addition, subsequent recoveries realized after the writedown 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-SJ2 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 3
R&W framework (Tier 2 for first lien loans and Tier 4 for newly
originated loans) with an unrated counterparty and the transaction
due diligence resulted in an increase in the expected losses. (See
the ESG Navigator in Appendix 4 for further details.)

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 41.9% 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
    assigned 'AAAsf' ratings.

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

Fitch's analysis incorporated one criteria variation from the "U.S.
RMBS Rating Criteria".

The variation is related to the due diligence sample size. Per the
criteria, Fitch expects to receive 100% due diligence on first lien
RPL loans from unknown originators. A due diligence review was
conducted on 96.4% (by loan count) of the first lien loans. To
address this variation, Fitch applied the indeterminate HUD-1
adjustment to each of these loans. While these loans may not carry
material defects, the adjustment reflects the fact that a
compliance review was not performed and, as a result, adherence to
predatory lending regulations cannot be confirmed.

The adjustment applies a 100% LS to the loan in states included on
Freddie Mac's "Do Not Purchase" list and a 5% LS penalty to all
remaining loans. This variation had no rating impact, as the number
of loans impacted represents a very small portion of the overall
pool.

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.

A third-party due diligence review was completed on 25.6% (by loan
count) of the loans in this transaction. The scope, which was
consistent with Fitch's criteria, centered on compliance with
federal and state lending laws. The diligence results indicated
comparable operational risk to the recent TPMT transactions, as
well as other Fitch-reviewed RPL transactions. Approximately 21.0%
(536) of the loans reviewed were assigned a 'C' or 'D' grade,
primarily due to missing loan documentation.

Approximately 21% of the loans reviewed for regulatory compliance
due diligence were assigned a 'C' or 'D' grade primarily due to
missing documentation, such as missing final HUD-1 files. Expected
loss adjustments were not applied to junior lien mortgages for the
due diligence findings since 100% LS is already assumed for these
loans. Approximately 2.9% (by loan count) of first lien loans
received a loss adjustment due to indeterminate HUD-1s.

ESG CONSIDERATIONS

TPMT 2021-SJ2 has an ESG Relevance Score of '4' for Transaction
Parties & 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 R&W framework with an unrated counterparty and
the transaction due diligence resulted in an increase in the
expected losses.

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.


TRAPEZA CDO IV: Fitch Lowers Class E Notes Rating to 'D'
--------------------------------------------------------
Fitch Ratings has downgraded the class E notes of Trapeza CDO IV,
LLC to 'Dsf' from 'Csf', due to the failure to pay the entire
amount of its principal balance from the transaction's liquidation
in November 2021.

   DEBT           RATING          PRIOR
   ----           ------          -----
Trapeza CDO IV, LLC

E 894126AG6   LT Dsf Downgrade    Csf

AUTOMATIC WITHDRAWAL OF THE LAST DEFAULT RATING

Default ratings ('Dsf') assigned to the last rated class of a
transaction will be automatically withdrawn within 11 months from
the date of this rating action. A separate RAC will not be issued
at that time.

KEY RATING DRIVERS

A Notice of Auction Call Redemption dated Nov. 9, 2021 stated that
the auction conducted on the November 2021 auction date was
successful. The proceeds of the auction were distributed on Nov.
24, 2021 in accordance with the indenture priority of payments. The
class A1B, B, C-1, C-2 and D notes were paid in full, whereas the
class E notes were only partially paid due to insufficient
proceeds. A note balance of approximately $9.1 million remains
outstanding.

RATING SENSITIVITIES

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

Rating sensitivities do not apply given the liquidation of the
transaction.

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

Rating sensitivities do not apply given the liquidation of the
transaction.

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.


TWIN BROOK 2021-1: S&P Assigns Prelim BB(sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Twin Brook
CLO 2021-1 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 Angelo, Gordon & Co. L.P.

The preliminary ratings are based on information as of Dec. 3,
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

  Twin Brook CLO 2021-1 LLC

  Class A, $203.00 million: AAA (sf)
  Class B, $35.00 million: AA (sf)
  Class C (deferrable), $28.00 million: A (sf)
  Class D (deferrable), $21.00 million: BBB- (sf)
  Class E (deferrable), $21.00 million: BB (sf)
  Subordinated notes, $40.65 million: Not rated



VENTURE 28A CLO: Moody's Assigns Ba3 Rating to $28MM Cl. ER Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by Venture 28A CLO, Limited (the
"Issuer").

Moody's rating action is as follows:

US$5,000,000 Class XR Senior Secured Floating Rate Notes Due 2034,
Assigned Aaa (sf)

US$316,000,000 Class A-1R Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$15,000,000 Class A-2R Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$63,000,000 Class BR Senior Secured Floating Rate Notes Due 2034,
Assigned Aa2 (sf)

US$31,000,000 Class CR Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Assigned A2 (sf)

US$31,500,000 Class DR Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Assigned Baa3 (sf)

US$28,000,000 Class ER Junior Secured Deferrable Floating Rate
Notes Due 2034, Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
92.5% of the portfolio must consist of senior secured loans, cash,
and eligible investments, and up to 7.5% of the portfolio may
consist of second lien loans, unsecured loans, and permitted debt
securities; provided that no more than 5% of the portfolio may
consist of permitted debt securities.

MJX Venture Management II LLC (the "Manager") will continue to
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's extended 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; 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: $525,000,000

Diversity Score: 80

Weighted Average Rating Factor (WARF): 2784

Weighted Average Spread (WAS): 3.55%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 46.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

The performance of the 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.


VERUS SECURITIZATION 2021-6: DBRS Finalizes B Rating on B-2 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgaged-Backed Notes, Series 2021-6 issued by Verus
Securitization Trust 2021-6:

-- $344.4 million Class A-1 at AAA (sf)
-- $31.7 million Class A-2 at AA (sf)
-- $44.2 million Class A-3 at A (sf)
-- $22.9 million Class M-1 at BBB (sf)
-- $15.0 million Class B-1 at BB (sf)
-- $9.5 million Class B-2 at B (sf)

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

The AAA (sf) rating on the Class A-1 Notes reflects 27.85% of
credit enhancement provided by subordinate notes. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) ratings reflect 21.20%, 11.95%,
7.15%, 4.00%, and 2.00% of credit enhancement, respectively.

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to Verus
Securitization Trust 2021-6 (Verus 2021-6 or the Trust), a
securitization of a primarily fixed- and adjustable-rate, expanded
prime and nonprime, first-lien residential mortgages funded by the
issuance of the Mortgage-Backed Notes, Series 2021-6 (the Notes).
The Notes are backed by 841 mortgage loans with a total principal
balance of $477,345,716 as of the Cut-Off Date (October 1, 2021).

The top originator for the mortgage pool is Greenbox Loans Inc
(Greenbox; 17.9%). The remaining originators each comprise less
than 10.0% of the mortgage loans. The Servicer of all loans within
the pool is Shellpoint Mortgage Servicing (SMS).

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules,
they were made to borrowers who generally do not qualify for
agency, government, or private-label nonagency prime jumbo products
for various reasons. In accordance with the Qualified Mortgage
(QM)/ATR rules, 61.4% of the loans are designated as non-QM, 0.1%
are designated as QM Safe Harbor, and 0.6% are designated as QM
Rebuttable Presumption. Approximately 38.0% of the loans are made
to investors for business purposes and, hence, are not subject to
the QM/ATR rules.

The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible vertical interest, representing
at least 5% of the Notes to satisfy the credit risk-retention
requirements under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder.

On or after the earlier of (1) the Payment Date occurring in
October 2024 or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Administrator, at the Issuer's option, may redeem all
of the outstanding Notes at a price equal to the greater of (A) the
class balances of the related Notes plus accrued and unpaid
interest, including any cap carryover amounts and (B) the class
balances of the related Notes less than 90 days delinquent with
accrued unpaid interest plus fair market value of the loans 90 days
or more delinquent and real estate-owned properties. After such
purchase, the Depositor must complete a qualified liquidation,
which requires (1) a complete liquidation of assets within the
Trust and (2) proceeds to be distributed to the appropriate holders
of regular or residual interests.

The Principal and Interest (P&I) Advancing Party will fund advances
of delinquent P&I on any mortgage until such loan becomes 90 days
delinquent. The P&I Advancing Party or Servicer has no obligation
to advance P&I on a mortgage approved for a forbearance plan during
its related forbearance period. The Servicers, however, are
obligated to make advances in respect of taxes, insurance premiums,
and reasonable costs incurred in the course of servicing and
disposing properties.

This transaction incorporates a sequential-pay cash flow structure
with a pro rata feature among the senior tranches. Principal
proceeds can be used to cover interest shortfalls on the Class A-1
and A-2 Certificates sequentially (IIPP) after a Trigger Event. For
more subordinated Notes, principal proceeds can be used to cover
interest shortfalls as the more senior Notes are paid in full.
Furthermore, excess spread can be used to cover realized losses and
prior period bond writedown amounts first before being allocated to
unpaid cap carryover amounts to Class A-1 down to Class B-2.

Approximately 26.2% of the loans were originated under a Property
Focused Investor Loan Debt Service Coverage Ratio (DSCR) program
and 2.2% were originated under a Property Focused Investor Loan
program. Both programs allow for property cash flow/rental income
to qualify borrowers for income.

Coronavirus Impact

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

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

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




VOYA CLO 2019-3: 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 Voya CLO 2019-3 Ltd., a CLO
originally issued in October 2019 that is managed by Voya
Alternative Asset Management LLC. At the same time, S&P withdrew
its ratings on the original class A, B-1, B-2, C, D, and E notes
following payment in full on the Dec. 2, 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 definition of benchmark replacement rate was replaced.

-- A non-call period extending through Oct. 17, 2022, was
implemented.

  Replacement And Original Note Issuances

  Replacement notes

  Class A-R, $293.70 million: Three-month LIBOR + 1.08%
  Class B-R, $63.50 million: Three-month LIBOR + 1.65%
  Class C-R, $28.10 million: Three-month LIBOR + 2.15%
  Class D-R, $28.30 million: Three-month LIBOR + 3.15%
  Class E-R, $18.80 million: Three-month LIBOR + 6.50%

  Original notes

  Class A, $293.70 million: Three-month LIBOR + 1.31%
  Class B-1, $51.00 million: Three-month LIBOR + 1.85%
  Class B-2, $12.50 million: 3.49%
  Class C, $28.10 million: Three-month LIBOR + 2.60%
  Class D, $28.30 million: Three-month LIBOR + 3.85%
  Class E, $18.80 million: Three-month LIBOR + 7.00%
  Subordinated notes, $44.10 million: Not applicable

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

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

  Ratings Assigned

  Voya CLO 2019-3 Ltd./Voya CLO 2019-3 LLC

  Class A-R, $293.70 million: AAA (sf)
  Class B-R, $63.50 million: AA (sf)
  Class C-R, $28.10 million: A (sf)
  Class D-R, $28.30 million: BBB- (sf)
  Class E-R, $18.80 million: BB- (sf)

  Ratings Withdrawn

  Voya CLO 2019-3 Ltd./Voya CLO 2019-3 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)'

  Other Outstanding Ratings

  Voya CLO 2019-3 Ltd./Voya CLO 2019-3 LLC
  Subordinated notes, $44.10 million: NR

  NR--Not rated.



WELLS FARGO 2016-C33: Fitch Affirms B- Rating on 2 Tranches
-----------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Wells Fargo Commercial
Mortgage Trust 2016-C33 commercial mortgage pass-through
certificates. Additionally, Fitch has revised the Rating Outlook
for two classes to Stable from Negative.

    DEBT              RATING            PRIOR
    ----              ------            -----
WFCM 2016-C33

A-3 95000LAY9    LT AAAsf   Affirmed    AAAsf
A-4 95000LAZ6    LT AAAsf   Affirmed    AAAsf
A-S 95000LBB8    LT AAAsf   Affirmed    AAAsf
A-SB 95000LBA0   LT AAAsf   Affirmed    AAAsf
B 95000LBE2      LT AA-sf   Affirmed    AA-sf
C 95000LBF9      LT A-sf    Affirmed    A-sf
D 95000LAJ2      LT BBB-sf  Affirmed    BBB-sf
E 95000LAL7      LT BB-sf   Affirmed    BB-sf
F 95000LAN3      LT B-sf    Affirmed    B-sf
X-A 95000LBC6    LT AAAsf   Affirmed    AAAsf
X-B 95000LBD4    LT A-sf    Affirmed    A-sf
X-D 95000LAA1    LT BBB-sf  Affirmed    BBB-sf
X-E 95000LAC7    LT BB-sf   Affirmed    BB-sf
X-F 95000LAE3    LT B-sf    Affirmed    B-sf

KEY RATING DRIVERS

Slightly Improved Loss Expectations: Overall performance and base
case loss expectations for the overall pool have improved slightly
since the last rating action. The Outlook revisions to Stable
reflect lower expected losses as markets continue to improve and
property cash flow stabilizes following the closures from the
pandemic.

Fitch's ratings reflect a base case loss of 5% and a sensitivity
scenario where losses could reach 6%. The sensitivity applied an
outsize loss of 50% on the Brier Creek Corporate Center I & II loan
(3.7% of the pool) due to low occupancy. There are 11 Fitch Loans
of Concern (FLOCs; 21.1% of pool), including six loans/assets in
specially servicing (9.6%).

Increased Credit Enhancement: As of the November 2021 distribution
date, the pool's aggregate principal balance was reduced by 20.7%
to $564.5 million from $712.2 million at issuance. Nine loans
(12.7% of the pool balance) are fully defeased. There have been no
realized losses to date, and interest shortfalls are currently
affecting only the non-rated class. Since issuance, seven of the 79
loans in the pool have paid off, including three loans ($14.5
million) in the last year. Eleven loans (24.3%) are full-term
interest only (IO), while all loans with partial IO periods are now
amortizing. All remaining loans are scheduled to mature between
August 2025 and March 2026.

Largest Contributors to Loss: The largest contributor to base case
loss is the Brier Creek Corporate Center I & II loan (3.6%), which
is secured by two four-story office buildings located in Raleigh,
NC. Per the June 2021 rent roll, occupancy had declined to 25%
after the two largest tenants (approximately 75% of the NRA)
vacated at their 2020 ease expirations.

The servicer reported YTD June 2021 NOI DSCR was at 0.49x compared
to 1.38x at YE 2020 ,and 1.55x at YE 2019. Fitch accounted for the
decreased occupancy in its base case loss of 22% and performed an
additional sensitivity on the loan that assumed a potential outsize
loss of 50% if the sponsor does not successfully re-tenant much of
the space.

The second largest contributor to loss is the Omni Officecentre
loan (2.6%), which is secured by a 294,090-sf office building
located in Southfield, MI. The now amortizing loan had a servicer
reported YE 2020 NOI DSCR of 1.66x compared to 1.90x at YE 2019.

Per the March 2021 rent roll, occupancy was 64% with substantial
upcoming rollover through 2022, including the largest tenant, Blue
Cross Blue Shield (40% of the NRA). The property is located in the
South Southfield, MI submarket, which has a high reported vacancy
rate of 31%, per Reis (3Q21). Further, per local news reports, the
tenant has consolidated office space at another property in the
submarket over the last few years, and there are concerns over
whether they will renew at lease expiration. Fitch applied a 40%
haircut to YE 2020 NOI in its analysis to account for this possible
tenancy loss, which resulted in a loss of approximately 31%.

The third largest contributor to loss is the REO Best Western Lake
Charles (0.5%), which is a 55-room limited service hotel located in
Lake Charles, LA. The loan transferred to special servicing in July
2019 and became REO in April 2021. Property performance began
declining prior to--and was exacerbated by the pandemic, and damage
incurred during Hurricane Laura. The hotel came back online in
September 2021. The special servicer is reportedly planning a sale
by the second-quarter 2022.

Fitch modeled a loss of 97%, which reflects a value of
approximately $25,000 per key.

RATING SENSITIVITIES

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

-- An increase in pool level losses from underperforming or
    specially serviced loans/assets. Downgrades to the 'AA-sf' and
    'AAAsf' categories are not considered likely due to the
    position in the capital structure and the relatively stable
    performance of the pool, but may occur should interest
    shortfalls affect these classes.

-- Downgrades of the 'A-sf' and 'BBB-sf' categories could occur
    if expected losses increase significantly or the performance
    of the FLOCs continue to decline further and/or fail to
    stabilize. Downgrades to the 'BB-sf' or 'B-sf' categories
    would occur should loss expectations increase as FLOC
    performance declines or fails to stabilize, including the
    specially serviced loans/assets.

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'
    categories would likely occur with significant improvement in
    CE and/or defeasance; however, adverse selection, increased
    concentrations and further underperformance of the FLOCs
    and/or loans considered to be negatively impacted by the
    pandemic could cause this trend to reverse.

-- An upgrade to the 'BBB-sf' category is considered unlikely and
    would be limited based on sensitivity to concentrations or the
    potential for future concentration. Classes would not be
    upgraded above 'Asf' if there were likelihood for interest
    shortfalls. Upgrades to the 'BB-sf' or 'B-sf' categories are
    not likely until the later years in a transaction and only if
    the performance of the remaining pool is stable 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.


WELLS FARGO 2021-C61: Fitch Gives Final 'B-sf' on Class J-RR Certs
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Wells Fargo Commercial Mortgage Trust 2021-C61, commercial mortgage
pass-through certificates, series 2021-C61.

Fitch rates the transactions and assigns Outlooks as follows:

-- $18,512,000 A-1 'AAAsf'; Outlook Stable;

-- $108,135,000 A-2 'AAAsf'; Outlook Stable;

-- $28,529,000 A-SB 'AAAsf'; Outlook Stable;

-- $116,100,000 A-3 'AAAsf'; Outlook Stable;

-- $0a Class A-3-1 'AAAsf'; Outlook Stable;

-- $0ab Class A-3-X1 'AAAsf'; Outlook Stable;

-- $0a Class A-3-2 'AAAsf'; Outlook Stable;

-- $0ab Class A-3-X2 'AAAsf'; Outlook Stable;

-- $263,816,000 A-4 'AAAsf'; Outlook Stable;

-- $0a Class A-4-1 'AAAsf'; Outlook Stable;

-- $0ab Class A-4-X1 'AAAsf'; Outlook Stable;

-- $0a Class A-4-2 'AAAsf'; Outlook Stable;

-- $0ab Class A-4-X2 'AAAsf'; Outlook Stable;

-- $535,092,000b X-A 'AAAsf'; Outlook Stable;

-- $104,152,000b X-B 'A-sf'; Outlook Stable;

-- $24,844,000 A-S 'AAAsf'; Outlook Stable;

-- $0a Class A-S-1 'AAAsf'; Outlook Stable;

-- $0ab Class A-S-X1 'AAAsf'; Outlook Stable;

-- $0a Class A-S-2 'AAAsf'; Outlook Stable;

-- $0ab Class A-S-X2 'AAAsf'; Outlook Stable;

-- $38,221,000 B 'AA-sf'; Outlook Stable;

-- $0a Class B-1 'AA-sf'; Outlook Stable;

-- $0ab Class B-X1 'AA-sf'; Outlook Stable;

-- $0a Class B-2 'AA-sf'; Outlook Stable;

-- $0ab Class B-X2 'AA-sf'; Outlook Stable;

-- $41,087,000 C 'A-sf'; Outlook Stable;

-- $0a Class C-1 'A-sf'; Outlook Stable;

-- $0ab Class C-X1 'A-sf'; Outlook Stable;

-- $0a Class C-2 'A-sf'; Outlook Stable;

-- $0ab Class C-X2 'A-sf'; Outlook Stable;

-- $36,528,000bc X-D 'BBB-sf'; Outlook Stable;

-- $27,711,000c D 'BBBsf'; Outlook Stable;

-- $8,817,000c E 'BBB-sf'; Outlook Stable;

-- $11,249,000cd F-RR 'BBB-sf'; Outlook Stable;

-- $12,421,000cd G-RR 'BB+sf'; Outlook Stable;

-- $10,511,000cd H-RR 'BB-sf'; Outlook Stable;

-- $10,511,000cd J-RR 'B-sf'; Outlook Stable.

The following classes are not rated by Fitch:

-- $7,644,000cd K-RR 'NRsf';

-- $36,310,400cd L-RR 'NRsf'.

(a) Exchangeable Certificates. The Class A-3, A-4, A-S, B and C
certificates are exchangeable certificates. Each class of
exchangeable certificates may be exchanged for the corresponding
classes of exchangeable certificates and vice versa. The dollar
denomination of each of the received classes of certificates must
be equal to the dollar denomination of each of the corresponding
classes of exchangeable certificates. Class A-3 may be surrendered
(or received) for the received (or surrendered) classes A-3-1 and
A-3-X1. Class A-3 may be surrendered (or received) for the received
(or surrendered) classes A-3-2 and A-3-X2. Class A-4 may be
surrendered (or received) for the received (or surrendered) classes
A-4-1 and A-4-X1. Class A-4 may be surrendered (or received) for
the received (or surrendered) classes A-4-2 and A-4-X2. Class A-S
may be surrendered (or received) for the received (or surrendered)
classes A-S-1 and A-S-X1. Class A-S may be surrendered (or
received) for the received (or surrendered) classes A-S-2 and
A-S-X2. Class B may be surrendered (or received) for the received
(or surrendered) classes B-1 and B-X1. Class B may be surrendered
(or received) for the received (or surrendered) classes B-2 and
B-X2. Class C may be surrendered (or received) for the received (or
surrendered) classes C-1 and C-X1. Class C may be surrendered (or
received) for the received (or surrendered) classes C-2 and C-X2.

(b) Notional amount and interest only.

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

(d) Horizontal risk retention.

The ratings are based on information provided by the issuer as of
Dec. 6, 2021.

TRANSACTION SUMMARY

Since Fitch published its expected ratings on Nov. 15, 2021, the
balances for classes A-3 and A-4 were finalized. At the time the
expected ratings were published, the initial certificate balances
of classes A-3 and A-4 were expected to be $379,916,000 in
aggregate, subject to a 5% variance. The final class balances for
classes A-3 and A-4 are $116,100,000 and $263,816,000,
respectively. The classes above reflect the final ratings and deal
structure.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 61 loans secured by 165
commercial properties having an aggregate principal balance of
$764,418,400 as of the cut-off date. The loans were contributed to
the trust by LMF Commercial, LLC, Wells Fargo Bank, National
Association (Wells Fargo), Column Financial, Inc., UBS AG, BSPRT
CMBS Finance, LLC, Ladder Capital Finance LLC, and Oceanview
Commercial Mortgage Finance, LLC. The Master Servicer is expected
to be Wells Fargo 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 13.7% of the properties
by balance, cash flow analyses of 81.5% of the pool, and asset
summary reviews on 100% of the pool.

KEY RATING DRIVERS

Leverage Exceeds that of Recent Transactions: This transaction's
leverage is higher than that of other multiborrower transactions
recently rated by Fitch. The pool's Fitch debt service coverage
ratio of 1.18x is lower than the 2021 YTD and 2020 averages of
1.39x and 1.32x, respectively. Additionally, the pool's Fitch
loan-to-value ratio of 115.1% is higher than the 2021 YTD and 2020
averages of 102.9% and 99.6%, respectively.

Investment-Grade Credit Opinion Loans: One loan, 980 Madison,
representing 3.3% of the pool, received an investment-grade credit
opinion of 'AA-sf*'.

Diverse Pool: The pool's 10 largest loans comprise 45.5% of the
pool's cutoff balance, which is a lower concentration than the 2021
YTD or 2020 averages of 50.7% and 56.8%, respectively. The Loan
Concentration Index of 323 is lower than the 2021 YTD and 2020
averages of 374 and 440, respectively. The Sponsor Concentration
Index of 328 is also lower than the 2021 YTD and 2020 averages of
399 and 474, respectively, and indicates there is little sponsor
concentration.

Higher than Average Volatility Scores: The pool's weight-average
volatility score is '3.55', which is above the 2021 YTD and 2020
averages of '3.26' and '3.20', respectively. Three hotel loans,
representing 3.7% of the pool by balance, received a volatility
score of 5 due to vulnerability to impacts from the pandemic,
property type and greater likelihood of cash flow volatility. Asset
volatility scores and probability of default are directly related;
for example, a lower asset volatility score results in a lower
probability of default. Asset volatility scores range from '1' to
'5', with '1' being the least volatile and '5' the most volatile.

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'/ 'BB-sf'/ 'B-sf';

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

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

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

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

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

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

-- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'AAsf' /
    '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 Deloitte & Touche 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.


WHETSTONE PARK: S&P Assigns BB- (sf) Rating on $20MM Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Whetstone Park CLO
Ltd./Whetstone Park CLO LLC's fixed- and floating-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  Whetstone Park CLO Ltd./Whetstone Park CLO LLC

  Class A-1, $307.50 million: AAA (sf)
  Class A-2, $12.50 million: Not rated
  Class B-1, $43.00 million: AA (sf)
  Class B-2, $17.00 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $45.79 million: Not rated



[*] Fitch Puts 143 Tranches From 55 CDO Deals Under Observation
---------------------------------------------------------------
Fitch Ratings has placed 143 tranches issued by 55 U.S. Trust
Preferred Securities (TruPS) collateralized debt obligations (CDOs)
Under Criteria Observation (UCO), following the publication of
Fitch's U.S. Trust Preferred CDOs Surveillance Rating Criteria on
Nov. 30, 2021.

Attentus CDO III, Ltd./LLC

A-2 04973PAC3          LT Bsf    Under Criteria Observation  Bsf

MMCapS Funding XVIII, Ltd./Corp

A-1 60688HAA3          LT Asf    Under Criteria Observation  Asf
A-2 60688HAB1          LT Asf    Under Criteria Observation  Asf
B 60688HAC9            LT BBBsf  Under Criteria Observation  BBBsf


Preferred Term Securities XXIV, Ltd./Inc.

A-1 74043CAA5          LT Asf    Under Criteria Observation  Asf
A-2 74043CAB3          LT BBsf   Under Criteria Observation  BBsf
B-1 74043CAC1          LT Bsf    Under Criteria Observation  Bsf
B-2 74043CAE7          LT Bsf    Under Criteria Observation  Bsf

ALESCO Preferred Funding VIII, Ltd./Inc.

A-2 Second Priority    LT BBBsf  Under Criteria Observation  BBBsf
Floating 01449CAG5
B-1 Deferrable Third   LT BBsf   Under Criteria Observation  BBsf
Priority 01449CAH3
B-2 Deferrable Third   LT BBsf   Under Criteria Observation  BBsf
Priority 01449CAJ9

U.S. Capital Funding I, Ltd./Corp.

B-1 903329AE0          LT CCCsf  Under Criteria Observation  CCCsf

B-2 903329AG5          LT CCCsf  Under Criteria Observation  CCCsf


ALESCO Preferred Funding III, Ltd./Inc.

A-2 01448MAB5          LT Asf    Under Criteria Observation  Asf

Attentus CDO I, Ltd./LLC

A-2 049730AB0          LT Bsf    Under Criteria Observation  Bsf

MMCapS Funding XVII, Ltd./Corp.

B Floating Rate        LT Asf    Under Criteria Observation  Asf
Notes 55312HAC3

U.S. Capital Funding V Ltd./Corp.

A-1 90342WAA5          LT Asf    Under Criteria Observation  Asf
A-2 90342WAC1          LT BBBsf  Under Criteria Observation  BBBsf


Preferred Term Securities XIX, Ltd./Inc.

A-2 74042HAB3          LT BBBsf  Under Criteria Observation  BBBsf

B 74042HAC1            LT BBsf   Under Criteria Observation  BBsf

Taberna Preferred Funding IV, Ltd./Inc.

A-1 87330YAB9          LT CCCsf  Under Criteria Observation  CCCsf


ALESCO Preferred Funding IX, Ltd./Inc.

Class A1 First         LT Asf    Under Criteria Observation  Asf
Priority Delay 01449TAA1
Class A2A Second       LT BBBsf  Under Criteria Observation  BBBsf
Priority 01449TAB9
Class A2B Second       LT BBBsf  Under Criteria Observation  BBBsf
Priority 01449TAC7
Class B1 Defer.        LT BBsf   Under Criteria Observation  BBsf
Third Party 01449TAD5
Class B2 Defer.        LT BBsf   Under Criteria Observation  BBsf
Third Priority 01449TAE3

Preferred Term Securities XXVIII, Ltd./Inc.

A-1 74042CAA6          LT Asf    Under Criteria Observation  Asf
A-2 74042CAC2          LT BBBsf  Under Criteria Observation  BBBsf

B 74042CAE8            LT BBsf   Under Criteria Observation  BBsf
C-1 74042CAG3          LT CCCsf  Under Criteria Observation  CCCsf

C-2 74042CAJ7          LT CCCsf  Under Criteria Observation  CCCsf


U.S. Capital Funding II, Ltd./Corp.

B-1 90390KAC8          LT CCCsf  Under Criteria Observation  CCCsf

B-2 90390KAD6          LT CCCsf  Under Criteria Observation  CCCsf


ALESCO Preferred Funding XIII, Ltd./Inc.

A-1 014495AB1          LT AAsf   Under Criteria Observation  AAsf
A-2 014495AC9          LT BBBsf  Under Criteria Observation  BBBsf

B 014495AD7            LT CCCsf  Under Criteria Observation  CCCsf


Tropic CDO IV Ltd./Corp.

A-2L Floating          LT AAsf   Under Criteria Observation  AAsf
89707YAB0
A-3L Floating          LT BBBsf  Under Criteria Observation  BBBsf
89707YAC8  

Tropic CDO II Ltd./Corp.

Class A-1L 89707UAA0   LT AAAsf  Under Criteria Observation  AAAsf

Class A-2L 89707UAB8   LT Asf    Under Criteria Observation  Asf
Class A-3L 89707UAC6   LT BBsf   Under Criteria Observation  BBsf

Taberna Preferred Funding IX, Ltd./Inc.

Class A-1LA 87331XAA2  LT BBBsf  Under Criteria Observation BBBsf
Class A-1LAD 87331XAB0 LT BBBsf  Under Criteria Observation BBBsf

Preferred Term Securities XX, Ltd./Inc.

Floating Rate          LT Asf    Under Criteria Observation  Asf
Class A-1 Senior 74042DAA4
Floating Rate          LT BBBsf  Under Criteria Observation  BBBsf
Class A-2 Senior 74042DAC0
Floating Rate          LT Bsf    Under Criteria Observation  Bsf
Class B Mezzanin 74042DAE6

U.S. Capital Funding VI, Ltd./Corp.

Class A-1 903428AA8    LT BBBsf  Under Criteria Observation  BBBsf

Class A-2 903428AB6    LT Bsf    Under Criteria Observation  Bsf

ALESCO Preferred Funding XIV, Ltd./Inc.

A-1 014498AB5          LT Asf    Under Criteria Observation  Asf

Preferred Term Securities XVIII, Ltd./Inc.

Class B Mezz Notes     LT BBBsf  Under Criteria Observation  BBBsf
74042WAC8

Preferred Term Securities XXIII, Ltd./Inc.

A-1 74043AAD3          LT Asf    Under Criteria Observation  Asf
A-2 74043AAE1          LT BBBsf  Under Criteria Observation  BBBsf

A-FP 74043AAC5         LT BBBsf  Under Criteria Observation  BBBsf

B-1 74043AAJ0          LT BBsf   Under Criteria Observation  BBsf
B-2 74043AAL5          LT BBsf   Under Criteria Observation  BBsf
B-FP 74043AAG6         LT BBsf   Under Criteria Observation  BBsf
C-1 74043AAQ4          LT CCCsf  Under Criteria Observation  CCCsf

C-2 74043AAS0          LT CCCsf  Under Criteria Observation  CCCsf

C-FP 74043AAN1         LT CCCsf  Under Criteria Observation  CCCsf


Preferred Term Securities XXV, Ltd./Inc.

A-1 74042FAA9          LT Asf    Under Criteria Observation  Asf
B-1 74042FAC5          LT Bsf    Under Criteria Observation  Bsf
B-2 74042FAE1          LT Bsf    Under Criteria Observation  Bsf

ALESCO Preferred Funding XVI, Ltd./Inc.

Class A 01450GAA5      LT BBsf   Under Criteria Observation  BBsf
Class B 01450GAB3      LT Bsf    Under Criteria Observation  Bsf

Preferred Term Securities XVI, Ltd./Inc.

Class A-2 74041EAB1    LT BBBsf  Under Criteria Observation  BBBsf

Class A-3 74041EAL9    LT BBBsf  Under Criteria Observation  BBBsf


Taberna Preferred Funding III, Ltd./Inc.

A-1A 87330WAA5         LT CCCsf  Under Criteria Observation  CCCsf

A-1C 87330WAC1         LT CCCsf  Under Criteria Observation  CCCsf


ALESCO Preferred Funding XII, Ltd./Inc.

A-1 01450DAB0          LT AAsf   Under Criteria Observation  AAsf
A-2 01450DAC8          LT BBBsf  Under Criteria Observation  BBBsf

B 01450DAD6            LT Bsf    Under Criteria Observation  Bsf

Soloso CDO 2007-1 Ltd./Corp.

A-1LA 83438JAA4        LT Asf    Under Criteria Observation  Asf
A-1LB 83438JAC0        LT BBsf   Under Criteria Observation  BBsf
A-2L 83438JAE6         LT CCCsf  Under Criteria Observation  CCCsf


Preferred Term Securities XXI, Ltd./Inc.

A-1 74042JAA1          LT Asf    Under Criteria Observation  Asf
A-2 74042JAB9          LT BBBsf  Under Criteria Observation  BBBsf


Trapeza CDO XIII, Ltd./Inc.

A-2A 894135AC6         LT Asf    Under Criteria Observation  Asf
A-2B 894135AY8         LT Asf    Under Criteria Observation  Asf
A-3 894135AE2          LT BBBsf  Under Criteria Observation  BBBsf

B 894135AG7            LT BBsf   Under Criteria Observation  BBsf
C-1 894135AJ1          LT Bsf    Under Criteria Observation  Bsf
C-2 894135AL6          LT Bsf    Under Criteria Observation  Bsf

Kodiak CDO I, Ltd./Inc.

A-2 50011PAB2          LT BBBsf  Under Criteria Observation  BBBsf


Preferred Term Securities VIII, Ltd./Inc.

A-2 74041PAB6          LT Asf    Under Criteria Observation  Asf

Preferred Term Securities XII, Ltd./Inc.

A-2 74041NAB1          LT Asf    Under Criteria Observation  Asf
A-3 74041NAC9          LT Asf    Under Criteria Observation  Asf
A-4 74041NAD7          LT Asf    Under Criteria Observation  Asf

Preferred Term Securities XVII, Ltd./Inc.

A-2 74042EAB0          LT BBBsf  Under Criteria Observation  BBBsf


Preferred Term Securities XXVI, Ltd./Inc.

A-2 74042QAB3          LT BBBsf  Under Criteria Observation  BBBsf


Preferred Term Securities XV, Ltd./Inc.

A-2 74041CAB5          LT Asf    Under Criteria Observation  Asf
A-3 74041CAC3          LT Asf    Under Criteria Observation  Asf

Kodiak CDO II, Ltd./Corp.

A-3 50011RAC6          LT Bsf    Under Criteria Observation  Bsf
B-1 50011RAD4          LT CCCsf  Under Criteria Observation  CCCsf

B-2 50011RAE2          LT CCCsf  Under Criteria Observation  CCCsf


ALESCO Preferred Funding XV, Ltd./Inc.

A-1 01450BAA6          LT Asf    Under Criteria Observation  Asf
B-1 01450BAC2          LT CCCsf  Under Criteria Observation  CCCsf

B-2 01450BAG3          LT CCCsf  Under Criteria Observation  CCCsf


U.S. Capital Funding III, Ltd./Corp.

A-2 Floating 90342BAC7 LT AAsf   Under Criteria Observation  AAsf

ALESCO Preferred Funding X, Ltd./Inc.

A-1 01449WAA4          LT AAsf   Under Criteria Observation  AAsf
A-2A 01449WAB2         LT BBBsf  Under Criteria Observation  BBBsf

A-2B 01449WAG1         LT BBBsf  Under Criteria Observation  BBBsf

B 01449WAC0            LT BBsf   Under Criteria Observation  BBsf

Preferred Term Securities XXVII, Ltd./Inc.

A-1 74042TAA9          LT Asf    Under Criteria Observation  Asf
A-2 74042TAC5          LT BBBsf  Under Criteria Observation  BBBsf

B 74042TAE1            LT BBsf   Under Criteria Observation  BBsf

Trapeza CDO X, Ltd/Inc.

A-2 89413CAC1          LT BBBsf  Under Criteria Observation  BBBsf

B 89413CAE7            LT BBsf   Under Criteria Observation  BBsf

Trapeza CDO XII, LTD./INC.

A-2 89413GAC2          LT BBBsf  Under Criteria Observation  BBBsf

A-3 89413GAE8          LT BBBsf  Under Criteria Observation  BBBsf

C-1 89413GAJ7          LT CCCsf  Under Criteria Observation  CCCsf

C-2 89413GAL2          LT CCCsf  Under Criteria Observation  CCCsf


ALESCO Preferred Funding XVII, Ltd./LLC

A-1 01450NAA0          LT Asf    Under Criteria Observation  Asf
A-2 01450NAB8          LT BBBsf  Under Criteria Observation  BBBsf

B 01450NAC6            LT BBsf   Under Criteria Observation  BBsf

Trapeza CDO IX, Ltd./Inc.

A-2 89413AAB7          LT Asf    Under Criteria Observation  Asf
A-3 89413AAC5          LT BBBsf  Under Criteria Observation  BBBsf


InCapS Funding I. Ltd./Corp.

B-1 453247AC2          LT BBsf   Under Criteria Observation  BBsf
B-2 453247AD0          LT BBsf   Under Criteria Observation  BBsf
C 453247AE8            LT CCCsf  Under Criteria Observation  CCCsf


ALESCO Preferred Funding VI, Ltd./Inc.

Class A-1 Floating     LT Asf    Under Criteria Observation  Asf
Rate Notes 01448XAA3
Class A-2 Floating     LT Asf    Under Criteria Observation  Asf
Rate Notes 01448XAB1
Class A-3 Fixed/       LT Asf    Under Criteria Observation  Asf
Floating Note 01448XAG0
Class B-1 Deferrable   LT BBBsf  Under Criteria Observation  BBBsf
Notes 01448XAC9
Class B-2 Deferrable   LT BBBsf  Under Criteria Observation  BBBsf
Notes 01448XAH8

Preferred Term Securities XXII, Ltd./Inc.

A-2 Senior Notes       LT Asf    Under Criteria Observation  Asf
74042MAC0

ALESCO Preferred Funding XI, Ltd./Inc.

A-1 01450AAA8          LT AAsf   Under Criteria Observation  AAsf
A-1B 01450AAF7         LT AAsf   Under Criteria Observation  AAsf
A-2 01450AAB6          LT BBBsf  Under Criteria Observation  BBBsf

B 01450AAC4            LT BBsf   Under Criteria Observation  BBsf

Taberna Preferred Funding I, Ltd./Inc.

A-1A 87330PAA0         LT Bsf    Under Criteria Observation  Bsf
A-1B 87330PAB8         LT Bsf    Under Criteria Observation  Bsf
A-2 87330PAC6          LT CCCsf  Under Criteria Observation  CCCsf


Tropic CDO III Ltd./Corp.

A-2L 89707WAB4         LT AAsf   Under Criteria Observation  AAsf
A-3L 89707WAC2         LT Asf    Under Criteria Observation  Asf

Tropic CDO V Ltd.

A-1L1 89708BAA1        LT AAsf   Under Criteria Observation  AAsf
A-1L2 89708BAB9        LT Asf    Under Criteria Observation  Asf
A-1LB 89708BAC7        LT BBsf   Under Criteria Observation  BBsf
A-2L 89708BAD5         LT Bsf    Under Criteria Observation  Bsf

ALESCO Preferred Funding IV, Ltd./Inc.

A-2 01448QAB6          LT Asf    Under Criteria Observation  Asf
A-3 01448QAC4          LT Asf    Under Criteria Observation  Asf

ALESCO Preferred Funding V, Ltd./Inc.

A-1 Floating 01448TAA2 LT AAsf   Under Criteria Observation  AAsf
A-2 Floating 01448TAB0 LT AAsf   Under Criteria Observation  AAsf
B Floating 01448TAC8   LT Asf    Under Criteria Observation  Asf

KEY RATING DRIVERS

This rating action includes notes that could incur rating changes
as a result of the application of the updated criteria. It does not
indicate a change in the underlying credit profile, nor does it
affect existing Outlooks or Rating Watch status of the notes.

Fitch will resolve the UCO status by applying the updated criteria
to each transaction within six months. The resolutions would be
based on the then current performance metrics of each transactions
and therefore include the combined impact of the criteria update
and change in performance and paydowns, if any. The impact from the
criteria update can result in affirmations, upgrades or
downgrades.

RATING SENSITIVITIES

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

-- Downgrades to the rated notes may occur if a significant share
    of the portfolio issuers defer or default on their TruPS
    instruments.

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

-- Future upgrades to the rated notes may occur if a transaction
    experiences improvement in credit enhancement through
    deleveraging from collateral redemptions and/or interest
    proceeds being used for principal repayment.

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.


[*] Moody's Takes Actions on $110.3MM of US RMBS Issued 2004-2007
-----------------------------------------------------------------
Moody's Investors Service, on Dec. 3, 3031, upgraded the ratings of
17 bonds and downgraded the rating of one bond from six US
residential mortgage backed transactions (RMBS), backed by Alt-A
and subprime mortgages issued by multiple issuers.

A List of Affected Credit Ratings is available at
https://bit.ly/3psvnoB.

Complete rating actions are as follows:

Issuer: First Franklin Mortgage Loan Trust 2006-FF3

Cl. A-2C, Upgraded to Aa2 (sf); previously on Jan 11, 2019 Upgraded
to A2 (sf)

Issuer: Impac CMB Trust Series 2004-5 Collateralized Asset-Backed
Bonds, Series 2004-5

Cl. 1-A-1, Upgraded to Aa2 (sf); previously on Jan 11, 2018
Upgraded to A1 (sf)

Cl. 1-A-2, Upgraded to Aa1 (sf); previously on Jan 11, 2018
Upgraded to Aa3 (sf)

Cl. 1-A-3, Upgraded to Aa3 (sf); previously on Jan 11, 2018
Upgraded to A2 (sf)

Cl. 1-M-1, Upgraded to A1 (sf); previously on Jan 11, 2018 Upgraded
to A3 (sf)

Cl. 1-M-2, Upgraded to A1 (sf); previously on Jan 11, 2018 Upgraded
to A3 (sf)

Cl. 1-M-3, Upgraded to A2 (sf); previously on Jan 11, 2018 Upgraded
to Baa1 (sf)

Cl. 1-M-4, Upgraded to A3 (sf); previously on Jan 11, 2018 Upgraded
to Baa2 (sf)

Cl. 1-M-5, Upgraded to Baa1 (sf); previously on Jan 11, 2018
Upgraded to Baa3 (sf)

Cl. 1-M-6, Upgraded to Baa2 (sf); previously on Jan 11, 2018
Upgraded to Ba1 (sf)

Issuer: Bear Stearns Alt-A Trust 2006-8

Cl. III-X-1*, Downgraded to Caa3 (sf); previously on Nov 10, 2017
Confirmed at Caa2 (sf)

Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS
2006-B

Cl. 1A-1, Upgraded to A2 (sf); previously on Mar 6, 2018 Upgraded
to Baa1 (sf)

Cl. 1A-2, Upgraded to A2 (sf); previously on Mar 6, 2018 Upgraded
to Baa1 (sf)

Cl. 2A-3, Upgraded to Ba2 (sf); previously on Mar 6, 2018 Upgraded
to B2 (sf)

Issuer: Structured Asset Securities Corp Trust 2006-EQ1

Cl. A1, Upgraded to Aa2 (sf); previously on Dec 17, 2018 Upgraded
to A1 (sf)

Issuer: Structured Asset Securities Corp., Mortgage Pass-Through
Certificates, Series 2007-WF2

Cl. A-1, Upgraded to Aaa (sf); previously on Mar 18, 2020 Upgraded
to Aa2 (sf)

Cl. A-3, Upgraded to Aa3 (sf); previously on May 9, 2018 Upgraded
to A2 (sf)

Cl. A-4, Upgraded to A3 (sf); previously on Mar 18, 2020 Upgraded
to Baa2 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

The rating downgrade of Class III-X-1, an interest only bond from
Bear Stearns Alt-A Trust 2006-8, is primarily due to the principal
paydown of some of its linked P&I bonds. The rating on an IO bond
referencing multiple bonds is the weighted average of the current
ratings of its referenced bonds based on their current balances,
which are grossed up by their realized losses, if any.

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

Moody's analysis considers the current proportion of loans granted
payment relief in each individual transaction. Moody's identified
these loans based on a review of loan level cashflows over the last
few months. Based on Moody's analysis, the proportion of borrowers
that are currently enrolled in payment relief plans varied greatly,
ranging between approximately 2% and 14% among RMBS transactions
issued before 2009. In Moody's analysis, Moody's assume these loans
to experience lifetime default rates that are 50% higher than
default rates on the performing loans.

In addition, for borrowers unable to make up missed payments
through a short-term repayment plan, servicers will generally defer
the forborne amount as a non-interest-bearing balance, due at
maturity of the loan as a balloon payment. Moody's analysis
considered the impact of six months of scheduled principal payments
on the loans enrolled in payment relief programs being passed to
the trust as a loss. The magnitude of this loss will depend on the
proportion of the borrowers in the pool subject to principal
deferral and the number of months of such deferral. The treatment
of deferred principal as a loss is credit negative, which could
incur write-downs on bonds when missed payments are deferred.

Moody's rating actions also take into consideration the buildup in
credit enhancement of the bonds, especially in an environment of
elevated prepayment rates. The increase in credit enhancement,
driven by elevated prepayment rates, has helped offset the impact
of the increase in expected losses spurred by the pandemic.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans as the US
economy continues on the path toward normalization. Economic
activity will continue to strengthen in 2021 because of several
factors, including the rollout of vaccines, growing household
consumption and an accommodative central bank policy. However,
specific sectors and individual businesses will remain weakened by
extended pandemic related restrictions.

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

Principal Methodologies

The principal methodology used in rating all classes except
interest-only classes was "US RMBS Surveillance Methodology"
published in July.

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.


[*] S&P Takes Various Actions on 10 Classes from 7 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 10 classes from seven
U.S. residential mortgage-backed securities (RMBS) transactions
backed by reverse mortgages, including two resecuritized reverse
mortgage real estate mortgage investment conduit (re-REMIC)
transactions, issued between 2007 and 2010. All of these
transactions are backed by either home equity conversion mortgage
(HECM) or jumbo reverse mortgage loan collateral. The review
yielded five upgrades and five affirmations.

Analytical Considerations

S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics, and their potential effects on certain classes. We
performed credit analysis using liquidation timelines, broker
commission and rating-level foreclosure cost assumptions, combined
tax and insurance rates, and market value decline (MVD) assumptions
to include an assessment of the level of over/under valuation in
the prevailing property market."

Constant Prepayment Rate (CPR) Assumptions

S&P said, "Our analysis contemplated both fast and slow CPR
assumptions and further segmented those assumptions by the
borrower's gender and age. According to our reverse mortgage
criteria, if the observed CPRs are considerably different from
those in the criteria, we may use updated CPR vectors.

"During this review, we updated our slow CPR assumptions due to
observed CPR data for the pool's weighted average borrower age. We
also updated our 'AAA' slow CPR assumptions to reflect the most
recent published mortality tables. However, we believe that our
fast CPR assumptions remain accurate, and we used those as stated
in our reverse mortgage surveillance criteria."

Mortgage Equity Conversion Asset Trust 2007-FF2 and Mortgage Equity
Conversion Asset Trust 2010-1 are backed by HECM reverse mortgage
loan collateral. S&P said, "For these transactions, we updated our
base-case assumption to a level that equates to the 'BBB' slow CPR
assumptions for male and to a level that equates to the 'B' slow
CPR assumptions for female, as published in Appendix Table 4: HECM
Reverse Mortgage Annual CPR Assumptions (%) of our reverse mortgage
criteria. We then linearly interpolated the CPRs for the 'BB'
through 'AA' rating categories."

Reverse Mortgage Loan Trust's series REV 2007-2 is also backed by
HECM reverse mortgage loan collateral. S&P said, "For this
transaction, we updated our base-case assumption to a level that
equates to the 'BB' slow CPR assumptions for male and to a level
that equates to the 'B' slow CPR assumptions for female, as
published in Appendix Table 4 of our reverse mortgage criteria. We
then linearly interpolated the CPRs for the 'BB' through 'AA'
rating categories."

Riverview HECM Trust 2007-1 is also backed by HECM reverse mortgage
loan collateral. S&P said, "For this transaction, we updated our
base-case assumption to a level that equates to the 'B' slow CPR
assumptions for male and to a level that equates to the 'B' slow
CPR assumptions for female, as published in Appendix Table 4 of our
reverse mortgage criteria. We then linearly interpolated the CPRs
for the 'BB' through 'AA' rating categories."

S&P said, "Lastly, for Structured Asset Securities Corp.'s series
2007-RM1, which is backed by jumbo reverse mortgage loan
collateral, we updated our base-case assumption to a level that
equates to the 'B' slow CPR assumptions for male and to a level
that equates to the 'B' slow CPR assumptions for female, as
published in Appendix Table 3 of our reverse mortgage criteria. We
then linearly interpolated the CPRs for the 'BB' through 'AA'
rating categories."

  Ratings List

  RATING

  ISSUER NAME    

    SERIES     CLASS     CUSIP       TO     FROM      MAIN  
                                                         RATIONALE

  Mortgage Equity Conversion Asset Trust 2007-FF2

    2007-FF2    A       61911CAA1   AA+ (sf)  AA+ (sf)

  Mortgage Equity Conversion Asset Trust 2010-1

    2010-1      A       61911BAA3   BB (sf)   BB (sf)

  Reverse Mortgage Loan Trust, Series REV 2007-2

    2007-REV2   A       76150TAA2   AA (sf)   A (sf)     Increased

                                                         credit
                                                         support.

  Riverview HECM Pass-Through Certificates , Series 2007-4

    2007-4      A       76942LAA2   CCC (sf)  CCC (sf)

  Riverview HECM Pass-Through Certificates, Series 2008-1

    2008-1      A-5     76942RAF8   AA+ (sf)  AA+ (sf)

  Riverview HECM Trust 2007-1

    2007-1      A notes 769422AA4   CCC (sf)  CCC (sf)

  Structured Asset Securities Corporation Reverse Mortgage Loan
Trust 2007-RM1

   2007-RM1     A1     86363BAA3  AA (sf)   A (sf)       Increased

                                                         credit
                                                         support.

  Structured Asset Securities Corporation Reverse Mortgage Loan
Trust 2007-RM1

   2007-RM1     M2     86363BAD7  A (sf)    BBB (sf)     Increased

                                                         credit
                                                         support.

  Structured Asset Securities Corporation Reverse Mortgage Loan
Trust 2007-RM1

   2007-RM1     M3     86363BAF2  BBB (sf)  BB (sf)      Increased

                                                         credit
                                                         support.

  Structured Asset Securities Corporation Reverse Mortgage Loan
Trust 2007-RM1

    2007-RM1    M4     86363BAG0  BB (sf    B (sf)      Increased  
              
                                                        credit
                                                        support.



[*] S&P Takes Various Actions on 52 Classes from 18 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 52 ratings from 18 U.S.
RMBS transactions issued between 2003 and 2007. The review yielded
23 upgrades, 28 affirmations, and one discontinuance.

A list of Affected Ratings can be viewed at:

           https://bit.ly/3DzFXiS

Analytical Considerations

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics, and their potential effects on certain classes.
Some of these considerations may include:

-- Factors related to the COVID-19 pandemic;
-- Collateral performance;
-- Historical and/or outstanding missed interest payments;
-- Increases or decreases in credit support; and
-- Payment priority.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and
structural characteristics, and/or reflect the application of
specific criteria applicable to these classes. See the ratings list
for the specific rationales associated with each of the classes
with rating transitions.

"The ratings affirmations reflect our opinion that our projected
credit support and collateral performance on these classes has
remained relatively consistent with our prior projections."



                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind.  It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.

Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets.  At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled.  Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets.  A company may establish reserves on its balance sheet for
liabilities that may never materialize.  The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.

On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts.  The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.

Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals.  All titles are
available at your local bookstore or through Amazon.com.  Go to
http://www.bankrupt.com/books/to order any title today.

Monthly Operating Reports are summarized in every Saturday edition
of the TCR.

The Sunday TCR delivers securitization rating news from the week
then-ending.

TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.

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S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors.

Copyright 2021.  All rights reserved.  ISSN: 1520-9474.

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.  Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.

The TCR subscription rate is $975 for 6 months delivered via
e-mail.  Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each.  For subscription information, contact Peter A.
Chapman at 215-945-7000.

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