/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210509.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, May 9, 2021, Vol. 25, No. 128 Headlines AFFIRM ASSET 2020-A: DBRS Confirms BB Rating on Class C Notes AIG CLO 2018-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes AMUR EQUIMENT IX: DBRS Gives Prov. B Rating on Class F Notes APIDOS CLO XI: Moody's Assigns B3 Rating on Class F-R3 Notes ARES XLIV: Moody's Assigns Ba3 Rating on Class D-R Notes AVIS BUDGET 2020-1: Moody's Hikes Rating on Class C Notes to Ba1 BAIN CAPITAL 2021-2: Moody's Assigns (P)Ba3 Rating to Cl. E Notes BANK 2021-BNK33: Fitch Assigns B- Rating on 2 Tranches BANK OF AMERICA 2015-UBS7: Fitch Affirms CC Rating on Class F Debt BENCHMARK 2021-B25: Fitch Assigns Final B- Rating on 2 Tranches BLACKROCK DLF 2021-1: DBRS Gives Prov. B Rating on Class W Notes BSST 2021-1818: DBRS Finalizes B(low) Rating on Class F Certs BSST 2021-SSCP: DBRS Gives Prov. B(low) Rating on Class G Certs BX COMMERCIAL 2021-VINO: Moody's Gives (P)B3 Rating to Cl. F Certs CFCRE COMMERCIAL 2011-C1: Fitch Withdraws D Ratings on 3 Tranches CIFC FUNDING 2019-II: S&P Assigns BB- (sf) on Class E-R Notes CIG AUTO 2020-1: Moody's Hikes Class E Notes Rating to Ba2 CITIGROUP COMMERCIAL 2015-GC33: Fitch Affirms B- on Class F Certs CITIGROUP MORTGAGE 2021-J1: Fitch Assigns B+ Rating on B-5 Tranche CITIGROUP MORTGAGE 2021-J1: S&P Assigns B(sf) Rating on B-5 Certs COLT 2021-3R: Fitch Assigns Final B(EXP) Rating on Class B2 Certs CPS AUTO 2016-A: DBRS Cuts Class F Trust Rating to CCC CRSNT TRUST 2021-MOON: DBRS Gives Prov. B(low) Rating on F Certs CSAIL COMMERCIAL 2019-C16: Fitch Affirms B- Rating on G-RR Certs FLAGSTAR MORTGAGE 2021-2: Fitch Gives Final B+ Rating on B-5 Certs FLAGSTAR MORTGAGE 2021-2: Moody's Assigns B2 Rating to B-5 Certs FREDDIE MAC 2021-1: DBRS Gives Prov. B(low) on M Transfer Trust GAM RE-REMIC 2021-FRR1: DBRS Gives Prov. B(low) Rating on 2 Classes GS MORTGAGE 2019-GC39: Fitch Affirms B- Rating on Cl. G-RR Tranche GS MORTGAGE 2021-PJ3: DBRS Finalizes B Rating on Class B-5 Certs GS MORTGAGE 2021-PJ4: Moody's Assigns B2 Rating to Class B-5 Certs GS MORTGAGE-BACKED 2021-PJ4: Fitch Gives Final B Rating to B-5 Debt INSTITUTIONAL MORTGAGE 2013-4: Fitch Cuts Cl. E Debt Rating to Bsf INVESCO CLO 2021-1: Moody's Assigns Ba3 Rating to $20MM Cl. E Notes JP MORGAN 2012-C8: Fitch Lowers Ratings on 2 Tranches to 'CCsf' JP MORGAN 2021-6: Fitch Assigns Final B Rating on Cl. B-5 Debt JP MORGAN 2021-6: Moody's Assigns B3 Rating to Class B-5 Certs JP MORGAN 2021-MHC: DBRS Gives Prov. BB(sf) Rating on Class E Certs LIFE 2021-BMR: DBRS Finalizes B(low) Rating on Class G Certs MFA 2021-NQM1: DBRS Gives Prov. B Rating on Class B-2 Certs NEUBERGER BERMAN XXI: Moody's Assigns (P)Ba3 Rating to E-R2 Notes NEWREZ WAREHOUSE 2021-1: Moody's Hikes Cl. E Notes Rating to (P)B2 NYC COMMERCIAL 2021-909: DBRS Gives Prov. BB(low) Rating on E Certs OAKTOWN RE VI: Moody's Assigns B3 Rating to Cl. B-1 Notes OBX TRUST 2021-J1: Fitch Assigns B Rating on Class B-5 Notes OBX TRUST 2021-J1: Moody's Rates Class B-5 Certificates 'B2(sf)' OCP CLO 2020-18: S&P Assigns Prelim BB- (sf) Rating on E-R Notes PRIME STRUCTURED 2020-1: DBRS Confirms BB(low) Rating on F Certs PRMI SECURITIZATION 2021-1: S&P Assigns B(sf) Rating on B-5 Certs PROGRESS RESIDENTIAL 2021-SFR2: DBRS Finalizes B(low) on G Certs SEQUOIA MORTGAGE 2021-4: Fitch Gives BB-(EXP) Rating on B-4 Certs SLM STUDENT 2003-5: Fitch Affirms B Rating on 5 Tranches SLM STUDENT 2008-3: Fitch Lowers 2 Debt Tranches to 'CCCsf' STONE STREET 2015-1: DBRS Confirms BB Rating on Class C Notes TTAN 2021-MHC: Moody's Assigns (P)B3 Rating to Class F Certs VASA TRUST 2021-VASA: DBRS Gives Prov. B(low) Rating on F Certs VENTURE 43 CLO: Moody's Assigns (P)Ba3 Rating to Class E Notes WACHOVIA BANK 2005-C21: Moody's Cuts Class F Certs Rating to C WELLS FARGO 2016-C35: Fitch Lowers Class F Debt to 'CCCsf' WELLS FARGO 2019-C50: Fitch Affirms B- Rating on 2 Tranches WFRBS COMMERCIAL 2012-C9: Moody's Lowers Cl. F Certs Rating to Caa3 WIND RIVER 2017-3: Moody's Assigns Ba3 Rating on Class E-R Notes [*] Moody's Hikes $155MM of US RMBS Backed by Inactive HECM Loans [*] Moody's Lowers Ratings on 156 Classes of US Conduit CMBS [*] S&P Takes Various Actions on 172 Classes From 29 US RMBS Deals [*] S&P Takes Various Actions on 66 Classes From 11 US RMBS Deals [*]DBRS Reviews 315 Classes From 25 U.S. RMBS Transactions [*]DBRS Reviews 593 Classes from 47 US ReREMIC & RMBS Transactions [*]DBRS Reviews 895 Classes From 92 U.S. RMBS Transactions ********* AFFIRM ASSET 2020-A: DBRS Confirms BB Rating on Class C Notes ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on Affirm Asset Securitization Trust 2020-A and Affirm Asset Securitization Trust 2020-Z1 as follows: Affirm Asset Securitization Trust 2020-A: -- Class A Notes at A (sf) -- Class B Notes at BBB (sf) -- Class C Notes at BB (sf) Affirm Asset Securitization Trust 2020-Z1: -- Class A Notes at A (sf) The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar's rating analysis. -- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. -- The transaction's capital structure and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss (CNL) (including an adjustment for the moderate scenario) assumption at a multiple of coverage commensurate with the ratings above. -- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected CNL assumptions consistent with the expected unemployment levels in the moderate scenario. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. Notes: The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. AIG CLO 2018-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X, A-1R, B-R, C-R, D-R, and E-R replacement notes and proposed new class A-2-R notes from AIG CLO 2018-1 Ltd./AIG CLO 2018-1 LLC, a CLO originally issued in January 2019 that is managed by AIG Asset Management (U.S.) LLC. The preliminary ratings are based on information as of May 3, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 10, 2021, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm our ratings on the original notes and withdraw our preliminary ratings on the replacement notes. The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-1R, B-R, C-R, and D-R notes are expected to be issued at a lower spread over the three-month LIBOR than the original notes. -- The replacement class E-R notes are expected to be issued at a higher spread over the three-month LIBOR than the original notes. -- The replacement class A-2R notes are expected to be issued at a floating spread, replacing the current class A-2a floating spread and A-2 fixed coupon notes. -- The stated maturity and reinvestment period will be extended three months. -- The concentration limits have been adjusted so the transaction can buy bonds up to 5.0%. -- The class X notes are being issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 10 payment dates beginning with the payment date in July 2021. -- Of the identified underlying collateral obligations, 99.57% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 99.09% have recovery ratings assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and 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 AIG CLO 2018-1 Ltd./AIG CLO 2018-1 LLC Class X, $5.00 million: AAA (sf) Class A-1R, $302.40 million: AAA (sf) Class A-2R, $14.90 million: Not rated Class B-R, $59.40 million: AA (sf) Class C-R, $29.75 million: A (sf) Class D-R (deferrable), $29.75 million: BBB- (sf) Class E-R (deferrable), $18.60 million: BB- (sf) Subordinated notes, $46.15 million: Not rated AMUR EQUIMENT IX: DBRS Gives Prov. B Rating on Class F Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of equipment contract backed notes to be issued by Amur Equipment Finance Receivables IX LLC: -- $41,000,000 Series 2021-1, Class A-1 Notes at R-1 (high) (sf) -- $223,670,000 Series 2021-1, Class A-2 Notes at AAA (sf) -- $19,639,000 Series 2021-1, Class B Notes at AA (sf) -- $19,639,000 Series 2021-1, Class C Notes at A (sf) -- $19,639,000 Series 2021-1, Class D Notes at BBB (sf) -- $13,093,000 Series 2021-1, Class E Notes at BB (sf) -- $9,352,000 Series 2021-1, Class F Notes at B (sf) The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: -- The transaction analysis considers DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar's rating analysis. -- The analytical considerations incorporate the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. -- DBRS Morningstar estimated the expected cumulative net loss (CNL) of 6.00% in its cash flow scenarios using the originator's actual performance data and accounting for the expected equipment mix in the collateral pool. DBRS Morningstar's CNL assumption also considers the effect of the 2019 recessionary downturn in the trucking industry on performance of the more recent static pool vintages and the recent improving performance trend for the outstanding asset-backed securities transactions sponsored by Amur Equipment Finance, Inc. (Amur EF). -- Transaction capital structure, proposed ratings, as well as sufficiency of available credit enhancement, which includes overcollateralization (OC), subordination, and amounts held in the Reserve Account to support the CNL assumption projected by DBRS Morningstar under various stressed cash flow scenarios. -- The rating on the Class A-1 Notes reflects 90.2% of initial hard credit enhancement (as a percentage of the collateral balance) provided by the subordinated notes (81.5%), the Reserve Account (1.2%), and OC (7.5%). The rating on the Class A-2 Notes reflects 30.5% of initial hard credit enhancement provided by the subordinated notes (21.7%), the Reserve Account, and OC. The ratings on the Class B, Class C, Class D, Class E, and Class F Notes reflect 25.2%, 20.0%, 14.7%, 11.2%, and 8.7% of initial hard credit enhancement, respectively. -- The proposed concentration limits mitigating the risk of material migration in the collateral pool's composition during the three-month prefunding period. -- The capabilities of Amur EF, a commercial finance company providing equipment financing solutions to a broad range of small to medium-size businesses across all 50 U.S. states with regard to originations, underwriting, and servicing. DBRS Morningstar performed an operational review of Amur EF and continues to deem the company an acceptable originator and servicer of equipment lease and loan financing contracts. In addition, Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar), an experienced servicer of equipment lease-backed securitizations, will be the backup servicer for the transaction. On March 23rd, 2021, Wells Fargo & Company announced it had entered into a definitive agreement to sell its corporate trust business to Computershare, Ltd., with an expected closing in the second half of 2021. -- The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Amur EF, that the trustee has a valid first-priority security interest in the assets, and consistency with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. APIDOS CLO XI: Moody's Assigns B3 Rating on Class F-R3 Notes ------------------------------------------------------------ Moody's Investors Service has assigned ratings to eight classes of CLO refinancing notes issued by Apidos CLO XI (the "Issuer"). Moody's rating action is as follows: US$5,000,000 Class X-R3 Floating Rate Notes due 2034 (the "Class X-R3 Notes"), Assigned Aaa (sf) US$246,500,000 Class A-R3 Floating Rate Notes due 2034 (the "Class A-R3 Notes"), Assigned Aaa (sf) US$36,000,000 Class B-R3a Floating Rate Notes due 2034 (the "Class B-R3a Notes"), Assigned Aa2 (sf) US$13,500,000 Class B-R3b Fixed Rate Notes due 2034 (the "Class B-R3b Notes"), Assigned Aa2 (sf) US$18,750,000 Class C-R3 Deferrable Floating Rate Notes due 2034 (the "Class C-R3 Notes"), Assigned A2 (sf) US$24,500,000 Class D-R3 Deferrable Floating Rate Notes due 2034 (the "Class D-R3 Notes"), Assigned Baa3 (sf) US$20,750,000 Class E-R3 Deferrable Floating Rate Notes due 2034 (the "Class E-R3 Notes"), Assigned Ba3 (sf) US$5,950,000 Class F-R3 Deferrable Floating Rate Notes due 2034 (the "Class F-R3 Notes"), Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% 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, unsecured loans, first lien last out loans and permitted non-loan assets. CVC 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 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: $391,436,919 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2880 Weighted Average Spread (WAS): 3.30% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. 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. ARES XLIV: Moody's Assigns Ba3 Rating on Class D-R Notes -------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of CLO refinancing notes issued by Ares XLIV CLO Ltd. (the "Issuer"). Moody's rating action is as follows: US$661,125,000 Class A-1-R Senior Floating Rate Notes Due 2034 (the "Class A-1-R Notes"), Definitive Rating Assigned Aaa (sf) US$26,875,000 Class A-2-R Senior Floating Rate Notes Due 2034 (the "Class A-2-R Notes"), Definitive Rating Assigned Aaa (sf) US$56,975,000 Class D-R Mezzanine Deferrable Floating Rate Notes Due 2034 (the "Class D-R Notes"), Definitive Rating 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 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of assets that are not senior secured loans. Ares CLO 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, 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 "Moody's Default Probability Rating" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $1,075,000,000 Defaulted par: $0 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3220 Weighted Average Spread (WAS): 3.55% Weighted Average Coupon (WAC): 4.50% Weighted Average Recovery Rate (WARR): 47.25% Weighted Average Life (WAL): 9 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. 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. AVIS BUDGET 2020-1: Moody's Hikes Rating on Class C Notes to Ba1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on 20 tranches of rental car asset-backed securities issued by Avis Budget Rental Car Funding (AESOP) LLC (AESOP or the issuer). The issuer is an indirect subsidiary of the transaction sponsor and single lessee, Avis Budget Car Rental, LLC (ABCR, B2 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc., Zipcar, Inc. and Payless Car Rental, Inc. AESOP is ABCR's rental car securitization platform in the U.S. The collateral backing the notes is a fleet of vehicles and a single lease of the fleet to ABCR for use in its rental car business. COMPLETE RATING ACTIONS Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2016-1 Series 2016-1 Class A, Upgraded to Aa1 (sf); previously on Jul 10, 2020 Downgraded to Aa2 (sf) Series 2016-1 Class B, Upgraded to Baa1 (sf); previously on Jul 10, 2020 Downgraded to Baa2 (sf) Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2016-2 Series 2016-2 Class A, Upgraded to Aa1 (sf); previously on Jul 10, 2020 Downgraded to Aa2 (sf) Series 2016-2 Class B, Upgraded to Baa1 (sf); previously on Jul 10, 2020 Downgraded to Baa2 (sf) Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2017-1 Series 2017-1 Fixed Rate Rental Car Asset Backed Notes, Class A, Upgraded to Aa1 (sf); previously on Jul 10, 2020 Downgraded to Aa2 (sf) Series 2017-1 Fixed Rate Rental Car Asset Backed Notes, Class C, Upgraded to Ba1 (sf); previously on Jul 10, 2020 Downgraded to Ba2 (sf) Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2017-2 Series 2017-2 Fixed Rate Rental Car Asset Backed Notes, Class A, Upgraded to Aa1 (sf); previously on Jul 10, 2020 Downgraded to Aa2 (sf) Series 2017-2 Fixed Rate Rental Car Asset Backed Notes, Class C, Upgraded to Ba1 (sf); previously on Jul 10, 2020 Downgraded to Ba2 (sf) Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2018-1 Series 2018-1 Fixed Rate Rental Car Asset Backed Notes, Class A, Upgraded to Aa1 (sf); previously on Jul 10, 2020 Downgraded to Aa2 (sf) Series 2018-1 Fixed Rate Rental Car Asset Backed Notes, Class C, Upgraded to Ba1 (sf); previously on Jul 10, 2020 Downgraded to Ba2 (sf) Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2018-2 Series 2018-2 Fixed Rate Rental Car Asset Backed Notes, Class A, Upgraded to Aa1 (sf); previously on Jul 10, 2020 Downgraded to Aa2 (sf) Series 2018-2 Fixed Rate Rental Car Asset Backed Notes, Class C, Upgraded to Ba1 (sf); previously on Jul 10, 2020 Downgraded to Ba2 (sf) Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2019-1 Series 2019-1 Fixed Rate Rental Car Asset Backed Notes, Class A, Upgraded to Aa1 (sf); previously on Jul 10, 2020 Downgraded to Aa2 (sf) Series 2019-1 Fixed Rate Rental Car Asset Backed Notes, Class C, Upgraded to Ba1 (sf); previously on Jul 10, 2020 Downgraded to Ba2 (sf) Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2019-2 Series 2019-2 Rental Car Asset Backed Notes, Class A, Upgraded to Aa1 (sf); previously on Jul 10, 2020 Downgraded to Aa2 (sf) Series 2019-2 Rental Car Asset Backed Notes, Class C, Upgraded to Ba1 (sf); previously on Jul 10, 2020 Downgraded to Ba2 (sf) Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2019-3 Series 2019-3 Rental Car Asset Backed Notes, Class A, Upgraded to Aa1 (sf); previously on Jul 10, 2020 Downgraded to Aa2 (sf) Series 2019-3 Rental Car Asset Backed Notes, Class C, Upgraded to Ba1 (sf); previously on Jul 10, 2020 Downgraded to Ba2 (sf) Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2020-1 Series 2020-1 Rental Car Asset Backed Notes, Class A, Upgraded to Aa1 (sf); previously on Jul 10, 2020 Downgraded to Aa2 (sf) Series 2020-1 Rental Car Asset Backed Notes, Class C, Upgraded to Ba1 (sf); previously on Jul 10, 2020 Downgraded to Ba2 (sf) RATINGS RATIONALE Moody's actions on the rental car ABS are prompted by (1) a decrease in Moody's mean non-program haircut assumption upon sponsor default, to 19% from 25%, supported by the strength in used vehicle prices, and (2) consideration of the vastly improved rental car market conditions, particularly when evaluating sensitivity analysis related to the likelihood of lease acceptance. Moody's also considered ABCR's effective fleet management during the coronavirus-driven credit shock. Avis' fleet utilization has continued to rise as a result of their controlled de-fleeting efforts and the recovery in rental car demand. According to J.D. Power, wholesale auction prices are now 17% higher than their previous peak back in August 2020, and at 29% above their level at the end of December 2020 as of the week ending April, 23 2021.[1] As of March 31, 2021, the notes benefitted from available credit enhancement consisting of subordination and over-collateralization, to protect investors against a meaningful decline in the value of the underlying vehicles (around 34%-37% credit enhancement behind the Class A notes, around 27%-29% enhancement behind the Class B notes and around 21%-23% enhancement behind the Class C notes). If ABCR were to file for bankruptcy, Moody's continues to assume that the company would be more likely to reorganize under a Chapter 11 filing, as a reorganization would likely realize significantly more value as an ongoing business concern than a liquidation of its assets under a Chapter 7 filing. Moody's view considers the strength of the ABCR brand (one of the three major car rental companies in North America) and the ongoing recovery of the rental car industry. Moody's continues to assume a 75% probability that ABCR would affirm its lease payment obligations in the event of a Chapter 11 bankruptcy, informed by pandemic-driven events that affected the rental car market (such as the drastic and sudden decline in rental car demand and the resulting high lease payments for a vastly underutilized fleet). The assumed high likelihood of lease acceptance recognizes the strategic importance of the ABS financing platform to ABCR's operation. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in US economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. The assumptions Moody's applied in the analysis of this transaction include: Risk of sponsor default: Moody's assumed a 60% decrease in the probability of default (from Moody's idealized default probability tables) implied by the B2 rating of the sponsor. Moody's arrives at the 60% decrease assuming an 80% probability that ABCR would reorganize under a Chapter 11 bankruptcy and a 75% probability that ABCR would affirm its lease payment obligations in the event of a Chapter 11 bankruptcy. Disposal value of the fleet: Moody's assumed the following haircuts to the net book value (NBV) of the vehicle fleet: Non-Program Haircut upon Sponsor Default -- Mean: 19% Non-Program Haircut upon Sponsor Default -- Standard Deviation: 6% Fixed Program Haircut upon Sponsor Default: 10% Additional Fixed Non-Program Haircut upon Manufacturer Default: 20% Fleet composition -- Moody's assumed the following fleet composition (based on NBV of vehicle fleet): Non-program Vehicles: 90% Program Vehicles: 10% Non-program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 20%, 2, A3 Baa Profile: 60%, 3, Baa3 Ba/B Profile: 20%, 1, B1 Program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 0%, 0, A3 Baa Profile: 80%, 2, Baa3 Ba/B Profile: 20%, 1, B1 Manufacturer Receivables: 0%; receivables distributed in the same proportion as the program fleet (Program Manufacturer Concentration and Manufacturer Receivables together should add up to 100%) Correlation: Moody's applied the following correlation assumptions: Correlation among the sponsor and the vehicle manufacturers: 10% Correlation among all vehicle manufacturers: 25% Default risk horizon -- Moody's assumed the following default risk horizon: Sponsor: 5 years Manufacturers: 1 year A fixed set of time horizon assumptions, regardless of the remaining term of the transaction, is used when considering sponsor and manufacturer default probabilities and the expected loss of the related liabilities, which simplifies Moody's modeling approach using a standard set of benchmark horizons. Detailed application of the assumptions are provided in the methodology. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Rental Fleet Securitizations" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the notes as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the credit quality of the pool of vehicles collateralizing the transaction strengthens, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the notes if, among other things, (1) the credit quality of the lessee weakens, (2) an increase in the likelihood of a sudden disposition of the underlying vehicles in another depressed used-vehicle market due to a continued resurgence or a second wave of COVID-19, (3) the credit quality of the pool of vehicles collateralizing the transaction weakens, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers, (4) sharper than expected declines in vehicle prices of non-program vehicles owing to sustained weakness in the demand for used vehicles and prolonged disruptions to used-car sales channels, or (5) the tail periods become insufficient because US sales channels shut down again for a prolonged period and therefore vehicle disposition proceeds may be insufficient to repay the notes. BAIN CAPITAL 2021-2: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Bain Capital Credit CLO 2021-2, Limited (the "Issuer" or "Bain Capital 2021-2"). Moody's rating action is as follows: US$246,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$12,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) US$45,600,000 Class B Senior Secured Floating Rate Notes due 2034 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$19,200,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class C Notes"), Assigned (P)A2 (sf) US$24,600,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$20,600,000 Class E Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class E Notes"), Assigned (P)Ba3 (sf) The 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, 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 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, and up to 10% of the portfolio may consist of second lien loans or unsecured loans, of which up to 5% may consist of permitted debt securities (senior secured or high yield bonds). Moody's expect the portfolio to be approximately 97% 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 will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2820 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.0% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9.0 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. 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 2021-BNK33: Fitch Assigns B- Rating on 2 Tranches ------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK 2021-BNK33 commercial mortgage pass-through certificates, series 2021-BNK33, as follows: -- $10,500,000 Class A-1 'AAAsf'; Outlook Stable; -- $46,312,000 Class A-2 'AAAsf'; Outlook Stable; -- $21,799,000 Class A-SB 'AAAsf'; Outlook Stable; -- $66,408,000 Class A-3 'AAAsf'; Outlook Stable; -- $175,000,000a b Class A-4 'AAAsf'; Outlook Stable; -- $0b Class A-4-1 'AAAsf'; Outlook Stable; -- $0b Class A-4-2 'AAAsf'; Outlook Stable; -- $0b c Class A-4-X1 'AAAsf'; Outlook Stable; -- $0b c Class A-4-X2 'AAAsf'; Outlook Stable; -- $348,272,000a b Class A-5 'AAAsf'; Outlook Stable; -- $0b Class A-5-1 'AAAsf'; Outlook Stable; -- $0b Class A-5-2 'AAAsf'; Outlook Stable; -- $0b c Class A-5-X1 'AAAsf'; Outlook Stable; -- $0b c Class A-5-X2 'AAAsf'; Outlook Stable; -- $668,291,000c Class X-A 'AAAsf'; Outlook Stable; -- $183,780,000c Class X-B 'A-sf'; Outlook Stable; -- $107,404,000b Class A-S 'AAAsf'; Outlook Stable; -- $0b Class A-S-1 'AAAsf'; Outlook Stable; -- $0b Class A-S-2 'AAAsf'; Outlook Stable; -- $0b c Class A-S-X1 'AAAsf'; Outlook Stable; -- $0b c Class A-S-X2 'AAAsf'; Outlook Stable; -- $38,188,000b Class B 'AA-sf'; Outlook Stable; -- $0b Class B-1 'AA-sf'; Outlook Stable; -- $0b Class B-2 'AA-sf'; Outlook Stable; -- $0b c Class B-X1 'AA-sf'; Outlook Stable; -- $0b c Class B-X2 'AA-sf'; Outlook Stable; -- $38,188,000b Class C 'A-sf'; Outlook Stable; -- $0b Class C-1 'A-sf'; Outlook Stable; -- $0b Class C-2 'A-sf'; Outlook Stable; -- $0b c Class C-X1 'A-sf'; Outlook Stable; -- $0b c Class C-X2 'A-sf'; Outlook Stable; -- $40,575,000c d Class X-D 'BBB-sf'; Outlook Stable; -- $19,094,000c d Class X-F 'BB-sf'; Outlook Stable; -- $9,547,000c d Class X-G 'B-sf'; Outlook Stable; -- $22,674,000d Class D 'BBBsf'; Outlook Stable; -- $17,901,000d Class E 'BBB-sf'; Outlook Stable; -- $19,094,000d Class F 'BB-sf'; Outlook Stable; -- $9,547,000d Class G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $33,415,199c d Class X-H 'NRsf'; Outlook Stable; -- $33,415,199d Class H 'NRsf'; Outlook Stable; and -- $50,247,484.17d e RR Interest 'NRsf'; Outlook Stable. (a) The initial certificate balances of class A-4 and A-5 are unknown and expected to be $523,272,000 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 $350,000,000, and the expected class A-5 balance range is $173,272,000 to $523,272,000. Fitch's certificate balances for classes A-4 and A-5 are assumed at the midpoint for each class. (b) Exchangeable certificates. Class A-4, A-5, A-S, B and 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. 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. 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. Class A-S may be surrendered (or received) for the received (or surrendered) class A-S-1, A-S-2, A-S-X1 and A-S-X2. Class B may be surrendered (or received) for the received (or surrendered) class B-1, B-2, B-X1 and B-X2. Class C may be surrendered (or received) for the received (or surrendered) class C-1, C-2, C-X1 and C-X2. 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 May 4, 2021. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 68 fixed-rate loans secured by 143 commercial properties having an aggregate principal balance of $1,004,949,683 as of the cutoff date. The loans were contributed to the trust by Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings, LLC, Wells Fargo Bank, National Association and National Cooperative Bank, N.A. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 36.0% of the properties by balance, cash flow analyses of 87.9% 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. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate impact on credit losses will depend heavily on the severity and duration of the negative economic impact of the coronavirus pandemic and to what degree fiscal interventions by the U.S. federal government can mitigate the impact on consumers. Per the offering documents, all the loans are current and are not subject to any ongoing forbearance requests. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool has lower leverage relative to other multiborrower transactions recently rated by Fitch. The pool's trust Fitch DSCR of 1.65x is greater than the YTD 2021 and 2020 averages of 1.39x and 1.32x, respectively. The pool's trust LTV of 95.1% is better than the YTD 2021 and 2020 averages of 101.3% and 99.6%, respectively. Excluding the co-op and credit opinion loans, the pool's DSCR and LTV are 1.29x and 110.0%, respectively. Investment-Grade Credit Opinion Loans: The pool includes four loans, representing 16.9% of the pool, that received investment-grade credit opinions. This falls between the YTD 2021 and 2020 average credit opinion concentrations of 15.7% and 24.5%, respectively. On a standalone basis, Equus Portfolio (7.0% of pool) received a credit opinion of 'BBB-sf', 909 Third Avenue (5.0%) received a credit opinion of 'BBB+sf', The Victoria (3.5%) received a credit opinion of 'AAAsf' and Grace Building (1.5%) received a credit opinion of 'A-sf'. Additionally, the pool contains 28 loans, representing 9.5% 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 4.68x and 35.8%, respectively. Favorable Property Type Concentrations: The pool does not include any hotels. Office properties represent the highest concentration at 34.8%. In Fitch's multiborrower model, office properties have an average likelihood of default, all else equal. Multifamily and co-operative properties represent the second highest concentration at 29.9%, which is significantly higher than the YTD 2021 and 2020 averages of 12.2% and 16.3%, respectively. Multifamily properties have a below-average likelihood of default, all else equal. There are no loans secured by hotel properties in the pool. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: 20% NCF increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'Asf' / 'A-sf' / 'BBBsf' / 'BBB-sf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' /'BB-sf' / 'B-sf'. 10% NCF Decline: 'Asf' / 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'BB-sf' /'CCCsf' / 'CCCsf'. 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf ' / 'CCCsf' / 'CCCsf'. 30% NCF Decline: 'BBB-sf' / 'BBsf' / 'CCCsf' / 'CCCsf'/ 'CCCsf' / 'CCCsf' / 'CCCsf'. 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. BANK OF AMERICA 2015-UBS7: Fitch Affirms CC Rating on Class F Debt ------------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed nine classes of Bank of America Merrill Lynch Commercial Mortgage Trust 2015-UBS7. Additionally, Fitch revised the Rating Outlook to Negative from Stable on two classes. DEBT RATING PRIOR ---- ------ ----- BACM Trust 2015-UBS7 A-3 06054AAW9 LT AAAsf Affirmed AAAsf A-4 06054AAX7 LT AAAsf Affirmed AAAsf A-S 06054ABB4 LT AAAsf Affirmed AAAsf A-SB 06054AAV1 LT AAAsf Affirmed AAAsf B 06054ABC2 LT A-sf Downgrade AA-sf C 06054ABD0 LT BBBsf Downgrade A-sf D 06054ABE8 LT B-sf Downgrade BBsf E 06054AAG4 LT CCCsf Affirmed CCCsf F 06054AAJ8 LT CCsf Affirmed CCsf X-A 06054AAY5 LT AAAsf Affirmed AAAsf X-B 06054AAZ2 LT AAAsf Affirmed AAAsf X-D 06054ABA6 LT B-sf Downgrade BBsf X-E 06054AAA7 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased since Fitch's last rating action, primarily due to an increase in specially serviced loans and continued underperformance of The Mall of New Hampshire. Additionally, Fitch has modeled higher losses to certain loans to address performance concerns stemming from the coronavirus pandemic. Eleven loans (36.7%) were identified as FLOCs, including the three specially serviced loans (11.8%). Fitch's current ratings incorporate a base case loss of 10.4%. Fitch's analysis also included additional sensitivities related to loans susceptible to the effects of the coronavirus that indicate losses could reach 11%. SS Loans/FLOCs: The largest driver of increased loss expectations is The Mall of New Hampshire (7.1%). The loan is secured by a regional mall located in Manchester, NH and is anchored by non-collateral tenants Macy's, JC Penney, and a former Sears box. The largest collateral tenants include Best Buy and Old Navy. The Sears closed in November 2018, and the box was subdivided and leased to Dick's Sporting Goods (opened 3Q19) and Dave & Buster's (opened August 2020). The loan transferred to the special servicer at the borrowers request in May 2020 for imminent monetary default due to the effects of the coronavirus pandemic. A forbearance agreement was executed in December 2020, and the loan has been brought current. The mall's collateral occupancy as of the September 2020 rent roll was 86%, down from 91% in 2018 and 97% at issuance. NOI has also declined every year since issuance at a reported $13.2 million in 2019 from $16.2 million at issuance. Additionally, comparable in line sales in 2019 for tenants occupying less than 10,000 sf were $385 psf excluding Apple and $937 psf including Apple. Fitch's analysis included a 15% stress to YE 2019 NOI and also applied a stressed 15% cap rate, which is consistent with similar malls. The loan is modeling a 51% loss. The second largest contributor to loss expectations remains the real estate owned (REO) WPC Department Store Portfolio (2.8%). The portfolio consisted of six single tenant retail stores that were all anchor boxes located in regional malls. The properties were originally 100% occupied and operated under several different brands owned by Bon-Ton. The loan transferred to special servicing in August 2018 following the bankruptcy and subsequent liquidation of Bon-Ton. The portfolio was taken REO in October 2019, and all properties are now vacant. All six properties were recently listed in an October 2020 auction, but only one, in the Bay Park Square Mall of Ashwaubenon, WI, was sold for $3 million. Based on current valuations and growing loan exposure, Fitch modeled a full loss. The third largest contributor to loss expectations is The Panoramic (7.4%). The loan is secured by a 400-bed student housing property with ground floor commercial space located in San Francisco, CA, in the SoMa neighborhood. The property was previously 100% occupied; all units were master leased to two colleges, San Francisco Conservatory of Music (SFCM) and California College of the Arts (CCA), who each leased half of the beds. The CCA lease expires in July 2025. SFCM gave up its contract at its September 2020 lease expiration. Reports indicate that University of the Pacific has agreed to lease two of the five floors vacated by SFCM. Fitch requested details on the new lease, but the terms of the lease and the status of the remaining floors remain outstanding. Property NOI fell by approximately 11% from 2019 to 2020, primarily due to lower rental revenues. As a result, YE 2020 NOI DSCR was 1.51x down from 1.69x at YE 2019. Fitch's analysis included a 10% stress to YE 2020 NOI to reflect the loss of the SFCM lease, resulting in a 20% loss severity. The largest FLOC in the pool is Westin Hotel at the Domain (8.9%). The loan is secured by a 341-unit full service hotel located in Austin, TX, a part of the Domain development, a high-density class A business, retail and residential development located in Austin's high-tech corridor. There are two other hotels in the development, an Aloft by Marriott and a boutique Archer Hotel Austin. The loan transferred to SS in June 2020 for coronavirus related issues. The loan was returned to the master in December 2020 with a forbearance which allowed for IO payments for June - August 2020. However, a second request for COVID-19 relief was recently submitted in March 2021 to extend the time period for the repayment of deferred principal. Property performance has been significantly impacted by the coronavirus. As of December 2020, hotel occupancy had fallen to 44% from 74% at YE 2019. Hotel NOI also declined by 88%, as a result, NOI DSCR fell from 3.15x in 2019 to 0.40x in 2020. Fitch's analysis included a 26% total stress to YE 2019 NOI, which reflects a sustainable cash flow. Despite the additional stress, the loan is not modeling a loss. Increasing Credit Enhancement: As of the April 2021 distribution date, the pool's aggregate principal balance has been paid down 6.4% to $709 million from $757 million at issuance. There are three defeased loans (1.2%). There are 11 full term interest only loans (34.3%). Sixteen loans (29%) were structured with partial interest only periods; only one (0.6%) remains in its initial IO period. The deal has realized losses of slightly over $1,000 affecting the non-rated class H. Non-rated classes G and H are both experiencing interest shortfalls. The majority of the pool (99.2%) matures in 2025; one loan (0.8%) matures in 2024. Coronavirus Exposure: There are four loans (16.4%) secured by hotel properties and there are six (8.3%) non-specially serviced loans secured by retail properties. The hotel properties have a weighted average (WA) NOI DSCR of 2.60x and can sustain a WA decline in NOI of 59% before DSCR would fall below 1.0x. The retail properties have a WA NOI DSCR of 1.96x and can sustain a WA decline in NOI of 42% before DSCR would fall below 1.0x. Fitch's analysis included additional NOI stresses to three hotel and three retail loans to account for potential future cash flow disruptions due to the coronavirus pandemic. The stresses contributed to the Outlooks remaining Negative. Investment Grade Credit Opinion Loans: Two loans (14.4%) were given investment grade credit opinions at issuance. Both Charles River Plaza North (9%) and 651 Brannan Street (5.4%) received a credit opinion of 'BBB-sf' at issuance and continue to perform in line with issuance. RATING SENSITIVITIES The downgrades and Negative Rating Outlooks reflect concerns with the pool's retail concentration (20.1%) and higher certainty of loss on the specially serviced assets (11.8%). The Stable Rating Outlooks on the super senior classes reflect the increasing CE and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or defeasance. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Upgrades to classes B and C would only occur with significant improvement in CE and with improvement in the performance of the FLOCs, specifically The Mall of New Hampshire. -- An upgrade to class D is not likely but could occur if the FLOCs and other properties vulnerable to the coronavirus stabilize and if there is sufficiently high CE to the class. Upgrades to the distressed classes E and F are not considered likely and would only occur with substantial improvement in the FLOCs and if the REO asset is disposed with much greater recoveries than expected. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the super senior classes (A-3 through A-SB) are less likely due to high CE but may occur if losses increase substantially or if there is likelihood for interest shortfalls. A downgrade to class A-S would likely occur with continued underperformance of The Mall of New Hampshire or as the performance of other large loans deteriorates and transfer to special servicing. -- Further downgrades to classes B, C and D would occur if expected losses continue to increase, if loans susceptible to the coronavirus do not stabilize or if additional loans transfer to special servicing with higher than current expected losses. Downgrades of classes E and F would occur with increased certainty of losses. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects those with Negative Rating Outlooks will be downgraded one or more categories. 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 The transaction has an ESG Relevance score of '4' for Exposure to Social Impacts due to a regional mall and REO retail portfolio that are underperforming as a result of changing consumer preferences to shopping, which has a negative impact on the credit profile and is highly relevant to the rating. 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. BENCHMARK 2021-B25: Fitch Assigns Final B- Rating on 2 Tranches --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2021-B25 Mortgage Trust commercial mortgage pass-through certificates series 2021-B25 as follows: -- $22,751,000 class A-1 'AAAsf'; Outlook Stable; -- $18,335,000 class A-2 'AAAsf'; Outlook Stable; -- $38,075,000 class A-3 'AAAsf'; Outlook Stable; -- $175,000,000a class A-4 'AAAsf'; Outlook Stable; -- $514,148,000a class A-5 'AAAsf'; Outlook Stable; -- $35,940,000 class A-SB 'AAAsf'; Outlook Stable; -- $920,578,000b class X-A 'AAAsf'; Outlook Stable; -- $93,350,000b class X-B 'A-sf'; Outlook Stable; -- $116,329,000 class A-S 'AAAsf'; Outlook Stable; -- $48,829,000 class B 'AA-sf'; Outlook Stable; -- $44,521,000 class C 'A-sf'; Outlook Stable; -- $60,319,000bc class X-D 'BBB-sf'; Outlook Stable; -- $24,415,000bc class X-F 'BB-sf'; Outlook Stable; -- $11,489,000bc class X-G 'B-sf'; Outlook Stable; -- $33,032,000c class D 'BBBsf'; Outlook Stable; -- $27,287,000c class E 'BBB-sf'; Outlook Stable; -- $24,415,000c class F 'BB-sf'; Outlook Stable; -- $11,489,000c class G 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $38,776,742c class H; -- $38,776,742bc class X-H; -- $17,607,848cd class RR; -- $42,862,034cd Pooled RR Interest. -- $13,196,000ce Class 300P-A; -- $43,433,000ce Class 300P-B; -- $43,809,000ce Class 300P-C; -- $41,917,000ce Class 300P-D; -- $3,495,000ce Class 300P-E; -- $9,250,000ce Class 300P-RR; -- $11,875,000ce Class ST-A; -- $625,000ce Class ST-VR. (a) Since Fitch published its expected ratings on April 12, 2021, the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be $689,148,000 in the aggregate, subject to a variance of plus or minus 5%. The final class balances for classes A-4 and A-5 are $175,000,000 and $514,148,000, respectively. The classes above reflect the final ratings and deal structure. (b) Notional amount and interest only (IO). (c) Privately placed and pursuant to Rule 144A. (d) Non-offered vertical credit risk retention interest. (e) The transaction includes eight classes of non-offered, loan-specific certificates (nonpooled rake classes) related to the companion loan of SOMA Teleco Office and Amazon Seattle. The expected ratings are based on information provided by the issuer as of April 29, 2021. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 47 fixed-rate loans secured by 76 commercial properties having an aggregate principal balance of $1,209,397,625 as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc, JPMorgan Chase Bank, National Association, German American Capital Corporation and Goldman Sachs Mortgage Company. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 18.4% of the properties by balance, cash flow analyses of 86.2% of the pool and asset summary reviews on 100% of the pool. Coronavirus-Related Effects: 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. Delinquencies may occur in the coming months as forbearance programs are put in place, although the ultimate effects on credit losses will depend heavily on the severity and duration of the negative economic impact of the coronavirus pandemic and to what degree fiscal interventions by the U.S. federal government can mitigate the outcomes on consumers. Per the offering documents, all the loans are current and are not subject to any ongoing forbearance requests; however, the sponsors for JW Marriott Nashville (1.7% of the pool), LiveNation Downtown LA (1.3% of the pool), and At Home - Willow Grove (0.8% of the pool) have negotiated loan amendments/modifications. Please see the "Additional Coronavirus Forbearance Provisions" section on page 13 of the presale report for additional information. KEY RATING DRIVERS Fitch Leverage: The transaction leverage is slightly higher than other recent multiborrower transactions rated by Fitch Ratings. The pool's Fitch loan-to-value ratio (LTV) of 102.0% is higher than the 2020 and YTD 2021 averages of 99.6% and 101.2%, respectively. Additionally, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.24x is lower with the 2020 and YTD 2021 averages of 1.32x and 1.41x, respectively. Excluding credit opinion loans, the pool's weighted average (WA) Fitch trust DSCR and LTV are 1.24x and 110.1%, respectively. Investment-Grade Credit Opinion Loans: The pool includes two loans, representing 21.5% of the pool, that received investment-grade Credit Opinions. Burlingame Point (9.9% of the pool) received a Credit Opinion of 'BBB-sf' on a standalone basis, Amazon Seattle (7.4%) received a Credit Opinion of 'BBB-sf' on a standalone basis, and 909 Third Avenue (4.1%) received a Credit Opinion of 'BBB+sf' on a standalone basis. High Office Exposure: Loans secured by office properties account for 62.4% of the pool's cutoff balance, which is higher than the 2020 and YTD 2021 averages of 41.2% and 40.5%, respectively. Eight of the top 10 loans are secured by office properties, including the top three loans Burlingame Point (9.9% of the pool), SOMA Teleco Office (8.5%) and Amazon Seattle (7.4%). Industrial properties represent the next highest property type concentration at 16.7%, which is above the 2020 and YTD 2021 averages of 9.8% and 11.8%, respectively. The pool's retail concentration of 8.7% is below the 2020 and YTD 2021 averages of 16.3% and 17.8%, respectively, and the pool's hotel concentration of 1.7% is below the 2020 and YTD 2021 averages of 9.2% and 6.1%, respectively. RATING SENSITIVITIES This section provides insight into the sensitivity of ratings when one assumption is modified, while holding others equal. For U.S. CMBS, the sensitivity reflects the impact of changes to property net cash flow (NCF) in up and down environments. The result below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. 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' / 'BBB+sf' / 'BBB-sf' / 'BBB-sf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'. 10% NCF Decline: 'A+sf' / 'BBB+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'. 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 Ernst & Young LLP. 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. BLACKROCK DLF 2021-1: DBRS Gives Prov. B Rating on Class W Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Notes issued by BlackRock DLF IX CLO 2021-1, LLC, pursuant to the Note Purchase and Security Agreement dated as of March 30, 2021, among BlackRock DLF IX CLO 2021-1, LLC, as the Issuer; U.S. Bank National Association, as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers. -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (sf) -- Class W Notes at B (sf) The provisional ratings on the Class A-1 Notes and the Class A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. The provisional ratings on the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes, and the Class W Notes address the ultimate payment of interest (excluding the additional interest payable at Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. The Class W Notes will have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes, including the Class E Notes, and could therefore be considered below market rate. As of the Closing Date, DBRS Morningstar's ratings on the Secured Notes will be provisional. The provisional ratings reflect the fact that the finalization of the provisional ratings are subject to certain conditions after the Closing Date, such as compliance with the Eligibility Criteria (as defined in the NPSA). Provisional ratings are not final ratings with respect to the above-mentioned Secured Notes and may change or be different than the final ratings assigned or may be discontinued. The assignment of final ratings on the Secured Notes is subject to receipt by DBRS Morningstar of all data and/or information and final documentation that DBRS Morningstar deems necessary to finalize the ratings. The Notes will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer will be managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA an acceptable collateralized loan obligation (CLO) manager. The provisional ratings reflect the following primary considerations: (1) The NPSA, dated as of March 30, 2021. (2) The integrity of the transaction structure. (3) DBRS Morningstar's assessment of the portfolio quality. (4) Adequate credit enhancement to withstand DBRS Morningstar's projected collateral loss rates under various cash flow-stress scenarios. (5) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of BCIA. To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio that is not rated by DBRS Morningstar. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning a rating to a facility. As the Coronavirus Disease (COVID-19) spread around the world, certain countries imposed quarantines and lockdowns, including the United States, which accounts for more than one fourth of confirmed cases worldwide. The coronavirus pandemic has negatively affected not only the economies of the nations most afflicted, but also the overall global economy with diminished demand for goods and services as well as disrupted supply chains. The effects of the pandemic may result in deteriorated financial conditions for many companies and obligors, some of which will experience the effects of such negative economic trends more than others. At the same time, governments and central banks in multiple regions, including the United States and Europe, have taken significant measures to mitigate the economic fallout from the coronavirus pandemic. In conjunction with DBRS Morningstar's commentary, "Global Macroeconomic Scenarios: Implications for Credit Ratings," published on April 16, 2020, and its updated commentary, "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021, DBRS Morningstar further considers additional adjustments to assumptions for the CLO asset class that consider the moderate economic scenario outlined in the commentary. The adjustments include a higher default assumption for the weighted-average (WA) credit quality of the current collateral obligation portfolio. To derive the higher default assumption, DBRS Morningstar notches ratings for obligors in certain industries and obligors at various rating levels based on their perceived exposure to the adverse disruptions caused by the coronavirus. Considering a higher default assumption would result in losses that exceed the original default expectations for the affected classes of notes. DBRS Morningstar may adjust the default expectations further if there are changes in the duration or severity of the adverse disruptions. For CLOs with minimally ramped assets at closing, DBRS Morningstar considers whether that the NPSA contains a Collateral Quality Matrix with sufficient rows and columns that would allow for higher stressed DBRS Morningstar Risk Scores and therefore a higher default probability on the collateral pool, while still remaining in compliance with the other Collateral Quality Tests, such as the WA Spread and Diversity Score. The results of this analysis indicate that the instruments can withstand an additional higher default probability commensurate with a moderate-scenario impact of the coronavirus. Notes: All figures are in U.S. dollars unless otherwise noted. BSST 2021-1818: DBRS Finalizes B(low) Rating on Class F Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-1818 issued by BSST 2021-1818 Mortgage Trust: -- Class A at AAA (sf) -- Class X-CP at AAA (sf) -- Class X-EXT at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. Classes X-CP and X-EXT are interest-only classes whose balances are notional. BSST 2021-1818 is collateralized by the borrower's fee-simple and leasehold interest in a Class A office and retail building, 1818 Market Street, in the Market Street West submarket of Philadelphia. DBRS Morningstar takes a generally positive view on the credit characteristics of the collateral based on the property's desirable location and the recent improvements and capital that have been applied by the sponsor. The building benefits from its recently completed renovations and strong leasing performance before the Coronavirus Disease (COVID-19) pandemic. The property was acquired by the sponsor, Shorenstein Realty Investors Eleven, L.P., in 2015 and has seen a rise in occupancy since then. The property also benefits from a desirable office location in Center City, Philadelphia, with below-market rents and strong historical occupancy, which makes it a potentially attractive option for a variety of tenants in the future. The property has good highway access to I-676, I-76, and I-95, and is also in close proximity to Dilworth Park, which offers commuter and subway access to Center City. The Market Street West submarket remains one of the most desirable office submarkets in Philadelphia because of its high-quality office buildings and increasing demand with a limited new supply. According to CBRE Econometric Advisors, the Market Street West submarket vacancy rate is about 1.0% lower than the Philadelphia Downtown vacancy rate, and the submarket is expected to outperform the broader metropolitan area over the next several years. The property's sponsor, Shorenstein Realty Investors Eleven, L.P., spent more than $94.1 million ($94.1 per square foot) in capital expenditures, tenant improvements, and leasing costs since 2015. These improvements included common area upgrades to the lobby, elevator and facade renovations, and a new tenant-only fitness center and a conference center. The property also benefits from below-market rents and flexible extension options for tenants. The WSFS Bank lease has two five-year extension options. WSFS Bank has been at the property since 2019, after acquiring the former Beneficial Bank that had been at the property since the acquisition in 2015. In comparison with other nearby office properties, 1818 Market Street has a lower asking rent, which is attractive for bringing in tenants in the future. The property is currently 84.2% occupied and benefits from credible tenancy, with the top five tenants having a weighted-average (WA) lease term of 10.7 years. The property as a whole has a WA lease expiration of 7.5 years. No tenant at the property occupies more than 10% of total net rentable area (NRA). The largest tenant at the property is WSFS Bank, which occupies 9.7% of the total NRA and accounts for 8.9% of the DBRS Morningstar-adjusted total base rent. WSFS Bank acquired the space following its merger with Beneficial Bank. Notes: All figures are in U.S. dollars unless otherwise noted. BSST 2021-SSCP: DBRS Gives Prov. B(low) Rating on Class G Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-SSCP to be issued by BSST 2021-SSCP Mortgage Trust (BSST 2021-SSCP): -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) -- Class X-CP at A (sf) -- Class X-EXT at A (sf) All trends are Stable. Classes X-CP and X-EXT are interest-only (IO) classes whose balances are notional. The BSST 2021-SSCP single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in a portfolio of 32 industrial/logistics properties and one laboratory property across 11 states being acquired by a newly formed joint venture (JV) between Raith Capital Partners, LLC (Raith) and Equity Industrial Partners (EIP). The portfolio benefits from strong functionality metrics and has a weighted-average (WA) year built of 2005, which is significantly newer than other recently analyzed industrial portfolios that have averaged around 1993. Additionally, the portfolio's WA clear heights are approximately 30 feet, which are greater than other recently analyzed portfolios that have averaged closer to 27 feet. Newer facilities tend to have taller clear heights, more efficient layouts, and a wider array of potential tenants at more favorable rental rates. With the exception of one laboratory property, the entire remainder of the portfolio is classified as functional warehouse/distribution product, which DBRS Morningstar generally confirmed via site tours on a sampling of the portfolio. Furthermore, only 6.7% of the portfolio's square footage composed of office space, which is very favorable among industrial portfolios recently analyzed by DBRS Morningstar. There is potential post securitization cash flow upside embedded in the portfolio, primarily related to the 10089 North Main Street asset in Jacksonville, Florida. The 240,000-sf property is currently entirely vacant, and DBRS Morningstar expects the sponsors to find success re-leasing the property in the short to medium term. Using the appraiser's concluded $4.25 psf market rent, there is approximately $1 million in potential revenue upside from the space. DBRS Morningstar marked the property vacant and did not assume any upside in its concluded NCF. The borrower sponsors, a JV partnership between Raith and EIP, are contributing approximately $79.4 million in cash equity as a part of the transaction to acquire the portfolio for a purchase price of $311.0 million. DBRS Morningstar generally views acquisition loans with significant amounts of cash equity more favorably than cash-out financings, given the stronger alignment of economic incentives with certificate holders. The portfolio has performed well through the Coronavirus Disease (COVID-19) pandemic, with collections averaging 96.0% through YE2020. Collections have averaged 99.8% through Q1 2021, and only two tenants in the portfolio totaling 3.0% of the net rentable area were granted coronavirus rent deferrals; both tenants fully repaid all deferred rent by YE2020. While a number of properties in the portfolio are in primary industrial markets such as Chicago, Atlanta, and Jacksonville, Florida, the remainder of the portfolio is largely concentrated in secondary markets. While these markets have performed well, they lack the robust and diversified economies and port access that often characterize primary, gateway markets. Collectively, the portfolio's submarkets have a WA availability rate of approximately 7.5%, which is slightly above the Q4 2020 national average of approximately 7.4%, according to CBRE Econometric Advisers. Twenty-five of the portfolio's 32 properties are leased to single-tenant users, thereby reducing tenant diversity and granularity. The properties collectively compose approximately 76.2% of the DBRS Morningstar in-place base rent. This proportion of single-tenant properties is higher than other recently analyzed transactions. Additionally, two of the tenants in the portfolio are currently dark, including Schilli Distribution Services, Inc. (single-tenant at 6400 Mississippi Street in Merrillville, Indiana) and Nestle Prepared Foods (single-tenant at 18501 Northstar Court in Tinley Park, Illinois). Both tenants are current on their rent. The transaction is the second in a series of issuances based on a novel transaction structure whereby the issuer may periodically offer commercial mortgage pass-through certificates in separate series under one master trust and servicing agreement and offering circular. Each series will have an offering circular supplement and a series supplement to the trust and servicing agreement. Further, each series will be rated independently of the others, each will have its own priority of payments, and there will be no pooling of risk. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2021-VINO: Moody's Gives (P)B3 Rating to Cl. F Certs ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to six classes of CMBS securities, issued by BX Commercial Mortgage Trust 2021-VINO, Commercial Mortgage Pass-Through Certificates, Series 2021-VINO: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B3 (sf) RATINGS RATIONALE The certificates are collateralized by the borrower's fee and leasehold interests in 48 industrial properties located across five states. 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 Moody's Large Loan and Single Asset/Single Borrower CMBS methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The portfolio contains a total of 11,336,706 SF of net rentable area ("NRA") comprised primarily of warehouse/distribution and light industrial facilities. The largest geographic market concentration by allocated loan amount ("ALA") is in the Atlanta, Georgia area (59.8% of ALA, 70.1% of NRA), followed by Minneapolis, Minnesota (15.0% of ALA, 13.5% of NRA), Washington, D.C (12.7% of ALA, 6.4% of NRA), Salt Lake City, Utah (8.6% of ALA, 6.8% of NRA), and Orange County, California (3.8% of ALA, 3.2% of NRA). The portfolio properties are primarily located in global gateway markets and generally situated within close proximity to major transportation arteries. Construction dates for properties in the portfolio range between 1964 and 2020, with a weighted average year built of 2004. Property sizes for assets range between 40,617 SF and 1,000,000 SF, with an average size of approximately 236,000 SF. Clear heights for properties range between 20 feet and 36 feet, with a weighted average, clear height for the portfolio of approximately 30 feet. As of April 22, 2021, the portfolio was approximately 91.5% leased to 76 unique tenants, not including pending leases. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. The Moody's first-mortgage DSCR is 2.35 and Moody's first-mortgage stressed DSCR at a 9.25% constant is 0.55x. Moody's DSCR is based on Moody's stabilized net cash flow. The Moody's LTV ratio for the first-mortgage balance is 157.8%. The Moody's LTV ratio is based on Moody's value. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 0.98. Notable strengths of the transaction include: proximity to global gateway markets, geographic diversity, asset quality and experienced sponsorship. Notable concerns of the transaction include: the high Moody's loan-to-value ratio (LTV), tenant rollover profile, floating-rate/interest-only mortgage loan profile and certain credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an Upgrade or Downgrade of the Ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of commercial real estate from a gradual and unbalanced recovery in United States economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. CFCRE COMMERCIAL 2011-C1: Fitch Withdraws D Ratings on 3 Tranches ----------------------------------------------------------------- Fitch Ratings has affirmed and withdrawn three classes in CFCRE Commercial Mortgage Trust 2011-C1 DEBT RATING PRIOR ---- ------ ----- CFCRE 2011-C1 E 12527EAK4 LT Dsf Affirmed Dsf E 12527EAK4 LT WDsf Withdrawn Dsf F 12527EAL2 LT Dsf Affirmed Dsf F 12527EAL2 LT WDsf Withdrawn Dsf G 12527EAM0 LT Dsf Affirmed Dsf G 12527EAM0 LT WDsf Withdrawn Dsf 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 Fitch has affirmed three classes of CFCRE 2011-C1 at 'Dsf' as a result of previously incurred losses. The ratings on these bonds have been subsequently withdrawn as there is no collateral remaining in the deal. The transaction is no longer considered relevant to Fitch's coverage. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- The ratings have been withdrawn and no further rating changes are possible. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- The ratings have been withdrawn and no further rating changes are possible. 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. Following the withdrawal of ratings for CFCRE 2011-C1 Fitch will no longer be providing the associated ESG Relevance Scores. CIFC FUNDING 2019-II: S&P Assigns BB- (sf) on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to CIFC Funding 2019-II Ltd./CIFC Funding 2019-II 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 ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned CIFC Funding 2019-II Ltd./CIFC Funding 2019-II LLC Class A-N(i), $0.00 million: AAA (sf) Class A-L loans(i), $248.53 million: AAA (sf) Class A-R, $61.47 million: AAA (sf) Class B-N(i), $0.00 million: AA (sf) Class B-L loans(i), $18.00 million: AA (sf) Class B-R, $52.00 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, $49.96 million: Not rated (i)The class A-L B-L loans will be issued pursuant to the class A-L and B-L credit agreements, respectively. The aggregate principal amount of each can be converted (in whole or in part) to class A-N or B-N notes, respectively (but cannot be converted back to loans following this). CIG AUTO 2020-1: Moody's Hikes Class E Notes Rating to Ba2 ---------------------------------------------------------- Moody's Investors Service has upgraded three classes of notes issued by CIG Auto Receivables Trust 2019-1 (CIGAR 2019-1), and four classes of notes issued by CIG Auto Receivables Trust 2020-1 (CIGAR 2020-1). The notes are backed by a pool of retail automobile loan contracts originated by CIG Financial LLC (CIG; Unrated), which is also the servicer and sponsor for the transactions. The complete rating actions are as follows: Issuer: CIG Auto Receivables Trust 2019-1 Class B Notes, Upgraded to Aaa (sf); previously on Dec 17, 2020 Upgraded to Aa1 (sf) Class C Notes, Upgraded to Aa1 (sf); previously on Dec 17, 2020 Upgraded to A1 (sf) Class D Notes, Upgraded to Baa3 (sf); previously on Dec 17, 2020 Upgraded to Ba1 (sf) Issuer: CIG Auto Receivables Trust 2020-1 Class B Notes, Upgraded to Aaa (sf); previously on Sep 24, 2020 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa1 (sf); previously on Sep 24, 2020 Definitive Rating Assigned Aa3 (sf) Class D Notes, Upgraded to A3 (sf); previously on Sep 24, 2020 Definitive Rating Assigned Baa2 (sf) Class E Notes, Upgraded to Ba2 (sf); previously on Sep 24, 2020 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The upgrades are primarily driven by the buildup of credit enhancement due to structural features including sequential pay structure, non-declining reserve account and overcollateralization. Moody's lifetime cumulative net loss expectation is 12.0% for CIGAR 2019-1 and CIGAR 2020-1. The loss expectations reflect updated performance trends on the underlying pools and the increased likelihood of defaults by borrowers affected by a slowdown in the US economic activity due to the coronavirus outbreak. However, more recently US consumers have shown a high degree of resilience owing to the government stimulus and borrower relief options offered by the servicers. The COVID-19 pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in US economic activity. Specifically, for auto loan ABS, loan performance will continue to benefit from government support and the improving unemployment rate that will support the borrower's income and their ability to service debt. However, any softening of used vehicle prices will reduce recoveries on defaulted auto loans. Furthermore, any elevated use of borrower assistance programs, such as extensions, may adversely impact scheduled cash flows to bondholders. Moody's regard the COVID-19 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 Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in December 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors' promise of payment. The US job market and the market for used vehicles are also primary drivers of the transactions' performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors' promise of payment. The US job market and the market for used vehicles are also primary drivers of the transactions' performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. CITIGROUP COMMERCIAL 2015-GC33: Fitch Affirms B- on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of Citigroup Commercial Mortgage Trust (CGCMT) 2015-GC33 commercial mortgage pass-through certificates and revised two Outlooks to Negative from Stable. DEBT RATING PRIOR ---- ------ ----- CGCMT 2015-GC33 A-3 29425AAC7 LT AAAsf Affirmed AAAsf A-4 29425AAD5 LT AAAsf Affirmed AAAsf A-AB 29425AAE3 LT AAAsf Affirmed AAAsf A-S 29425AAF0 LT AAAsf Affirmed AAAsf B 29425AAG8 LT AA-sf Affirmed AA-sf C 29425AAH6 LT A-sf Affirmed A-sf D 29425AAJ2 LT BBB-sf Affirmed BBB-sf E 29425AAP8 LT BB-sf Affirmed BB-sf F 29425AAR4 LT B-sf Affirmed B-sf PEZ 29425AAN3 LT A-sf Affirmed A-sf X-A 29425AAK9 LT AAAsf Affirmed AAAsf X-D 29425AAM5 LT BBB-sf Affirmed BBB-sf Classes X-A and X-D are interest only (IO). Class A-S, class B, and class C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for the class A-S, class B, and class C certificates. KEY RATING DRIVERS Increased Loss Expectations: While the majority of the pool continues to exhibit generally stable performance, overall loss expectations on the pool have risen primarily due to the increasing number of Fitch Loans of Concern (FLOCs) as well as ongoing concerns related to the coronavirus pandemic. Fitch's current ratings incorporate a base case loss of 6.4%. The Negative Outlooks on classes D through F, and X-D, reflect losses that could reach 8.1% when factoring in additional stresses related to the coronavirus pandemic. Fitch has designated 14 loans (19.9% of pool) as FLOCs, including three specially serviced loans (12.3%). Largest Contributors to Loss: The largest contributor to loss is the specially serviced Hammons Hotel Portfolio loan (10.1% of the pool), which is secured by fee and leasehold interests in seven full service, limited service, and extended stay hotels located in seven distinct markets in seven states. All the properties have either a Hilton or Marriott flag. The properties were developed between 2006 and 2010 and have an aggregate room count of 1,869. Four out of the seven hotels have a convention center included in the collateral. The loan re-transferred to special servicing in June 2020 due to a relief request related to the ongoing pandemic. The loan is 90+ days delinquent. The servicer has sent out a notice of default and engaged counsel to commence enforcement of remedies. The servicer and borrower are discussing terms for potential relief which could include a new equity partner that would provide a cash infusion to cover operating shortfalls. The loan was previously in special servicing due to a borrower related bankruptcy that was resolved in 2019. Per servicer reporting, the YE 2020 NOI debt service coverage ratio (DSCR) was 0.72x, down from YE 2019 at 2.09x, and YE 2018 at 2.13x. Per the TTM January 2021 STR report, the weighted average portfolio RevPAR was down 56.4% from TTM December 2019. The next largest contributor to loss is the Illinois Center loan (11% of the pool), which is secured by two adjoining 32-story office towers located in the East Loop submarket of the Chicago CBD. 111 East Wacker, which totals 1.02 million sf, was built in 1969 and last renovated in 2014; and 233 North Michigan Avenue, which totals 1.07 million sf, was built in 1972 and last renovated in 2014. Per the servicer, the YE 2020 NOI DSCR was down to 1.61x from 2.19x at YE 2019; amortization began in September 2020. YE 2020 NOI was down approximately 10% yoy. Per the YE 2020 rent roll, the property was 67% leased compared to 72.2%, as of September 2019, and 72.3% at issuance; the occupancy decline is primarily attributable to the loss of Young & Rubicam Inc. (3.3% of NRA), which vacated near its lease expiry in 2020. Approximately 7.2% of the NRA is scheduled to roll over next 12 months. Fitch applied a 7.5% haircut to the YE 2020 cash flow in its analysis primarily to account for this upcoming tenant roll. The third largest contributor to loss is the specially serviced Houston Hotel Portfolio (1.4% of the pool), which is secured by two hotels located in two distinct markets in Texas. The Holiday Inn Express West Road is a 87-key limited service hotel located in Houston, TX. The hotel was built in 2010. Per servicer reporting, the hotel's NOI DSCR was 0.54x for YE 2019 down from 0.89x for YE 2018. The Hampton Inn Port Arthur is a 72-key limited service hotel located in Port Arthur, TX. The hotel was built in 2007 and last renovated in 2014. Per servicer reporting, the hotel's NOI DSCR was 2.06x for YE 2019. The loan transferred to special servicing in July 2020 due to delinquency. The special servicer is reportedly proceeding with foreclosure and pursuing the appointment of a receiver. Cash management accounts have been established. Credit Enhancement Slightly Improved: As of the April 2021 distribution date, the pool's aggregate principal balance paid down by 6.1% to $899.6 million from $958.5 million at issuance. Since issuance, two loans have prepaid early ($18.9 million combined balance at issuance). Five loans (14.3%) are full-term IO while only one loan (7.2%) remains in its partial IO period, which is scheduled to end next month. Five loans have defeased (7%). Only one loan (0.7%, 2021) is scheduled to mature prior to 2025. Coronavirus Impact: Significant economic impact to certain hotels, retail, and multifamily properties, is expected due to the pandemic and the lack of clarity at this time on the potential length of the impact. Loans secured by hotels comprise an above average 21.7% of the pool while retail and multifamily are at 22.9% and 6.2% of the pool, respectively. Fitch applied additional coronavirus-related stresses to 10 retail loans (10.4% of the pool), and nine hotel loans (21%); these additional stresses contributed to the Negative Rating Outlooks on classes D through F and X-D. ADDITIONAL CONSIDERATIONS Above-Average Pool Concentration: The largest 10 loans account for 56.3% of the pool by balance, which is greater than the average for Fitch-rated transactions of similar vintage. Diverse Property Types: The pool has a diverse mix of property types, with office the largest at 28.1%, followed by retail at 22.9%, hotel at 21.7%, and multifamily at 6.2%. Three of the top four loans (24.9%) are office properties. Overall, the office properties have a diverse mix of geographic locations, including both CBD and suburban markets. RATING SENSITIVITIES The Negative Outlook on classes D through F, and X-D, reflect the potential for downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and possible losses from the FLOCs. Factors that could, Individually or Collectively, Lead to a Positive Rating Action/Upgrade: -- Stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B, C and PEZ may occur with significant improvement in credit enhancement (CE) and/or defeasance and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic; however, adverse selection and increased concentrations could cause this trend to reverse. -- Upgrades to class D would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if interest shortfalls are likely. Upgrades to classes E and F are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE. Factors that could, Individually or Collectively, Lead to a Negative Rating Action/Downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-1 through B are not likely due to their position in the capital structure, but may occur should interest shortfalls affect these classes or with a significant deterioration in pool performance. -- Downgrades to classes C through D are possible should expected losses for the pool increase significantly. Downgrades to classes E through F would occur if performance of the FLOCs, or loans susceptible to the coronavirus pandemic, do not stabilize and/or additional loans default and/or transfer to special servicing. -- In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects additional negative rating actions, including downgrades and/or additional Negative Outlook revisions. Deutsche Bank is the trustee for the transaction and also serves as the backup advancing agent. Deutsche Bank's Issuer Default Rating is 'BBB'/Positive/'F2'. Fitch relies on the master servicer, Wells Fargo & Company (A+/Negative/F1), which is currently the primary advancing agent, as a direct counterparty. 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. CITIGROUP MORTGAGE 2021-J1: Fitch Assigns B+ Rating on B-5 Tranche ------------------------------------------------------------------ Fitch Ratings has assigned ratings to Citigroup Mortgage Loan Trust 2021-J1 (CMLTI 2021-J1). DEBT RATING PRIOR ---- ------ ----- CMLTI 2021-J1 A-1 LT AAAsf New Rating AAA(EXP)sf A-1-IO LT AAAsf New Rating AAA(EXP)sf A-1-IOW LT AAAsf New Rating AAA(EXP)sf A-1-IOX LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating A-1W LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-2-IO LT AAAsf New Rating AAA(EXP)sf A-2-IOW LT AAAsf New Rating AAA(EXP)sf A-2-IOX LT AAAsf New Rating AAA(EXP)sf A-2A LT AAAsf New Rating AAA(EXP)sf A-2W LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-IO LT AAAsf New Rating AAA(EXP)sf A-3-IOW LT AAAsf New Rating AAA(EXP)sf A-3-IOX LT AAAsf New Rating AAA(EXP)sf A-3A LT AAAsf New Rating AAA(EXP)sf A-3W LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-IO LT AAAsf New Rating AAA(EXP)sf A-4-IOW LT AAAsf New Rating AAA(EXP)sf A-4-IOX LT AAAsf New Rating AAA(EXP)sf A-4A LT AAAsf New Rating AAA(EXP)sf A-4W LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-IO LT AAAsf New Rating AAA(EXP)sf A-5-IOW LT AAAsf New Rating AAA(EXP)sf A-5-IOX LT AAAsf New Rating AAA(EXP)sf A-5A LT AAAsf New Rating AAA(EXP)sf A-5W LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating A-6-IO LT AAAsf New Rating A-6-IOW LT AAAsf New Rating A-6-IOX LT AAAsf New Rating A-6A LT AAAsf New Rating A-6W LT AAAsf New Rating A-7 LT AAAsf New Rating A-7-IO LT AAAsf New Rating A-7-IOW LT AAAsf New Rating A-7-IOX LT AAAsf New Rating A-7W LT AAAsf New Rating A-8 LT AAAsf New Rating A-8-IO LT AAAsf New Rating A-8-IOW LT AAAsf New Rating A-8-IOX LT AAAsf New Rating A-8A LT AAAsf New Rating A-8W LT AAAsf New Rating A-IO-S LT NRsf New Rating NR(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-1-IO LT AAsf New Rating AA(EXP)sf B-1-IOW LT AAsf New Rating AA(EXP)sf B-1-IOX LT AAsf New Rating AA(EXP)sf B-1W LT AAsf New Rating AA(EXP)sf B-2 LT A+sf New Rating A+(EXP)sf B-2-IO LT A+sf New Rating A+(EXP)sf B-2-IOW LT A+sf New Rating A+(EXP)sf B-2-IOX LT A+sf New Rating A+(EXP)sf B-2W LT A+sf New Rating A+(EXP)sf B-3 LT BBB+sf New Rating BBB+(EXP)sf B-3-IO LT BBB+sf New Rating BBB+(EXP)sf B-3-IOW LT BBB+sf New Rating BBB+(EXP)sf B-3-IOX LT BBB+sf New Rating BBB+(EXP)sf B-3W LT BBB+sf New Rating BBB+(EXP)sf B-4 LT BB+sf New Rating BB+(EXP)sf B-5 LT B+sf New Rating B+(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 373 fixed-rate mortgages (FRMs) with a total balance of approximately $318.1 million as of the cutoff date. The loans were originated by various mortgage originators and Fay Servicing, LLC (Fay) will be the servicer. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, shifting interest structure. The issuer requested ratings be assigned to 18 additional classes after the presale was published. The A-6, A-6-IO and A-6-IOX classes are initial exchangeable classes and the A-1B, A-6A, A-6-IOW, A-6W, A-7, A-7-IO, A-7-IOX, A-7-IOW, A-7W, A-8, A-8-IO, A-8-IOX, A-8A, A-8-IOW and A-8W are exchangeable classes. The ratings on the exchangeable classes are based off of the lowest rating that the Exchangeable classes are based off of or notional off of. The model indicated slightly higher ratings for the B-4 and B-5 subordinate classes than the ratings that were assigned. The ratings were limited to one rating notch higher than the ratings typically assigned to prime shifting interest structures given each class's position in the capital structure and the thin bond sizes, even though CE would allow the class to achieve a higher rating under Fitch's stresses. KEY RATING DRIVERS High Quality Mortgage Pool (Positive): The pool consists of very high quality, 30-year fixed-rate, fully amortizing safe harbor qualified mortgage (SHQM) loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. Per Fitch's calculation methodology, the loans are seasoned an average of five months. The pool has a weighted average (WA) original FICO score of 782, which is indicative of very high credit quality borrowers. Approximately 91% of the loans have an original FICO score of 750 or above. In addition, the original WA combined loan-to-value ratio (CLTV) of 64% represents substantial borrower equity in the property and reduced default risk. Shifting Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Full Advancing (Mixed): Citigroup Global Markets Realty Corp. (CGMRC) will provide full advancing for the life of the transaction. To the extent CGMRC fails to make an advance, U.S. Bank as Trust Administrator, will be obligated to advance such amounts to the trust. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. Subordination Floor (Positive): A CE or senior subordination floor of 1.35% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Also, a junior subordination floor of 1.20% will be maintained to mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding. Additionally, the stepdown tests do not allow principal prepayments to subordinate bondholders in the first five years following deal closing. Updated Economic Risk Factor (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the Coronavirus-related ERF floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'd' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." ESG Impact (Positive): CMLTI 2021-J1 has an ESG Relevance Score of '+4' for Transaction Parties & Operational Risk. Operational risk is well controlled for in CMLTI 2021-J1 and include strong R&W and transaction due diligence as well as a strong aggregator which resulted in a reduction in expected losses. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area (MSA) level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.1% 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 a 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 SitusAMC. The third-party due diligence described in Form 15E focused on credit, compliance, data integrity, and property valuation. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. The entirety (100%) of the pool received a final grade of 'A' or 'B', which confirms no incidence of material exceptions. ESG CONSIDERATIONS CMLTI 2021-J1: Transaction Parties & Operational Risk: 4 CMLTI 2021-J1 has an ESG Relevance Score of '+4' for Transaction Parties & Operational Risk. Operational risk is well controlled for in CMLTI 2021-J1 and include strong R&W and transaction due diligence as well as a strong aggregator which resulted in a reduction in 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. CITIGROUP MORTGAGE 2021-J1: S&P Assigns B(sf) Rating on B-5 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Citigroup Mortgage Loan Trust 2021-J1's (CMLTI 2021-J1's) $318.1 million mortgage pass-through certificates. The issuance is an RMBS transaction backed by first-lien, fixed-rate fully amortizing residential mortgage loans, secured primarily by single-family residential properties, planned-unit developments, condominiums, and two-family residential properties to prime borrowers. The pool has 373 loans, which are all qualified mortgage loans. After S&P assigned its preliminary ratings on April 26, 2021, which are based on the term sheet dated April 20, 2021, the existing initial exchangeable class A-1 was split into classes A-1 and A-6. Existing interest-only (IO) classes A-1-IO and A-1-IOX were also replaced by new related IO classes A-1-IO, A-1-IOX, A-6-IO, and A-6-IOX. Super senior class A-2 and senior support class A-4, as well as their related IO classes remained unchanged. The transaction's super senior classes are now the class A-1, A-2, and A-6 certificates along with their related IO classes. Before the credit depletion date, the senior principal distribution amount is divided proportionally into super senior and senior support portions. The super senior portion is allocated sequentially to the class A-1, A-2, and A-6 certificates. Concurrently, the support senior portion is allocated to the class A-4 certificates. On or after the credit depletion date, the senior principal distribution amount is allocated pro rata to the class A-1, A-2, A-6, and A-4 certificates. Realized losses are applied in reverse sequential order until each class' principal balance has been reduced to zero: first to class B-6, then to class B-5, then to class B-4, then to class B-3, then to class B-2, and then to class B-1, until all subordinate certificates are reduced to zero. If no subordinate certificates are outstanding, realized losses will be applied to the senior-support A-4 certificates and then pro rata to the super-senior A-1, A-2, and A-6 certificates. The following classes now serve as initial exchangeable (base/depositable) certificates: A-1, A-1-IO, A-1-IOX, A-2, A-2-IO, A 2-IOX, A-4, A-4-IO, A-4-IOX, A-6, A-6-IO, A-6-IOX, B-1, B-1-IO, B-1-IOX, B-2, B-2-IO, B-2-IOX, B-3, B-3-IO, and B-3-IOX. The certificate holders can exchange the base/depositable certificates for several combinations of exchangeable certificates, some of which are IO classes, and vice versa, as specified in the offering documents. The exchangeable certificates now include class A-1A, A-1B, A-1-IOW, A-1W, A-2A, A-2-IOW, A-2W, A-3, A-3-IO, A-3-IOX, A-3A, A-3-IOW, A-3W, A-4A, A-4-IOW, A-4W, A-5, A-5-IO, A-5-IOX, A-5A, A-5-IOW, A-5W, A-6A, A-6-IOW, A-6W, A-7, A-7-IO, A-7-IOX, A-7-IOW, A-7W, A-8, A-8-IO, A-8-IOX, A-8A, A-8-IOW, A-8W, B-1-IOW, B-1W, B-2-IOW, B-2W, B-3-IOW, and B-3W. If an exchange is made, the exchanged certificates will receive a proportionate share of the principal and interest payments otherwise allocable to the classes of initial exchangeable certificates. The ratings reflect S&P's view of: -- The high-quality collateral in the pool; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; -- The mortgage aggregator, Citigroup Global Markets Realty Corp.; -- The geographic concentration; -- The 100% due diligence results consistent with represented loan characteristics; and -- The impact that the economic stress brought on by COVID-19, is likely to have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned Citigroup Mortgage Loan Trust 2021-J1 Class A-1, $162,230,000: AAA(sf) Class A-1-IO, $162,230,000(i): AAA(sf) Class A-1-IOX, $162,230,000(i): AAA(sf) Class A-1A, $202,788,000: AAA(sf) Class A-1B, $162,230,000: AAA(sf) Class A-1-IOW, $162,230,000(i): AAA(sf) Class A-1W, $162,230,000: AAA(sf) Class A-2, $67,596,000: AAA(sf) Class A-2-IO(i), $67,596,000: AAA(sf) Class A-2-IOX(i), $67,596,000: AAA(sf) Class A-2A, $67,596,000: AAA(sf) Class A-2-IOW, $67,596,000(i): AAA(sf) Class A-2W, $67,596,000: AAA(sf) Class A-3, $270,384,000: AAA(sf) Class A-3-IO, $270,384,000(i): AAA(sf) Class A-3-IOX, $270,384,000(i): AAA(sf) Class A-3A, $270,384,000: AAA(sf) Class A-3-IOW, $270,384,000(i): AAA(sf) Class A-3W, $270,384,000: AAA(sf) Class A-4, $33,239,000: AAA(sf) Class A-4-IO, $33,239,000(i): AAA(sf) Class A-4-IOX, $33,239,000(i): AAA(sf) Class A-4A, $33,239,000: AAA(sf) Class A-4-IOW, $33,239,000(i): AAA(sf) Class A-4W, $33,239,000: AAA(sf) Class A-5, $303,623,000: AAA(sf) Class A-5-IO, $303,623,000(i): AAA(sf) Class A-5-IOX, $303,623,000(i): AAA(sf) Class A-5A, $303,623,000: AAA(sf) Class A-5-IOW, $303,623,000(i): AAA(sf) Class A-5W, $303,623,000: AAA(sf) Class A-6, $40,558,000: AAA(sf) Class A-6-IO, $40,558,000(i): AAA(sf) Class A-6-IOX, $40,558,000(i): AAA(sf) Class A-6A, $40,558,000: AAA(sf) Class A-6-IOW, $40,558,000(i): AAA(sf) Class A-6W, $40,558,000: AAA(sf) Class A-7, $202,788,000: AAA(sf) Class A-7-IO, $202,788,000(i): AAA(sf) Class A-7-IOX, $202,788,000(i): AAA(sf) Class A-7-IOW, $202,788,000(i): AAA(sf) Class A-7W, $202,788,000: AAA(sf) Class A-8, $108,154,000: AAA(sf) Class A-8-IO, $108,154,000(i): AAA(sf) Class A-8-IOX, $108,154,000(i): AAA(sf) Class A-8A, $108,154,000: AAA(sf) Class A-8-IOW, $108,154,000(i): AAA(sf) Class A-8W, $108,154,000: AAA(sf) Class B-1, $5,408,000: AA(sf) Class B-1-IO(i), $5,408,000: AA(sf) Class B-1-IOX(i), $5,408,000: AA(sf) Class B-1-IOW(i), $5,408,000: AA(sf) Class B-1W, $5,408,000: AA(sf) Class B-2, $2,545,000: A(sf) Class B-2-IO, $2,545,000(i): A(sf) Class B-2-IOX, $2,545,000(i): A(sf) Class B-2-IOW, $2,545,000(i): A(sf) Class B-2W, $2,545,000: A(sf) Class B-3, $3,022,000: BBB(sf) Class B-3-IO, $3,022,000(i): BBB(sf) Class B-3-IOX, $3,022,000(i): BBB(sf) Class B-3-IOW, $3,022,000(i): BBB(sf) Class B-3W, $3,022,000: BBB(sf) Class B-4, $954,000: BB(sf) Class B-5, $1,431,000: B(sf) Class B-6, $1,114,249: Not rated Class A-IO-S, 318,097,249(i): Not rated Class R: Not rated (i)Notional balance. COLT 2021-3R: Fitch Assigns Final B(EXP) Rating on Class B2 Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by COLT 2021-3R Mortgage Loan Trust (COLT 2021-3R). DEBT RATING PRIOR ---- ------ ----- COLT 2021-3R A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has rated the residential mortgage-backed certificates issued by COLT 2021-3R Mortgage Trust, (COLT 2021-3R) as indicated. The certificates are supported by 250 loans with a balance of $134.05 million as of the cutoff date. Loans in the pool were originated by Caliber Home Loans, Inc. (Caliber), and 100% of the pool comprises collateral from a previously issued COLT transaction. Approximately 58% of the pool is designated as nonqualified mortgage (NonQM), 24% consists of higher-priced qualified mortgage (HPQM) and 16.4% are safe harbor QM (SHQM). For the remainder, the ability to repay (ATR) rule does not apply. KEY RATING DRIVERS Non-QM Credit Quality (Mixed): The pool, as calculated by Fitch, has a weighted average (WA) model credit score of 726, a WA combined loan to value ratio (CLTV) of 75.0% and a sustainable loan to value ratio (sLTV) of 84.7%. Of the pool, 37% had a debt to income (DTI) ratio of over 43%. The pool has WA seasoning of just over two years, based on origination. The loans have benefited from a positive home price environment and a generally strong pay history. Updated exterior broker price opinions (BPOs) were provided on all but one loan, which received an AVM. Fitch only treated less than 11% of the pool as having less than full documentation, which included asset depletion loans and loans originated to nonpermanent resident aliens. The pool did not include any bank statement loans. A majority of loans were underwritten to full documentation standards according to Appendix Q. Under the new QM definition, many of the loans would qualify as SHQM, if originated today. Payment Forbearance (Mixed): The pool is seasoned approximately 25 months in aggregate. The pool is approximately 90% current and 10% delinquent. Over the last two years, 84.5% of loans have been clean current. Additionally, 10.4% of loans have a prior modification. A total of 72 borrowers in the pool have requested Covid-19 payment relief plans. Of those, only 19 still remain delinquent. Two of the remaining borrowers are on active relief, with the others being either re-instated or now are current. Separately, three borrowers never requested forbearance but are delinquent. The pool's other forbearance plans are granted by the servicer, and borrowers will be counted as delinquent; however, the servicer will not advance delinquent principal and interest (P&I) during the forbearance period. Modified Sequential Payment Structure (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Compared with previous new origination COLT transactions, this transaction features a weaker delinquency trigger. There is no delinquency trigger for the first six months of the transaction. Additionally, between months 7 and 36, the delinquency trigger is 25%, which is 5% higher compared with previous new origination COLT transactions (non-refinance). The delinquency trigger is 30% for months 37-60, and after month 60, the trigger is set to 35%. The weaker delinquency trigger could result in more leakage to the A-2 and A-3 classes, which exposes more risk to the A-1 ('AAAsf') class. The triggers are consistent with COLT 2021-2R. Advances of delinquent P&I will be made on the mortgage loans for the first 180 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer (Wells Fargo) will be obligated to make such advance. The servicer or master servicer will not advance delinquent P&I during the forbearance period. Excess Cash Flow (Positive): The transaction benefits from a material amount of excess cash flow that provides benefit to the rated certificates before being paid out to class X certificates. The excess is available to pay timely interest and protect against realized losses, resulting in a CE amount that is less than Fitch's loss expectations for all classes except for the A1. To the extent the collateral weighted average coupon (WAC) and corresponding excess are reduced through a rate modification, Fitch would view the impact as credit neutral, as the modification would reduce the borrower's probability of default, resulting in a lower loss expectation. As a sensitivity to Fitch's rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt A modification %) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macro and regulatory environment. A portion of borrowers will likely be impaired but not ultimately default. Further, this approach had the largest impact on the Backloaded Benchmark scenario, which is also the most probable outcome, as defaults and liquidations are not likely to be extensive over the next 12-18 months given the ongoing borrower relief and eviction moratoriums. Updated Economic Risk Factor (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." ESG Relevance: COLT 2021-3R has an ESG Relevance Score of '4' for Transaction Parties and Operational Risk. Operational risk is well controlled for in COLT 2021-3R, including strong transaction due diligence as well as 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses and is relevant to the rating. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- This defined negative stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.0% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Factors that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or positive home price growth with no assumed overvaluation. -- The analysis assumes positive home price growth of 10.0%. Excluding the senior classes that are already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. 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. Fitch has also added a coronavirus sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a reemergence of infections in the major economies, before a slow recovery begins in 2Q21. Under this severe scenario, Fitch expects the ratings to be affected by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment- and speculative-grade 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. 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 There was one criteria variation to Fitch's "U.S. RMBS Rating Criteria." Fitch expects an updated tax and title search to be conducted for transactions in which more than 10% of the deal comprises seasoned loans (i.e. more than two years' seasoned). Fitch was comfortable with the lack of an updated search given that the loans were held with the same servicer since origination and were previously securitized, while the servicer would have been required to advance on these amounts to maintain the trust's priority. Also, upon the cleanup call being exercised, they would have repaid themselves from the proceeds. Furthermore, the seasoning is only a few months outside of the window in which Fitch would expect an updated search to be conducted. As a result, Fitch did not make any adjustments to its loss expectations. 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. The third-party due diligence described in Form 15E focused on three areas, a compliance review, a credit review, and a valuation review, and was conducted on 100% of the loans in the pool. Fitch considered this information in its analysis and believes the overall results of the review generally reflected strong underwriting controls. 100% of loans were graded 'A' or 'B', which indicates strong origination processes with no presence of material exceptions. Exceptions on loans with 'B' grades were immaterial and either identified strong compensating factors or were mostly accounted for in Fitch's loan loss model. Fitch considered all the above information in its analysis, and, as a result, the overall 'AAAsf' 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" (May 2020). LSRMF Acquisitions I, LLC engaged AMC to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company, and no material discrepancies were noted. ESG CONSIDERATIONS COLT 2021-3R has an ESG Relevance Score of '4' for Transaction Parties and Operational Risk. Operational risk is well controlled for in COLT 2021-3R, including strong transaction due diligence as well as 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses and is relevant to the rating. 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. CPS AUTO 2016-A: DBRS Cuts Class F Trust Rating to CCC ------------------------------------------------------ DBRS, Inc. downgraded the rating of Class F from CPS Auto Receivables Trust 2016-A to CCC (sf) from BB (low). Additionally, DBRS Morningstar removed the Series 2016-A, Class F from Under Review with Negative Implications where it was placed on July 14 2020. The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar's rating analysis. The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. -- The collateral performance to date and DBRS Morningstar's assessment of future performance. As of the March 2021 payment date, the pool has amortized to a pool factor of 9.11% and has incurred CNL to date of 20.26%. -- Available credit enhancement: The only form of credit enhancement available to Class F currently is the reserve account. The current reserve account balance is approximately $1.2 million as of March 15, 2021, compared with the required amount of approximately $3.4 million. The transaction was structured with overcollateralization; however, due to higher than initially expected losses the overcollateralization available to Class F has been depleted. -- The current level of hard credit enhancement and estimated excess spread are sufficient to support DBRS Morningstar's remaining projected cumulative net loss at a coverage multiple commensurate with the CCC (sf) rating. Notes: All figures are in U.S. dollars unless otherwise noted CRSNT TRUST 2021-MOON: DBRS Gives Prov. B(low) Rating on F Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-MOON to be issued by CRSNT Trust 2021-MOON. -- Class A at AAA (sf) -- Class A-Y at AAA (sf) -- Class A-Z at AAA (sf) -- Class A-IO at AAA (sf) -- Class X-CP at AAA (sf) -- Class X-NCP at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. Class X-CP, Class X-NCP, and Class A-IO are interest-only (IO) Certificates. The Notional Amount of the Class X-CP and Class X-NCP Certificates will be equal to the aggregate balance of the Class A Certificate balances. The Class A, Class A-Y, Class A-Z, and Class A-IO Certificates (the CAST Certificates) can be exchanged for other Classes of CAST Certificates and vice versa, as described in the Offering Memorandum. The Notional Amount of the Class A-IO Certificates will be equal to the sum of (1) 50% of the Certificate Balance of the Class A-Y Certificates and (2) 100% of the Certificate Balance of the Class A-Z Certificates. CRSNT Trust 2021-MOON is a single-asset/single-borrower transaction collateralized by the borrower's fee-simple interest in a 1.3 million-square-foot (sf) Class A+ office/retail building known as The Crescent in the Uptown/Turtle Creek submarket of Dallas. Goldman Sachs Bank USA, along with Deutsche Bank AG, New York Branch, will be funding total debt of $525.0 million, which comprises a $465.0 million first-mortgage loan and a $60.0 million mezzanine loan for the acquisition of the property. The IO floating-rate $525.0 million loan has an initial term of three years with two one-year extension options. The mezzanine loan will be held outside the trust. The total capitalization of $690.5 million, which includes $172.3 million of fresh equity, will be used to finance the $655.0 million acquisition of the property, fund $25.0 million of upfront tenant improvement (TI)/leasing commission (LC) reserves, and pay closing costs. The sponsor of the transaction, Crescent Real Estate LLC, is a real estate operating company and investment advisor with reportedly more than $8.5 billion of assets under management, development, and investment capacity. Through the GP Invitation Fund I and the GP Invitation Fund II, Crescent Real Estate acquires, develops, and operates commercial real estate properties involving institutional investors and clients. The Crescent was contributed to the Crescent REIT in 1994. Crescent Real Estate retained an interest in the property until the seller (of which the majority ownership is held by J.P. Morgan Chase & Company) assumed full ownership in 2011. The seller continued to use Crescent's leasing and management team, Crescent Property Services LLC, during its ownership. Crescent Property Services LLC is an affiliate of the sponsor with more than 25 years of experience operating the property, and will continue to manage the property going forward. This transaction involved Crescent Real Estate reacquiring the property from the seller. Crescent Real Estate indirectly controls the mortgage and mezzanine borrowers. The transaction has a high loan leverage with the DBRS Morningstar issuance loan-to-value ratio (LTV) of 106.1% and 119.8%, based on the trust debt and total debt (including the mezzanine loan), respectively. The LTV based on the appraised value of $675.0 million is 68.9% and 77.8% on the trust debt and total debt, respectively. DBRS Morningstar has a positive view on the near- to mid-term sustainability of the property's NCF, based on its location, tenancy, and historical performance. The Crescent is in the Uptown/Turtle Creek submarket, one of the most desirable office submarkets in Dallas. According to the appraisal, the submarket has high barriers to entry because of the limited amount of vacant land suitable for commercial development, and the overall land values are higher than other submarkets in the Dallas/Fort Worth areas. The property is in the epicenter of the submarket with easy access to the Central Expressway, I-35 East, Dallas North Tollway, and DART M-Line trolley. The local area fosters a live/work/play environment with more than 200 restaurants and 160 shops, providing good amenities to the office tenants nearby. The property benefits from a highly granular rent roll with no single tenant accounting for more than 7.6% of the total base rent. The tenant roster is well diversified with local, regional, and national tenants from various industry sectors including law firms, financial institutions and services, and technology companies. As of March 15, 2021, the property was 87.1% leased. The largest tenant, McKool Smith P.C., representing 7.6% of the property's total base rent, has been a tenant since January 1992 and has since expanded into three other suites at the property. The weighted-average lease term at the property is 7.0 years. Of the property's net rentable area (NRA), 38.0% is leased to national tenants, which is credit positive as the cash flow will be less susceptible to revenue swings, making it more resilient during economic downturns such as the Coronavirus Disease (COVID-19) pandemic. In general, the property's lease rollover schedule over the next 10 years is evenly distributed with less than 10% of the NRA expiring in any calendar year with the exception of 2022, when 18.5% of the NRA will be rolling. Over the past two years, Crescent Property Services LLC, as property manager and leasing agent, successfully secured renewals on 138,736 sf of space and new leases on 84,855 sf. This period includes the entire coronavirus pandemic disruption when leasing activity was generally slow in markets around the country. The loan also includes an upfront leasing reserve of $25.0 million for TI/LCs. Since 2015, the property has received about $48.0 million or $36 per sf (psf) of capital improvements including restroom renovations, corridor refurbishment, management office remodel, fitness center addition, and lobby updates. Capital improvements often play a significant role in retaining existing tenants as well as attracting new tenants to a property. Historically, the property has proved itself to be a solid performer with an average occupancy of 91.0% over the past 10 years. DBRS Morningstar expects the occupancy at the property to remain stable and consistent with the historical data going forward given the property will continue to be managed by the existing leasing and management company who has been managing the property for the past 25 years. The ongoing coronavirus pandemic continues to pose challenges and risks to virtually all major commercial real estate property types. The property has continued to show strong performance during these unprecedented times with less than 5% of the tenants based on total NRA requested rent relief, most being retail tenants. The property saw a drop in occupancy in late 2020; however, this was most notably caused by Morgan Stanley vacating when its lease expired in September 2020. The property is located northwest of the Dallas CBD in the Uptown/Turtle Creek submarket with close proximity to a Ritz-Carlton, The Crescent Hotel, and the American Airlines Center which is home to the Dallas Mavericks and Dallas Stars. According to the appraisal, the submarket outperforms the greater Dallas/Fort Worth market with an average occupancy rate of 81.5% for Class A office space compared with the market's average of 76.3%. Additionally, the average rent for full-service Class A office in the greater Dallas market is $31.60 psf, lower than the submarket average rent of $49.50 psf. The Class A+ office and retail property is the focal point of the submarket and is part of a larger mixed-use development that includes the Crescent Court Hotel, which is not part of the collateral. The property recently received $48.0 million or $36 psf of capital improvements, and has historically demonstrated stable and consistent occupancy with an average of 91.0% over the past 10 years. Crescent Real Estate, LLC is a real estate operating company and investment advisor with more than $8.5 billion assets under management, development, and investment capacity. The sponsor has extensive experience in the local market. It developed McKinney & Olive, which was completed in 2016, and recently redeveloped 2401 Cedar Springs. Crescent Property Services LLC, an affiliate of the sponsor, has been managing the property for more than 25 years and will continue to manage the property going forward. The sponsor is contributing $172.3 million of fresh equity, representing 25% of the total acquisition cost, to the property at closing. The loan is also structured with a $25.0 million upfront leasing reserve for TI/LCs to be escrowed at closing. DBRS Morningstar generally views acquisition loans with significant amounts of cash equity more favorably, given the stronger alignment of economic incentives when compared with cash-out financings. The property benefits from a highly granular rent roll with no single tenant accounting for more than 7.6% of the base rent. There are 115 unique tenants, creating a significant level of diversity in tenancy. This granularity also creates a stable tenant rollover schedule at the property over the long term. The DBRS Morningstar issuance LTVs are high based on the trust debt and total debt (including the mezzanine loan) at 106.1% and 119.8%, respectively. The high leverage point, combined with the lack of amortization, could potentially result in elevated refinance risk and/or loss severities in an event of default. In 2022, the tenant leases on 18.5% of the NRA will be rolling. The expiring tenants include Stanley Korshak L.P. and Holland & Knight LLP, which account for 4.2% and 3.4% of the total NRA, respectively. Both are long-term tenants at the property with Stanley Korshak being a tenant since 2003 and Holland & Knight since 2013. Stanley Korshak is an upscale bridal salon that typically performs well because of the adjacent Crescent Court Hotel, which includes luxury wedding and event space. The ongoing coronavirus pandemic continues to pose challenges and risks to virtually all major commercial real estate property types and has created an element of uncertainty around future demand for office space, even in gateway markets that have historically been highly liquid. While some tenant spaces are not completely occupied as employees have continued to work from home during the pandemic, all tenants are now open and operating. Fewer than 5% of the tenants based on total NRA have requested rent relief, most of which are retail tenants. Between December 2020 and March 2021, collections equated to approximately 98.0% with deferrals and abatements combined equating to less than 1% of total revenue. The debt yield and debt service coverage ratio (DSCR) triggers for the cash flow sweep event are low at less than a 5.0% debt yield and less than 1.15 times (x) DSCR on the initial term. The low thresholds increase the term and balloon default risks. GP Invitation Fund II, LP is the nonrecourse carveout guarantor on this transaction. The guarantor is required to maintain a domestic net worth of at least $100.0 million and liquidity of at least $10.0 million throughout the loan term. These requirements are low, considering they only represent DBRS Morningstar's net worth and liquidity loan multiples of 0.19x and 0.02x, respectively. Per the Mezzanine Inter-Creditor Agreement, the net worth and liquidity requirements applicable to the Replacement Guarantor or New Third Party Obligor are consistent with the requirements under the closing date guaranty, where the qualified guarantor will be required to maintain a minimum $100.0 million of net worth and $10.0 million of liquidity with the exception to the U.S. Real Estate Core Mezzanine Debt REIT, LLC, where the minimum liquidity was waived. DBRS Morningstar views these thresholds, particularly the net worth requirement and lack of liquidity requirement, as relatively weak in the context of the size of the loan in this transaction. The underlying mortgage loan for the transaction will pay floating rate, which presents potential benchmark transition risk as the deadline approaches for the elimination of Libor. The transaction documents provide for the transition to an alternative benchmark rate, which is primarily contemplated to be either Term Secured Overnight Financing Rate (SOFR) or Compounded SOFR plus the applicable Alternative Rate Spread Adjustment. Term SOFR does not currently exist and there is no assurance it will fully develop or be widely adopted. Compounded SOFR, which is expected to be a backward-looking rate generally calculated using actual rates during the applicable interest accrual period, is considered by some servicers to be less practical to implement. The servicer for the transaction will have sole discretion over various aspects of a benchmark transition. Any uncertainty or delay in transitioning to an alternative to Libor could lead to unforeseen issues for both the mortgage loan borrower and certificates. Additionally, in order to extend the loan, the borrower must also obtain a replacement interest rate cap agreement. If a replacement agreement is not commercially available, the borrower can propose an alternative hedging instrument that would provide substantially equivalent protection from increases in the interest rate. However, the servicer can reject proposal and impose its own hedging solution, if any. Notes: All figures are in U.S. dollars unless otherwise noted. CSAIL COMMERCIAL 2019-C16: Fitch Affirms B- Rating on G-RR Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of CSAIL 2019-C16 Commercial Mortgage Trust commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- CSAIL 2019-C16 A-1 12596WAA2 LT AAAsf Affirmed AAAsf A-2 12596WAB0 LT AAAsf Affirmed AAAsf A-3 12596WAC8 LT AAAsf Affirmed AAAsf A-S 12596WAG9 LT AAAsf Affirmed AAAsf A-SB 12596WAD6 LT AAAsf Affirmed AAAsf B 12596WAH7 LT AA-sf Affirmed AA-sf C 12596WAJ3 LT A-sf Affirmed A-sf D 12596WAM6 LT BBB-sf Affirmed BBB-sf E-RR 12596WAP9 LT BBB-sf Affirmed BBB-sf F-RR 12596WAR5 LT BB-sf Affirmed BB-sf G-RR 12596WAT1 LT B-sf Affirmed B-sf X-A 12596WAE4 LT AAAsf Affirmed AAAsf X-B 12596WAF1 LT A-sf Affirmed A-sf X-D 12596WAK0 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Generally Stable Performance and Loss Expectations: Overall performance and loss expectations for the pool have remained relatively stable since issuance. There are 16 Fitch Loans of Concern (FLOCs; (40.3% of pool), including six (15.8%) specially serviced loans. Fitch's current ratings incorporate a base case loss of 4.75%. The Negative Outlooks reflect losses that could reach 7.00% when factoring in additional coronavirus-related stresses and a potential outsized loss of 20% to the Great Wolf Lodge Southern California loan. The largest contributor to overall loss expectations is the SWVP Portfolio loan (5.1%), which is secured by a portfolio of four full-service hotels located in New Orleans, LA; Sunrise, FL; Charlotte, NC; and Durham, NC. This FLOC was flagged for pandemic-related performance decline. YE 2020 portfolio-level NOI fell significantly to $1.3 million from $22.2 million as of YE 2019 and $23.9 million at issuance. One of the underlying hotel properties, DoubleTree RTP in Durham, NC (13.4% of allocated loan balance), reported negative NOI for 2020. As of TTM December 2020, the portfolio reported an average occupancy, ADR, and RevPAR of 34.1%, $128, and $43, respectively, compared with 80.1%, $150, and $121 as of TTM January 2019 at the time of issuance. The next largest contributor to losses is the Embassy Suites Seattle Bellevue loan (5.3%), which is secured by 240-room full-service hotel in Bellevue, WA that has reported declining cash flow since issuance. The servicer-reported TTM September 2020 NOI was negative as a result of the pandemic, with YE 2019 NOI nearly 26% below the issuer's underwritten NOI. A consent agreement was processed in July 2020, with relief terms including the deferral of non-tax, non-insurance reserves for three months and the ability to use existing reserve funds for three months of debt service. As of TTM December 2020, the hotel reported occupancy, ADR, and RevPAR of 27.2%, $131, and $36, respectively, compared with 77.2%, $181, and $140 as of YE 2019 and 79.3%, $180, and $143 at issuance. The hotel was underperforming its competitive set in terms of occupancy and outperforming in terms of ADR and RevPAR as of TTM December 2020, with respective penetration ratios of 93%, 111%, and 103%. The next largest contributor to losses is The Box House Hotel loan (3.9%), which is secured by a 126-room full-service boutique hotel in the Greenpoint neighborhood of Brooklyn, NY. The loan transferred to special servicing in December 2020 for delinquent payments due to the coronavirus pandemic and was over 90 days delinquent as of April 2021. According to the servicer, the lender and borrower have come to terms on relief and an agreement has been executed; however, the servicer has yet to report on details of the final relief terms. As of TTM January 2021, the hotel reported occupancy, ADR, and RevPAR of 32.8%, $159, and $52, respectively, compared with 66%, $223, $147 as of YE 2019 and 67.5%, $216, and $146 at issuance. The hotel was underperforming its competitive set in terms of occupancy and RevPAR as of TTM January 2021, with respective penetration ratios of 61.2% and 85.7%; ADR penetration was 140%. Minimal Change to Credit Enhancement: As of the April 2021 distribution date, the pool's aggregate principal balance has paid down by 0.7% to $782 million from $788 million at issuance. Seventeen loans (50.2% of pool) are full-term, interest-only, and 10 loans (19.6%) still have a partial interest-only component during their remaining loan term, compared with 15 loans (25.8%) at issuance. From securitization to maturity, the pool is projected to pay down by 6.9%. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario which assumed a potential outsized loss of 20% on the current balance of the Great Wolf Lodge Southern California loan (3.8%) to reflect the unique asset type, operational risk, and high vulnerability of the property to the ongoing pandemic; this analysis drove the Negative Rating Outlooks. The loan is secured by a 603-key waterpark resort hotel located in Garden Grove, CA, approximately three miles from Disneyland. The loan recently returned to the master servicer after originally transferring to the special servicer in June 2020 due to imminent monetary default. Property performance has been significantly impacted by the coronavirus pandemic with the servicer-reported TTM September 2020 NOI down 99% from YE 2019. The property remains closed due to the ongoing pandemic, but is currently accepting reservations from May 22, 2021 onward, according to its website. Per the servicer, forbearance was granted to the borrower in July 2020 with terms allowing for the use of existing reserves to pay debt service and operating expenses, deferral of FF&E payments through 2020, and exclusion of 2020 financials from debt yield test calculations. In March 2021, the borrower was granted additional relief through a second modification, providing for further deferral of the seasonality reserve, the recovery of utilized reserves/escrows to be further deferred, exclusion of 2021 financials when calculating the debt yield tests, and moving the April 1, 2022 debt yield test to April 1, 2023. Additional Stresses Applied due to Coronavirus Exposure: Loans secured by hotel, retail, and multifamily properties represent 30.4% of the pool (12 loans), 30.4% (18 loans) and 8.1% (four loans), respectively. Fitch's analysis applied additional pandemic-related stresses on nine hotel loans (23.7%) and four of the retail loans (4.5%) to account for potential cash flow disruptions. These additional stresses contribute to the Negative Rating Outlooks. RATING SENSITIVITIES The Negative Rating Outlooks on classes E-RR, F-RR, and G-RR reflect concerns surrounding the ultimate impact of the pandemic and the performance concerns associated with the FLOCs. The Stable Rating Outlooks on classes A-1, A-2, A-3, A-SB, A-S, B, C, D, X-A, X-B, and X-D reflect the increasing credit enhancement, relatively stable performance of the majority of the pool, and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. -- Upgrades to classes B, C, and X-B may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic, including the Great Wolf Lodge Southern California. -- Upgrades to classes D, E-RR, and X-D would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. -- Upgrades to classes F-RR and G-RR are not likely unless resolution of the specially serviced loans is better than expected and performance of the remaining pool is stable, and/or properties vulnerable to the pandemic return to pre pandemic levels and there is sufficient CE to the classes. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans. -- Downgrades to classes A-1, A-2, A-3, A-SB, A-S, X-A, and B are not considered likely due to their position in the capital structure, but may occur should interest shortfalls affect these classes. -- Downgrades to classes C, X-B, D, and X-D may occur should expected losses for the pool increase substantially, all of the loans susceptible to the coronavirus pandemic suffer losses and the Great Wolf Lodge Southern California loan incurs an outsized loss, which would erode credit enhancement. -- Downgrades to classes E-RR, F-RR, and G-RR would occur should overall pool 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 incur on the specially serviced loans than expected, and/or the Great Wolf Lodge Southern California loan experience an outsized loss. In addition to its baseline scenario, Fitch also envisions a downside scenario in which the health crisis is prolonged beyond 2021. Should this scenario play out, additional classes may be assigned Negative Outlooks and/or classes with Negative Rating Outlooks may be downgraded one or more categories. 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. FLAGSTAR MORTGAGE 2021-2: Fitch Gives Final B+ Rating on B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Flagstar Mortgage Trust 2021-2 (FSMT 2021-2). DEBT RATING PRIOR ---- ------ ----- FSMT 2021-2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AAAsf New Rating AAA(EXP)sf A-X-4 LT AAAsf New Rating AAA(EXP)sf A-X-5 LT AAAsf New Rating AAA(EXP)sf A-X-6 LT AAAsf New Rating AAA(EXP)sf A-X-7 LT AAAsf New Rating AAA(EXP)sf A-X-8 LT AAAsf New Rating AAA(EXP)sf A-X-9 LT AAAsf New Rating AAA(EXP)sf A-X-13 LT AAAsf New Rating AAA(EXP)sf A-X-17 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-1-A LT AAsf New Rating AA(EXP)sf B-1-X LT AAsf New Rating AA(EXP)sf B-2 LT A+sf New Rating A+(EXP)sf B-2-A LT A+sf New Rating A+(EXP)sf B-2-X LT A+sf New Rating A+(EXP)sf B-3 LT BBB+sf New Rating BBB+(EXP)sf B-3-A LT BBB+sf New Rating BBB+(EXP)sf B-3-X LT BBB+sf New Rating BBB+(EXP)sf B-X LT BBB+sf New Rating BBB+(EXP)sf B LT BBB+sf New Rating BBB+(EXP)sf B-4 LT BB+sf New Rating BB+(EXP)sf B-5 LT B+sf New Rating B+(EXP)sf B-6-C LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch Ratings rates the residential mortgage-backed certificates issued FSMT 2021-2 as indicated above. The certificates are supported by 498 newly originated fixed-rate prime quality first liens on one- to four-family residential homes. The pool consists of both non-agency jumbo and agency eligible mortgage loans. The total balance of these loans is approximately $447.8 million as of the cut-off date. This is the 14th post-financial crisis issuance from Flagstar Bank, FSB (Flagstar, RPS2-/Negative). The pool comprises loans that Flagstar originated through its retail, broker and correspondent channels. The transaction is similar to previous Fitch-rated prime transactions, with a standard senior-subordinate, shifting-interest deal structure. 100% of the loans in the pool were underwritten to the Ability to Repay (ATR) rule and qualify as Safe Harbor or Agency Safe Harbor qualified mortgages (QMs). Flagstar will be the servicer, and Wells Fargo Bank, N.A. (RMS1-/Negative) will be the master servicer. The collateral and the structure are very similar to prior FSMT transactions that Fitch has rated. On April 26, 2021, New York Community Bancorp, Inc. and Flagstar Bancorp, Inc. jointly announced their planned merger, which is anticipated to take place by the end of 2021; this announcement had no impact on the analysis of this transaction. KEY RATING DRIVERS High-Quality Prime Mortgage Pool (Positive): The pool consists of very high-quality 30-year fixed-rate fully amortizing loans to prime quality borrowers. All of the loans qualify as Safe Harbor QM or Agency Safe Harbor QM loans. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of three months according to Fitch (two months per the transaction documents). The pool has a weighted average (WA) original FICO score of 771 and 31% debt to income, as determined by Fitch, which is indicative of a very high credit quality borrower. Approximately 79.5% of the loans have a borrower with an original FICO score above 750. In addition, the original WA combined loan-to-value ratio of 63.6%, translating to a sustainable loan-to-value ratio of 69.1%, represents substantial borrower equity in the property and reduced default risk. The pool consists of 96% of loans where the borrower maintains a primary residence, while 4% is an investor property or second home. Single-family homes comprise 94.5% of the pool, and condominiums make up 3.8%. Cash-out refinances comprise 13.3% of the pool, purchases comprise 32.2% of the pool and rate-term refinances comprise 54.5% of the pool; and 92.3% of the loans are nonconforming, while 7.7% are conforming loans. Additionally, 99.9% of the loans were originated through a retail channel. A total of 130 loans in the pool are more than $1 million, and the largest loan is $2.4 million. There are no loans in the pool that were made to foreign nationals/nonpermanent residents. Fitch viewed this as a positive attribute of the transaction. Geographic Diversification (Neutral): The pool's primary concentration is in California, representing 50% of the pool. Approximately 33.5% of the pool is located in the top three MSAs of San Francisco (16.7%), Los Angeles (9.9%) and San Jose (6.9%). The pool's regional concentration resulted in a 1.01x Geo Penalty to the pool, increasing Fitch's 'AAAsf' loss expectations by 3bps, which Fitch did not consider material. Shifting Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Full Servicer Advancing (Mixed): The servicer, Flagstar will provide full advancing for the life of the transaction. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Wells Fargo Bank is the master servicer in this transaction and will advance delinquent P&I on the loans if Flagstar is not able to. Subordination Floor (Positive): A CE or senior subordination floor of 1.10% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. A junior subordination floor of 1.0% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Macro or Sector Risks (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions, as described in the section, to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario, or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related Economic Risk Factor (ERF) floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts were revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a negative 3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." RATING SENSITIVITIES 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 were 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. Factor that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. Factor that could, individually or collectively, lead to a negative rating action/downgrade: -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 40.0% at 'AAA'. The analysis indicates 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. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, property valuation and data integrity. Fitch considered this information in its analysis. Fitch applied an adjustment to losses based on the unreviewed population of the pool as described below. A credit was given to loans that received a due diligence review, which decreased Fitch's loss expectations by 7bps at the 'AAAsf' rating stress. A third-party due diligence review was performed by Consolidated Analytics on a sample of loans from the transaction pool. The sample was determined by a statistically significant selection methodology based on a 95% confidence level with a 5% error rate. Flagstar adopted this methodology in 2019 when it had previously selected loans for review at a fixed rate. This is the third RMBS issued by Flagstar that Fitch has rated that incorporates the statistical significance approach in which approximately 44% of the final pool, by loan count, was reviewed. For loans that were reviewed, the diligence scope consisted of a review of credit, regulatory compliance, property valuation and data integrity. Both the sample size and review scope are consistent with Fitch criteria for diligence sampling. All the loans in the review sample received a final diligence grade of 'A' or 'B', and the results did not indicate material defects. The sample exhibited strong adherence to underwriting guidelines as approximately 79% of loans received a final credit grade of 'A'. The sample had a low concentration of compliance 'B' exceptions (18%) compared with the average prime jumbo non-agency transactions (46%). Approximately 8% of loans in the sample had initial TRID exceptions graded 'C' that were ultimately cured to a 'B' by Flagstar through the re-issuance of post-closing documentation. While Fitch does not typically adjust its loss expectations for compliance 'B' exceptions, due diligence was only performed on 44% of the initial pool, which led Fitch to extrapolate the findings to the remainder of the pool. Since more than half of the pool did not receive due diligence, Fitch assumed 8% of the nonreviewed loans have potential TRID exceptions that would be identified as material and not cured with post-closing documentation. Fitch applies a standard loss adjustment of $15,500 to loss amount for material TRID exceptions as these loans can carry an increased risk of statutory damages. However, the aggregate loss severity adjustment was negligible at the 'AAAsf' level and Fitch did not make any further adjustments to the model output. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on approximately 44% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria," and Consolidated Analytics was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. FLAGSTAR MORTGAGE 2021-2: Moody's Assigns B2 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to forty-five classes of residential mortgage-backed securities issued by Flagstar Mortgage Trust 2021-2 (FSMT 2021-2). The ratings range from Aaa (sf) to B2 (sf). FSMT 2021-2 is a securitization of first-lien prime jumbo and agency eligible mortgage loans. The transaction is backed by 445 (92.3% by unpaid principal balance) and 53 (7.7% by unpaid principal balance) 30-year fixed rate prime jumbo and agency eligible mortgage loans, respectively, with an aggregate stated principal balance of $447,767,017. The average stated principal balance is $899,131. All the loans are designated as Qualified Mortgages (QM) either under the QM safe harbor or the GSE temporary exemption under the Ability-to-Repay (ATR) rules. 100% of the loans are originated by Flagstar Bank, FSB (Flagstar). Flagstar Bank, FSB (Long Term Issuer Baa3) will service the mortgage loans. Servicing compensation is subject to a step-up incentive fee structure. Wells Fargo Bank, N.A. (Long Term Issuer Aa2) will be the master servicer. Flagstar will be responsible for principal and interest advances as well as other servicing advances. The master servicer will be required to make principal and interest advances if Flagstar is unable to do so. One third-party review (TPR) firm verified the accuracy of the loan level information that Moody's received from the sponsor. These firms conducted detailed credit, property valuation, data accuracy and compliance reviews on approximately 43.6% of the mortgage loans in the collateral pool. The TPR results indicate that there are no material compliance, credit, or data issues and no appraisal defects. Moody's calculated the credit-neutral sample size using a confidence interval, an error rate and a precision level of 95%/5%/2%. The number of loans that went through a full due-diligence review is below Moody's calculated threshold, Moody's therefore applied an adjustment to Moody's losses. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations. Overall, this pool has average credit risk profile as compared to that of recent prime jumbo transactions. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In this transaction, the Class A-11 notes' coupon is indexed to SOFR. In addition, the coupon on Class A-11X is also impacted by changes in SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. The complete rating actions are as follows: Issuer: Flagstar Mortgage Trust 2021-2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aa1 (sf) Cl. A-4, Definitive Rating Assigned Aa1 (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-3-X*, Definitive Rating Assigned Baa2 (sf) Cl. B-3-A, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) Cl. B, Definitive Rating Assigned A3 (sf) Cl. B-X*, Definitive Rating Assigned A3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.25% at the mean, 0.12% at the median, and reaches 2.73% at a stress level consistent with Moody's Aaa ratings. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased Moody's model-derived median expected losses by 10% (6.23% for the mean) and Moody's Aaa losses by 2.5% to reflect the likely performance deterioration resulting from a slowdown in US economic activity in 2020 due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence and the R&W framework of the transaction. Collateral description FSMT 2021-2 is the second issue from Flagstar Mortgage Trust in 2021. Flagstar Bank, FSB (Flagstar) is the sponsor of the transaction. FSMT 2021-2 is a securitization of first-lien prime jumbo and agency eligible mortgage loans. The transaction is backed by 445 (92.3% by unpaid principal balance) and 53 (7.7% by unpaid principal balance) 30-year fixed rate prime jumbo and agency eligible mortgage loans, respectively, with an aggregate stated principal balance of $447,767,017. The average stated principal balance is $899,131 and the weighted average (WA) current mortgage rate is 2.9%. Borrowers of the mortgage loans backing this transaction have strong credit profiles demonstrated by strong credit scores and low loan-to-value (LTV) ratios. The weighted average primary borrower original FICO score and original LTV ratio of the pool is 776 and 63.0%, respectively. The WA original debt-to-income (DTI) ratio is 31.4%. Approximately, 38.7% (by loan balance) of the borrowers in the pool have more than one mortgage. However, there are only two borrowers who have two mortgages each in this pool. All of the loans are designated as Qualified Mortgages (QM) either under the QM safe harbor or the GSE temporary exemption under the Ability-to-Repay (ATR) rules. Overall, the credit quality of the mortgage loans backing the transaction is comparable to those of other recently issued prime jumbo transactions rated by Moody's. Approximately, half of the mortgages (50.0% by loan balance) are backed by properties located in California. The next largest geographic concentration is Texas (6.3% by loan balance), Washington (6.0% by loan balance), Florida (5.7% by loan balance), Colorado (5.6% by loan balance) and New York (5.5% by loan balance). All other states each represent 2% or less by loan balance of the mortgage pool. Approximately, 65.2%, 29.3%, 3.8%, and 1.6% of the pool, by loan balance, is backed by properties that are single family, PUD/DPUD, condominium, and 2-to-4 unit residential properties, respectively. Approximately 26.5% of the loans (by loan balance) were originated through the correspondent channel. Additionally, 16.3% (by loan balance) of the loans were originated through the broker channel and the remaining 57.2% (by loan balance) were originated through the retail channel. Origination Quality and Underwriting Guidelines 100% of the loans in the pool are originated by Flagstar. The prime jumbo loans in the pool are underwritten per Flagstar's Jumbo (83.4% by unpaid principal balance) and Jumbo Express (8.7% by unpaid principal balance) underwriting guidelines. Both programs offer 30-yr fixed rate loans. However, loans originated under the Jumbo program require manual underwriting and loans originated under the Jumbo Express program require a valid Desktop Underwriter (DU) response. The maximum loan amount under the Jumbo Express program is limited to that of high balance conforming loan limit of $822,375. Moody's consider Flagstar an adequate originator of prime jumbo and conforming mortgages. As a result, Moody's did not make any adjustments (positive or negative) to losses based on Moody's assessment of origination quality. Servicing arrangement Moody's consider the overall servicing arrangement for this pool to be adequate. Flagstar will service the mortgage loans. Flagstar will be responsible for principal and interest advances as well as other servicing advances. Wells Fargo Bank, N.A., the master servicer, will be required to make principal and interest advances if Flagstar is unable to do so. Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on this servicing arrangement. Covid-19 Impacted Borrowers As of the cut-off date, no borrower in the pool has entered into a COVID-19 related forbearance plan with the servicer. Also, if any borrower enters or requests a COVID-19 related forbearance plan from the cut-off date to the closing date, then the associated mortgage loan will be removed from the pool. In the event a borrower enters or requests a COVID-19 related forbearance plan after the closing date, such mortgage loan (and the risks associated with it) will remain in the mortgage pool. Servicing compensation for loans in this transaction is based on a fee-for-service incentive structure. The fee-for-service incentive structure includes an initial monthly base fee of $20.5 for all performing loans and increases according to certain delinquent and incentive fee schedules. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The servicer receives higher fees for labor-intensive activities that are associated with servicing delinquent loans, including loss mitigation, than they receive for servicing a performing loan, which is less labor intensive. The fee-for-service compensation is reasonable and adequate for this transaction. Third-party review The credit, compliance, property valuation, and data integrity portion of the third-party review (TPR) was conducted on a total of approximately 43.6% (217 loans) of the pool (by loan count). 100% of the loans reviewed received a grade B or higher with 79.3% of loans receiving an A grade. The TPR results indicated compliance with the originators' underwriting guidelines for most of the loans without any material compliance issues or appraisal defects. Moody's calculated the credit-neutral sample size using a confidence interval, an error rate and a precision level of 95%/5%/2%. The number of loans that went through a full due-diligence review is below Moody's calculated threshold, Moody's therefore applied an adjustment to Moody's losses. Representations and Warranties Framework Flagstar Bank, FSB the originator as well as an investment-grade rated entity, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit neutral R&Ws Moody's have identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria to determine whether any R&Ws were breached when (1) the loan becomes 120 days delinquent, (2) the servicer stops advancing, (3) the loan is liquidated at a loss or (4) the loan becomes between 30 days and 119 days delinquent and is modified by the servicer. Similar to J.P. Morgan Mortgage Trust (JPMMT) transactions, the transaction contains a "prescriptive" R&W framework. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. Moody's assessed the R&W framework for this transaction as adequate. Moody's analyzed the strength of the R&W provider, the R&Ws themselves and the enforcement mechanisms. The R&W provider is rated investment grade, the breach reviewer is independent, and the breach review process is thorough, transparent and objective. Moody's did not make any additional adjustment to its base case and Aaa loss expectations for R&Ws. Transaction structure The securitization has a shifting interest structure that benefits from a senior floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. In this transaction, the Class A-11 notes' coupon is indexed to SOFR. In addition, the coupon on Class A-11X is also impacted by changes in SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. All certificates (except Class B-6-C) in this transaction are subject to a net WAC cap. Class B-6-C will accrue interest at the net WAC minus the aggregate delinquent servicing and aggregate incentive servicing fee. For any distribution date, the net WAC will be the greater of (1) zero and (2) the weighted average net mortgage rates minus the capped trust expense rate. Realized losses are allocated reverse sequentially among the subordinate bonds, starting with most junior, and senior support certificates and on a pro-rata basis among the super senior certificates. Tail risk & subordination floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to eroding credit enhancement over time and increased performance volatility, known as tail risk. To mitigate this risk, the transaction provides for a senior subordination floor of 1.10% which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 1.00% of the closing pool balance. Moody's calculate the credit neutral floors for a given target rating as shown in Moody's principal methodology. The senior subordination floor of 1.10% and the subordinate floor of 1.00% are consistent with the credit neutral floors for the assigned ratings. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. FREDDIE MAC 2021-1: DBRS Gives Prov. B(low) on M Transfer Trust --------------------------------------------------------------- DBRS, Inc. assigned a provisional rating to the following Mortgage-Backed Security, Series 2021-1 to be issued by Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-1: -- $36.8 million Class M at B (low) (sf) DBRS Morningstar did not rate the other classes in the Trust. This transaction is a securitization of a portfolio of seasoned, reperforming first-lien residential mortgages funded by the issuance of the certificates, which are backed by 11,123 loans with a total principal balance of $1,227,241,824 as of the Cut-Off Date. The mortgage loans were either purchased by Freddie Mac from securitized Freddie Mac Participation Certificates or retained by Freddie Mac in whole-loan form since their acquisition. The loans are currently held in Freddie Mac's retained portfolio and will be deposited into the Trust on the Closing Date. The loans are approximately 160 months seasoned and approximately 50.6% of them have been modified. Each modified mortgage loan was modified under the Government-Sponsored Enterprise (GSE) Home Affordable Modification Program (HAMP), GSE non-HAMP modification programs, or under or subject to a Freddie Mac payment deferral program (PDP). The remaining loans (49.4%) were never modified or were subject to a PDP. Within the pool, 1,160 mortgages have forborne principal amounts as a result of modification, which equates to 3.7% of the total unpaid principal balance as of the Cut-Off Date. For 54.3% of the modified loans, the modifications happened more than two years ago. The loans are all current as of the Cut-Off Date. Furthermore, 77.6% and 40.9% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 12 and 24 months, respectively, under the Mortgage Bankers Association delinquency methods. DBRS Morningstar assumed all loans within the pool are exempt from the Qualified Mortgage rules because of their eligibility to be purchased by Freddie Mac. The mortgage loans will be serviced by Specialized Loan Servicing LLC. There will not be any advancing of delinquent principal or interest on any mortgages by the servicer; however, the servicer is obligated to advance to third parties any amounts necessary for the preservation of mortgaged properties or real estate owned properties acquired by the Trust through foreclosure or a loss mitigation process. Freddie Mac will serve as the Sponsor, Seller, and Trustee of the transaction as well as the Guarantor of the senior certificates (i.e., Class HAU, Class HA, Class HA-IO, Class HBU, Class HB, Class HB-IO, Class HTU, Class HT, Class HT-IO, Class HV, Class HZ, Class MAU, Class MA, Class MAW, Class MA-IO, Class MBU, Class MB, Class MB-IO, Class MBW, Class MTU, Class MT, Class MT-IO, Class MTW, Class MV, Class MZ, Class TAU, Class TAW, Class TAY, Class TA, Class TA-IO, Class TBU, Class TBW, Class TBY, Class TB, Class TB-IO, Class TT, Class TT-IO, Class TTU, Class TTW, Class TTY, Class M5AU, Class M5AW, Class M5AY, Class M55A, Class M5AI, Class M5BU, Class M5BW, Class M5BY, Class M55B, Class M5BI, Class M55T, Class M5TI, Class M5TU, Class M5TW, and Class M5TY Certificates). Wilmington Trust, National Association (Wilmington Trust) will serve as the Trust Agent. Wells Fargo Bank, N.A. will serve as the Custodian for the Trust. U.S. Bank National Association will serve as the Securities Administrator for the Trust and will also act as the Paying Agent, Registrar, Transfer Agent, and Authenticating Agent. Freddie Mac, as the Seller, will make certain representations and warranties (R&W) with respect to the mortgage loans. It will be the only party from which the Trust may seek indemnification (or, in certain cases, a repurchase) as a result of a breach of R&Ws. If a breach review trigger occurs during the warranty period, the Trust Agent, Wilmington Trust, will be responsible for the enforcement of R&Ws. The warranty period will only be effective through April 12, 2024 (approximately three years from the Closing Date), for substantially all R&Ws other than the real estate mortgage investment conduit R&W and the mortgage loans whose high-cost regulatory compliance was unable to be tested, which will not expire. The mortgage loans will be divided into four loan groups: Group H, Group M, Group M55, and Group T. The Group H loans (1.1% of the pool) were subject to step-rate modifications and had not yet reached their final step rate as of January 31, 2021. As of the Cut-Off Date, the borrower, while still current, has not made any payments accrued at such final step rate. Group M loans (41.4% of the pool) and Group M55 loans (6.9% of the pool) were subject to either fixed-rate modifications or step-rate modifications that have reached their final step rates and, as of the Cut-Off Date, the borrowers have made at least one payment after such mortgage loans reached their respective final step rates. Each Group M loan has a mortgage interest rate less than or equal to 5.5% and has no forbearance, or may have forbearance and any mortgage interest rate. Each Group M55 loan has a mortgage interest rate higher than 5.5%. Group T loans (50.7% of the pool) were never modified or were subject to a PDP. P&I on the Guaranteed Certificates will be guaranteed by Freddie Mac. The Guaranteed Certificates will be primarily backed by collateral from each group, respectively. The remaining Certificates, including the subordinate, nonguaranteed, interest-only mortgage insurance, and residual Certificates, will be cross-collateralized among the four groups. The transaction employs a pro rata pay cash flow structure among the senior group certificates with a sequential pay feature among the subordinate certificates. Certain principal proceeds can be used to cover interest shortfalls on the rated Class M Certificates. Senior classes, other than Class A-IO, benefit from P&I payments that are guaranteed by the Guarantor, Freddie Mac; however, such guaranteed amounts, if paid, will be reimbursed to Freddie Mac from the P&I collections prior to any allocation to the subordinate certificates. The senior principal distribution amounts vary, subject to the satisfaction of a step-down test. Realized losses are allocated reverse sequentially. CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed security (RMBS) asset classes, some meaningfully. Seasoned reperforming loans (RPL) is a traditional RMBS asset class that consists of securitizations backed by pools of seasoned performing and reperforming residential home loans. Although borrowers in these pools may have experienced delinquencies in the past, the loans have been largely performing for at least the past six months to 24 months since modification. Generally, these pools are highly seasoned and contain sizable concentrations of previously modified loans. As a result of the coronavirus, DBRS Morningstar has seen increased delinquencies, and loans on forbearance plans, and expects a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021), for the RPL asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach, based on the forecast unemployment rates and GDP growth outlined in the moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the RPL asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that loans with previous delinquencies, recent modifications, or higher updated loan-to-value (LTV) ratios may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with previous delinquencies or recent modifications have exhibited difficulty in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and, therefore, slower prepayments. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security (CARES) Act, signed into law on March 27, 2020, approximately 0.4% of the pool balance was on coronavirus-related forbearance plans because the borrowers reported financial hardship; however, the loans are current as of the Cut-Off Date. These forbearance plans allow temporary payment holidays followed by repayment once the forbearance period ends. The service is generally offering borrowers a three-month payment forbearance plan. Beginning in month four, the borrower can repay all the missed mortgage payments at once or opt to go on a repayment plan to catch up on missed payments for a maximum generally of six to 12 months. During the repayment period, the borrower needs to make regular payments and additional amounts to catch up on the missed payments. Generally, the servicer would attempt to contact the borrowers before the expiration of the forbearance period and evaluate the borrowers' capacity to repay the missed amounts. As a result, the servicer, in adherence to the CARES Act, may offer a repayment plan or other forms of payment relief, such as deferrals of the unpaid P&I amounts or a loan modification, in addition to pursuing other loss mitigation options and in accordance with the pooling and service agreement. Notes: All figures are in U.S. dollars unless otherwise noted. GAM RE-REMIC 2021-FRR1: DBRS Gives Prov. B(low) Rating on 2 Classes ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2021-FRR1 to be issued by GAM Re-REMIC Trust 2021-FRR1: -- Class 1A at BBB (low) (sf) -- Class 1B at BB (low) (sf) -- Class 1C at B (high) (sf) -- Class 1D at B (low) (sf) -- Class 2A at BBB (low) (sf) -- Class 2B at BB (low) (sf) -- Class 2C at B (low) (sf) All trends are Stable. This transaction is a resecuritization collateralized by the beneficial interests in two commercial mortgage-backed pass-through certificates from two underlying transactions: FREMF 2017-K66 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2017-K66, which was securitized in 2017, and FREMF 2018-K72 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2018-K72, which was securitized in 2018. The ratings are dependent on the performance of the underlying transactions. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2019-GC39: Fitch Affirms B- Rating on Cl. G-RR Tranche ------------------------------------------------------------------ Fitch Ratings has affirmed GS Mortgage Securities Trust 2019-GC39 and revised the Rating Outlooks of classes of E, F, G-RR and X-D to Negative from Stable. DEBT RATING PRIOR ---- ------ ----- GSMS 2019-GC39 A-1 36260JAA5 LT AAAsf Affirmed AAAsf A-2 36260JAB3 LT AAAsf Affirmed AAAsf A-3 36260JAC1 LT AAAsf Affirmed AAAsf A-4 36260JAD9 LT AAAsf Affirmed AAAsf A-AB 36260JAE7 LT AAAsf Affirmed AAAsf A-S 36260JAH0 LT AAAsf Affirmed AAAsf B 36260JAJ6 LT AA-sf Affirmed AA-sf C 36260JAK3 LT A-sf Affirmed A-sf D 36260JAL1 LT BBBsf Affirmed BBBsf E 36260JAQ0 LT BBB-sf Affirmed BBB-sf F 36260JAS6 LT BB-sf Affirmed BB-sf G-RR 36260JAU1 LT B-sf Affirmed B-sf X-A 36260JAF4 LT AAAsf Affirmed AAAsf X-B 36260JAG2 LT A-sf Affirmed A-sf X-D 36260JAN7 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased since Fitch's last rating action due to an increase in number of Fitch Loans of Concern (FLOCs) and specially serviced loans. Fitch's ratings assume a base case loss of 4.7%. The Negative Outlooks reflect additional sensitives, which reflect losses that could reach 6.0%. These additional sensitivities include additional stresses applied to loans expected to be affected by the coronavirus pandemic; in particular, the Arbor Hotel Portfolio (2.1%) and Waterford Lakes Town Center (6.7%) loans, given concerns with the pandemic on longer-term performance. The Negative Outlooks on classes E, F and G-RR reflect this scenario as well as the underperformance of The Garfield Apartments (1.2%). Four loans (13.2%), including one loan (6.7%) in special servicing, were designated Fitch Loans of Concern (FLOCs). As of the April 2021 distribution period there were eight loans (24.7%) on the servicer's watchlist for increased vacancy, deferred maintenance, delinquent taxes and coronavirus pandemic related underperformance. Fitch Loans of Concern Waterford Lakes Town Center (6.7%) is a power center located in a suburban area 11.5 miles east of Downtown Orlando and is anchored by a Regal Movie Theater (NRA 12.5%) and shadow-anchored by a Target. Subject TTM December 2018 inline and anchor store sales were $480 psf and $363 psf, respectively. This transferred to special servicing in March 2021 for imminent non-monetary default. This loan is sponsored by Washington Prime Group, Inc. (WPG). In February 2021, Fitch Ratings downgraded the Long-Term Issuer Default Ratings (IDRs) of Washington Prime Group, Inc. to 'C' from 'CC' following the announcement of its election to not make the required interest payment on its senior unsecured notes due in 2024. The Garfield Apartments (3.0%) is a multifamily/retail property located in Cleveland, OH. Subject occupancy for the multifamily component fell to 80% as of February 2021 compared with 67% (June 2020), 82% (December 2019) and 94% (February 2019). YE 2019 NOI fell $706 thousand (or 35.7%) below bank underwritten NOI. YE 2019 NOI debt service coverage ratio (DSCR) was 1.00x, resulting in the activation of the excess cash flow sweep. At issuance, the third-party rental company Stay Alfred rented 19 units (15% of total units). Per the September 2020 rent roll, three units were leased to Alfred with scheduled move out dates between September and October 2020; renewals are not expected as the startup company announced in May 2020 that it would be ceasing operations As of September 2020, leased rent was $1,438 per unit compared with $1,637 per unit as of February 2019. Soho Beach House (1.9%) is a mixed-use property comprised of a 49-room hotel, a proprietary product spa, one restaurant and three bars. The property is located in Miami Beach, Florida, on Collins Avenue in the mid-beach portion and benefits from beachfront access. The loan has been flagged as a FLOC due to the borrower reporting about potential cash flow concerns caused by the coronavirus pandemic. A loan modification was requested from the special servicer and was granted on Jan. 4, 2021. Rosewood Inn of the Anasazi (1.6%) is a 58-key full-service hotel located in Santa Fe, NM. Subject performance has been adversely impacted by the coronavirus pandemic. Subject YE 2020 NCF DSCR was -1.87x compared with 3.75x at YE 2019. Per the November 2020 STR ADR and RevPAR were $410.59 and $79.29, respectively, while the competitive set's TTM ADR and RevPAR were $230.19 and $40.58, respectively. According to the servicer, the borrower has requested relief, but no further updates were available. Exposure to Coronavirus: There are three loans (8.5% of pool), which have a weighted average NOI DSCR of 1.92x, that are secured by hotel properties. 13 loans (21.8%), which have a weighted average NOI DSCR of 1.62x, are secured by retail properties. Two loans (10.0%), which have a weighted average NOI DSCR of 2.15x, are secured by multifamily properties. Fitch's base case analysis applied additional stresses to two hotel loans and two retail loans given the significant declines in property-level cash flow expected in the short term as a result of the decrease in consumer spending and property closures from the coronavirus pandemic. The Negative Outlooks on classes E, F and G-RR partially reflect the additional stresses applied to Arbor Hotel Portfolio. Arbor Hotel Portfolio (2.1%) is collateralized by an 815-key hotel portfolio, consisting of five limited service hotels and one select service hotel. The loan is on the servicer's watchlist for requesting coronavirus relief. According to the servicer, a three-month forbearance agreement was executed in August 2020 whereby the borrower may defer FF&E reserve deposits and utilize current FF&E deposits to pay debt service. As of April 2021, the special servicer was reviewing an additional request for relief submitted by the borrower. In its analysis, Fitch applied a 26% haircut to Fitch NOI used at issuance to reflect the coronavirus pandemic's impact on tourism and travel. Minimal Change to Credit Enhancement: As of the April 2021 distribution date, the pool's aggregate principal balance has paid down by .59% to $797.8 million from $802.5 million at issuance. At issuance, based on the scheduled balance at maturity, the pool was expected to pay down by 5.1%, which is below the 2018 average of 7.2% and the 2017 average of 7.9%. No loans mature until 2023. Of the remaining pool balance, 19 loans comprising 68.8% of the pool were classified as full interest-only through the term of the loan. ADDITIONAL CONSIDERATIONS Investment-Grade Credit Opinion Loans: Three loans comprising 23.5% of the transaction received an investment-grade credit opinion. 101 California Street (9.7% of pool) received a credit opinion of 'BBB-sf' on a stand-alone basis; Moffett Towers II Building V (8.2%) received a stand-alone credit opinion of 'BBB-sf'; 365 Bond (5.6%) received a stand-alone credit opinion of 'BBB-sf'. RATING SENSITIVITIES The Stable Outlooks on classes A-1 through D reflect the overall stable performance of the majority of the pool and expected continued amortization. The Negative Outlooks on classes E, F, G-RR, and X-D reflect the potential for downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and the performance concerns associated with the FLOCs, which include The Garfield Apartments and Waterford Lakes Town Center. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in CE and/or defeasance and/or the stabilization to the properties impacted from the coronavirus pandemic. -- Upgrade of the 'BBBsf' and 'BBB-sf' class 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 'B-sf' and 'BB-sf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. 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 classes A-1 through A-S are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. Downgrades to classes B, C, D, E, X-A, X-B and X-D are possible should performance of the FLOCs continue to decline; should loans susceptible to the coronavirus pandemic not stabilize; and/or should further loans transfer to special servicing. -- Classes F and G-RR be downgraded should the specially serviced loan not return to the master servicer and/or as there is more certainty of loss expectations from other FLOCs. The Rating Outlooks on these classes may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, classes with Negative Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2021-PJ3: DBRS Finalizes B Rating on Class B-5 Certs ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2021-PJ3 issued by GS Mortgage-Backed Securities Trust 2021-PJ3: -- $375.4 million Class A-1 at AAA (sf) -- $375.4 million Class A-2 at AAA (sf) -- $47.5 million Class A-3 at AAA (sf) -- $47.5 million Class A-4 at AAA (sf) -- $281.5 million Class A-5 at AAA (sf) -- $281.5 million Class A-6 at AAA (sf) -- $93.8 million Class A-7 at AAA (sf) -- $93.8 million Class A-8 at AAA (sf) -- $422.9 million Class A-9 at AAA (sf) -- $422.9 million Class A-10 at AAA (sf) -- $422.9 million Class A-X-1 at AAA (sf) -- $375.4 million Class A-X-2 at AAA (sf) -- $47.5 million Class A-X-3 at AAA (sf) -- $281.5 million Class A-X-5 at AAA (sf) -- $93.8 million Class A-X-7 at AAA (sf) -- $5.1 million Class B-1 at AA (sf) -- $5.1 million Class B-2 at A (sf) -- $3.8 million Class B-3 at BBB (sf) -- $1.3 million Class B-4 at BB (sf) -- $1.3 million Class B-5 at B (sf) Classes A-X-1, A-X-2, A-X-3, A-X-5, and A-X-7 are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-4, A-6, A-8, A-9, A-10, and A-X-2 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. Classes A-1, A-2, A-5, A-6, A-7, and A-8 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-3 and A-4) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 4.25% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.10%, 1.95%, 1.10%, 0.80%, and 0.50% 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 447 loans with a total principal balance of $441,623,829 as of the Cut-Off Date (March 1, 2021). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average loan age of two months. Approximately 99.9% of the pool are traditional, nonagency, prime jumbo mortgage loans. The remaining 0.1% of the pool are conforming, high-balance mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related presale report. The originators for the mortgage pool are Guaranteed Rate (36.2%), CrossCountry Mortgage, LLC (32.9%), and various other originators, each comprising less than 15.0% of the mortgage loans. Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan Seller of the transaction. For certain originators, the related loans were sold to MAXEX Clearing LLC (5.5%) and were subsequently acquired by the Mortgage Loan Seller. NewRez LLC (doing business as Shellpoint Mortgage Servicing) will service the mortgage loans within the pool. Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as the Master Servicer, Securities Administrator, and Custodian. U.S. Bank Trust National Association will serve as Delaware Trustee. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a precrisis structure. For this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, four loans (0.7% of the pool) had been granted forbearance plans because the borrowers reported financial hardship related to the Coronavirus Disease (COVID-19) pandemic. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. As of the Cut-Off Date, all four loans satisfied their forbearance plans and are current. Furthermore, none of the loans in the pool are on active coronavirus forbearance plans. Coronavirus Pandemic Impact The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed securities (RMBS) asset classes. The prime mortgage sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans originated to borrowers with prime credit. Generally, these borrowers have decent FICO scores, reasonable equity, and robust income and liquid reserves. As a result of the coronavirus, DBRS Morningstar has seen increased delinquencies and loans on forbearance plans, and expects a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario for the prime asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach based on the forecasted unemployment rates and GDP growth outlined in the moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the prime asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value ratio (LTV) borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas (MSAs) may experience additional stress from extended lockdown periods and the slowdown of the economy. The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, satisfactory third-party due-diligence review, structural enhancements, and 100% current loans. The ratings reflect transactional weaknesses that include their R&W framework, entities lacking financial strength or securitization history, servicer's financial capabilities, and borrowers on forbearance plans. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2021-PJ4: Moody's Assigns B2 Rating to Class B-5 Certs ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to 38 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust (GSMBS) 2021-PJ4. The ratings range from Aaa (sf) to B2 (sf). GS Mortgage-Backed Securities Trust 2021-PJ4 (GSMBS 2021-PJ4) is the fourth prime jumbo transaction in 2021 issued by Goldman Sachs Mortgage Company (GSMC), the sponsor and the primary mortgage loan seller. The certificates are backed by 630 prime jumbo (non-conforming), primarily 30-year, fully-amortizing fixed-rate mortgage loans with an aggregate stated principal balance $622,078,115 as of the April 1, 2021 cut-off date. Overall, pool strengths include the high credit quality of the underlying borrowers, indicated by high FICO scores, strong reserves for prime jumbo borrowers, mortgage loans with fixed interest rates and no interest-only loans. As of the cut-off date, all of the mortgage loans are current and no borrower has entered into a COVID-19 related forbearance plan with the servicer. GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA and Goldman Sachs. The mortgage loans for this transaction were acquired by GSMC, the sponsor and the primary mortgage loan seller (99.6% by UPB), and MTGLQ Investors, L.P. (MTGLQ) (0.4% by UPB), a mortgage loan seller, from certain of the originators or the aggregator, MAXEX Clearing LLC (which aggregated 6.22% of the mortgage loans by UPB). NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service 100% of the pool. Wells Fargo Bank, N.A. (Wells Fargo, long term deposit, Aa1; long term debt Aa2) will be the master servicer and securities administrator. U.S. Bank Trust National Association will be the trustee. Pentalpha Surveillance LLC will be the representations and warranties (R&W) breach reviewer. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. In addition, Moody's adjusted Moody's losses based on qualitative attributes, including origination quality, the strength of the R&W framework and third party review (TPR) results. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure with a five-year lockout period that benefits from a senior and subordination floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In this transaction, the Class A-15 certificates' coupon is indexed to SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. Issuer: GS Mortgage-Backed Securities Trust 2021-PJ4 Class A-1, Assigned Aaa (sf) Class A-2, Assigned Aaa (sf) Class A-3, Assigned Aa1 (sf) Class A-4, Assigned Aa1 (sf) Class A-5, Assigned Aaa (sf) Class A-6, Assigned Aaa (sf) Class A-7, Assigned Aaa (sf) Class A-7-X*, Assigned Aaa (sf) Class A-8, Assigned Aaa (sf) Class A-9, Assigned Aaa (sf) Class A-10, Assigned Aaa (sf) Class A-11, Assigned Aaa (sf) Class A-11-X*, Assigned Aaa (sf) Class A-12, Assigned Aaa (sf) Class A-13, Assigned Aaa (sf) Class A-14, Assigned Aaa (sf) Class A-15, Assigned Aaa (sf) Class A-15-X*, Assigned Aaa (sf) Class A-16, Assigned Aaa (sf) Class A-17, Assigned Aaa (sf) Class A-17-X*, Assigned Aaa (sf) Class A-18, Assigned Aaa (sf) Class A-18-X*, Assigned Aaa (sf) Class A-19, Assigned Aaa (sf) Class A-20, Assigned Aaa (sf) Class A-21, Assigned Aa1 (sf) Class A-X-1*, Assigned Aa1 (sf) Class A-X-2*, Assigned Aaa (sf) Class A-X-3*, Assigned Aa1 (sf) Class A-X-4*, Assigned Aa1 (sf) Class A-X-5*, Assigned Aaa (sf) Class A-X-9*, Assigned Aaa (sf) Class A-X-13*, Assigned Aaa (sf) Class B-1, Assigned Aa3 (sf) Class B-2, Assigned A2 (sf) Class B-3, Assigned Baa2 (sf) Class B-4, Assigned Ba2 (sf) Class B-5, Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.32%, in a baseline scenario-median is 0.16%, and reaches 3.44% at stress level consistent with Moody's Aaa rating. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10% (6.5% for the mean) and its Aaa loss by 2.5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any mortgage loans to borrowers who are not currently making payments. For newly originated mortgage loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned mortgage loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, strength of the TPR and the R&W framework of the transaction. Collateral Description Moody's assessed the collateral pool as of April 1, 2021, the cut-off date. The mortgage loans consist of conventional, fully amortizing, first lien residential mortgage loans, none of which have the benefit of primary mortgage guaranty insurance. The aggregate collateral pool as of the cut-off date consists of 630 prime jumbo mortgage loans with an aggregate unpaid principal balance (UPB) of $622,078,115 and a weighted average (WA) mortgage rate of 2.9%. The WA current FICO score of the borrowers in the pool is 776. The WA Original LTV ratio of the mortgage pool is 68.9%, which is in line with GSMBS 2020-PJ4 and also with other prime jumbo transactions. All the loans are subject to the Qualified Mortgage (QM) rule. The other characteristics of the mortgage loans in the pool are generally comparable to that of GSMBS 2020-PJ4 and recent prime jumbo transactions. The mortgage loans in the pool were originated mostly in California (48.8%) and in high cost metropolitan statistical areas (MSAs) of San Francisco (16.2%), Los Angeles (13.7%), San Jose (6.2%), Chicago (6.1%) and others (21.8%), by UPB, respectively. The high geographic concentration in high cost MSAs is reflected in the high average balance of the pool ($987,426). Moody's made adjustments to Moody's losses to account for this geographic concentration risk. Top 10 MSAs comprise 64.1% of the pool, by UPB. Aggregator/Origination Quality GSMC is the loan aggregator and the primary mortgage seller for the transaction. GSMC's general partner is Goldman Sachs Real Estate Funding Corp. and its limited partner is Goldman Sachs Bank USA. Goldman Sachs Real Estate Funding Corp. is a wholly owned subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital markets group within Goldman Sachs. Senior management averages 16 years of mortgage experience and 15 years of Goldman Sachs tenure. The mortgage loans for this transaction were acquired by GSMC, the sponsor and a mortgage loan seller (99.6% by UPB), and MTGLQ Investors, L.P. (MTGLQ) (0.4% by UPB), a mortgage loan seller, from certain of the originators or the aggregator, MAXEX Clearing LLC (6.22% by UPB, in total). The mortgage loan sellers do not originate any mortgage loans, including the mortgage loans included in the mortgage pool. Instead, the mortgage loan sellers acquired the mortgage loans pursuant to contracts with the originators or the aggregator. Overall, Moody's consider GSMC's aggregation platform to be comparable to that of peer aggregators and therefore did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing GSMC as an aggregator, Moody's have also reviewed each of the originators which contributed at least 10% of the mortgage loans (by UPB) to the transaction. For these originators, Moody's reviewed their underwriting guidelines, performance history, and quality control and audit processes and procedures (to the extent available, respectively). As such, approximately 18.5% and 10.5% of the mortgage loans, by UPB as of the cut-off date, were originated by CrossCountry Mortgage, LLC (CrossCountry) and Movement Mortgage, LLC (Movement), respectively. In addition, approximately 37.5%, 6.6% and 0.8% of the mortgage loans, by UPB as of the cut-off date (44.9% by UPB, in total), were originated by Guaranteed Rate, Inc. (GRI), Guaranteed Rate Affinity, LLC (GRA) and Proper Rate, LLC (collectively, the Guaranteed Rate Parties), respectively. The Guaranteed Rate Parties are affiliates. No other originator or group of affiliated originators originated more than 10% of the mortgage loans in the aggregate. Because Moody's consider CrossCountry and Guaranteed Rate Parties to have adequate residential prime jumbo loan origination practices and to be in line with peers due to: (1) adequate underwriting policies and procedures, (2) consistent performance with low delinquency and repurchase and (3) adequate quality control, Moody's did not make any adjustments to Moody's loss levels for mortgage loans originated by these parties. Servicing Arrangement Moody's consider the overall servicing arrangement for this pool to be adequate, and as a result Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on the servicing arrangement. Shellpoint will be the named primary servicer for this transaction and will service 100% of the pool. Shellpoint is an approved servicer in good standing with Ginnie Mae, Fannie Mae and Freddie Mac. Shellpoint's primary servicing location is in Greenville, South Carolina. Shellpoint services residential mortgage assets for investors that include banks, financial services companies, GSEs and government agencies. Wells Fargo will act as master. Wells Fargo is a national banking association and a wholly-owned subsidiary of Wells Fargo & Company. Moody's consider the presence of an experienced master servicer such as Wells Fargo to be a mitigant for any servicing disruptions. Wells Fargo is committed to act as successor servicer if no other successor servicer can be engaged. Third-party Review The transaction benefits from TPR on 100% of the mortgage loans for regulatory compliance, credit and property valuation. The due diligence results confirm compliance with the originators' underwriting guidelines for the vast majority of mortgage loans, no material compliance issues, and no material valuation defects. The mortgage loans that had exceptions to the originators' underwriting guidelines had significant compensating factors that were documented. Representations & Warranties GSMBS 2021-PJ4's R&W framework is in line with that of prior GSMBS transactions Moody's have rated where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Moody's review of the R&W framework takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and the R&W enforcement mechanism. The loan-level R&Ws meet or exceed the baseline set of credit-neutral R&Ws Moody's have identified for US RMBS. R&W breaches are evaluated by an independent third-party using a set of objective criteria. The transaction requires mandatory independent reviews of mortgage loans that become 120 days delinquent and those that liquidate at a loss to determine if any of the R&Ws are breached. There is a provision for binding arbitration in the event of a dispute between the trust and the R&W provider concerning R&W breaches. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. An investment-grade rated R&W provider lends substantial strength to its R&Ws. Moody's analyze the impact of less creditworthy R&W providers case by case, in conjunction with other aspects of the transaction. Here, because most of the R&W providers are unrated and/or exhibit limited financial flexibility, Moody's applied an adjustment to the mortgage loans for which these entities provided R&Ws. Tail Risk and Locked Out Percentage The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 0.95% of the cut-off date pool balance, and as subordination lock-out amount of 0.95% of the cut-off date pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. COVID-19 Impacted Borrowers As of the cut-off date, mortgagors with respect to approximately 0.17% of the mortgage loans by UPB had previously been, but no longer were, subject to a COVID-19 related forbearance plan. In addition, as of the cut-off date, each such mortgage loan had become current. In the event the servicer enters into a forbearance plan with a COVID-19 impacted borrower, the servicer will report such mortgage loan as delinquent (to the extent payments are not actually received from the borrower) and the servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such loan during the forbearance period (unless the servicer determines any such advances would be a nonrecoverable advance). At the end of the forbearance period, if the borrower is able to make the current payment on such mortgage loan but is unable to make the previously forborne payments as a lump sum payment or as part of a repayment plan, then such principal forbearance amount will be recognized as a realized loss. At the end of the forbearance period, if the borrower repays the forborne payments via a lump sum or repayment plan, advances will be recovered via the borrower payment(s). In an event of modification, Shellpoint will recover advances made during the period of COVID-19 related forbearance from pool level collections. Any principal forbearance amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery. 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 April 2020. GS MORTGAGE-BACKED 2021-PJ4: Fitch Gives Final B Rating to B-5 Debt ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2021-PJ4 (GSMBS 2021-PJ4). DEBT RATING PRIOR ---- ------ ----- GSMBS 2021-PJ4 A-1 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-15-X LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-17-X LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-18-X LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AA+sf New Rating AA+(EXP)sf A-3 LT AA+sf New Rating AA+(EXP)sf A-4 LT AA+sf New Rating AA+(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf A-R LT NRsf New Rating NR(EXP)sf A-X-1 LT AA+sf New Rating AA+(EXP)sf A-X-13 LT AAAsf New Rating AAA(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AA+sf New Rating AA+(EXP)sf A-X-4 LT AA+sf New Rating AA+(EXP)sf A-X-5 LT AAAsf New Rating AAA(EXP)sf A-X-9 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2021-PJ4 (GSMBS 2021-PJ4) as indicated above. This is a Prime Jumbo transaction, with a shifting interest structure. The certificates are supported by 630 nonconforming mortgage loans with a total balance of approximately $622.1 million as of the cutoff date. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists almost entirely of 30-year and one 20-year fixed-rate mortgage (FRM) fully amortizing loans seasoned approximately four months in aggregate. The borrowers in this pool have strong credit profiles (770 model FICO) and relatively low leverage (a 74.7% sustainable loan to value ratio [sLTV]). The 100% full documentation collateral comprises of 100% nonconforming prime-jumbo loans, while 100% of the loans are safe harbor qualified mortgages (SHQM). Of the pool, 98.4% are of loans for which the borrower maintains a primary residence, while 1.6% are for second homes. Additionally, 87.0% of the loans were originated through a retail channel. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared with a sequential or modified sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.90% of the original balance will be maintained for the senior certificates, and a subordination floor of 0.60% of the original balance will be maintained for the subordinate certificates. Shellpoint Servicing will provide full advancing for the life of the transaction. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. Low Operational Risk: Operational risk is well controlled for in this transaction. Goldman Sachs is assessed as an 'Above Average' aggregator by Fitch due to its robust sourcing strategy and seller oversight, experienced senior management and staff, and strong risk management and corporate governance controls. Fitch conducted reviews on more than 95% of the originators in this transaction, all of which are considered at least an 'Average' Originator by industry standards. Primary servicing responsibilities are performed by Shellpoint Mortgage Servicing (Shellpoint), rated 'RPS2' by Fitch. Fitch did not adjust its expected losses based on these operational assessments. Updated Economic Risk Factor (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." RATING SENSITIVITIES 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 and lower MVDs, illustrated by a gain in home prices. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 40.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. 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). Third-party due diligence was performed on 100% of the loans in the transaction. Due diligence was performed by AMC, Opus, Consolidated Analytics, and Digital Risk, which Fitch assesses as Acceptable - Tier 1, Acceptable - Tier 2, Acceptable - Tier 3, and Acceptable - Tier 2 respectively. The review scope is consistent with Fitch criteria, and the results are generally similar to prior prime RMBS transactions. Credit exceptions were supported by strong mitigating factors, and compliance exceptions were primarily cured with subsequent documentation. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Opus, Consolidated Analytics, and Digital Risk were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. INSTITUTIONAL MORTGAGE 2013-4: Fitch Cuts Cl. E Debt Rating to Bsf ------------------------------------------------------------------ Fitch Ratings has downgraded two classes and affirmed six classes of Institutional Mortgage Securities Canada Inc.'s (IMSCI) Commercial Mortgage Pass-Through Certificates series 2013-4. DEBT RATING PRIOR ---- ------ ----- IMSCI 2013-4 A-1 45779BBT5 LT AAAsf Affirmed AAAsf A-2 45779BBU2 LT AAAsf Affirmed AAAsf B 45779BBW8 LT AAsf Affirmed AAsf C 45779BBX6 LT Asf Affirmed Asf D 45779BBY4 LT BBsf Downgrade BBBsf E 45779BBZ1 LT Bsf Downgrade BBsf F 45779BBH1 LT CCCsf Affirmed CCCsf G 45779BBJ7 LT CCsf Affirmed CCsf KEY RATING DRIVERS Increasing Certainty of Loss on Fort McMurray Properties: The downgrades to classes D and E are due to the increasing certainty of losses on Nelson Ridge (10.0% of the current balance) and Franklin Suites (5.4%). Nelson Ridge is a 225-unit multifamily property in Fort McMurray, AB, which transferred to special servicing in early 2016 due to a decline in operating performance. The property was affected by the decline in oil prices and occupancy declined to a low of only 45% in 2015. Subsequently, the property was affected by the area wildfires in May 2016; however, the loan returned to master servicing in January 2017. The loan was scheduled to mature in December 2018 and is currently in forbearance through November 2021. According to the servicer, the property was 76% occupied in February 2021, and as of YE 2019, net operating income debt service coverage ratio (NOI DSCR) was -0.89x. Fitch's loss expectations were based on an assumed reduction in cash flow given the exposure to the oil industry and continued poor performance. No credit was given to the recourse. Franklin Suites is a 75-key hotel property built in 2006 and located in Fort McMurray, AB. Per the subservicer, property performance has been adversely impacted by the decline in oil prices, the Fort McMurray wildfires, and the pandemic. Per the February 2021 STR report, the property reported TTM RevPAR of $38 which is a decline of approximately 80% YOY. As of YE 2019, the property was performing at a 0.50x NOI DSCR. No credit was given to the recourse. Increasing Loss Expectations: Six loans (45.9%) have been designated FLOCs compared with five loans (30.7%) at the prior rating action. The increasing certainty of losses is partially offset by the improvement in credit enhancement from paydown and amortization and low historical delinquency and loss rates associated with Canadian CMBS loans. Additionally, most of the FLOCs are structured with recourse and the sponsors have continued to fund debt service shortfalls. Fitch Loans of Concern: The largest FLOC is Burnhamthorpe Square (14.0%), an office park in Etobicoke, ON in the Toronto metro, where the largest tenant (Canada Bread Company - 18.4% NRA) vacated in April 2020, prior to their December 2020 lease expiration. In addition, tenants accounting for approximately 20% of NRA have leases scheduled to expire in 2021 and 2022. As of the April 2020 rent roll, the property was 72% occupied and the loan was performing at a 2.04x NOI DSCR as of YE 2019. Festival Marketplace (12.7%), a shopping center in Stratford, ON where major tenants include Winners, Hart, and Sport Chek. Sears closed in January 2018, resulting in a decline in occupancy and cash flow. The Sears space was partially re-leased to Hart and Fabricland but as of the June 2020 rent roll, occupancy remains at 81%. As of YE 2019, the loan was performing at a 1.07x NOI DSCR. Fitch expects cash flow to decline in 2020 and 2021 as the property is reliant on a local summer theatre festival for a significant portion of their summer revenue; due to the pandemic, the festival was cancelled in 2020 and will only be held in a limited fashion in 2021. Improved Credit Enhancement: Credit enhancement has improved since issuance due to loan amortization and payoffs. As of the April 2021 distribution date, the pool's aggregate principal balance has been reduced by 53.7% to $152.9 million from $330.4 million at issuance. There are no specially serviced or delinquent loans, and one loan (10.4%) is defeased. Canadian Loan Attributes and Historical Performance: The affirmations of the senior classes reflect strong historical Canadian commercial real estate loan performance, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower and additional guarantors. Approximately 58.4% of the loans in the pool reflect full or partial recourse. Pool Concentration: The pool has become concentrated, with only 13 of the original 30 loans remaining when accounting for cross-collateralized and cross-defaulted loans. Coronavirus: The pool contains one loan (5.4%) secured by a hotel with a DSCR of 0.50x. Retail properties account for 54.6% of the pool balance and have weighted average DSCR of 1.40x. Cash flow disruptions were a result of property and consumer restrictions due to the spread of coronavirus; however, the rating actions are primarily the result of the continued underperformance of the two properties with exposure to the energy market. RATING SENSITIVITIES The Negative Outlooks on classes C, D, and E reflect the potential for a near term rating changes should the performance of FLOCs deteriorate, specifically Nelson Ridge and Franklin Suites. The Stable Outlooks on classes A- 1, A-2 and B reflect the overall stable performance of the pool and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B and C may occur with significant improvement in credit enhancement or defeasance but would be limited should the deal be susceptible to a concentration whereby the underperformance of FLOCs could cause this trend to reverse. An upgrade to class D would also consider these factors but would be limited based on sensitivity to concentrations or the potential for future concentration. -- Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to classes E, F and G is not likely until the later years in a transaction and only if there are better than expected recoveries on Fitch Loans of Concern and the performance of the remaining pool is stable, and if there is sufficient credit enhancement, which would likely occur when the non-rated class is not eroded and the senior classes payoff. While high expected losses on loans of concern continue to impact the pool, upgrades are extremely unlikely. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming loans. Downgrades to classes A-1 and A-2 are not likely due to the high credit enhancement but could occur if interest shortfalls occur or if a high proportion of the pool defaults and expected losses increase significantly. Downgrades to classes B and C and additional downgrades to class D may occur should overall pool losses increase or if several large loans have an outsized loss, properties vulnerable to the coronavirus fail to stabilize to pre-pandemic levels and/or Fitch Loans of Concern transfer to special servicing. -- Further downgrades to class E would occur should loss expectations increase due to an increase in specially serviced loans, the disposition of a specially serviced loan/asset at a high loss, or an increased certainty of losses on the FLOCs. Further downgrades to the distressed classes F and G will occur with an increased certainty of losses or if losses are realized. The Negative Rating Outlooks on classes C, D and E may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories. 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. INVESCO CLO 2021-1: Moody's Assigns Ba3 Rating to $20MM Cl. E Notes ------------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Invesco CLO 2021-1, Ltd. (the "Issuer" or "Invesco 2021-1"). Moody's rating action is as follows: US$315,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2034 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$10,000,000 Class A-2 Senior Secured Fixed Rate Notes Due 2034 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf) US$55,000,000 Class B Senior Secured Floating Rate Notes Due 2034 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$27,500,000 Class C Deferrable Mezzanine Secured Floating Rate Notes Due 2034 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$32,500,000 Class D Deferrable Mezzanine Secured Floating Rate Notes Due 2034 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$20,000,000 Class E Deferrable Junior Secured Floating Rate Notes Due 2034 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The 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, 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 2021-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, up to 10% of the portfolio may consist of second lien loans, senior unsecured loans, first-lien last-out loans and up to 5% of the portfolio may consist of senior secured bonds, senior secured floating rate notes and high-yield bonds. The portfolio will be at least 98% 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: 65 Weighted Average Rating Factor (WARF): 2867 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.0 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. 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 2012-C8: Fitch Lowers Ratings on 2 Tranches to 'CCsf' --------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed seven classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 commercial pass-through certificates series 2012-C8 (JPMCC 2012-C8). Fitch has also revised the Outlooks on five classes to Negative from Stable. DEBT RATING PRIOR ---- ------ ----- JPMCC 2012-C8 A-3 46638UAC0 LT AAAsf Affirmed AAAsf A-S 46638UAH9 LT AAAsf Affirmed AAAsf A-SB 46638UAD8 LT AAAsf Affirmed AAAsf B 46638UAK2 LT AAsf Affirmed AAsf C 46638UAM8 LT Asf Affirmed Asf D 46638UAR7 LT BBB-sf Downgrade BBB+sf E 46638UAT3 LT CCCsf Downgrade BBsf EC 46638UAP1 LT Asf Affirmed Asf F 46638UAV8 LT CCsf Downgrade CCCsf G 46638UAX4 LT CCsf Downgrade CCCsf X-A 46638UAE6 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Increased Loss Expectations; High Percentage of FLOCs: The downgrades and Negative Outlooks reflect increased loss expectations including several Fitch Loans of Concern (FLOCs) that have been affected by the slowdown in economic activity amid the coronavirus pandemic. Fitch identified 10 FLOCs (53.5% of pool), the largest is Battlefield Mall (16.4%). Fitch's current ratings, which include coronavirus-specific stresses, reflect a base case loss of 13.00%. The Negative Outlooks on classes A-S, X-A, B, C, D and EC reflect upcoming refinance concerns, particularly with the FLOCs, given the entire pool matures in 2022. If refinance prospects on the FLOCs improve in 2022, the Negative Outlooks on these classes could be revised to Stable. Largest Contributors to Loss Expectations: Battlefield Mall (16.4%), is secured by approximately 1 million sf of a 1.2 million sf regional mall in Springfield, MO. The loan, which is sponsored by Simon Property Group and matures in September 2022, was designated a FLOC due to performance concerns and the risks associated with the secular shift away from regional malls. Fitch's loss expectation of approximately 30% is based on a 15% cap rate and 20% total haircut to YE 2020 NOI. The mall is anchored by four tenants: Dillard's Women's leases 13.6% net rentable area (NRA) and is currently month-to-month (MTM); Dillard's Men's & Home leases 12.2% NRA through January 2023; JCPenney leases 19.9% NRA through September 2026; and Macy's leases 13.1% NRA through July 2022. JCPenney recently renewed its lease for five years, and per servicer updates, Dillard's, which is MTM, has no intention of closing its store. Sears, a previous noncollateral anchor, closed this location in April 2020. Collateral occupancy and servicer-reported NOI debt service coverage ratio (DSCR) were 93% and 2.06x, respectively, at YE 2020, compared with 93% and 2.22x at YE 2019 and 98% and 2.19x at issuance. In-line tenant sales were $396 per sf at YE 2019. The second largest contributor to Fitch's overall loss expectations, Ashford Office Complex (7.6%), is secured by a complex of three office buildings totaling 570,045 sf located within the Energy Corridor of Houston. The loan is sponsored by Accesso Partners and matures in August 2022. It is a FLOC due to a significant decline in occupancy after the loss of three large energy sector tenants; occupancy is down to 54% as of December 2020 from 93% at issuance. NOI DSCR was 0.97x as of YE 2020, from 0.75x at YE 2019 and 1.70x at issuance. A cash flow sweep was triggered due to Sasol North America vacating and remains in place. There is approximately $7.5 million in total reserves as of April 2021 . Fitch's loss expectation of approximately 35% is based on a 10.5% cap rate and 5% total haircut to YE 2020 NOI. The third largest contributor to Fitch's loss expectations, Gallery at Harborplace (10.2%), is secured by a 390,447 sf mixed-use retail/office property located in the Inner Harbor in downtown Baltimore. The loan is sponsored by Brookfield Property Partners and matures in May 2022. It was designated a FLOC due to performance declines related to several tenant vacancies. Fitch's loss expectation of approximately 24% is based on a 12% cap rate and 20% total haircut to YE 2019 NOI. As a result of the tenant vacancies, occupancy and servicer-reported NOI DSCR have declined to 69% and 0.92x, respectively, as of YTD September 2020 from 83% and 1.47x at YE 2019. Occupancy and servicer-reported NOI DSCR were 76% and 1.63x, respectively, at issuance. The largest current tenant is Spaces, a European co-working firm, which leases 10.2% NRA through April 2024. Other large tenants include Niles Barton & Wilmer, which leases 5.4% NRA through June 2026 and Cigna, which leases 5.3% NRA through January 2026. Per the September 2020 rent roll, near-term rollover includes 3.3% NRA in 2020, 5.9% in 2021 and 11.7% in 2022. Alternative Loss Consideration: Fitch considered an additional scenario in addition to its base case scenario, where only the 10 FLOCs remain in the pool. These loans face significant refinance risks including regional mall concerns, low occupancy and/or low DSCR. Classes A-S, X-A, B, C, D, E, F, G and EC are reliant on these loans for repayment. This scenario contributed to the Negative Outlooks. The affirmations and Stable Outlooks on classes A-3 and A-SB reflect their senior position in the capital structure and payment priority. These classes are primarily covered by defeased collateral and low leveraged loans expected to pay off at loan maturity. Exposure to Coronavirus Pandemic: Retail properties account for 32.5% of the pool including Battlefield Mall. Hotels account for 9.3% of the pool. Fitch's analysis took this exposure into consideration as it expects an impact on potential sales and/or refinancing at loan maturity. Increase in Credit Enhancement: The senior classes have benefited from increased credit enhancement from loan payoffs, scheduled amortization and defeasance. As of the April 2021 distribution date, the pool's aggregate balance has been paid down by 39.9% to $682.7 million from $1.14 billion at issuance. One loan, with a $10.3 million balance at disposition, was prepaid with yield maintenance since Fitch's prior rating action. Twenty-four loans (90.8%) are amortizing. Four loans (18.6%) are defeased. Interest shortfalls of $4,701 are currently affecting the nonrated NR class. Pool Concentration; Upcoming Maturities: Twenty-nine of the original 43 loans remain in the pool. All remaining loans mature in 2022. The weighted average coupon for the pool is 4.7%. RATING SENSITIVITIES The Negative Outlooks reflect the potential for future downgrades, given concerns with the high percentage of FLOCs and near-term maturity/refinance risks. The Stable Outlooks on classes A-3 and A-SB reflect the payment priority for these senior bonds, with sufficient credit enhancement and expectation of paydown from continued amortization and defeasance. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades are unlikely due to the high percentage of FLOCs and performance/refinance concerns, primarily with Battlefield Mall, Gallery at Harborplace, Ashford Office Complex and Hotel Sorella CITYCENTRE. Upgrades of classes B, C and EC would only occur with significant improvement in credit enhancement and/or defeasance and if performance of the FLOCs stabilizes. If refinance prospects on the FLOCs improve in 2022, the Negative Outlooks could be revised to Stable. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming loans and/or loans transferring to special servicing. Downgrades of classes A-3 and A-SB are not likely due to the high credit enhancement and expected receipt of continued amortization. Downgrades of classes A-S, X-A, B, C, D and EC could occur if performance of the FLOCs declines further or these loans fail to pay off at maturity in 2022. Downgrades of the distressed classes E, F and G would occur as losses become more certain or are realized. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS JPMCC 2012-C8 has an Environmental, Social and Governance (ESG) Relevance Score of '4' for Exposure to Social Impacts due to malls that are underperforming as a result of changing consumer preference to shopping, which has a negative impact on the credit profile and is highly relevant to the rating. 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. JP MORGAN 2021-6: Fitch Assigns Final B Rating on Cl. B-5 Debt -------------------------------------------------------------- Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2021-6 (JPMMT 2021-6). DEBT RATING PRIOR ---- ------ ----- JPMMT 2021-6 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-A LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-10-A LT AAAsf New Rating AAA(EXP)sf A-10-X LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-11-A LT AAAsf New Rating AAA(EXP)sf A-11-AI LT AAAsf New Rating AAA(EXP)sf A-11-B LT AAAsf New Rating AAA(EXP)sf A-11-BI LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AAAsf New Rating AAA(EXP)sf A-X-4 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 1,673 loans with a total balance of approximately $1.564 billion as of the cutoff date. The pool consists of prime quality fixed-rate mortgages (FRMs) from various mortgage originators. The servicers in the transactions consist of JP Morgan Chase Bank and various other servicers. Nationstar Mortgage LLC (Nationstar) will be the master servicer. All of the loans qualify as either Safe Harbor Qualified Mortgages (SHQM) or Agency Safe Harbor QM loans. There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate based off of the net WAC, or floating/inverse floating rate based off of the SOFR index, and capped at the net WAC. This is the fifth Fitch-rated JPMMT transaction to use SOFR as the index rate for floating/inverse floating-rate certificates. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of very high-quality 30-year, 25-year and 20-year fixed-rate fully amortizing loans. All of the loans qualify as SHQM or Agency Safe Harbor QM loans. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of four months according to Fitch (two months per the transaction documents). The pool has a weighted average (WA) original FICO score of 779 (as determined by Fitch), which is indicative of very high credit quality borrowers. Approximately 87.3% of the loans have a borrower with an original FICO score above 750. In addition, the original WA combined loan-to-value ratio (CLTV) of 68.3%, translating to a sustainable loan-to-value ratio (sLTV) of 73.7%, represents substantial borrower equity in the property and reduced default risk. Non-conforming loans comprise 98.2% of the pool, while the remaining 1.8% represents conforming loans. 100% of the loans are designated as QM loans, with roughly 86.7% of the pool originated by a retail channel. Loans where the borrower maintains a primary residence comprise 90.8% of the pool, while 6.6% comprises second homes and 2.6% represents non-permanent residences that were treated as investor properties. Single-family homes comprise 91.9% of the pool, and condominiums make up 7.0%. Cash-out refinances comprise 9.9% of the pool, purchases comprise 33.4% and rate-term refinances comprise 56.7%. A total of 519 loans in the pool are over $1 million, and the largest loan is $2.74 million. Fitch determined that 2.6% of the loans were made to foreign nationals/non-permanent residents. These loans were treated as investor-occupied to reflect the additional risk they may pose. Geographic Concentration (Neutral): Approximately 41.0% of the pool is concentrated in California. The largest MSA concentration is in the San Francisco-Oakland-Fremont, CA MSA (13.9), followed by Los Angeles-Long Beach-Santa Ana, CA MSA (10.6%), and the Chicago-Naperville-Joliet, IL MSA (7.4%). The top three MSAs account for 31.9% of the pool. As a result, there was no probability of default (PD) penalty for geographic concentration. Shifting Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): A CE or senior subordination floor of 0.40% has been considered to mitigate potential tail end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.300006% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Updated Economic Risk Factor (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the Coronavirus-related ERF floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." JPMMT 2021-6 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled for in JPMMT 2021-6, including strong transaction due diligence as well as an aggregator assessed as 'Above Average' by Fitch and an 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses and is relevant to the rating. RATING SENSITIVITIES 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. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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. 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 39.9% 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. 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, Digital Risk, and Opus Capital Markets. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review, and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, Digital Risk, and Opus Capital Markets were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS JPMMT 2021-6 has an ESG credit relevance score of '4+' for Transaction Parties & Operational Risk. Operational risk is well controlled for in JPMMT 2021-6 including strong R&W and transaction due diligence as well as a strong originator and servicer which resulted in a reduction in expected losses. This 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. JP MORGAN 2021-6: Moody's Assigns B3 Rating to Class B-5 Certs -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 51 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust (JPMMT) 2021-6. The ratings range from Aaa (sf) to B3 (sf). JPMMT 2021-6 is the sixth prime jumbo transaction in 2021 issued by J.P. Morgan Mortgage Acquisition Corporation (JPMMAC). Overall, the credit quality of the mortgage loans backing this transaction is similar to that of transactions issued by other prime issuers. The pool has strong credit quality and consists of borrowers with high FICO scores, low loan-to-value (LTV) ratios, high income, and liquid cash reserves. Similar to recent JPMMT transactions rated by us, Moody's consider the overall servicing arrangement for this pool to be adequate given the strong servicing arrangement of the servicers, as well as the presence of a strong master servicer to oversee the servicers. JPMMT 2021-6 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In coding the cash flow, Moody's took into account the step-up incentive servicing fee structure. In this transaction, the Class A-11 notes' coupon is indexed to SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread. Moody's base Moody's ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the third-party review (TPR) and the representations and warranties (R&W) framework of the transaction. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2021-6 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-A, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-9-A, Definitive Rating Assigned Aaa (sf) Cl. A-9-X*, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-10-A, Definitive Rating Assigned Aaa (sf) Cl. A-10-X*, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-11-A, Definitive Rating Assigned Aaa (sf) Cl. A-11-AI*, Definitive Rating Assigned Aaa (sf) Cl. A-11-B, Definitive Rating Assigned Aaa (sf) Cl. A-11-BI*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Moody's expected loss for this pool in a baseline scenario-mean is 0.28%, in a baseline scenario-median is 0.14%, and reaches 2.70% at a stress level consistent with Moody's Aaa ratings. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's increased its model-derived median expected losses by 10.00% (6.27% for the mean) and Moody's Aaa loss by 2.50% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Collateral Description Moody's assessed the collateral pool as of April 1, 2021, the cut-off date. The deal will be backed by 1,673 fullyamortizing fixed-rate mortgage loans with an aggregate unpaid principal balance (UPB) of $1,564,278,923 and an original term to maturity of up to 30 years. The pool consists predominantly of prime jumbo non-conforming (98.2%) and GSE-eligible conforming (1.8% by UPB) mortgage loans. The borrowers have high monthly income (about $30,874 on a WA basis), and significant liquid cash reserve (about $422,143 on a WA basis), all of which have been verified as part of the underwriting process and reviewed by the third-party review firms. The GSE-eligible loans, which make up about 1.8% of the JPMMT 2021-6 pool by loan balance, were underwritten pursuant to GSE guidelines and were approved by DU/LP. About 41.0% of the mortgage loans (by balance) were originated in California which includes metropolitan statistical areas (MSAs) San Francisco (13.9%) and Los Angeles (10.6%). The high geographic concentration in high-cost MSAs is reflected in the high average balance of the pool ($935,014). All the mortgage loans are designated as safe harbor Qualified Mortgages (QM) and meet Appendix Q to the QM rules. Overall, the characteristics of the mortgage loans underlying the pool are generally comparable to those of other JPMMT transactions backed by prime mortgage loans that Moody's have rated. As of the cut-off date, none of the borrowers of the mortgage loans are currently subject to a forbearance plan or are in the process of being subject to a forbearance plan, including as a result of COVID-19. In the event a borrower enters into a forbearance plan, including as a result of COVID-19, after the cut-off date, such mortgage loan will remain in the pool. Aggregation/Origination Quality Moody's consider JPMMAC's aggregation platform to be adequate and Moody's did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing JPMMAC as an aggregator, Moody's have also reviewed the originator(s) contributing a significant percentage of the collateral pool (above 10%) and MAXEX Clearing LLC (an aggregator). Guaranteed Rate (Guaranteed Rate Inc., Guaranteed Rate Affinity, and Proper Rate) and loanDepot.com, LLC originated approximately 23.1% and 14.4% of the mortgage loans (by UPB) in the pool, respectively. The remaining originators each account for less than 10.0% (by UPB) of the loans in the pool. Approximately 33.7% and 1.0% (by UPB) of the mortgage loans were acquired by JPMMAC from MAXEX and Verus Mortgage Trust 1A (collectively, aggregators), respectively, which purchased such mortgage loans from the related originators or from an unaffiliated third party which directly or indirectly purchased such mortgage loans from the related originators. Moody's did not make an adjustment for GSE-eligible loans, since those loans were underwritten in accordance with GSE guidelines. Moody's increased its base case and Aaa loss expectations for certain originators of nonconforming loans where Moody's do not have clear insight into the underwriting practices, quality control and credit risk management. Servicing Arrangement Moody's consider the overall servicing arrangement for this pool to be adequate given the strong servicing arrangement of the servicers, as well as the presence of a strong master servicer to oversee the servicers. NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will interim service approximately about 85.0%, loanDepot.com, LLC (loanDepot) will service about 14.4% (subserviced by Cenlar, FSB) and United Wholesale Mortgage, LLC (UWM) will service about 0.6% (also subserviced by Cenlar, FSB). Nationstar Mortgage LLC (Nationstar, Nationstar Mortgage Holdings Inc. corporate family ratings B2) will act as the master servicer. The servicers are required to advance P&I on the mortgage loans. To the extent that the servicers are unable to do so, the master servicer will be obligated to make such advances. In the event that the master servicer, Nationstar, is unable to make such advances, the securities administrator, Citibank, N.A. (rated Aa3) will be obligated to do so to the extent such advance is determined by the securities administrator to be recoverable. The servicing fee for loans in this transaction will be based on a step-up incentive fee structure with a monthly base fee of $40 per loan and additional fees for delinquent or defaulted loans. Third-Party Review The transaction benefits from a TPR on 100% of the loans for regulatory compliance, credit and property valuation. The TPR results confirm compliance with the originator's underwriting guidelines for the vast majority of loans, no material regulatory compliance issues, and no material property valuation issues. The loans that had exceptions to the originator's underwriting guidelines had significant compensating factors that were documented. There are 19 loans (1.2% by UPB) that have an exterior-only appraisal due to COVID-19, instead of full appraisal. Since the exterior-only appraisal only covers the outside of the property there is a risk that the property condition cannot be verified to the same extent had the appraiser been provided access to the interior of the home. Also, four (4) loans representing 0.1% (by UPB) are appraisal waiver loans. These loans do not have a traditional appraisal but instead an estimate of value or sales price is provided, typically, by the seller. . All of the exterior- only appraisal loans have a collateral desk appraisal (CDA) within an acceptable tolerance limit. All of the appraisal waiver loans were supported within acceptable tolerance limits using both an automatic valuation model (AVM) and a 2055 exterior only product. Moody's took this into consideration in Moody's analysis to account for the risk associated with such mortgage loans. R&W Framework Moody's review of the R&W framework takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and enforcement mechanisms. JPMMT 2021-6's R&W framework is in line with that of other JPMMT transactions Moody's have rated where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. The loan-level R&Ws meet or exceed the baseline set of credit-neutral R&Ws Moody's have identified for US RMBS. The R&W framework is "prescriptive", whereby the transaction documents set forth detailed tests for each R&W. The originators and the aggregators each makes a comprehensive set of R&Ws for their loans. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. JPMMAC does not backstop the originator R&Ws, except for certain "gap" R&Ws covering the period from the date as of which such R&W is made by an originator or an aggregator, respectively, to the cut-off date or closing date. Moody's made adjustments to Moody's losses for such R&W providers that are unrated and/or financially weaker entities. Transaction Structure The transaction has a shifting interest structure in which the senior bonds benefit from a number of protections. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next, principal payments are made to the senior bonds. Next, available distribution amounts are used to reimburse realized losses and certificate write-down amounts for the senior bonds (after subordinate bonds have been reduced to zero i.e. the credit support depletion date). Finally, interest and then principal payments are paid to the subordinate bonds in sequential order. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balance of the subordinate bonds is written off, losses from the pool begin to write off the principal balance of the senior support bond, and finally losses are allocated to the super senior bonds. The Class A-11 Certificates will have a pass-through rate that will vary directly with the SOFR rate and the Class A-11-X Certificates will have a pass-through rate that will vary inversely with the SOFR rate. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinate bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinate bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 0.40% of the cut-off date pool balance, and as subordination lockout amount of 0.30% of the cut-off date pool balance. Moody's calculate the credit neutral floors for a given target rating as shown in Moody's principal methodology. The senior subordination floor is equal to an amount which is the sum of the balance of the six largest loans at closing multiplied by the higher of their corresponding MILAN Aaa severity or a 35% severity. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. JP MORGAN 2021-MHC: DBRS Gives Prov. BB(sf) Rating on Class E Certs ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Securities 2021-MHC to be issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-MHC (JPMCC 2021-MHC) as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class X-CP at A (high) (sf) -- Class X-EXT at A (high) (sf) -- Class D at A (sf) -- Class E at BB (sf) All trends are Stable. The JPMCC 2021-MHC transaction is a single-asset/single-borrower transaction collateralized by the borrower's fee-simple interest in of 93 manufactured housing communities (MHCs) containing 11,129 pads and one self-storage property across 13 states. Of the 11,129 total pads, 10,897 are manufactured housing pads, 194 are recreational vehicle (RV) pads, and 38 are site-built homes. Additionally, the collateral includes the indirect equity interest in the entities that own 1,504 community-owned home (COH) units, which were predominately acquired by the seller in recent years in order to increase occupancy across the portfolio. The $488.6 million first-mortgage loan, $40.0 million mezzanine loan, and $258.8 million of sponsor equity were used to acquire the portfolio for $743.3 million, fund can earn-out reserve of $11.0 million, finance an immediate repair upfront reserve of $1.0 million, and cover closing costs of $32.2 million. The sponsor for the transaction, Horizon Land Co., contributed a significant amount of equity, representing 34.8% of the $743.3 million purchase price. DBRS Morningstar generally views acquisition loans with significant amounts of cash equity more favorably, given the stronger alignment of economic incentives when compared with cash-out financings. The sponsor owned over 150 MHC parks containing approximately 24,000 pads across the United States in 2020, and is using data from its existing portfolio to identify cost-saving measures across the portfolio. The portfolio operated at an expense ratio of 48.8% for the trailing 12-month period ended February 28, 2021, and the sponsor is projecting the expense ratio to decrease to 45.6% for the YE2021 and 44.1% for the YE2022. DBRS Morningstar concluded to an expense ratio of 49.1% in the DBRS Morningstar Stabilized Net Cash Flow, which is well above the weighted-average (WA) Issuer expense ratio of 40.2% for 382 loans secured by MHC properties in Agency K-series transactions from 2015 through 2019. The sponsor believes management can lower expenses by identifying water leakage at certain properties, implementing lower insurance premiums, and reduce staffing by consolidating responsibilities. The portfolio will likely benefit from the sponsor's experience with cost-saving measures in its existing portfolios. MHC properties have historically performed well during the past economic recessions relative to other property types. The portfolio exhibited a collection rate of 97.8% in 2020 despite the Coronavirus Disease (COVID-19) pandemic. Zoning designations for new mobile home parks in the Unites States are generally more difficult to obtain compared with zoning for new single-family homes and multifamily buildings. MHC properties generally provide more affordable housing options for people in the portfolio's markets relative to home ownership and multifamily and single-family home rental rates. The transaction benefits from additional cash flow stability attributable to multiple property pooling. The portfolio has a property Herfindahl score of 49.98 by allocated loan amount (ALA), which provides favorable diversification of cash flow when compared with a single asset. The portfolio exhibits a WA by ALA DBRS Morningstar Market Rank of 2.4, which indicates the collateral is predominately located in tertiary markets. According to the appraisals, in-place base rents across the portfolio are approximately 5.1% below market. The previous sponsor was able to raise in-place rental rates for MHC, RV, and site-built sites to $450 per site in February 2021 from $423 per site in February 2020. MHC pad renters tend to have higher renewal probabilities even with annual rental rate increases than traditional multifamily renters, as the cost to move manufactured homes deters pad lessees from moving manufactured homes to competitive MHCs. The portfolio may face a decline in collections following securitization, as the prior sponsor increased rental rates this past year and the U.S. federal government has provided eligible recipients up to $3,200 per adult and up to $2,500 per child through the Coronavirus Aid, Relief, and Economic Security Act; Consolidated Appropriations Act, 2021; and the American Rescue Plan Act of 2021, respectively, since the beginning of the coronavirus pandemic. The DBRS Issuance Morningstar Loan-to-Value (LTV) on the trust loan and the total debt stack are significant at 119.77% and 129.58%, respectively. The high leverage point, combined with the lack of amortization, could potentially result in elevated refinance risk and/or loss severities in an event of default. While the appraisal's portfolio appraised LTV of 64.1% appears low for a portfolio secured by MHC properties, the appraisal aggregate individual portfolio, excluding the portfolio premium, COH value, and excess land value, is equal to a more moderate LTV of 74.8%. The collateral includes the indirect equity interest in the entities that own 1,504 COH, which the sponsor plans to sell over the course of the loan. The sale of the COH properties will not reduce the senior loan amount. DBRS Morningstar did not give credit in its NCF analysis to COH revenue, but did allocate a 0.25% LTV hurdle threshold credit associated with the value of the COH collateral. Notes: All figures are in U.S. dollars unless otherwise noted. LIFE 2021-BMR: DBRS Finalizes B(low) Rating on Class G Certs ------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-BMR issued by LIFE 2021-BMR Mortgage Trust: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. Class HRR is not rated by DBRS Morningstar. The transaction consists of a portfolio of 17 properties with 43 individual tenants totaling approximately 2.4 million square feet (sf) of Class A office and laboratory space in the life-sciences hubs of Cambridge, Massachusetts; San Diego; and San Francisco. The portfolio includes 15 assets that were securitized in the CGDBB 2017-BIOC transaction, 500 Kendall, which was securitized in the GSMS 2017-500K transaction, and 65 Grove, which the sponsor acquired with a term loan in 2018. The portfolio benefits greatly from its granular rent roll, institutional quality tenancy, and locations in the top-three life-sciences hubs in the country. These leading clusters exhibit low availability rates and high barriers to entry. DBRS Morningstar is optimistic that rents in the these markets will continue to rise as laboratory space in the life-sciences and biotechnology industries becomes more expensive and companies continue to congregate around established universities, research centers, and hospitals, most often in dense urban areas. The transaction benefits from strong cash flow stability attributable to a significant proportion of credit tenant leases across the portfolio. Approximately 67.8% of the in-place base rent is attributable to investment-grade tenants. Additionally, the portfolio serves as the global or domestic headquarters for 15 tenants comprising 44.0% of base rent, including five of the top 15 tenants, comprising 35.7% of base rent. In addition to a large percentage of investment-grade tenancy, there is limited lease rollover during the five-year fully extended loan term. Leases comprising only 4.9% of the DBRS Morningstar gross potential rent expire within the two-year initial term of the loan and only 28.6% during the five-year fully extended term. The lease rollover during the fully extended term is evenly distributed with no more than 10.8% of rents expiring in any calendar year. The sponsor for the transaction, BioMed Realty, is a fully integrated real estate investment trust that is focused on acquiring, developing, leasing, owning, and managing laboratory and office space for the life-science and technology industry. BioMed Realty was founded in 2004 and merged with The Blackstone Group in 2016. BioMed is a full-service life-science and technology office operating platform with 16 million sf (including in-process developments and announced acquisitions pending close). In November 2020, Blackstone recapitalized BioMed Realty for $14.6 billion as part of a new long-term, perpetual capital, core+ strategy. The DBRS Morningstar loan-to-value ratio on the trust loan is significant at 105%. The high leverage point, combined with the lack of amortization, could potentially result in elevated refinance risk and/or loss severities in an event of default. However, the sponsor has approximately $1.06 billion of market equity in the portfolio, which substantially mitigates this risk. Nine of the portfolio's 17 assets are single-tenant buildings. Together, the nine properties represent 50.5% of the portfolio's total net cash flow (NCF). Single-tenant properties generally present higher risk than multiple-tenant properties because their sole source of income is generated by one lessee rather than a diversified roster of tenants. However, five of the assets, totaling 48.2% of NCF, are approximately 100% leased to investment-grade tenants, three of which, totaling 45.6% of NCF, have lease expirations beyond the loan's fully extended maturity in March 2026. The loan allows for pro rata paydowns associated with property releases for the first 30% of the unpaid principal balance. The loan has been structured with a partial pro rata/sequential-pay structure. DBRS Morningstar considers this structure credit negative, particularly at the top of the capital stack. Under a partial pro rata structure, deleveraging of the senior notes through the release of individual properties occurs at a slower pace as compared with a sequential-pay structure. DBRS Morningstar applied a penalty to the transaction's capital structure to account for the pro rata nature of certain prepayments. The borrower can also release individual properties subject to customary requirements. However, the prepayment premium for the release of individual assets is 105.0% for the first 30.0% of the loan balance and 110.0% of the loan balance thereafter. DBRS Morningstar considers the release premium to be weaker than those of other previously rated single-borrower, multi-property deals and, as a result, applied a penalty to the transaction's capital structure to account for the weak deleveraging premium. Notes: All figures are in U.S. dollars unless otherwise noted. MFA 2021-NQM1: DBRS Gives Prov. B Rating on Class B-2 Certs ----------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2021-NQM1 to be issued by MFA 2021-NQM1 Trust (MFA 2021-NQM1): -- $278.9 million Class A-1 at AAA (sf) -- $22.3 million Class A-2 at AA (sf) -- $34.3 million Class A-3 at A (sf) -- $19.9 million Class M-1 at BBB (sf) -- $16.0 million Class B-1 at BB (sf) -- $10.1 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 Certificates reflects 29.25% of credit enhancement provided by subordinate certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 23.60%, 14.90%, 9.85%, 5.80%, and 3.25% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 910 mortgage loans with a total principal balance of $394,179,283 as of the Cut-Off Date (February 28, 2021). Citadel Servicing Corporation (CSC) is the Originator and Servicer for all loans in this pool. CSC has three programs under which it originates loans. The Non-Prime and Maggi Plus (Maggi+) products are CSC's core mortgage programs, with Maggi+ aimed at higher credit profiles. CSC's Outside Dodd-Frank products include loans exempt from the Consumer Financial Protection Bureau's (CFPB) rules. Although the applicable mortgage loans were originated to satisfy the CFPB’s 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, 63.9% of the loans are designated as non-QM. Approximately 36.1% of the loans are made to investors for business purposes or foreign nationals, who are not subject to the QM/ATR rules. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal interest consisting of the Class B-3 and XS Certificates representing at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On or after the earlier of (1) the distribution date in March 2024 or (2) the date when the aggregate unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any cap carryover amounts and any preclosing deferred amounts due to the Class XS Certificates (optional redemption). 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. On any date following the date on which the aggregate unpaid principal balance of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Servicing Administrator will have the option to terminate the transaction by purchasing all of the mortgage loans and any real estate owned (REO) property from the issuer at a price equal to the sum of the aggregate unpaid principal balance of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, and expenses that are payable or reimbursable to the transaction parties (optional termination). An optional termination is conducted as a qualified liquidation. For this transaction, the Servicer will not fund advances of delinquent principal and interest (P&I) on any mortgage. However, the Servicer is obligated to make advances for taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). Of note, if the Servicer defers or capitalizes the repayment of any amounts owed by a borrower in connection with the borrower's loan modification, the Servicer is entitled to reimburse itself (1) from the excess servicing fee and (2) from principal collections for any previously made and unreimbursed servicing advances related to the capitalized amount at the time of such modification. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches, subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). Principal proceeds can be used to cover interest shortfalls on the Class A-1 and A-2 Certificates (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated certificates. For more subordinate Certificates, including the Class A-3 Certificates after a Trigger Event, principal proceeds can be used to cover interest shortfalls as the more senior Certificates are paid in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid cap carryover amounts due to Class A-1 down to Class B-2. Coronavirus Disease (COVID-19) Impact The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed security (RMBS) asset classes, some meaningfully. The non-QM sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans that may fall outside of the CFPB's ATR rules, which became effective on January 10, 2014. Non-QM loans encompass the entire credit spectrum. They range from high-FICO, high-income borrowers who opt for interest-only or higher debt-to-income ratio mortgages, to near-prime debtors who have had certain derogatory pay histories but were cured more than two years ago, to nonprime borrowers whose credit events were only recently cleared, among others. In addition, some originators offer alternative documentation or bank statement underwriting to self-employed borrowers in lieu of verifying income with W-2s or tax returns. Finally, foreign nationals and real estate investor programs, while not necessarily non-QM in nature, are often included in non-QM pools. As a result of the coronavirus pandemic, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario for the non-QM asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than it previously used. Such MVD assumptions are derived through a fundamental home-price approach based on the forecast unemployment rates and GDP growth outlined in the moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the non-QM asset class, while the full effect of the coronavirus pandemic may not occur until a few performance cycles later, DBRS Morningstar generally believes loans originated to (1) borrowers with recent credit events, (2) self-employed borrowers, or (3) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with prior credit events have exhibited difficulties in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, 27.2% of the borrowers have been granted forbearance and/or deferral plans because of financial hardship related to coronavirus pandemic. Approximately 3.1% of the pool satisfied their forbearance or deferral plans and are current. In June 2020, the Servicer developed a hardship review process for borrowers requesting relief on their mortgage loans as a result of the coronavirus pandemic. The Servicer will require each borrower to complete a hardship package of employment, financial, and credit information. As a result, the Servicer, in conjunction with or at the direction of the Sponsor, may offer a repayment plan or other forms of payment relief, such as a loan modification, in addition to pursuing other loss mitigation options. For this deal, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower P&I collections and (2) no servicing advances on delinquent P&I. These assumptions include: (1) Increasing delinquencies for the AAA (sf) and AA (sf) rating levels for the first 12 months, (2) Increasing delinquencies for the A (sf) and below rating levels for the first nine months, (3) Applying no voluntary prepayments for the AAA (sf) and AA (sf) rating levels for the first 12 months, and (4) Delaying the receipt of liquidation proceeds for the AAA (sf) and AA (sf) rating levels for the first 12 months. Notes: All figures are in U.S. dollars unless otherwise noted. NEUBERGER BERMAN XXI: Moody's Assigns (P)Ba3 Rating to E-R2 Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seven classes of CLO refinancing notes to be issued by Neuberger Berman CLO XXI, Ltd. (the "Issuer"). Moody's rating action is as follows: US$5,000,000 Class X-R2 Senior Secured Floating Rate Notes due 2034 (the "Class X-R2 Notes"), Assigned (P)Aaa (sf) US$300,000,000 Class A-1-R2 Senior Secured Floating Rate Notes due 2034 (the "Class A-1-R2 Notes"), Assigned (P)Aaa (sf) US$20,000,000 Class A-2-R2 Senior Secured Floating Rate Notes due 2034 (the "Class A-2-R2 Notes"), Assigned (P)Aaa (sf) US$57,250,000 Class B-R2 Senior Secured Floating Rate Notes due 2034 (the "Class B-R2 Notes"), Assigned (P)Aa2 (sf) US$24,750,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class C-R2 Notes"), Assigned (P)A2 (sf) US$32,250,000 Class D-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class D-R2 Notes"), Assigned (P)Baa3 (sf) US$25,750,000 Class E-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class E-R2 Notes"), Assigned (P)Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans and bonds. Neuberger Berman Investment Advisers 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; 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; changes to the definition of "Adjusted Weighted Average Moody's Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2918 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. 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. NEWREZ WAREHOUSE 2021-1: Moody's Hikes Cl. E Notes Rating to (P)B2 ------------------------------------------------------------------ Moody's Investors Service has been advised that the size of the issuance for NewRez Warehouse Securitization Trust 2021-1 (the transaction) has increased from $500,000,000 to $750,000,000 since Moody's initially assigned provisional ratings to 5 classes of residential mortgage-backed securities (RMBS) issued by the transaction on April 26, 2021. The upsizing of the transaction had a positive impact on the Aaa expected losses due to improvement in diversification of the asset pool. The updated assumed weighted average coupon of the notes was also lower than the weighted average coupon used for assigning the provisional ratings assigned on April 26, 2021. As a result, Moody's has upgraded the provisional rating previously assigned to class E from (P)B3 (sf) to (P)B2 (sf) The complete rating action are as follows: Issuer: NewRez Warehouse Securitization Trust 2021-1 Cl. E, upgraded to (P)B2 (sf), previously on April 26, 2021 Assigned (P)B3 (sf) RATINGS RATIONALE The transaction is based on a repurchase agreement between NewRez LLC ("NewRez"), as repo seller, and NewRez Warehouse Securitization Trust 2021-1 as buyer. Moody's expected losses in a based case scenario are 5.67% at the mean and 4.75% at the median. Moody's loss at a stress level consistent with Moody's Aaa ratings is 31.12%. The loss levels are based on a scenario in which the repo seller does not pay the aggregate repurchase price to pay off the notes at the end of the facility's three-year revolving term, and the repayment of the notes will depend on the credit performance of the remaining static pool of mortgage loans. To assess the credit quality of the static pool, Moody's created a hypothetical adverse pool based on the facility's eligibility criteria, which includes no more than 5% (by unpaid balance) adjustable-rate mortgage (ARM) loans. Loans which are subject to payment forbearance, a trial modification, or delinquency are ineligible to enter the facility. However, with respect to any purchased mortgage loan that fails to satisfy the definition of an eligible mortgage loan after being purchased, the repo seller may keep such loan in the trust with an assigned market value and principal balance of zero. The repo seller must repurchase ineligible loans that are subject to Level C or D exceptions or a TILA-RESPA Integrated Disclosure (TRID) violation in a third-party diligence (TPR) report, or have breached representations in the master repurchase agreement (MRA) related to predatory lending, HOEPA or environmental matters. Moody's analyzed the pool using Moody's US MILAN model and made additional pool level adjustments to account for risks related to (i) a weak representation and warranty enforcement framework and (ii) potential non-compliance findings related to the (TRID) Rule in TPR reports. This transaction does not include mortgage loans evidenced with eNotes as of the time of closing, but the issuer may exercise its option to amend the transaction documents to include eNotes after closing. Such amendment will be subject to satisfaction of the rating agency condition (RAC). The final rating levels are based on Moody's evaluation of the credit quality of the collateral as well as the transaction's structural and legal framework. The ratings on the notes are based on the credit quality of the mortgage loans backing the notes. Collateral Description: The mortgage loans will be newly originated, first-lien, fixed-rate and adjustable rate mortgage loans that also comply with the eligibility criteria set forth in the master repurchase agreement. The aggregate principal balance of the purchased loans at closing will be $750,000,000. Per the transaction documents, the mortgage pool will have a minimum weighted average FICO of 730 and a maximum weighted average LTV of 82%. The ultimate composition of the pool of mortgage loans remaining in the facility at the end of the three-year term upon default of NewRez is unknown. Moody's modeled this risk through evaluating the credit risk of an adverse pool constructed using the eligibility criteria. In generating the adverse pool: 1) Moody's assumed the worst numerical value from the criteria range for each loan characteristic. For example, the credit score of the loans is not less than 660 and the weighted average credit score of the purchased mortgage loans is not less than 730; the maximum debt-to-income ratio is 50% in the adverse pool (per eligibility criteria); 2) Moody's assumed risk layering for the loans in the pool within the eligibility criteria. For example, loans with the highest LTV also had the lowest FICO to the extent permitted by the eligibility criteria; 3) Moody's took into account the specified restrictions in the eligibility criteria such as the weighted average LTV and FICO; 4) Since these loans are eligible for purchase by the agencies, Moody's also took into account the specified restrictions in the underwriting criteria. The transaction allows the warehouse facility to include up to 25% of mortgage loans (by outstanding principal balance) whose collateral documents have not yet been delivered to the custodian (wet loans). This transaction is more vulnerable to the risk of losses owing to fraud from wet loans during the time it does not hold the collateral documents. There are risks that a settlement agent will fail to deliver the mortgage loan files after receipt of funds, or the sponsor of the securitization, either by committing fraud or by mistake, will pledge the same mortgage loan to multiple warehouse lenders. However, Moody's analysis has considered several operational mitigants to reduce such risks, including (i) collateral documents must be delivered to the custodian within 10 business days following a wet loan's funding or it becomes ineligible, (ii) the transaction will only fund NewRez's warehouse lenders, not the individual settlement agents, (iii) NewRez, as the repo seller, has a fidelity bond in place in the event of fraud in connection with the crime or dishonesty of its employees. The mortgage loans will be originated by NewRez or Caliber Home Loans, Inc. (Caliber) following the acquisition by NRZ. An eligible mortgage loan originated by Caliber will be originated as a correspondent for NewRez and will be originated in accordance with NewRez's origination guidelines. NewRez has the necessary processes, staff, technology and overall infrastructure in place to effectively originate agency-eligible mortgage loans for this transaction. The loans will be serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint). U.S. Bank National Association will be the standby servicer. Moody's consider the overall servicing arrangement for this pool to be adequate. At the transaction closing date, the servicer acknowledges that it is servicing the purchased loans for the joint benefit of the issuer and the indenture trustee. Transaction Structure: Moody's analysis of the securitization structure includes reviewing bankruptcy remoteness, assessing the ability of the indenture trustee to take possession of the collateral in an event of default, conformity of the collateral with the eligibility criteria as well as allocation of funds to the notes. The transaction is structured as a master repurchase agreement between NewRez (the repo seller) and the NewRez Warehouse Securitization Trust 2021-1 (the trust or issuer). The U.S. Bankruptcy Code provides repurchase agreements, security contracts and master netting agreements a "safe harbor" from the Bankruptcy Code automatic stay. Due to this safe harbor, in the event of a bankruptcy of NewRez , the issuer will be exempt from the automatic stay and thus, the issuer will be able to exercise remedies under the master repurchase agreement, which includes seizing the collateral. During the revolving period, the repo seller's obligations will include making timely payments of interest accrued on the notes as well as the aggregate monthly fees. Failure to make such payments will constitute a repo trigger event whereby the indenture trustee will seize the collateral and terminate the repo agreement. It is expected that the notes will not receive payments of principal until the expected maturity date or after the occurrence and continuance of an event of default under the indenture unless the repo seller makes an optional prepayment. In an event of default, principal will be distributed sequentially amongst the classes. Realized losses will be allocated in a reverse sequential order. In addition, since the pool may consist of both fixed rate and adjustable rate mortgages, the transaction may be exposed to potential risk from interest rate mismatch. To account for the mismatch, Moody's assumed a stressed LIBOR curve by increasing the one-month LIBOR rate incrementally for a certain period until it reaches the maximum allowable interest rate as described in the transaction documents. Ongoing Due Diligence During the revolving period, Clayton Services LLC (or a qualified successor diligence provider appointed by the repo seller) will conduct ongoing due diligence every 180 days on 100 randomly selected loans (other than wet loans and ineligible loans). The first review will be performed 30 days following the closing date. The scope of the review will include credit underwriting, regulatory compliance, valuation and data integrity. On any review date, to the extent that a final due diligence report identifies Level C or D exceptions greater than or equal to 6% by loan count of the purchased mortgage loans reviewed, the next review date will be 90 days thereafter such review. Because Moody's analysis is based on a scenario in which the facility terms out, due diligence reviews provide some control on the credit quality of the collateral. The due diligence framework in this transaction combined with the collateral eligibility controls help mitigate the risks of adverse selection in this transaction. Loans that have compliance findings related to the TRID Rule will be purchased out of the facility. However, in a scenario where the transaction terms out due to an event of default, the trust maybe exposed to potential losses as there may not be an active counterparty to resolve any issues related to TRID. While the due diligence review will provide some validation on the quality of the loans, it may not be fully representative of the collateral quality of the facility at all times. This is mainly due to the frequency of the due diligence review, the revolving nature of the collateral pool, and that the review will be conducted on a sample basis. Also, by the time the due diligence review is completed, some of the sampled loans may no longer be in the pool. Representation and Warranties For a mortgage loan to qualify as an eligible mortgage loan, the loan must meet the repo seller's representations and warranties. The substance of the representations and warranties are consistent with those in Moody's published criteria for representations and warranties for U.S. RMBS transactions. After a repo event of default, a delinquent loan reviewer will conduct a review of loans that are more than 120 days delinquent to identify any breaches of the representations and warranties provided by the repo seller. Loans that breach the representations and warranties will become ineligible mortgage loans. While the transaction has the above described representation and warranty enforcement mechanism, Moody's believe that in the amortization period, after an event of default where the repo seller did not pay the notes in full, it is unlikely that the repo seller will repurchase the mortgage loans. In addition, the noteholders (holding 100% of the aggregate principal amount of all notes) may waive the requirement to appoint a delinquent loan reviewer. Moody's Aaa expected loss and base case expected loss includes an adjustment for the weak representation and warranties enforcement. Margin maintenance On each business day, the custodian will mark to market the value of the purchased mortgage loans. If the purchase price is greater than the aggregate market value of the purchased mortgage loans, then there is a margin deficit. The custodian will notify the repo seller and the repo seller will transfer to the buyer's account additional eligible mortgage loans and/or cash such that the margin value of the purchased mortgage loans equals or exceeds the repurchase price. The market value for the purpose of margin maintenance is capped at the outstanding unpaid principal balance of such mortgage loan. Unlike other warehouse transactions Moody's rated, this transaction does not require a margin call unless the margin deficit equals or exceeds the threshold of $1,000,000, as calculated by the custodian. Moody's view this threshold as an operational convenience and not a material credit weakness Elevated social risks associated with the coronavirus The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in US economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's have not made any adjustments related to coronavirus for this transaction because (i) loans that are subject to payment forbearance or a trial modification are ineligible to enter the facility, and the repo seller must repurchase loans in the facility that become subject to forbearance, (ii) delinquent loans are ineligible to enter the facility, and (iii) loans are unlikely to be modified while in the facility due to the seasoning constraint specified in the eligibility criteria. There's no credit impact for zero value ineligible loans to remain in the trust and those loans, if any, will be flagged in monitoring data tapes and excluded from third-party due diligence sampling. Factors that would lead to an upgrade or downgrade of the rating: 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 the state of the 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 original expectations as a result of a weaker collateral composition than that in the adverse pool, financial distress of any of the counterparties. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in this rating was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. NYC COMMERCIAL 2021-909: DBRS Gives Prov. BB(low) Rating on E Certs ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-909 to be issued by NYC Commercial Mortgage Trust 2021-909 as follows: -- Class A at AAA (sf) -- Class X at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. Class X is an interest-only (IO) class whose balance is notional. The NYC Commercial Mortgage Trust 2021-909 transaction is secured by the leasehold interest in 909 Third Avenue, a 32-story, 1.35 million-square foot (sf) Class A, LEED Gold certified office tower in Midtown, Manhattan. Built in 1968 and designed by Emery Roth & Sons, the property is prominently situated between 54th and 55th Streets, occupying the entire eastern block of Third Avenue. The office tower sits atop approximately 492,000 sf of flex industrial space, which serves as the United States Postal Service's (USPS') main New York City mail-handling facility and features a private loading dock on 54th street. The property is currently 97.9% leased to a diverse mix of 15 unique tenants with a weighted-average (WA) remaining lease term of approximately 10.9 years. The property is anchored by high-quality national companies, with 66.1% of the total net rentable area (NRA) leased to investment-grade-rated tenants. The largest tenants at the property by contribution to gross rent are IPG DXTRA, a subsidiary of The Interpublic Group of Companies, which is rated Baa2, BBB, and BBB+ by Moody's, Fitch, and S&P, respectively, and represents 17.1% of NRA and 22.8% of gross rent; AbbVie Inc.-owned pharmaceutical company Allergan Sales, LLC (as successor by merger to Forest Laboratories), rated Baa2, BBB+ by Moody's and Fitch, respectively, and represents 12.5% of NRA and 18.4% of gross rent; Geller & Company, which represents 9.3% of NRA and 13.0% of gross rent; the USPS, which is rated AAA, AAA, and AA+ by Moody's, Fitch, and S&P, respectively, and represents 36.5% of NRA, 11.2% of gross rent; and Morrison & Cohen LLP, which represents 4.8% of NRA and 8.3% of gross rent. The first four floors and subgrade space of the property serve as the USPS mail-sorting facility. The mail-sorting facility is purpose-built distribution space for the USPS and features 90,000-sf floor plates, ceiling heights exceeding 20 feet, a private truck ramp on 54th Street that extends from lower level 2 to the second floor of the building, and five custom oversized freight elevators that extend throughout the space. The USPS has been a tenant at 909 Third Avenue since its delivery in 1968, has exercised five five-year renewal options since the expiry of its original 30-year lease in 1998, and has three five-year extension options remaining, bringing the fully extended lease expiration date to October 2038. The USPS pays a well-below-market gross rental rate of approximately $14.08/sf for this space. Thanks to the unique nature of the space, its mission critical location in the heart of Manhattan, its renewal history, and its severely below-market rents, DBRS Morningstar assumed that the USPS will continue to extend its lease through the final maturity date in October 2038. The sponsor, Vornado, acquired the leasehold interest in 909 Third Avenue in 1999, whereby it pays a fixed $1.6 million in ground rent, with no escalations or resets, through the fully extended maturity of November 20, 2063. Since acquisition, Vornado has invested more than $184 million of capital into the property, including more than $46.9 million of base building upgrades. In both 2011 and 2019, the property underwent major capital improvement projects, including the renovation of the lobby and an outdoor public plaza, modernization of the elevators, the creation of outdoor amenity space on the fifth floor, and a full upgrade of the HVAC system. The trust loan is part of a whole mortgage loan structure in the aggregate principal amount of $350 million that is composed of: (i) the trust loan, which is evidenced by the senior trust notes in the aggregate principal amount of up to $235.6 million and the junior trust notes in the aggregate principal amount of $114.4 million, and (ii) multiple companion loans that are pari passu with the senior trust notes in the aggregate principal amount in the range of $0 to $100 million, which are evidenced by the companion loan notes. The companion loans will not be assets of the trust. The junior trust notes are generally subordinate in right of payment to the senior trust notes and the companion loan notes. Notwithstanding the foregoing, the exact cut-off date principal balances of the senior trust notes and the companion loan notes (and, accordingly, the trust loan) are unknown, subject to change, and will be determined at or prior to pricing. Notes: All figures are in U.S. dollars unless otherwise noted. OAKTOWN RE VI: Moody's Assigns B3 Rating to Cl. B-1 Notes --------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to five classes of mortgage insurance credit risk transfer notes issued by Oaktown Re VI Ltd. Oaktown Re VI Ltd. is the first transaction issued under the Oaktown Re program in 2021, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by National Mortgage Insurance Corporation (NMI, the ceding insurer) on a portfolio of residential mortgage loans. The notes are exposed to the risk of claims payments on the MI policies, and depending on the notes' priority, may incur principal and interest losses when the ceding insurer makes claims payments on the MI policies. On the closing date, Oaktown Re VI Ltd. (the issuer) and the ceding insurer will enter into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes will be deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account will also be available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account will be used to purchase eligible investments and will be subject to the terms of the reinsurance trust agreement. Following the instruction of the ceding insurer, the trustee will liquidate assets in the reinsurance trust account to (1) make principal payments to the notes as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims after the coverage level B-3 is written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. The complete rating actions are as follows: Issuer: Oaktown Re VI Ltd. Cl. M-1A, Definitive Rating Assigned Baa2 (sf) Cl. M-1B, Definitive Rating Assigned Baa3 (sf) Cl. M-1C, Definitive Rating Assigned Ba2 (sf) Cl. M-2, Definitive Rating Assigned B2 (sf) Cl. B-1, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expect this insured pool's aggregate exposed principal balance to incur a baseline scenario-mean loss of 1.70%, a baseline scenario-median loss of 1.39%, and a loss of 15.24% at a stress level consistent with Moody's Aaa ratings. The aggregate exposed principal balance is the product, for all the mortgage loans covered by MI policies, of (i) the unpaid principal balance of each mortgage loan, (ii) the MI coverage percentage, and (iii) the reinsurance coverage percentage. Reinsurance coverage percentage is 100% minus existing quota share reinsurance through unaffiliated insurer, if any. The existing quota share reinsurance applies to about 77.5% to 80% of unpaid principal balance of the reference pool, covering approximately 20% to 22.5% of risk in force. The ceding insurer has purchased quota share reinsurance from unaffiliated third parties, which provides proportional reinsurance protection to the ceding insurer for certain losses. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in US economic activity. Moody's increased its model-derived median expected losses by 7.5% (6.6% for the mean) and Moody's Aaa loss by 2.5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. In addition, Moody's considered that for this transaction, similar to other mortgage insurance credit risk transfer deals, payment deferrals are not claimable events and thus are not treated as losses; rather they would only result in a loss if the borrower ultimately defaults after receiving the payment deferral and a mortgage insurance claim is filed. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality. Collateral Description The mortgage loans in the reference pool have an insurance coverage reporting date from July 1, 2019 through March 31, 2021. The reference pool consists of 141,760 prime, fixed- and adjustable-rate, one-to four-unit, first-lien fully-amortizing, predominantly conforming mortgage loans with a total insured loan balance of approximately $46 billion. There are 5,324 loans (4.26% of total unpaid principal balance) which were not underwritten through GSE guidelines. Moody's analyzed non-GSE eligible loans using Moody's private-label model to assess the loan default probability, which will result in a more conservative outcome than the GSE model. All loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 75% with a weighted average of 91.0%. The borrowers in the pool have a weighted average FICO score of 757, a weighted average debt-to-income ratio of 33.5% and a weighted average mortgage rate of 2.9%. The weighted average risk in force (MI coverage percentage net of existing reinsurance coverage) is approximately 19.4% of the reference pool unpaid principal balance. The aggregate exposed principal balance is the portion of the pool's risk in force that is not covered by existing quota share reinsurance through unaffiliated parties. The weighted average LTV of 91.0% is far higher than those of recent private label prime jumbo deals, which typically have LTVs in the high 60's range, however, it is in line with those of recent STACR high LTV CRT transactions and slightly lower than recent comparable Mortgage Insurance CRT transactions. 100% of insured loans were covered by mortgage insurance at origination with 98.8% covered by BPMI and 1.2% covered by LPMI based on risk in force. Underwriting Quality Moody's took into account several key qualitative factors during the ratings process, including qualities of NMI's insurance underwriting, risk management and claims payment process, as well as the scope and results of the independent third-party due diligence review. Mortgage insurance underwriting Lenders submit mortgage loans to NMI for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without NMI re-underwriting the loan file. NMI issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Lenders eligible under this program must be pre-approved by NMI's risk management group and are subject to targeted internal quality assurance reviews. Under the non-delegated underwriting program, insurance coverage is approved after full-file underwriting by the insurer's underwriters. NMI performs independent validation of the entire loan file (underwriting file and closing package) on most of the mortgage loans underwritten through delegated program. As of June 2020, approximately 67% of the loans in NMI's overall portfolio are insured through delegated underwriting, of which 59% were subject to post-close validation and 33% through non-delegated underwriting. NMI broadly follows the GSE underwriting guidelines via DU/LP, subject to certain additional limitations and requirements. NMI performs an internal quality assurance review on a sample basis of delegated and non-delegated underwritten loans. NMI utilizes third party vendors in the quality assurance reviews as well as re-verifications and investigations. Vendors must meet stringent approval requirements. 10% of all third party reviewed loans deemed as having no findings, are evaluated by NMI's staff to ensure accuracy. Third-Party Review NMI engaged Wipro Opus Risk Solutions (Opus) to perform a data analysis and diligence review of a sampling of mortgage loans files submitted for mortgage insurance. This review included validation of credit qualifications, verification of the presence of material documentation as applicable to the mortgage insurance application, updated valuation analysis and comparison, and a tape-to-file data integrity validation to identify possible data discrepancies. The scope does not include a compliance review. The scope of the third-party review is weaker because the sample size was small (only 350 of the total loans, or 0.25% of the transaction population). The representative sample of 350 files was determined using the methodology below. Once the sample size was determined, the files were selected randomly to meet the final sample count of 350 files out of a total of 40,895 loan files available for sampling. In spite of the small sample size and a limited TPR scope for Oaktown Re VI Ltd., Moody's did not make an additional adjustment to the loss levels because, (1) approximately 25.4% of the insured loans were re-underwritten by the ceding insurer through the non-delegated underwriting channel, 74.6% of the insured loans were underwritten through delegated channels (the majority of which are subject to post-close validation by approved underwriting vendors), (2) the underwriting quality of the insured loans is monitored under the ceding insurer's stringent quality control system that satisfies GSE PMIER's requirements, and (3) MI policies will not cover any costs related to compliance violations. In addition, the TPR available sample does not cover a subset of pool that have MI coverage reporting date after February 2021, representing 22.4% of the pool by loan count. Moody's did not make any adjustment because we found no material difference in credit characteristics between the post-February 2021 subset and the pre-February 2021 subset, including the percentage of loans with MI policies underwritten through non-delegated underwriting program, which ceding insurer requires full loan file and performs independent re-underwriting and quality assurance. Moody's took this into consideration in Moody's TPR review. Scope and results. The third-party due diligence scope focuses on the following: Appraisals: The third-party diligence provider also reviewed property valuation on 350 loans in the sample pool. The third-party review concluded a property grade of A for all loans. In the diligence sample of 350 files, an AVM was first ordered on all loans, in which 32 AVMs returned no results due to insufficient property information, and 6 AVMs indicate a variance greater than 10%. The AVM variance is calculated as difference between AVM value and the lesser of original appraisal or sales price. If the resulting negative variance of the AVM was greater than 10%, or if no results were returned, a BPO was ordered on the property. If the resulting value of the BPO was less than 90% of the value reflected on the original appraisal a field review was ordered on the property. If the field review was not able to be completed prior to the cutoff, the order was switched to collateral data analysis (CDA). If the resulting value of the AVM was greater than 90% and the forecast standard deviation was greater than 20%, then a CDA was ordered. Credit: The third-party diligence provider reviewed credit on 350 loans in the sample pool. The third-party diligence provider reviewed each mortgage loan file to determine the adherence to stated underwriting or credit extension guidelines, standards, criteria or other requirements provided by NMI. For GSE eligible mortgage loan files, the review of the Automated Underwriting System (AUS) output was also performed. Per the TPR report, 348 loans have credit grade A and 2 loans have a grade C. These grade C exceptions were due to DTI exceeding guideline or missing appraisal. Moody's did not make adjustment to Moody's losses for these exceptions because these were all GSE eligible loans underwritten to full documentation. Such exceptions will likely to be cured after transaction closing. Data integrity: The third-party review firm was provided a data file with loan level data, which was audited against origination documents to determine the accuracy of data found within the data tape. A total of 16 data fields were reviewed against the loan files to confirm the integrity of data tape information. As the TPR report suggests, there is one discrepancy finding under DTI. Reps & Warranties Framework The ceding insurer does not make any representations and warranties to the noteholders in this transaction. Since the insured mortgages are predominantly GSE loans, the individual sellers would provide exhaustive representations and warranties to the GSEs that are negotiated and actively monitored. In addition, the ceding insurer may rescind the MI policy for certain material misrepresentation and fraud in the origination of a loan, which would benefit the MI CRT noteholders. Transaction Structure The transaction structure is very similar to GSE CRT transactions that Moody's have rated. The ceding insurer will retain the coverage level A and coverage level B-2. The offered notes benefit from a sequential pay structure. The transaction incorporates structural features such as a 12.5-year bullet maturity and a sequential pay structure for the non-senior notes, resulting in a shorter expected weighted average life on the notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Credit enhancement in this transaction is comprised of subordination provided by junior notes. The rated M-1A, M-1B, M-1C, M-2 and B-1 offered notes have credit enhancement levels of 5.00%, 3.65%, 2.85%, 2.10% and 1.85% respectively. The credit risk exposure of the notes depends on the actual MI losses incurred by the insured pool. MI losses are allocated in a reverse sequential order starting with the coverage level B-3. Investment deficiency amount losses are allocated in a reverse sequential order starting with the class B-2 notes. So long as the senior coverage level is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches. Principal payments are all allocated to senior reference tranches when trigger event occurs. A trigger event with respect to any payment date will be in effect if the coverage level amount of coverage level A for such payment date has not been reduced to zero and either (i) the preceding three month average of the sixty-plus delinquency amount for that payment date equals or exceeds 75.00% of Class A subordination amount or (ii) the subordinate percentage (or with respect to the first payment date, the original subordinate percentage) for that payment date is less than the target CE percentage (minimum C/E test: 6.75%). Premium Deposit Account (PDA) The premium deposit account will benefit the transaction upon a mandatory termination event (e.g. the ceding insurer fails to pay the coverage premium and does not cure, triggering a default under the reinsurance agreement), by providing interest liquidity to the noteholders, when combined with the income earned on the eligible investments, of approximately 70 days while the reinsurance trust account and eligible investments are being liquidated to repay the principal of the notes. On the closing date, the ceding insurer will establish a cash and securities account (the PDA) but no initial deposit amount will be made to the account by the ceding insurer unless the premium deposit event is triggered. The premium deposit event will be triggered (1) with respect to any class of notes, if the rating of that class of notes exceeds the insurance financial strength (IFS) rating of the ceding insurer or (2) with respect to all classes of notes, if the ceding insurer's IFS rating falls below Baa2. If the note ratings exceed that of the ceding insurer, the insurer will be obligated to deposit into and maintain in the premium deposit account the required PDA amount (see next paragraph) only for the notes that exceeded the ceding insurer's rating. If the ceding insurer's rating falls below Baa2, it will be obligated to deposit the required PDA amount for all classes of notes. The required PDA amount for each class of notes and each month is equal to the excess, if any, of (i) the coupon rate of the note multiplied by (a) the applicable funded percentage, (b) the coverage level amount for the coverage level corresponding to such class of notes and (c) a fraction equal to 70/360, over (ii) two times the investment income collected (but not yet distributed) on the eligible investments. Moody's believe the requirement that the PDA be funded only upon a rating trigger event does not establish a linkage between the ratings of the notes and the IFS rating of the ceding insurer because, 1) the required PDA amount is small relative to the entire deal, 2) the risk of PDA not being funded could theoretically occur only if the ceding insurer suddenly defaults, causing a rating downgrade from investment grade to default in a very short period, which is a highly unlikely scenario, and 3) even if the insurer becomes insolvent, there would be a strong incentive for the insurer's insolvency regulator to continue to make the interest payments to avoid losing reinsurance protection provided by the deal. Claims Consultant To mitigate risks associated with the ceding insurer's control of the trust account and discretion to unilaterally determine the MI claims amounts (i.e. ultimate net losses), the ceding insurer will engage Consolidated Analytics, Inc., as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the coverage level B-3 has been written down. The claims consultant will review on a quarterly basis a sample of claims paid by the ceding insurer covered by the reinsurance agreement. In verifying the amount, the claims consultant will apply a permitted variance to the total paid loss for each MI Policy of +/- 2%. The claims consultant will provide a preliminary report to the ceding insurer containing results of the verification. If there are findings that cannot be resolved between the ceding insurer and the claims consultant, the claims consultant will increase the sample size. A final report will be delivered by the claims consultant to the trustee, the issuer and the ceding insurer. The issuer will be required to provide a copy of the final report to the noteholders and the rating agencies. Unlike RMBS transactions where there is typically some level of independent third party oversight by the trustee, the master servicer and/or the securities administrator, MI CRT transactions typically do not have such oversight. As noted, the ceding insurer not only has full control of the trust account but can also determine, at its discretion, the MI claims amount. The ceding insurer will then direct the trustee to withdraw the funds to reimburse for the claims paid. Since the trustee is not required to verify the MI claims amount, there could be a scenario where funds are withdrawn from the reinsurance trust account in excess of the amounts necessary to reimburse the ceding insurer. As such, Moody's believe the claims consultant in this transaction will provide the oversight to mitigate such risks. SOFR benchmark rate In this transaction, the notes' coupon is indexed to SOFR. Based on the transaction's synthetic structure, the particular choice of benchmark has no credit impact. Interest payments to the notes are made from income earned on the eligible investments in the reinsurance trust account and the coverage premium from the ceding insurer, which prevents the notes from incurring interest shortfalls as a result of increases in the benchmark index. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. OBX TRUST 2021-J1: Fitch Assigns B Rating on Class B-5 Notes ------------------------------------------------------------ Fitch Ratings rates the residential mortgage-backed notes issued by OBX 2021-J1 Trust (OBX 2021-J1). DEBT RATING PRIOR ---- ------ ----- OBX 2021-J1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-IO1 LT AAAsf New Rating AAA(EXP)sf A-IO2 LT AAAsf New Rating AAA(EXP)sf A-IO3 LT AAAsf New Rating AAA(EXP)sf A-IO4 LT AAAsf New Rating AAA(EXP)sf A-IO5 LT AAAsf New Rating AAA(EXP)sf A-IO6 LT AAAsf New Rating AAA(EXP)sf A-IO7 LT AAAsf New Rating AAA(EXP)sf A-IO8 LT AAAsf New Rating AAA(EXP)sf A-IO9 LT AAAsf New Rating AAA(EXP)sf A-IO10 LT AAAsf New Rating AAA(EXP)sf A-IO11 LT AAAsf New Rating AAA(EXP)sf A-IO12 LT AAAsf New Rating AAA(EXP)sf A-IO13 LT AAAsf New Rating AAA(EXP)sf A-IO14 LT AAAsf New Rating AAA(EXP)sf A-IO15 LT AAAsf New Rating AAA(EXP)sf A-IO16 LT AAAsf New Rating AAA(EXP)sf A-IO17 LT AAAsf New Rating AAA(EXP)sf A-IO18 LT AAAsf New Rating AAA(EXP)sf A-IO19 LT AAAsf New Rating AAA(EXP)sf A-IO20 LT AAAsf New Rating AAA(EXP)sf A-IO21 LT AAAsf New Rating AAA(EXP)sf A-IO22 LT AAAsf New Rating AAA(EXP)sf A-IO23 LT AAAsf New Rating AAA(EXP)sf A-IO24 LT AAAsf New Rating AAA(EXP)sf A-IO25 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-1A LT AAsf New Rating AA(EXP)sf B-IO1 LT AAsf New Rating AA(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-2A LT Asf New Rating A(EXP)sf B-IO2 LT Asf New Rating A(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The notes are supported by 367 fixed-rate mortgages (FRMs) with a total balance of approximately $353.84 million as of the cutoff date. The loans were originated by various mortgage originators, and the seller, Onslow Bay Financial LLC, acquired the loans from Bank of America, National Association (BANA). Distributions of P&I and loss allocations are based on a traditional senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of very high-quality, 28- and 30-year fixed-rate, fully amortizing safe harbor qualified mortgage (SHQM) loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. Per Fitch's calculation methodology, the loans are seasoned an average of four months. The pool has a weighted average (WA) original FICO score of 776, which is indicative of very high credit-quality borrowers. Approximately 85% of the loans have a borrower with an original FICO score above or equal to 750. In addition, the original WA combined loan to value ratio (CLTV) of 63% represents substantial borrower equity in the property and reduced default risk. Geographic Concentration (Negative): Approximately 44% of the pool is concentrated in California. The largest MSA concentration is in the San Francisco MSA (16%), followed by the Los Angeles MSA (15%) and the Seattle MSA (8%). The top three MSAs account for 39% of the pool. As a result, there was a 1.02x probability of default (PD) penalty for geographic concentration. Shifting-Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Full Servicer Advancing (Mixed): The servicer will provide full advancing for the life of the transaction (the servicer is also expected to advance delinquent P&I on loans that enter a coronavirus forbearance plan). Although full P&I advancing will provide liquidity to the notes, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Wells Fargo, as master servicer, will advance if the servicer fails to do so. Subordination Floor (Positive): A CE or senior subordination floor of 1.25% has been considered to mitigate potential tail-end risk and loss exposure as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, the stepdown tests do not allow principal prepayments to subordinate bondholders in the first five years following deal closing. Updated Economic Risk Factor (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the Coronavirus-related ERF floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively.Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's "U.S. RMBS Loan Loss Model Criteria." RATING SENSITIVITIES 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. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 40.4% 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. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, Clayton and Opus. The third-party due diligence described in Form 15E focused on credit, compliance, data integrity and property valuation. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. The entirety (100%) of the pool received a final grade of 'A' or 'B', which confirms no incidence of material exceptions. 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. OBX TRUST 2021-J1: Moody's Rates Class B-5 Certificates 'B2(sf)' ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to fifty-eight classes of residential mortgage-backed securities (RMBS) issued by OBX 2021-J1 Trust. The ratings range from Aaa (sf) to B2 (sf). OBX 2021-J1 Trust is a securitization of prime residential mortgages. The pool is comprised of 367 loans, of which there are 366 30-year and one 28-year fixed rate mortgage. This transaction represents the first prime jumbo issuance by Onslow Bay Financial LLC (the sponsor). The transaction includes 367 fixed rate, first lien mortgages with an aggregate loan balance of approximately $353,840,244. The pool consists of 100% non -conforming mortgage loans. The mortgage loans for this transaction have been acquired by the sponsor and the seller, Onslow Bay Financial LLC, from Bank of America, National Association (BANA). BANA acquired the mortgage loans through its whole loan purchase program from various originators. Approximately, 94.2% of the loans in the pool were underwritten to the OBX 2021-J1 Trust acquisition criteria, and the remaining 5.8% were underwritten to loanDepot's guidelines. All the loans are designated as safe harbor qualified mortgages (QM) and meet Appendix Q to the QM rules. Shellpoint Mortgage Servicing (SMS) will service the loans and Wells Fargo Bank, N.A. (Aa2) will be the master servicer. SMS will be responsible for advancing principal and interest and other corporate advances, with the master servicer backing up SMS' advancing obligations if SMS cannot fulfill them. Three third-party review (TPR) firms verified the accuracy of the loan level information that Moody's received from the sponsor. These firms conducted detailed credit, property valuation, data accuracy and compliance reviews on 100% of the mortgage loans in the collateral pool. The TPR results indicate that there are no material compliance, credit, or data issues and no appraisal defects. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations. In addition, Moody's adjusted its Moody's expected losses based on qualitative attributes, including the financial strength of the representation and warranties (R&W) provider and TPR results. OBX 2021-J1 Trust has a shifting interest structure in which subordinates will receive no unscheduled principal payment (prepayment) during the first five years, which protects and accelerates the pay-down of the senior classes and therefore protects the senior classes from losses. The transaction also has a senior subordination floor and a subordination lockout percentage, which accelerates the pay-down of the senior and senior subordinate classes if losses exceed certain thresholds. The complete rating actions are as follows: Issuer: OBX 2021-J1 Trust Cl. A-1, Assigned Aaa (sf) Cl. A-2, Assigned Aaa (sf) Cl. A-3, Assigned Aaa (sf) Cl. A-4, Assigned Aaa (sf) Cl. A-5, Assigned Aaa (sf) Cl. A-6, Assigned Aaa (sf) Cl. A-7, Assigned Aaa (sf) Cl. A-8, Assigned Aaa (sf) Cl. A-9, Assigned Aaa (sf) Cl. A-10, Assigned Aaa (sf) Cl. A-11, Assigned Aaa (sf) Cl. A-12, Assigned Aaa (sf) Cl. A-13, Assigned Aaa (sf) Cl. A-14, Assigned Aaa (sf) Cl. A-15, Assigned Aaa (sf) Cl. A-16, Assigned Aaa (sf) Cl. A-17, Assigned Aaa (sf) Cl. A-18, Assigned Aaa (sf) Cl. A-19, Assigned Aaa (sf) Cl. A-20, Assigned Aaa (sf) Cl. A-21, Assigned Aaa (sf) Cl. A-22, Assigned Aaa (sf) Cl. A-23, Assigned Aaa (sf) Cl. A-24, Assigned Aaa (sf) Cl. A-IO1*, Assigned Aaa (sf) Cl. A-IO2*, Assigned Aaa (sf) Cl. A-IO3*, Assigned Aaa (sf) Cl. A-IO4*, Assigned Aaa (sf) Cl. A-IO5*, Assigned Aaa (sf) Cl. A-IO6*, Assigned Aaa (sf) Cl. A-IO7*, Assigned Aaa (sf) Cl. A-IO8*, Assigned Aaa (sf) Cl. A-IO9*, Assigned Aaa (sf) Cl. A-IO10*, Assigned Aaa (sf) Cl. A-IO11*, Assigned Aaa (sf) Cl. A-IO12*, Assigned Aaa (sf) Cl. A-IO13*, Assigned Aaa (sf) Cl. A-IO14*, Assigned Aaa (sf) Cl. A-IO15*, Assigned Aaa (sf) Cl. A-IO16*, Assigned Aaa (sf) Cl. A-IO17*, Assigned Aaa (sf) Cl. A-IO18*, Assigned Aaa (sf) Cl. A-IO19*, Assigned Aaa (sf) Cl. A-IO20*, Assigned Aaa (sf) Cl. A-IO21*, Assigned Aaa (sf) Cl. A-IO22*, Assigned Aaa (sf) Cl. A-IO23*, Assigned Aaa (sf) Cl. A-IO24*, Assigned Aaa (sf) Cl. A-IO25*, Assigned Aaa (sf) Cl. B-1, Assigned Aa3 (sf) Cl. B-IO1*, Assigned Aa3 (sf) Cl. B-1A, Assigned Aa3 (sf) Cl. B-2, Assigned A3 (sf) Cl. B-IO2*, Assigned A3 (sf) Cl. B-2A, Assigned A3 (sf) Cl. B-3, Assigned Baa3 (sf) Cl. B-4, Assigned Ba2 (sf) Cl. B-5, Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.22% at the mean, 0.10% at the median, and reaches 2.59% at a stress level consistent with Moody's Aaa ratings. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of consumer assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's increased its model-derived median expected losses by 10.0% (6.0% for the mean) and Moody's Aaa losses by 2.5% to reflect the likely performance deterioration resulting from a slowdown in US economic activity in 2020 due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments Moody's made on pools from deals issued after the onset of the pandemic until February 2021. Moody's reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence and the R&W framework of the transaction. Collateral Description Moody's assessed the collateral pool as of the cut-off date of April 1, 2021. OBX 2021-J1 Trust is a securitization of 367 prime residential mortgage loans with an aggregate principal balance of approximately $353,840,244. The pool comprises 366 30-year and one 28-year fixed rate mortgages. Overall, the credit quality of the mortgage loans backing this transaction is similar to recently-issued prime jumbo transactions. The WA FICO for the aggregate pool is 779 with a WA LTV of 63.3% and WA CLTV of 63.1%. Approximately 16.7% (by loan balance) of the pool has a LTV ratio greater than 75%. High LTV loans generally have a higher probability of default and higher loss severity compared to lower LTV loans. There is no loan in the pool having LTV greater than 80%. Exterior-only appraisals: In response to the COVID-19 national emergency, many originators/aggregators have temporarily transitioned to allowing exterior-only appraisals, instead of a full interior and exterior inspection of the subject property, on many mortgage transactions. There are 7 loans in the pool, 1.73% by aggregate loan balance, that do not have a full appraisal that includes an exterior and an interior inspection of the property. Instead, these loans have an exterior-only appraisal. Moody's did not make any adjustments to Moody's losses for such loans primarily because of strong credit characteristics such as high FICO score, low LTV and DTI ratios, and significant liquid cash reserves and because such loans comprise a de minimis percentage of loan pool, by loan balance. In addition, none of these borrowers have any prior history of delinquency. Loans with delinquency and forbearance history: As of the cut-off date, no borrower under any mortgage loan is currently in an active COVID-19 related forbearance plan. None of the borrowers have previously entered into a COVID-19 related forbearance plan. In the event that after the cut-off date a borrower enters into or requests an active COVID-19 related forbearance plan, such loan will remain in the mortgage pool and the servicer will be required to make advances in respect of delinquent interest and principal (as well as other servicing advances) on such mortgage loan during the forbearance period (to the extent such advances are deemed recoverable) and the loan will be considered delinquent for all purposes under the transaction documents. There were four borrowers reported with recent 30-day delinquency, of which three were due to borrower confusion under servicing transfer, and one was due to borrower paid an incorrect amount but corrected afterwards. Origination Quality and Underwriting Guidelines There are 11 originators in the transaction. The largest originators in the pool with more than 10% by loan balance are Guaranteed Rate Inc. (31.0%), Guild Mortgage Company LLC (16.7%) and Fairway Independent Mortgage Corporation (13.5%). The seller, Onslow Bay Financial LLC, acquired the mortgage loans from Bank of America, National Association (BANA). As of the cut-off date, approximately 94.2% of the mortgage loans (by loan balance) were acquired by BANA from various mortgage loan originators or sellers through Bank of America whole loan purchase program, and the remaining 5.8% were underwritten to loanDepot's guidelines. These mortgage loans have principal balances in excess of the requirements for purchase by Fannie Mae and Freddie Mac (i.e. 100% of the loans in the pool are prime jumbo loans) and were generally acquired pursuant to the OBX 2021-J1 Trust acquisition criteria. In addition, approximately 5.8% of the mortgage loans (by loan balance) were acquired by BANA but originated pursuant to the guidelines of loanDepot. The OBX 2021-J1 Trust acquisition criteria does not apply to the eligibility criteria, underwriting, or origination or acquisition of these mortgage loans. Moody's increased its base case and Aaa loss expectations for all loans underwritten to the OBX 2021-J1 Trust acquisition criteria, which include loans originated by Guaranteed Rate Inc., Guild Mortgage Company LLC and Fairway Independent Mortgage Corporation, because Moody's do not have performance available for the jumbo loans underwritten to OBX 2021-J1 Trust acquisition criteria and securitized through OBX platform, and Moody's have been considering such mortgage loans to have been acquired to slightly less conservative prime jumbo underwriting standards. Moody's did not make any adjustments to Moody's loss levels for loans originated by loanDepot as these loans were underwritten to its own guidelines. Moody's considered loanDepot's performance history and risk management as adequate. Servicing arrangement Shellpoint Mortgage Servicing (SMS) will service all the mortgage loans in the transaction. Wells Fargo Bank, N.A. (Wells Fargo) will serve as the master servicer. Shellpoint is generally obligated to fund monthly advances of cash (to the extent such advances are deemed recoverable) and to make interest payments to compensate in part for any shortfall in interest payments due to prepayment of the mortgage loans. The master servicer will monitor the performance of the servicer and will be obligated to fund any required advance and interest shortfall payments if a servicer fails in its obligation to do so. As of the cut-off date, no borrower under any mortgage loan is currently in an active COVID-19 related forbearance plan with the servicer. None of the borrowers of the mortgage loans (by aggregate loan balance as of the cut-off date) have previously entered into a COVID-19 related forbearance plan with the servicer. In the event that after the cut-off date a borrower enters into or requests an active COVID-19 related forbearance plan, such mortgage loan will remain in the mortgage pool and the servicer will be required to make advances in respect of delinquent interest and principal (as well as other servicing advances) on such mortgage loan during the forbearance period (to the extent such advances are deemed recoverable) and the mortgage loan will be considered delinquent for all purposes under the transaction documents. At the end of the forbearance period, as with any other modification, to the extent the related borrower is not able to make a lump sum payment of the forborne amount, the servicer may, subject to the servicing matrix, offer the borrower a repayment plan, enter into a modification with the borrower (including a modification to defer the forborne amounts) or utilize any other loss mitigation option permitted under the pooling and servicing agreement. Wells Fargo provides oversight of the servicer. Moody's consider the presence of a strong master servicer to be a mitigant for any servicing disruptions. Moody's evaluation of Wells Fargo as a master servicer takes into account the bank's strong reporting and remittance procedures, servicer compliance and monitoring capabilities and servicing stability. Wells Fargo's oversight encompasses loan administration, default administration, compliance and cash management. Third Party Review Three independent third party review (TPR) firms, Clayton Services LLC (Clayton), Wipro Opus Risk Solutions, LLC (Opus), and Consolidated Analytics, Inc. (Consolidated Analytics), reviewed 100% of the loans in this transaction for credit, regulatory compliance, appraisal, and data integrity. The TPR results indicate that the majority of reviewed loans were in compliance with respective originators' underwriting guidelines, no material compliance or data issues, and no appraisal defects. For property valuation, the TPR firms identified all loans as either A or B level grades. There were 6 loans with B grades for appraisal review and majority of these B grades were due to exterior-only appraisals done instead of a full appraisal. For credit review, the TPR firms identified mostly A and B level grades in its review, with no C or D level grades. The credit exceptions had documented compensating factors such as high FICOs, low LTVs, low DTIs, high reserves, and long stable employment history. For compliance review, the TPR firms identified mostly A and B level grades in its review, with no C or D level grades. The identified compliance exceptions were primarily related to incorrect Right of Rescission form used and missing affiliated business disclosures. Moody's did not make any adjustments to Moody's credit enhancement due to regulatory compliance issues because Moody's did not view the compliance exceptions as material. Representations and Warranties Framework Each originator will provide comprehensive loan level reps and warranties for their respective loans. BANA will assign each originator's R&W to the seller, who will in turn assign to the depositor, which will assign to the trust. To mitigate the potential concerns regarding the originators' ability to meet their respective R&W obligations, Onslow Bay Financial LLC (the seller) will backstop the R&Ws for all originator's loans. The R&W provider's obligation to backstop third party R&Ws will terminate 5 years after the closing date, subject to certain performance conditions. The R&W provider will also provide the gap reps. Moody's considered the R&W framework in Moody's analysis and found it to be adequate. Moody's therefore did not make any adjustments to Moody's losses based on the strength of the R&W framework. The R&W framework is adequate in part because the results of the independent TPRs revealed a high level of compliance with underwriting guidelines and regulations, as well as overall adequate appraisal quality. These results give us a clear indication that the loans do not breach the R&Ws the originators have made and that the originators are unlikely to face any material repurchase requests in the future. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's identified for US RMBS. Among other considerations, the R&Ws address property valuation, underwriting, fraud, data accuracy, regulatory compliance, the presence of title and hazard insurance, the absence of material property damage, and the enforceability of the mortgage. In a continued effort to focus breach reviews on loans that are more likely to contain origination defects that led to or contributed to the delinquency of the loan, an additional carve out has been in recent transactions Moody's have rated from other issuers relating to the delinquency review trigger. Similarly, in this transaction, exceptions exist for certain excluded disaster mortgage loans that trip the delinquency trigger. These excluded disaster loans include COVID-19 forbearance loans. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 1.25% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 1.25% of the cut-off pool balance. Other Considerations In OBX 2021-J1 Trust, the controlling holder has the option to hire at its own expense the independent reviewer upon the occurrence of a review event. If there is no controlling holder (no single entity holds a majority of the Class Principal Amount of the most subordinate class of certificates outstanding), the trustee shall, upon receipt of a direction of the certificate holders of more than 25% of the aggregate voting interest of all certificates and upon receipt of the deposit, appoint an independent reviewer at a cost to the trust. However, if the controlling holder does not hire the independent reviewer, the holders of more than 50% of the aggregate voting interests of all outstanding certificates may direct (at their expense) the trustee to appoint an independent reviewer. In this transaction, the controlling holder can be the depositor or a seller (or an affiliate of these parties). If the controlling holder is affiliated with the depositor, seller or Sponsor, then the controlling holder may not be motivated to discover and enforce R&W breaches for which its affiliate is responsible. The servicer will not commence foreclosure proceedings on a mortgage loan unless the servicer has notified the controlling holder at least five business days in advance of the foreclosure and the controlling holder has not objected to such action. If the controlling holder objects, the servicer has to obtain three appraisals from the appraisal firms as listed in the pooling and servicing agreement. The cost of the appraisals is borne by the controlling holder. The controlling holder will be required to purchase such mortgage loan at a price equal to the highest of the three appraisals plus accrued and unpaid interest on such mortgage loan as of the purchase date. If the servicer cannot obtain three appraisals there are alternate methods for determining the purchase price. If the controlling holder fails to purchase the mortgage loan within the time frame, the controlling holder forfeits any foreclosure rights thereafter. Moody's consider this credit neutral because a) the appraiser is chosen by the servicer from the approved list of appraisers, b) the fair value of the property is decided by the servicer, based on third party appraisals, and c) the controlling holder will pay the fair price and accrued interest. 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 April 2020. OCP CLO 2020-18: 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 OCP CLO 2020-18 Ltd., a CLO originally issued in 2020 that is managed by Onex Credit Partners LLC. The preliminary ratings are based on information as of April 30, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 6, 2021 refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. At that time, S&P expects to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm its ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-R, C-R, D-R, and E-R notes are expected to be issued at a lower spread over three-month LIBOR than the original notes. -- The replacement class B-R notes are expected to be issued at a floating spread, replacing the class B-1 floating and B-2 fixed rate notes. -- The stated maturity and the reinvestment period will be extended by 2.25 years. Replacement And Original Note Issuances Replacement notes -- Class A-R, $248.00 million: Three-month LIBOR + 1.09% -- Class B-R, $56.00 million: Three-month LIBOR + 1.70% -- Class C-R, $24.00 million: Three-month LIBOR + 1.95% -- Class D-R, $24.00 million: Three-month LIBOR + 3.20% -- Class E-R, $16.00 million: Three-month LIBOR + 6.43% Original notes -- Class A, $240.00 million: Three-month LIBOR + 1.80% -- Class B-1, $44.00 million: Three-month LIBOR + 2.40% -- Class B-2, $10.00 million: 2.75% -- Class C, $24.00 million: Three-month LIBOR + 2.92% -- Class D, $26.00 million: Three-month LIBOR + 4.33% -- Class E, $8.00 million: Three-month LIBOR + 8.00% -- Subordinated notes, $54.84 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OCP CLO 2020-18 Ltd. /OCP CLO 2020-18 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), $16.00 million: BB- (sf) Subordinated notes, $54.84 million: Not rated PRIME STRUCTURED 2020-1: DBRS Confirms BB(low) Rating on F Certs ---------------------------------------------------------------- DBRS Limited confirmed its ratings on the Mortgage-Backed Certificates, Series 2020-1 issued by Prime Structured Mortgage (PriSM) Trust as part of DBRS Morningstar's continued effort to provide market participants with updates on an annual basis: -- AAA (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class A (the Class A Certificates) -- AAA (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class VFC (the Class VFC Certificates) -- AAA (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class IO (the Class IO Certificates) -- AA (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class B (the Class B Certificates) -- AA (low) (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class C (the Class C Certificates) -- A (high) (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class D (the Class D Certificates) -- BBB (high) (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class E (the Class E Certificates) -- BB (low) (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class F (the Class F Certificates; together with the Class A Certificates, the Class VFC Certificates, the Class IO Certificates, the Class B Certificates, the Class C Certificates, the Class D Certificates, and the Class E Certificates, the Rated Certificates) The ratings on the Class A Certificates, the Class VFC Certificates (together, the Senior Principal Certificates), the Class B Certificates, the Class C Certificates, the Class D Certificates, the Class E Certificates, and the Class F Certificates represent the timely payment of interest to the holders thereof and the ultimate payment of principal by the Rated Final Distribution Date under the respective rating stress. The rating on the Class IO Certificates is an opinion that addresses the likelihood of the Notional Amount of the Class IO Certificates' applicable reference certificates (i.e., the Senior Principal Certificates) being adversely affected by credit losses. The Mortgage-Backed Certificates, Series 2020-1, Class G (the Class G Certificates) and Mortgage-Backed Certificates, Series 2020-1, Class R (collectively with the Class G Certificates and the Rated Certificates, the Certificates) are not rated by DBRS Morningstar. DBRS Morningstar initially published its outlook on the Coronavirus Disease (COVID-19) pandemic's impact on key economic indicators for the 2020–22 time frame in April 2020. DBRS Morningstar last updated the macroeconomic scenarios on March 17, 2021, in its "Global Macroeconomic Scenarios: March 2021 Update" at https://www.dbrsmorningstar.com/research/375376. For the Rated Certificates, DBRS Morningstar considered impacts consistent with the moderate scenario in the referenced commentary in its analysis. The rating confirmations are based on the following factors: (1) The collateral comprises a pool of first-lien fixed-rate, B-20 compliant uninsured Canadian residential mortgages with a maximum loan-to-value ratio of 80% at origination. The pool balance has amortized to $583.4 million as of January 2021, representing a pool factor of 84.8%. The pass-through structure of the certificates has resulted in higher subordination across the Rated Certificates. (2) Credit enhancement provided by subordination has built up since issuance, providing protection to the certificates. (3) Credit performance since inception has been stable with no reported losses. The transaction benefits from strong asset quality consisting of prime conventional mortgages with high credit scores and low LTV ratios. Losses are allocated to the lowest-ranking Principal Certificates outstanding. (4) TD Securities Inc. (TDSI), a wholly owned subsidiary of TD Bank, is the Seller and Master Servicer and provides representations and warranties and is ultimately responsible for all the servicing obligations of the mortgages. Both First National Financial LP and CMLS Financial Ltd., acting as Sub-Servicers, have extensive servicing experience in the Canadian residential mortgage market. The ratings on the Class E Certificates and the Class F Certificates materially deviate from higher ratings implied by the quantitative results. DBRS Morningstar considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted as DBRS Morningstar recognizes the structural subordination of the Class E Certificates to the Class D Certificates and the structural subordination of the Class F Certificates to the Class E Certificates. DBRS Morningstar monitors the performance of the transaction to identify any deviation from DBRS Morningstar's expectations at issuance and to ensure the ratings remain appropriate. The review is predicated upon the timely receipt of performance information from the related providers. The performance and characteristics of the pool and the Certificates are available and updated each month in the Monthly Canadian ABS Report. Notes: All figures are in Canadian dollars unless otherwise noted. PRMI SECURITIZATION 2021-1: S&P Assigns B(sf) Rating on B-5 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to PRMI Securitization Trust 2021-1's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by residential mortgage loans. S&P said, "After we assigned our preliminary ratings on April 16, 2021, the servicing administrator fee was reduced to 0.125% per annum from 0.25% per annum. Correspondingly, the coupons for the class A-1A, A-2A, A-3A, A-4A, A-5A, A-6A, and A-7A certificates were increased by 0.125% to 2.375% from 2.25%, while the coupons for the class A-1XA, A-2XA, A-3XA, A-4XA, A-5XA, A-6XA, and A-7XA certificates were increased by 0.125% to 0.375% from 0.25%. The bond sizes on the initial exchangeable certificates as well as the exchangeable certificates were also adjusted, with the credit enhancement unchanged for each class. We view the servicing fee rate of 0.125% as relatively low and potentially inadequate to attract a future servicer should servicing need to be transferred. In addition, given the transaction structure, which allows temporary interest shortfalls on the bonds (with interest accruals on such shortfalls), we ran additional scenarios where we applied a servicing fee rate of 0.25% in our cash flow analysis." The rated classes passed the rating stress scenarios commensurate with their assigned ratings in both the 0.125% and 0.25% servicing administrator fee scenarios. The final ratings assigned are unchanged from the preliminary ratings we assigned for all classes. The ratings reflect: -- The high-quality collateral in the pool; -- The available credit enhancement; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; -- The geographic concentration in California; -- The mortgage aggregator, PR Mortgage Investment LP, and the mortgage originator, Owning Corp. in our transaction-specific review; -- The 100% due diligence results consistent with represented loan characteristics; and -- The impact that the economic stress brought on by the COVID-19 pandemic is likely to have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. Ratings Assigned PRMI Securitization Trust 2021-1(i) Class A-1, $341,505,000: AAA (sf) Class A-1A, $455,340,000: AAA (sf) Class A-1B, $455,340,000: AAA (sf) Class A-1C, $455,340,000: AAA (sf) Class A-2, $305,565,000: AAA (sf) Class A-2A, $407,420,000: AAA (sf) Class A-2B, $407,420,000: AAA (sf) Class A-2C, $407,420,000: AAA (sf) Class A-3, $229,185,000: AAA (sf) Class A-3A, $305,580,000: AAA (sf) Class A-3B, $305,580,000: AAA (sf) Class A-3C, $305,580,000: AAA (sf) Class A-4, $76,380,000: AAA (sf) Class A-4A, $101,840,000: AAA (sf) Class A-4B, $101,840,000: AAA (sf) Class A-4C, $101,840,000: AAA (sf) Class A-5, $35,940,000: AAA (sf) Class A-5A, $47,920,000: AAA (sf) Class A-5B, $47,920,000: AAA (sf) Class A-5C, $47,920,000: AAA (sf) Class A-6, $12,150,000: AAA (sf) Class A-6A, $16,200,000: AAA (sf) Class A-6B, $16,200,000: AAA (sf) Class A-6C, $16,200,000: AAA (sf) Class A-7, $64,230,000: AAA (sf) Class A-7A, $85,640,000: AAA (sf) Class A-7B, $85,640,000: AAA (sf) Class A-7C, $85,640,000: AAA (sf) Class A-1XA, $455,340,000(ii): AAA (sf) Class A-1XB, $455,340,000(ii): AAA (sf) Class A-2XA, $407,420,000(ii): AAA (sf) Class A-2XB, $407,420,000(ii): AAA (sf) Class A-3XA, $305,580,000(ii): AAA (sf) Class A-3XB, $305,580,000(ii): AAA (sf) Class A-4XA, $101,840,000(ii): AAA (sf) Class A-4XB, $101,840,000(ii): AAA (sf) Class A-5XA, $47,920,000(ii): AAA (sf) Class A-5XB, $47,920,000(ii): AAA (sf) Class A-6XA, $16,200,000(ii): AAA (sf) Class A-6XB, $16,200,000(ii): AAA (sf) Class A-7XA, $85,640,000(ii): AAA (sf) Class A-7XB, $85,640,000(ii): AAA (sf) Class A-X, $455,340,000(ii): AAA (sf) Class B-1, $8,645,000: AA (sf) Class B-2, $5,512,000: A (sf) Class B-3, $4,314,000: BBB (sf) Class B-4, $1,678,000: BB (sf) Class B-5, $1,438,000: B (sf) Class B-6, $2,396,601: not rated Class A-IO-S, $479,323,601: not rated Class R, not applicable: not rated (i)The ratings assigned to the classes address the ultimate payment of interest and principal. (ii)Notional balance. PROGRESS RESIDENTIAL 2021-SFR2: DBRS Finalizes B(low) on G Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Single-Family Rental Pass-Through Certificates issued by Progress Residential 2021-SFR2 Trust: -- $354.1 million Class A at AAA (sf) -- $91.1 million Class B at AAA (sf) -- $46.9 million Class C at AA (high) (sf) -- $54.7 million Class D at A (high) (sf) -- $96.9 million Class E-1 at BBB (high) (sf) -- $70.8 million Class E-2 at BBB (low) (sf) -- $106.2 million Class F at BB (low) (sf) -- $47.9 million Class G at B (low) (sf) The AAA (sf) rating on the Class A Certificates reflects 64.2% and 55.0% of credit enhancement provided by subordinated notes in the pool. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), BB (low) (sf), and B (low) ratings reflect 50.3%, 44.7%, 34.9%, 27.8%, 17.1%, and 12.2% credit enhancement, respectively. Other than the classes specified, DBRS Morningstar does not rate any other classes in this transaction. PROG 2021-SFR2's 5,421 properties are in 12 states, with the largest concentration by BPO value in Texas (26.4%). The largest MSA by value is Atlanta (16.8%), followed by Memphis (15.7%). The geographic concentration dictates the home-price stresses applied to the portfolio and the resulting market value decline (MVD). The MVD at the AAA (sf) rating level for this deal is 52.2%. PROG 2021-SFR2 has properties from 34 MSAs, most of which did not experience home-price index (HPI) declines as dramatic as those in the recent housing downturn. DBRS Morningstar finalized the provisional ratings for each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses DBRS Morningstar's single-family rental subordination model and is based on DBRS Morningstar's published criteria. DBRS Morningstar developed property-level stresses for the analysis of single-family rental assets. DBRS Morningstar's analysis includes estimated base-case net cash flow (NCF) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The DBRS Morningstar NCF analysis resulted in a minimum debt service coverage ratio higher than 1.0 times. Notes: All figures are in U.S. dollars unless otherwise noted. SEQUOIA MORTGAGE 2021-4: Fitch Gives BB-(EXP) Rating on B-4 Certs ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2021-4 (SEMT 2021-4). DEBT RATING ---- ------ SEMT 2021-4 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 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-20 LT AAA(EXP)sf Expected Rating A-21 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-IO1 LT AAA(EXP)sf Expected Rating A-IO2 LT AAA(EXP)sf Expected Rating A-IO3 LT AAA(EXP)sf Expected Rating A-IO4 LT AAA(EXP)sf Expected Rating A-IO5 LT AAA(EXP)sf Expected Rating A-IO6 LT AAA(EXP)sf Expected Rating A-IO7 LT AAA(EXP)sf Expected Rating A-IO8 LT AAA(EXP)sf Expected Rating A-IO9 LT AAA(EXP)sf Expected Rating A-IO10 LT AAA(EXP)sf Expected Rating A-IO11 LT AAA(EXP)sf Expected Rating A-IO12 LT AAA(EXP)sf Expected Rating A-IO13 LT AAA(EXP)sf Expected Rating A-IO14 LT AAA(EXP)sf Expected Rating A-IO15 LT AAA(EXP)sf Expected Rating A-IO16 LT AAA(EXP)sf Expected Rating A-IO17 LT AAA(EXP)sf Expected Rating A-IO18 LT AAA(EXP)sf Expected Rating A-IO19 LT AAA(EXP)sf Expected Rating A-IO20 LT AAA(EXP)sf Expected Rating A-IO21 LT AAA(EXP)sf Expected Rating A-IO22 LT AAA(EXP)sf Expected Rating A-IO23 LT AAA(EXP)sf Expected Rating A-IO24 LT AAA(EXP)sf Expected Rating A-IO25 LT AAA(EXP)sf Expected Rating A-IO26 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates issued by SEMT 2021-4 as indicated above. The certificates are supported by 812 loans with a total balance of approximately $723.27 million as of the cutoff date. The pool consists of prime fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (Redwood) from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 812 full documentation loans, totaling $723.27 million and seasoned approximately three months in aggregate. The borrowers have a strong credit profile (777 model FICO, 29.5% debt to income ratio [DTI]) and moderate leverage (75.6% sustainable loan to value ratio [sLTV]). Of the pool, 96.3% consist of loans for primary residences, while 3.7% are for second homes. Additionally, 92.6% of the loans were originated through a retail channel, and 100% are designated as a qualified mortgage (QM) loan. Shifting-Interest Structure (Negative): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Interest Reduction Risk (Negative): The transaction incorporates a structural feature most commonly used by Redwood's program 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. 120-Day Stop Advance (Mixed): The deal is structured to four months of servicer advances for delinquent P&I. The limited advancing reduces loss severities as a lower amount is repaid to the servicer when a loan liquidates. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.75% of the original balance will be maintained for the certificates. Updated Economic Risk Factor (Positive): Consistent with the "Additional Scenario Analysis" section of Fitch's "U.S. RMBS Coronavirus-Related Analytical Assumptions" criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to its macroeconomic baseline scenario or if actual performance data indicate the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of coronavirus vaccines, Fitch reconsidered the application of the coronavirus-related ERF floors of 2.0 and used ERF floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 "Global Economic Outlook" and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following the negative 3.5% GDP rate in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, down from 8.1% in 2020. These revised forecasts support Fitch reverting to the 1.5 and 1.0 ERF floors described in its "U.S. RMBS Loan Loss Model Criteria." ESG Relevance Score (Positive): The transaction has an ESG Relevance Score of '4[+]' for Exposure to Governance as a result of the strong counterparties and well controlled operational considerations and is relevant to the ratings in conjunction with other factors. See ESG Navigator in Appendix 2. RATING SENSITIVITIES 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. Factor that could, individually or collectively, lead to a 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 41.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factor that could, individually or collectively, lead to a positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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. CRITERIA VARIATION The analysis includes one variation to Fitch's "U.S. RMBS Rating Criteria". Fitch expects to conduct an originator review every 12-18 months for any underlying originator that contributed 15% or more to a transaction. The originator review for Prime Lending (19.3%) has expired. The loans in the pool are of very high quality, a third-party due diligence review was conducted on approximately 71% of the loans in the pool (with 100% A and B grades), and the concentration is just slightly above the concentration noted in Fitch's criteria. Additionally, Fitch has reviewed Redwood as an above-average aggregator. Loans that do not have an originator assessment are treated as the aggregator in Fitch's analysis and, therefore, no adjustment was made. This variation did not result in a rating impact. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton and EdgeMac. The third-party due diligence described in Form 15E focused on credit, compliance and property valuations. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% reduction to the loan's probability of default. This adjustment(s) resulted in a less than 25bps reduction to the 'AAAsf' expected loss. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on about 70% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton and EdgeMac, were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for further details. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Sequoia Mortgage Trust 2021-4 has an ESG Relevance Score of '4[+]' for Exposure to Governance as a result of the strong counterparties and well controlled operational considerations. This 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. SLM STUDENT 2003-5: Fitch Affirms B Rating on 5 Tranches -------------------------------------------------------- Fitch Ratings has affirmed the ratings of all outstanding classes of SLM Student Loan Trust 2003-5 and 2003-12 and maintained all current Rating Outlooks. DEBT RATING PRIOR ---- ------ ----- SLM Student Loan Trust 2003-5 A-5 XS0168279080 LT AAAsf Affirmed AAAsf A-6 78442GGT7 LT Bsf Affirmed Bsf A-7 78442GGU4 LT Bsf Affirmed Bsf A-8 78442GGV2 LT Bsf Affirmed Bsf A-9 78442GGW0 LT Bsf Affirmed Bsf B 78442GGX8 LT Bsf Affirmed Bsf SLM Student Loan Trust 2003-12 A-6 78442GKF2 LT AAsf Affirmed AAsf B 78442GKD7 LT BBsf Affirmed BBsf The class A-5 notes of SLM 2003-5 passed all credit and maturity stresses and are affirmed at 'AAAsf'/Outlook Negative. The Rating Outlook is Negative based on the Rating Outlook assigned to the U.S. sovereign Issuer Default Rating (IDR). Classes A-6 through A-9 and the class B notes do not pass Fitch's base case rating stresses, as was the case during Fitch's last review. The notes' ratings are affirmed at 'Bsf', one category higher than their current model-implied ratings of 'CCCsf'. The affirmations of these classes are supported by qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor and the revolving credit agreement established by Navient, which allows the servicer to purchase loans from the trust. Navient has the option but not the obligation to lend to the trust; thus, Fitch does not give quantitative credit to these agreements. However, they provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. Navient Corporation is currently rated 'BB-' with a Stable Outlook by Fitch. The class A-6 notes of SLM 2003-12 passed all credit stresses but only maturity stresses up to 'Asf'. Fitch's affirmation of the class A-6 notes at 'AAsf'/Stable reflects the cross-currency swap in the transaction and is in line with the tolerance between model-implied ratings and actual ratings from Fitch's criteria. For tranches with more than seven years remaining to maturity, a two-rating category tolerance may be applied up to 'Asf'. However, if a tranche is currently rated 'AAsf' or above and passes the 'Asf' maturity stress, the tolerance will be applied up to 'AAsf'. The class A-6 notes have a legal final maturity date of over 16 years away (March 15, 2038). The treatment of the swap constitutes a criteria variation (see below for more details). In the cash flow analysis for both SLM 2003-5 and SLM 2003-12, Fitch used servicing fees higher than the standard fees from Fitch's rating criteria, reflecting transaction-specific fees. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Negative. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 19.00% and 16.00% under the base case scenario and a default rate of 57.00% and 48.00% under the 'AAA' credit stress scenario for SLM 2003-5 and SLM 2003-12, respectively. Fitch is maintaining its sustainable constant default rate assumption (sCDR) at 2.7% for SLM 2003-5 and 2.4% for SLM 2003-12 in cash flow modeling. Fitch is also maintaining its sustainable constant prepayment rate assumption (sCPR; voluntary and involuntary) at 9.0% for SLM 2003-5 and 8.0% for SLM 2003-12. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case for both transactions. The trailing 12-month (TTM) levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 2.93%, 14.48% and 28.33%, respectively, for SLM 2003-5. The TTM levels of deferment, forbearance and IBR (prior to adjustment) are 3.33%, 13.37% and 19.88%, respectively, for SLM 2003-12. These levels are used as the starting points in cash flow modeling, and for the assumptions above, any subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.10% and 0.17% for SLM 2003-5 and SLM 2003-12, respectively, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for the transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. For SLM 2003-5, as of February 2021, approximately 86.58% of the student loans are indexed to LIBOR, and 13.42% are indexed to the 91-day T-Bill rate. The majority of the tranches in SLM 2003-5 are indexed to three-month LIBOR, but there is one tranche indexed to 3-month Euribor where there is a currency swap in place and the trust pays a spread over three-month LIBOR. For SLM 2003-12, as of February 2021, approximately 86.68% of the student loans are indexed to LIBOR, and 13.32% are indexed to the 91-day T-Bill rate. The Class B notes are indexed to three-month U.S. LIBOR, while the Class A-6 Notes are indexed to three-month GBP LIBOR swapped into U.S. LIBOR through a cross-currency swap. Fitch applies its standard basis and interest rate stresses to both transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread and, for the Class A notes, subordination. As of February 2021, the total parity ratios (including the reserve) are 100.53% (0.53%) and 100.77% (0.76% CE) for SLM 2003-5 and SLM 2003-12, respectively. The senior parity ratios (including the reserve) are 119.93% (16.62% CE) and 105.60% (5.31% CE) for SLM 2003-5 and SLM 2003-12, respectively. Liquidity support is provided by a reserve account currently sized at their floors of $2,251,218 and $3,759,518 for SLM 2003-5 and SLM 2003-12, respectively. The trusts will continue to release excess cash as long as 100.00% reported total parity is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. Fitch also confirmed with the servicer the availability of a business continuity plan to minimize disruptions in the collection process during the coronavirus pandemic. Coronavirus Impact: Fitch assessed the sCDR and sCPR under Fitch's coronavirus baseline (rating) scenario by assuming a decline in payment rates and an increase in defaults to previous recessionary levels for two years and then a return to recent performance for the remainder of the life of the transaction. Fitch did not change these assumptions for this review; however, Fitch revised the sCPR from 10.0% to 9.0% for SLM 2003-5 and from 8.5% to 8.0% for SLM 2003-12 during the reviews in 2020 to reflect this analysis. The risk of negative rating actions will increase under Fitch's coronavirus downside (sensitivity) scenario, which contemplates a more severe and prolonged period of stress. As a downside sensitivity reflecting this scenario, Fitch increased the default rate, IBR and remaining term assumptions by 50%. The results are provided in the Rating Sensitivities section below. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. SLM Student Loan Trust 2003-5 Current Model-Implied Ratings: class A-5 'AAAsf'; class A-6 to A-9 'CCCsf'; class B 'CCCsf' Factors that could, individually or collectively, lead to positive rating action/upgrade: No upgrade credit stress or maturity stress sensitivity is provided for the class A-5 notes, since they are already at their highest possible model-implied rating. Credit Stress Sensitivity -- Default decrease 25%: class A-6 to A-9 'CCCsf'; class B 'CCCsf'; -- Basis spread decrease 0.25%: class A-6 to A-9 'CCCsf'; class B 'CCCsf'. Maturity Stress Sensitivity -- CPR increase 25%: class A-6 to A-9 'CCCsf'; class B 'CCCsf'; -- IBR usage decrease 25%: class A-6 to A-9 'CCCsf'; class B 'CCCsf'; -- Remaining term decrease 25%: class A-6 to A-9 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf'; -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. For the downside coronavirus sensitivity scenario, Fitch assumed a 50% increase in defaults, IBR and remaining term for the credit and maturity stress, respectively. Under this scenario, there was no impact on ratings for the credit stress. There was also no impact on ratings for the maturity stresses. SLM Student Loan Trust 2003-12 Current Model-Implied Ratings: class A 'Asf'; class B 'BBBsf' Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'AAAsf'; class B 'BBBsf'; -- Basis spread decrease 0.25%: class A 'AAAsf'; class B 'Asf'. Maturity Stress Sensitivity -- CPR increase 25%: class A 'Asf'; class B 'Asf'; -- IBR usage decrease 25%: class A 'AAAsf'; class B 'BBBsf'; -- Remaining Term decrease 25%: class A 'AAAsf'; class B 'Asf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAAsf'; class B 'BBBsf'; -- Default increase 50%: class A 'AAAsf'; class B 'BBsf'; -- Basis spread increase 0.25%: class A 'AAAsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'Asf; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'Asf'; class B 'BBBsf'; -- CPR decrease 50%: class A 'Asf'; class B 'BBBsf'; -- IBR usage increase 25%: class A 'Asf'; class B 'BBBsf'; -- IBR usage increase 50%: class A 'Asf; class B 'BBBsf'; -- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'. For the downside coronavirus sensitivity scenario, Fitch assumed a 50% increase in defaults, IBR and remaining term for the credit and maturity stress, respectively. Under this scenario, the model-implied ratings were unchanged for the class A notes and 'BBsf' for the class B notes for the credit stress. The model-implied ratings were unchanged for both the class A and class B notes for the maturity stress under increased IBR and 'CCCsf' for both the class A and class B notes for the maturity stress under increased remaining term. 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 Swap documents for SLM 2003-12 do not contemplate any counterparty replacement, or the appointment of a guarantor, following downgrade of the swap counterparty below the minimum ratings expected by Fitch's counterparty criteria. In addition, collateralization criteria are broadly in line with Fitch's expectation, in spite of lower volatility cushions than expected and no adjustments for liquidity and FX risk in collateral valuation. Fitch assessed the materiality of the inconsistencies against the available mitigants, which included sufficient collateral posting, and concluded that contractual provisions can support ratings up to 'AAsf'; this represents a criteria variation from Fitch's counterparty criteria to take into account the partial compliance of the swap documents with Fitch's criteria. Had Fitch not applied this criteria variation, the ratings of the A-6 Notes would be capped at the rating of the swap counterparty, which is 'A+'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. SLM STUDENT 2008-3: Fitch Lowers 2 Debt Tranches to 'CCCsf' ----------------------------------------------------------- Fitch Ratings has placed the outstanding notes of SLM Student Loan Trust 2008-1 (SLM 2008-1) on Rating Watch Negative. Fitch has also downgraded the outstanding notes of SLM Student Loan Trust 2008-3 (SLM 2008-3) and removed the notes from Rating Watch Negative. DEBT RATING PRIOR ---- ------ ----- SLM Student Loan Trust 2008-3 A-3 78444GAC8 LT CCCsf Downgrade Bsf B 78444GAD6 LT CCCsf Downgrade Bsf SLM Student Loan Trust 2008-1 A-4 784439AD3 LT Bsf Rating Watch On Bsf B 784439AE1 LT Bsf Rating Watch On Bsf TRANSACTION SUMMARY For both trusts, the senior notes miss their legal final maturity date under Fitch's base case maturity stresses; however, these classes are eventually paid in full under Fitch's stressed cashflow analysis. The event of default from not meeting the legal final maturity dates would result in interest payments being diverted away from the class B notes, causing them to default as well. Each trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay off the notes. Navient has the option but not the obligation to lend to the trust, so Fitch cannot give full quantitative credit to this agreement. However, the agreement does provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. In maintaining SLM 2008-1 at 'Bsf' rather than downgrading it to 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, and the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. The placement of the 2008-1 notes on Rating Watch Negative reflects that the legal final maturity of the class A-4 notes is less than one year away and repayment by the legal final maturity date is unlikely without support from the sponsor under Fitch's maturity stress scenarios. Fitch downgraded SLM 2008-3 due to the legal final maturity date of the class A-3 notes being approximately six months away in October 2021. The repayment by the legal final maturity date is unlikely under Fitch's maturity stress scenarios without an extension of the class A-3 legal final maturity date or without support from the sponsor. Due to the short amount of time to the legal final maturity of the class A-3 notes, Fitch decreased the qualitative credit to the revolving credit agreement available to the trust. KEY RATING DRIVERS U.S. Sovereign Risk: The trusts' collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Negative. Collateral Performance SLM 2008-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 36.0% under the base case scenario and a 100.0% default rate under the 'AAA' credit stress scenario. Fitch maintained its sustainable constant default rate assumption(sCDR) of 5.2% and its sustainable constant prepayment rate assumption (voluntary and involuntary prepayments; sCPR) at 11.0% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The trailing twelve-month (TTM) levels of deferment, forbearance, and income-based repayment (IBR) (prior to adjustment) are 7.2%, 22.4%, and 26.2%, respectively, and are used as the starting point in cash flow modelling. Any subsequent declines or increases to the above assumptions are modelled as per criteria. The borrower benefit is assumed to be approximately 0.02%, based on information provided by the sponsor. SLM 2008-3: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 28.8% under the base case scenario and an 86.3% default rate under the 'AAA' credit stress. Fitch maintained its sCDR at 4.2% its sCPR at 11.0% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and IBR (prior to adjustment) are 7.1%, 21.1%, and 28.2%, respectively, and are used as the starting point in cash flow modelling. Any subsequent declines or increases to the above are modelled as per criteria. The borrower benefit is assumed to be approximately 0.02%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of March 2021, approximately 4.9% and 2.3% of the trusts' student loans are indexed to T-bill for SLM 2008-1 and 2008-3, respectively, with the remainder indexed to one-month LIBOR. All notes are indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure SLM 2008-1: Credit enhancement (CE) is provided by excess spread and by subordination for the class A notes. As of the April 2021 distribution date, total and senior parity ratio (including the reserve) are 100.55% (0.55% CE) and 120.96% (17.33% CE) respectively. Liquidity support is provided by a reserve account sized at its floor of $1,499,914. The transaction will release excess cash as long as 100% total parity (excluding the reserve) is maintained. SLM 2008-3: CE is provided by excess spread, overcollateralization (OC), and subordination for the class A notes. As of the April 2021 distribution date, total and senior effective parity ratio (including the reserve) are 103.25% (3.15% CE) and 120.69% (17.14% CE) respectively. Liquidity support is provided by a reserve account sized at its floor of $1,000,020. The transaction will release excess cash as long as the target OC amount of $5,841,096 is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient is an acceptable servicer due to its extensive track record as the largest servicer of FFELP loans. Coronavirus Impact: Fitch assessed the sCDR and sCPR under Fitch's coronavirus baseline (rating) scenario by assuming a decline in payment rates and an increase in defaults to previous recessionary levels for two years and then a return to recent performance for the remainder of the life of the transaction. Fitch maintained the sCDR and sCPR for 2008-1 and 2008-3, reflecting conservative levels of these assumptions. The risk of negative rating actions will increase under Fitch's coronavirus downside (sensitivity) scenario, which contemplates a more severe and prolonged period of stress. As a downside sensitivity reflecting this scenario, Fitch increased the default rate, IBR and remaining term assumptions by 50%. The results are provided in Rating Sensitivities. RATING SENSITIVITIES This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. For the downside coronavirus sensitivity scenario, Fitch assumed a 50% increase in defaults, IBR and remaining term for the credit and maturity stresses, respectively. Under this scenario, the model-implied ratings remain unchanged under Fitch's credit and maturity stresses. Factors that could, individually or collectively, lead to positive rating action/upgrade: SLM 2008-1 Current Ratings: class A 'Bsf'; class B 'Bsf' Credit Stress Sensitivity -- Default decrease 25%: class A 'Bsf'; class B 'Bsf; -- Basis spread decrease 0.25%: class A 'Bsf'; class B 'Bsf'; Maturity Stress Sensitivity -- CPR increase 25%: class 'Bsf'; class B 'Bsf'; -- IBR usage decrease 25%: class A 'Bsf'; class B 'Bsf'; -- Remaining term decrease 25%: class A 'Bsf'; class B 'Bsf'. SLM 2008-3 Current Ratings: class A 'CCCsf'; class B 'CCCsf' Credit Stress Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf; -- Basis spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'; Maturity Stress Sensitivity -- CPR increase 25%: class 'CCCsf'; class B 'CCCsf'; -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term decrease 25%: class A 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to negative rating action/downgrade: SLM 2008-1 Credit Stress Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf. Maturity Stress Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf' -- IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf' -- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf. SLM 2008-3 Credit Stress Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf. Maturity Stress Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf' -- IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf' -- Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'. 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. STONE STREET 2015-1: DBRS Confirms BB Rating on Class C Notes ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the following securities from various Structured Settlements issuers: -- NV Funding LLC, Series 2013-A, Class A at A (sf) -- NV Funding LLC, Series 2014-A, Class A at A (sf) -- NYLIMAC 2010-SS-1, LLC, Series 2010-1 Notes, Class A at A (sf) -- Novation Receivables Funding, LLC, Series 2010-A Notes at A (sf) -- Structured Asset Funding Securitization I LLC, Series 2015-A, Class A Notes at A (sf) -- Stone Street Receivables Funding 2015-1, LLC, Series 2015-1, Class A Notes at AAA (sf) -- Stone Street Receivables Funding 2015-1, LLC, Series 2015-1, Class B Notes at BBB (sf) -- Stone Street Receivables Funding 2015-1, LLC, Series 2015-1, Class C Notes at BB (sf) The rating actions are based on the following analytical considerations: -- The transaction analysis considers DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar's rating analysis. -- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. -- The generally high credit quality of annuity providers and their improved capitalization positions and risk management frameworks, which have been enhanced since the global financial crisis of 2008–09. DBRS Morningstar does not expect the performance of the structured settlements asset-backed securities (ABS) transactions to be materially affected by the coronavirus in the near term as a result of those factors. As a result, DBRS Morningstar did not adjust any analytical inputs to its analysis of the structured settlements ABS for any impact from the coronavirus pandemic. -- The ability of the transaction to withstand stresses in the cash flow scenarios and repay investors in accordance with the terms of the transaction. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction's capital structure, and form and sufficiency of available credit enhancement. -- The transaction's performance to date, with minimal defaults and losses. Notes: The principal methodology is the DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. TTAN 2021-MHC: Moody's Assigns (P)B3 Rating to Class F Certs ------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to seven classes of CMBS securities, issued by TTAN 2021-MHC, Commercial Mortgage Pass-Through Certificates Series 2021-MHC: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B3 (sf) Cl. X-CP*, Assigned (P)A2 (sf) * Reflects interest-only classes RATINGS RATIONALE The certificates are collateralized by a single, floating-rate loan secured by the borrower's fee simple interest in a portfolio of 74 manufactured housing communities ("MHC"), and indirect equity interest in the entities that own 375 community owned homes (the "portfolio" or the "properties") located across 26 states. Initially the loan will be secured by 67 properties and an earnout reserve related to the acquisition of an additional seven properties. 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. The mortgage loan is secured by the borrower's fee simple interests in 74 manufacturing housing communities, totaling 13,200 pads, and indirect equity interest in the entities that own 375 community owned homes. Six of the properties (12.0% of ALA) are age-restricted 55+ communities, with the remaining 68 (88.0% of ALA) operating all-age communities. The portfolio's pad count includes a total of 11,337 manufactured housing (MH) pads and 1,863 recreational vehicle (RV) pads. As of April 1, 2021, the portfolio was approximately 72.7% occupied. The MH and RV components were 75.0% and 58.8% occupied, respectively. Of note, the MH component occupancy rate includes the 375 community owned homes, which are only 39.7% occupied. Construction dates for properties in the portfolio range between 1950 and 1999. The weighted average year built is 1969, resulting in an average age of approximately 52 years. The portfolio is geographically diverse as the properties are located across 26 states and over 40 markets. The portfolio's largest property accounts for only 8.7% of ALA and the top 10 properties account for 45.0% of the ALA and 37.9% of NCF. The top five markets (Los Angeles, Colorado, San Bernardino, Dallas / Fort Worth, and Nashville) account for 35.5% of NCF and 38.3% of ALA. Collectively, these markets contain 1,916 pads (14.5% of the total portfolio pads). The largest market is Los Angeles (14.0% of ALA), consisting of 504 pads (3.8% of the total portfolio pads). The securitization consists of a single floating-rate, interest-only, first lien mortgage loan with an outstanding cut-off date principal balance of $352,190,000. The mortgage loan has an initial three-year term, with two, one-year extension options. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. The Moody's first-mortgage DSCR is 1.90x and Moody's first-mortgage stressed DSCR at a 9.25% constant is 0.70x. Moody's DSCR is based on its stabilized net cash flow. The Moody's LTV ratio for the first-mortgage balance is 135.6%. The Moody's LTV ratio is based on Moody's value. Taking into consideration the additional mezzanine loan and preferred equity, the total debt Moody's LTV would increase to 175.0%. 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 pool's weighted average property quality grade is 2.24. Notable strengths of the transaction include: a granular portfolio, high rent collections, acquisition financing, recent capital expenditures, strong MHC fundamentals, and multiple property pooling. Notable concerns of the transaction include: the effects of the coronavirus pandemic, high Moody's loan-to-value ratio (LTV), historical occupancy, age of the properties, floating-rate/interest-only mortgage loan profile and certain credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's 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 coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of commercial real estate from a gradual and unbalanced recovery in United States economic activity. VASA TRUST 2021-VASA: DBRS Gives Prov. B(low) Rating on F Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-VASA to be issued by VASA Trust 2021-VASA: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) -- Class A-Y at AAA (sf) -- Class A-Z at AAA (sf) -- Class A-IO at AAA (sf) All trends are Stable. The Class A, Class A-Y, Class A-Z, and Class A-IO Certificates (the CAST Certificates) can be exchanged for other CAST Certificates and vice versa. Proportions are constant proportions of the original Certificate Balance or Notional Amount of the CAST Certificates being exchanged. Following the Closing Date, the Class A certificates will be exchangeable for the CAST Certificates in the Exchanged Proportions indicated in the applicable combinations indicated above (each a Combination) and vice versa (each such completed exchange, an Exchange). The CAST Certificates required under the applicable Combination to result in the issuance of the other CAST Certificates in amounts at least equal to the applicable minimum denomination for such other Class(es) are referred to as the Required Exchangeable Proportion, and the proportion so exchanged, the Exchanged Proportion. The collateral for VASA 2021-VASA includes certain components of a $505.6 million first-lien mortgage loan secured by the borrower's fee and leasehold interest in a 576,921-square-foot (sf) mixed-use office and retail development in the heart of Mountain View, California, which is part of Silicon Valley. The loan is structured with a two-year initial term and three 12-month extension options that are exercisable subject to certain criteria set forth in the initial loan agreement. The floating-rate loan is interest only (IO) through the fully extended loan term. However, commencing after the fully-extended anticipated repayment date in April 2026, the loan is scheduled to hyper-amortize until the balance is repaid in full, subject to a final maturity date of July 31, 2029. During the hyper-amortization period the interest rate is scheduled to step up 250 basis points over the initial interest rate (defined as Libor plus 2.03%), though the portion of the interest accrued in excess of the Initial Interest Rate during the hyper-amortization will be deferred and added to the outstanding principal balance of the mortgage loan. The collateral was originally delivered to market in 2017 and comprises 456,760 (79.2% of total net rentable area (NRA)) of Class A office space, 120,161 sf (20.8% of total NRA) of ground- and second-floor retail space, and a nine-story parking garage that is not included in the cumulative NRA. The property is a component of a larger mixed-use development, which outside of the collateral includes a 90,000-sf grocery-anchored retail center (commonly referred to as The Village Shops), a 167-key hotel operated as a Hyatt Centric, and a 330-unit luxury multifamily property (commonly referred to as The Village Residences). As of loan closing, the collateral was 89.8% physically leased to four tenants. The collateral's office component was originally 100% leased by LinkedIn but, following Microsoft's acquisition of LinkedIn in 2016, Microsoft assigned the LinkedIn lease to WeWork and provided a guaranty on the assigned lease that extends through July 2029. Microsoft is rated investment grade. WeWork has, in turn, enterprise leased 100.0% of the office space to Facebook, which took occupancy in the space prior to the ongoing Coronavirus Disease (COVID-19) pandemic. The collateral's retail component was 51.1% physically leased as of loan closing, anchored by a Showplace Icon Theatre that went dark because of business closures and stay-at-home mandates associated with the ongoing coronavirus pandemic. Showplace Icon Theatre reported strong sales at the property prior to the pandemic and has evidenced its commitment to the space through significant capital investment as well as the recent execution of a lease amendment that extended the tenant's lease through October 2040. The borrower sponsor for this transaction is Brookfield Strategic Real Estate Partners III GP L.P., which is a $15.0 billion global private real estate find managed by Brookfield Asset Management Inc. (Brookfield; rated A (low) with a Stable trend by DBRS Morningstar). Brookfield is an alternative asset manager and one of the largest owners and managers of office properties with a portfolio of 301 properties totaling approximately 160.0 million sf reported as of Q4 2020. Brookfield also owns The Village Residences, which is within the broader Villages at San Antonio Center development but does not serve as collateral for this transaction. DBRS Morningstar's outlook on the stability of Class A office space in and around San Francisco and further into Silicon Valley has historically been positive, given that the region is home to many of the world's largest and fastest-growing technology companies including Apple, Alphabet (Google), Tesla, Facebook, and Microsoft. However, the ongoing coronavirus pandemic continues to pose challenges and risks to virtually all major commercial real estate property types and technology companies have been at the forefront of establishing long-term remote-working policies in response to business closures and ongoing stay-at-home orders. The Stanford Institute of Economic Policy Research estimated that as of June 2020 approximately 42% the U.S. labor force had transitioned to working from home full time while only 26% of the labor force was reported to be working on business premises. While many workers will ultimately return to the office, many sources suggest that the share of working days spent at home may rise structurally compared with pre-pandemic levels. The uncertainty surrounding such changes poses a potential threat to office demand in the technology-dominated San Francisco and Silicon Valley areas, which could otherwise be balanced by continued growth to the area's technology sector and historically low vacancy rates. Additionally, the appraiser noted that tenants are returning to the market and that continued focus on the distribution of the coronavirus vaccine should provide increasing confidence for individuals looking to return to the office, further spurring a return to stabilized demand levels throughout the collateral's Mountain View submarket. Facebook intends to allow employees to work remotely through June 2021, though during the ongoing pandemic the firm announced that as many as 50.0% of its employees could be working remotely within the next five to 10 years. Notes: All figures are in U.S. dollars unless otherwise noted. VENTURE 43 CLO: Moody's Assigns (P)Ba3 Rating to Class E Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seven classes of notes to be issued by Venture 43 CLO, Limited (the "Issuer" or "Venture 43"). Moody's rating action is as follows: US$5,000,000 Class X Senior Secured Floating Rate Notes due 2034 (the "Class X Notes"), Assigned (P)Aaa (sf) US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$20,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) US$60,000,000 Class B Senior Secured Floating Rate Notes due 2034 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$29,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class C Notes"), Assigned (P)A2 (sf) US$28,250,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$22,250,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class X Notes, the 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, 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. Venture 43 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 secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans and permitted debt securities. Moody's expect the portfolio to be approximately 80% ramped as of the closing date. MJX Asset 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 will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2700 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. 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. WACHOVIA BANK 2005-C21: Moody's Cuts Class F Certs Rating to C -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on one class and downgraded the ratings on two classes in Wachovia Bank Commercial Mortgage Trust 2005-C21 ("WBCMT 2005-C21"), Commercial Mortgage Pass-Through Certificates, Series 2005-C21 as follows: Cl. E, Downgraded to Caa2 (sf); previously on Nov 19, 2019 Affirmed B3 (sf) Cl. F, Downgraded to C (sf); previously on Nov 19, 2019 Affirmed Ca (sf) Cl. IO*, Affirmed C (sf); previously on Nov 19, 2019 Affirmed C (sf) *Reflects Interest-Only Class RATINGS RATIONALE The ratings on two P&I classes were downgraded due to a decline in pool performance driven by an increased exposure to the Phillips Lighting loan, a single-tenant suburban office property with an upcoming lease expiration and higher anticipated losses from specially serviced loans. The rating on the IO class was affirmed based on the credit quality of the referenced classes. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of commercial real estate from a gradual and unbalanced recovery in US economic activity. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 37.9% of the current pooled balance, compared to 38.3% at Moody's last review. Moody's base expected loss plus realized losses is now 6.9% of the original pooled balance, compared to 7.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. DEAL PERFORMANCE As of the April 16, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $52.4 million from $3.25 billion at securitization. The certificates are collateralized by four mortgage loans ranging in size from less than 1% to 55% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of two, the same as at Moody's last review. As of the April 2021 remittance report, loans representing 66% were current on their debt service payments, 34% were REO. One loan, constituting 55% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $204 million (for an average loss severity of 42%). One loan, constituting 34% of the pool, are currently in special servicing. The largest specially serviced loan is the Taurus Pool Loan ($17.8 million -- 34.0% of the pool), which was originally secured by six properties located in six states. Five properties have been sold. The remaining collateral is the Shelton Technology Center, a 113,000 square foot (SF) industrial property which is west of downtown New Haven, Connecticut. Moody's estimates a significant loss on this loan. As of the April 2021 remittance statement cumulative interest shortfalls were $12.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2019 operating results for 100% of the pool, and full or partial year 2020 operating results for 99% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 133%, compared to 116% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 37% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.7%. The top three conduit loans represent 66% of the pool balance. The largest loan is the Phillips Lighting Loan ($29.0 million -- 55% of the pool), which is secured by a 199,900 SF suburban office building located in Franklin Township, New Jersey. The loan has passed its anticipated repayment date (ARD) of September 15, 2015 but is continuing to pay subject to additional 2.0% interest with a final maturity date in September 2035. Phillips Electronics occupies the entire building through December 2021. Moody's used a lit / dark analysis given the single tenant lease exposure. Moody's LTV and stressed DSCR are 150% and 0.81X, respectively, compared to 132% and 0.82X at the last review. The second largest loan is the Maywood Village Loan ($5.1 million -- 9.7% of the pool), which is secured by a 48,000 SF retail center in Maywood, California. The property was built in 1991 and is located five miles southeast of the Los Angeles central business district. As of October 2020, the property was 96% leased, compared to 100% in December 2019, and 95% in December 2018. Moody's LTV and stressed DSCR are 50% and 1.81X, respectively, compared to 61% and 1.47X at the last review. The third largest loan is the U Stow N Go -- Clearwater, FL Loan ($0.5 million -- 0.9% of the pool), which is secured by a 31,960 SF, or 504 unit self storage complex built in 1982, located in Clearwater, Florida. As of December 2019, the property was 86% occupied compared to 87% in 2018 and 88% in 2017. Moody's LTV and stressed DSCR are 26% and 3.77X, respectively, compared to 31% and 3.14X at the last review. WELLS FARGO 2016-C35: Fitch Lowers Class F Debt to 'CCCsf' ---------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2016-C35. DEBT RATING PRIOR ---- ------ ----- WFCM 2016-C35 A-2 95000FAR7 LT AAAsf Affirmed AAAsf A-3 95000FAS5 LT AAAsf Affirmed AAAsf A-4 95000FAT3 LT AAAsf Affirmed AAAsf A-4FL 95000FBA3 LT AAAsf Affirmed AAAsf A-4FX 95000FBC9 LT AAAsf Affirmed AAAsf A-S 95000FAV8 LT AAAsf Affirmed AAAsf A-SB 95000FAU0 LT AAAsf Affirmed AAAsf B 95000FAY2 LT AA-sf Affirmed AA-sf C 95000FAZ9 LT A-sf Affirmed A-sf D 95000FAC0 LT BBB-sf Affirmed BBB-sf E 95000FAE6 LT Bsf Downgrade BBsf F 95000FAG1 LT CCCsf Downgrade Bsf X-A 95000FAW6 LT AAAsf Affirmed AAAsf X-D 95000FAA4 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased Loss Expectations: While the majority of the pool has exhibited stable pool performance, loss expectations have increased due to additional loans in special servicing and an increasing number of Fitch Loans of Concern (FLOCs) that have been impacted by the slowdown in economic activity amid the coronavirus pandemic. Fitch identified 16 loans as FLOCs (26.8% of the pool) including three loans in the top 15 that have transferred to special servicing. Fitch's current ratings incorporated a base case loss of 6.7%. Fitch also ran an additional stress scenario, in which losses could reach 7.6% when factoring in additional pandemic-related stresses. The largest FLOC is The Mall at Rockingham Park (6.2% of pool), which is secured by 540,867 sf of a 1.024 million sf regional mall located in Salem, NH. The loan was designated a FLOC due to low occupancy after departure of collateral anchor, Lord and Taylor (29.3% of NRA and 2.7% of base rents), which closed this location in December 2020 after filing for Chapter 11 bankruptcy. As a result, collateral occupancy declined to 60% from 89% as of September 2020. Fitch's did not model any losses on the loan in the base case, but a loss expectation of approximately 5% in the stressed case is based on a 15% cap rate and 15% total haircut to YE 2019 NOI due to the loss of Lord and Taylor. Per the September 2020 rent roll, near term rollover includes 3.7% NRA in 2020, 4.6% in 2021 and 10.6% in 2022. Servicer-reported NOI debt service coverage ratio (DSCR) for this full-term interest only loan was 1.97x as of the YTD September 2020, down from 2.11x at YE 2019 and 2.31x at issuance. In-line tenant sales were $816 psf ($413 psf excluding Apple) as of the TTM ended November 2020, down from $1,020 psf at YE 2019 ($542 psf excluding Apple) at YE 2019. The loan is sponsored by Mayflower Realty (joint venture of Simon Property Group and the Canadian Pension Plan Investment Board) and Institutional Mall Investors. The remaining anchors are Macy's and JCPenney, which are both non-collateral. Dicks Sporting Goods subleases a portion of a non-collateral (Seritage owned) former Sears space. In addition, a 12-screen Cinemark theater opened on the Seritage parcel in December 2019. The largest loan in special servicing is the fifth largest loan in the pool, the Mall at Turtle Creek (4%). The loan, sponsored by Brookfield Properties, is secured by 329,398sf of inline space within an enclosed mall located in Jonesboro, AR (approximately 60 miles northwest of Memphis). Non-collateral anchor tenants include JCPenney, Dillard's and Target. The largest collateral tenants include Barnes and Noble, Bed Bath & Beyond, Best Buy and H&M. In March 2020, a tornado went through the Jonesboro area and caused significant damage to the mall, including collapsing the walls of the Best Buy store. None of the non-collateral anchors suffered major damage and all have reopened. However, all in-line tenants have ceased operations until remediation and reconstruction to the property has been completed. Some of the insurance proceeds have been released to the borrower for the demolition of areas deemed to be unsafe by local officials. The servicer continues to work with the borrower to determine the best strategy moving forward, including a possible deed in lieu of foreclosure (DIL). Fitch's loss expectations are based on a haircut to net insurance proceeds expected to be received by the borrower and results in an approximate 25% loss severity. High Retail and Hotel Concentration: Loans backed by retail properties represent 34.8% of the pool, including six (24.3%) in the top 15. Hotel loans represent 19.1% of the pool, including two (7.3%) in the top 15. The second largest hotel loan in the pool is the DoubleTree Overland Park (5.1%). It is secured by a 356-key, full service hotel located 20 miles south of the Kanas City CBD. The loan transferred to the special servicer in May 2020 for imminent default and a receiver has been appointed. As of the TTM ending January 2021, the property's occupancy, ADR and RevPar were reported to be 22%, $108.23 and $24, respectively, down from 66%, $116.97 and $77.72, respectively, at issuance. The servicer is pursuing a sale through receivership as well as a foreclosure. Fitch's loss expectations are based on a haircut to a recent appraisal resulting in a loss severity of 35%. Minimal Credit Enhancement Improvement: As of the April 2021 distribution date, the pool's aggregate balance has been reduced by 5.1% to $971.2 million from $1.023 billion at issuance. Interest shortfalls are currently affecting class G. Coronavirus Exposure: The weighted average (WA) DSCR for all of the 19 hotel loans in the pool is approximately 1.87x and can withstand a 46.5% decline to NOI before the DSCR falls below 1.0x. The WA DSCR for all of the 23 retail loans is approximately 1.78x. can withstand an average 43.8% decline to NOI before DSCR falls below 1.00x. As part of its analysis, Fitch applied an additional stress on loans that do not meet certain DSCR tolerance thresholds to address the expected significant performance declines due to the coronavirus pandemic. These additional stresses contributed to the downgrades to classes E and F as well as the Negative Outlook on class E. ESG: The transaction has an ESG Relevance Score of '4' for Exposure to Social Impacts due to high retail exposure within the pool, some of which are underperforming as a result of changing consumer preference to shopping, which has a negative impact on the credit profile and is highly relevant to the ratings. RATING SENSITIVITIES The Rating Outlook for classes E remains Negative due to concerns with the recoverability of the specially serviced loans/assets and the overall hotel and retail concentration within the pool. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'AA-sf' and 'A-sf' rated classes would likely occur with significant improvement in credit enhancement (CE) and/or defeasance; however, adverse selection and increased concentrations, further underperformance of the FLOCs could cause this trend to reverse. An upgrade of the 'BBB-sf' class 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 is likelihood for interest shortfalls. -- An upgrade of the 'BBsf' and 'Bsf' categories are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the class. The Rating Outlook on classes E may be revised back to Stable if pool performance and/or properties vulnerable to the coronavirus stabilize. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming loans or specially serviced loans. Downgrades to the 'AAAsf' categories are not likely in the near term due to the position in the capital structure and high CE, but may occur with interest shortfalls. -- Downgrades of a category or more are likely to classes B through E should overall pool loss expectations increase and/or properties vulnerable to the coronavirus fail to return to pre-pandemic levels or if losses from the specially serviced loans are higher than expected. A further downgrade to class F will occur as losses are realized. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, classes with Negative Rating Outlooks will be downgraded one or more categories. For more information on Fitch's original rating sensitivity on the transaction, please refer to the new issuance report. 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 WFCM 2016-C35: Exposure to Social Impacts: 4 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 2019-C50: Fitch Affirms B- Rating on 2 Tranches ----------------------------------------------------------- Fitch Ratings has affirmed 18 classes of Wells Fargo Commercial Mortgage (WFCM) Trust 2019-C50 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- WFCM 2019-C50 A-1 95001XAW6 LT AAAsf Affirmed AAAsf A-2 95001XAX4 LT AAAsf Affirmed AAAsf A-3 95001XAY2 LT AAAsf Affirmed AAAsf A-4 95001XBA3 LT AAAsf Affirmed AAAsf A-5 95001XBB1 LT AAAsf Affirmed AAAsf A-S 95001XBC9 LT AAAsf Affirmed AAAsf A-SB 95001XAZ9 LT AAAsf Affirmed AAAsf B 95001XBD7 LT AA-sf Affirmed AA-sf C 95001XBE5 LT A-sf Affirmed A-sf D 95001XAJ5 LT BBBsf Affirmed BBBsf E 95001XAL0 LT BBB-sf Affirmed BBB-sf F 95001XAN6 LT BB-sf Affirmed BB-sf G 95001XAQ9 LT B-sf Affirmed B-sf X-A 95001XBF2 LT AAAsf Affirmed AAAsf X-B 95001XBG0 LT A-sf Affirmed A-sf X-D 95001XAA4 LT BBB-sf Affirmed BBB-sf X-F 95001XAC0 LT BB-sf Affirmed BB-sf X-G 95001XAE6 LT B-sf Affirmed B-sf KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased since issuance, primarily driven by a greater number of Fitch Loans of Concern (FLOCs) with performance affected by the slowdown in economic activity related to the coronavirus pandemic. Seventeen loans are FLOCs (29.8% of pool), including eight specially serviced loans (17.1%). Fitch's current ratings incorporate a base case loss of 5.3%. The Negative Outlooks reflect losses that could reach 6.7% when factoring in additional coronavirus-related stresses and a potential outsized loss of 20% to the Great Wolf Lodge Southern California. The largest contributor to loss and specially serviced loan, 839 Broadway (2.6%), is secured by a 46,228- sf mixed use office/retail property located on the corner of Broadway and Park Street, in the western part of the Bushwick neighborhood of Brooklyn. The loan transferred to the special servicer in March 2021 for imminent monetary default at the borrower's request as a result of the pandemic. The office portion of the property is 100% leased to Bond Collective (86.3% NRA), which executed a new 15-year NNN lease that began in early 2019. Bond Collective provides luxury shared office space services and has 12 other locations located in Los Angeles, California, Chicago, IL, Philadelphia, PA, Austin, Tx, and five in New York City with three in Manhattan and two others located in Brooklyn. The tenant's lease at the property is guaranteed by Bond Collective and the owners Baruch Singer and Elie Deitsch for the entire 15-year lease term. The June 2020 NOI DSCR was 1.51x with 100% occupancy and YE 2019 DSCR was 0.83x. Fitch's loss expectation of 23% reflects a stress to the June 2020 NOI. This value is in-line with a dark value analysis performed by Fitch at issuance of $17.7 million in the event that Bond Collective vacates the entire property. The second largest specially serviced loan, Ohio Hotel Portfolio (3.8%), is secured by three hotels located in Ohio; Springhill Suites Beavercreek, Holiday Inn West Chester, and Holiday Inn Express & Suites Dayton. Loan transferred to the special servicer in May 2020 for imminent monetary default as a result of the pandemic. Per the December 2020 STR report, occupancy, ADR and RevPAR for the Holiday Inn Express & Suites South Dayton were 54%, $86, and $47; 40%; Springhill Suites Dayton Beavercreek were 49%, $96, and $47; and Holiday Inn West Chester were 50%, $92, $46. All three properties were performing above their respective competitive sets and are amongst the newest hotels in their competitive sets. The September 2020 NOI DSCR was 0.56x. Fitch's analysis reflects a modeled loss of 8% which reflects a 15% stress to a recent appraisal value. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario which assumed a potential outsized loss of 20% on the current balance of the Great Wolf Lodge Southern California loan to reflect the unique asset type, operational risk and high vulnerability of the property to the ongoing coronavirus pandemic; this analysis contributed to the Negative Rating Outlooks. The loan is secured by a 603-key waterpark resort hotel located in Garden Grove, CA, approximately three miles from Disneyland. The loan recently returned to the master servicer after originally transferring to the special servicer in June 2020 due to imminent monetary default. Property performance has been significantly impacted by the coronavirus pandemic with the servicer reported TTM September 2020 NOI down 99% from YE 2019. The property remains closed due to the ongoing pandemic, but is currently accepting reservations from May 22, 2021 onward, according to its website. Per the servicer, forbearance was granted to the borrower in July 2020 with terms allowing for the use of existing reserves to pay debt service and operating expenses, deferral of FF&E payments through 2020, and exclusion of 2020 financials from debt yield test calculations. In March 2021, the borrower was granted additional relief through a second modification, providing for further deferral of the seasonality reserve, the recovery of utilized reserves/escrows to be further deferred, exclusion of 2021 financials when calculating the debt yield tests and moving the April 1, 2022 debt yield test to April 1, 2023. Minimal Increase in Credit Enhancement: As of the April 2021 remittance reporting, the pool's aggregate balance has paid down by 3.2% to $908.3 million from $938.0 million at issuance. One loan with a previous balance of $21.0 million has prepaid since issuance. There are 14 loans that are full term interest-only (26.9%) and 16 loans (26.7%) that have partial interest-only periods remaining. Based on the scheduled balance at maturity, the pool will pay down by 10.6%. Additional Stresses Applied due to Coronavirus Exposure: Twenty-three loans (31.3%) are secured by retail properties, 11 loans (18.9%) are secured by hotel properties and four loans (2.2%) are secured by multifamily properties. Fitch applied additional coronavirus-related stresses to six retail loans and five hotel loans; these additional stresses contributed to the Negative Rating Outlooks. RATING SENSITIVITIES The Negative Rating Outlooks reflect the potential for downgrade given the concerns associated with the performance of the FLOCs and ultimate impact of the coronavirus pandemic along with the Great Wolf Lodge Southern California. The Stable Outlooks on senior classes reflect sufficient credit enhancement (CE) and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B, C and X-B would occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic; however, adverse selection and increased concentrations could cause this trend to reverse. -- Upgrades to classes D, E and X-D would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if interest shortfalls are likely. Upgrades to classes F, X-F, G, and X-G are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre pandemic levels, and there is sufficient CE. The Negative Outlooks on classes F, G, X-F, and X-G may be revised to Stable with the stabilization of performance on the Great Wolf Lodge Southern California and properties vulnerable to the pandemic. 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 senior classes are not likely given the high credit enhancement and scheduled amortization but are possible if a significant proportion of the pool defaults or should interest shortfalls affect these classes. -- Downgrades to classes C, D, and X-B are possible should expected losses for the pool increase significantly and/or the Great Wolf Lodge Southern California loan incur an outsized loss, which would erode CE. Downgrades to classes E, F, G, X-D X-F, and X-G would occur if performance of the FLOCs or loans susceptible to the coronavirus pandemic, including Great Wolf Lodge Southern California, do not stabilize and/or additional loans default and/or transfer to special servicing. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects additional negative rating actions, including downgrades and/or additional Negative Outlook revisions. 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. WFRBS COMMERCIAL 2012-C9: Moody's Lowers Cl. F Certs Rating to Caa3 ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seven classes and downgraded the ratings on three classes in WFRBS Commercial Mortgage Trust 2012-C9, Commercial Pass-Through Certificates, Series 2012-C9 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Jun 15, 2020 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jun 15, 2020 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jun 15, 2020 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Jun 15, 2020 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Jun 15, 2020 Affirmed A3 (sf) Cl. D, Downgraded to Ba1 (sf); previously on Jun 15, 2020 Affirmed Baa3 (sf) Cl. E, Downgraded to B2 (sf); previously on Jun 15, 2020 Downgraded to B1 (sf) Cl. F, Downgraded to Caa3 (sf); previously on Jun 15, 2020 Downgraded to Caa2 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jun 15, 2020 Affirmed Aaa (sf) Cl. X-B*, Affirmed A2 (sf); previously on Jun 15, 2020 Affirmed A2 (sf) * Reflects interest-only classes RATINGS RATIONALE The ratings on five P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on three P&I classes were downgraded due to a decline in pool performance and higher anticipated losses from specially serviced and troubled loans. There are two specially serviced loans and seven troubled loans which make up a total of 14.9% of the pool. Six of the loans are secured by lodging properties that have experienced declining performance that has been further impacted by the coronavirus pandemic. The ratings on the IO classes were affirmed based on the credit quality of the referenced classes. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of commercial real estate from a gradual and unbalanced recovery in US economic activity. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 7.2% of the current pooled balance, compared to 6.5% at Moody's last review. Moody's base expected loss plus realized losses is now 5.0% of the original pooled balance, compared to 4.7% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at https://bit.ly/2PMQmom. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in September 2020. DEAL PERFORMANCE As of the April 2021 distribution date, the transaction's aggregate certificate balance has decreased by 31% to $730 million from $1.05 billion at securitization. The certificates are collateralized by 63 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans (excluding defeasance) constituting 40% of the pool. Nineteen loans, constituting 33% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 15, compared to 17 at Moody's last review. As of the April 2021 remittance report, loans representing 97% were current or within their grace period on their debt service payments, 0.2% were beyond their grace period but less than 30 days delinquent and 2.6% were between 90+ days delinquent and REO. Twelve loans, constituting 17% of the pool, are on the master servicer's watchlist, of which one loan, representing 1.5% of the pool, where the borrower has requested relief in relation to coronavirus impact on the property. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan has been liquidated from the pool, resulting in a realized loss of $378,996. Two loans, constituting 2.6% of the pool, are currently in special servicing. Both of the specially serviced loans have transferred to special servicing since March 2020. The largest specially serviced loan is the Homewood Suites Houston, TX loan ($10.9 million -- 1.5% of the pool), which is secured by a 123-room extended-stay hotel property located in Houston, Texas. The loan transferred to special servicing in October 2020 for imminent default. The lender is dual tracking receivership and foreclosure. The other specially serviced loan is the Hilton Garden Inn Columbia loan ($8.1 million -- 1.1% of the pool), which is secured by a 98-room limited-service hotel located in Columbia, Maryland, approximately 15 miles from the Baltimore CBD. The loan transferred to special servicing in July 2020 for payment default. Discussions with the borrower are ongoing. Moody's has also assumed a high default probability for seven poorly performing loans, constituting 15% of the pool, and has estimated an aggregate loss of $36.3 million (a 33% expected loss on average) from these troubled and specially serviced loans. The largest troubled loan is the 888 Bestgate Road loan ($25.6 million -- 3.5% of the pool), which is secured by a 118,000 square foot (SF) office property located in Annapolis, Maryland. The property was 66% leased as of December 2020, compared to 72% the year prior. There is no scheduled rollover risk for the remainder of 2021. Occupancy at the property has struggled since 2018. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2019 operating results for 100% of the pool, and full or partial year 2020 operating results for 91% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 98%, compared to 95% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 25% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.40X and 1.16X, respectively, compared to 1.48X and 1.20X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 21.6% of the pool balance. The largest loan is the Chesterfield Towne Center Loan ($95.7 million -- 13% of the pool), which is secured by a nearly one million SF regional mall plus an adjacent 72,000 SF retail property located in North Chesterfield, Virginia, approximately 10 miles west of the Richmond CBD. The mall's anchors are Macy's, At Home and JC Penney. One tenant, Sear's (non-collateral), closed its location in 2020 and the space remains vacant. Sears and JC Penney occupy their spaces on ground leases, while the Macy's and At Home boxes are owned by the borrower. As of December 2020, the in-line space was 90% leased and the total mall was 96% leased. Excluding the dark Sears space, the total mall was 82% leased. The loan has amortized 13% since securitization and Moody's LTV and stressed DSCR are 108% and 1.05X, respectively, compared to 110% and 1.03X at the last review. The second largest loan is the Greenway Center Loan ($38.8 million -- 5.3% of the pool), which is secured by an approximately 264,600 SF grocery-anchored retail center located in Greenbelt, Maryland, approximately 10 miles northeast of the Washington D.C. CBD. The property was 88% occupied as of December 2020 and has averaged 94% occupancy since 2003. The property has sustained steady NOI growth from securitization due to increased revenues. The loan has amortized over 13% and Moody's LTV and stressed DSCR are 98% and 0.99X, respectively, compared to 78% and 1.25X at the last review. The third largest loan is the Northridge Grove Shopping Center Loan ($23.5 million -- 3.2% of the pool), which is secured by a 150,000 SF anchored retail property located in Northridge, California. As of December 2020, the property was 89% leased, compared to 100% the year prior and 95% in 2018. Leases totaling 33% are scheduled to expire within the next year. The loan has amortized 16% and Moody's LTV and stressed DSCR are 135% and 0.76X, respectively, compared to 111% and 0.93X at the last review. WIND RIVER 2017-3: Moody's Assigns Ba3 Rating on Class E-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of CLO refinancing notes issued by Wind River 2017-3 CLO Ltd. (the "Issuer"). Moody's rating action is as follows: US$380,000,000 Class A-R Senior Secured Floating Rate Notes due 2035 (the "Class A-R Notes"), Assigned Aaa (sf) US$20,800,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2035 (the "Class E-R Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of 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 assets that are not senior secured loans, of which up to 5% of the portfolio may consist of bonds. First Eagle Alternative Credit, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, 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 "Moody's Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $600,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2961 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46% Weighted Average Life (WAL): 9 years The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in U.S. economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. 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. [*] Moody's Hikes $155MM of US RMBS Backed by Inactive HECM Loans ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of ten tranches from various transactions issued in 2019 and 2020. The collateral backing these transactions primarily consists of first-lien inactive home equity conversion mortgages (HECMs) covered by Federal Housing Administration (FHA) insurance secured by properties in the US and Puerto Rico along with Real-Estate Owned (REO) properties acquired through conversion of ownership of reverse mortgage loans that are covered by FHA insurance. A List of Affected Credit Ratings is available at https://bit.ly/3ueWgO4 The complete rating action is as follows: Issuer: CFMT 2019-HB1, LLC Class M2, Upgraded to A1 (sf); previously on Dec 23, 2019 Definitive Rating Assigned A3 (sf) Class M3, Upgraded to Baa1 (sf); previously on Dec 23, 2019 Definitive Rating Assigned Baa3 (sf) Issuer: Nationstar HECM Loan Trust 2019-2 Cl. M2, Upgraded to A1 (sf); previously on Nov 27, 2019 Definitive Rating Assigned A3 (sf) Cl. M3, Upgraded to Baa1 (sf); previously on Nov 27, 2019 Definitive Rating Assigned Baa3 (sf) Cl. M4, Upgraded to B1 (sf); previously on Nov 27, 2019 Definitive Rating Assigned B3 (sf) Issuer: Nationstar HECM Loan Trust 2019-1 Cl. M3, Upgraded to A2 (sf); previously on Feb 6, 2020 Upgraded to Baa1 (sf) Cl. M4, Upgraded to B1 (sf); previously on Jun 20, 2019 Definitive Rating Assigned B3 (sf) Issuer: RMF Buyout Issuance Trust 2020-1 Cl. M2, Upgraded to A1 (sf); previously on Jan 29, 2020 Definitive Rating Assigned A3 (sf) Cl. M3, Upgraded to Baa1 (sf); previously on Jan 29, 2020 Definitive Rating Assigned Baa3 (sf) Cl. M4, Upgraded to Ba1 (sf); previously on Jan 29, 2020 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The rating actions are primarily due to the buildup in credit enhancement since issuance due to the liquidations to date. As of March 2021, the pool factors are 58% for Nationstar HECM Loan Trust 2019-1, 72% for Nationstar HECM Loan Trust 2019-2, 62% for CFMT 2019-HB1, LLC and 74% for RMF Buyout Issuance Trust 2020-1. Additionally, between 40% and 60% of loans that were Due and Payable at the time of closing have now moved into REO or Foreclosure, indicating that the collections from these loans are either imminent or in the near future. The rating action also takes the most updated performance into consideration. Although payment speeds, driven by foreclosure moratoriums, have slowed during the pandemic, home prices have continued to increase and will help keep recoveries strong. Continued liquidation and insurance proceeds will further amortize the senior notes and build enhancement. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of residential mortgage loans from a gradual and unbalanced recovery in US economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. The methodologies used in these ratings were "Reverse Mortgage Securitizations Methodology" published in April 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of stress could drive the ratings up. Transaction performance depends greatly on the US macro economy and housing market. Property markets could improve from Moody's original expectations resulting in appreciation in the value of the mortgaged property and faster property sales. Down Levels of credit protection that are insufficient to protect investors against current expectations of stresses could drive the ratings down. Transaction performance depends greatly on the US macro economy and housing market. Property markets could deteriorate from Moody's original expectations resulting in depreciation in the value of the mortgaged property and slower property sales. [*] Moody's Lowers Ratings on 156 Classes of US Conduit CMBS ------------------------------------------------------------ Moody's Investors Service has downgraded 119 principal and interest, 26 interest-only and 11 exchangeable classes from 36 US conduit commercial mortgage-backed securitizations (CMBS) and placed eleven P&I, one exchangeable and three IO classes under review for possible downgrade from two US conduit CMBS transactions. A List of Affected Credit Ratings is available at https://bit.ly/2QZf7xQ RATINGS RATIONALE Principal Methodologies For each CMBS transaction with tranches impacted by the actions, the List of Affected Credit Ratings also identifies the associated base expected loss, the loans primarily contributing to the rating action and, as of the March 2021 remittance reports, the share of (1) total specially serviced loans, (2) loans secured by regional mall loans, (3) delinquent loans secured by regional malls, and (4) appraisal reduction amounts. The rating downgrades on the 119 P&I classes were prompted primarily by increased loss expectations and higher interest shortfall risk to the transactions due to the continued cash flow and value deterioration for specially serviced, delinquent or otherwise poorly performing loans backed by lower quality regional malls. As the US economy improves, consumer spending is exhibiting strong recovery, but weaker consumer traffic among these properties continues to weigh on their performance. For regional mall loans contributing to this action that have reported at least six months of annualized 2020 NOI, the 2020 NOI was 16% lower, on average, than full-year 2019 NOI. More than half of these properties reported a decline in annualized 2020 NOI of 10% or greater compared to full-year 2019. The continued and possibly long-lasting performance deterioration among Class B-or-lower quality regional malls has caused borrowers of loans in CMBS backed by such malls to focus their resources on the higher quality assets within their portfolios. As a result, borrowers of certain poorly performing CMBS loans have indicated that they intend to cooperate with foreclosure proceedings and/or are unwilling to inject additional cash to support these assets. For regional mall assets that are undergoing foreclosure or are already classified as real estate owned (REO), Moody's anticipate the acceleration of dispositions in the next 12 months and the ultimate liquidations of these assets may result in significant losses. The higher loss expectations for these securitizations also reflect further deterioration of hotel and office properties that even before the onset of the COVID-19 pandemic suffered from declining revenue or other credit risks. The overall exposure to delinquent and specially serviced loans across these transactions has increased significantly as a result of the pandemic. As of the March 2021 remittance reports, the share of specially serviced loans secured by all property types for the impacted transactions averaged 20% and ranged up to 42% of their respective pooled transaction balances. The downgrades also reflect heightened refinancing risk among these poorly performing loans, in particular the seven 2011 transactions in which nearly all of the remaining loans have maturity dates in the next six to eight months. The ratings on the 26 IO classes were downgraded due to a decline in credit quality of their referenced classes. The ratings on the 11 exchangeable classes were downgraded due to a decline in credit quality of their referenced exchangeable classes. The ratings on eight P&I classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 were placed on review for possible downgrade due to their significant exposure to three delinquent regional mall loans and one hotel loan and the uncertainty around the potential resolution strategy and ultimate recovery on these assets. Moreover, the specially serviced loans, which represent nearly 40% of the pool, are all 60 or more days delinquent and are secured by two regional malls (31.5%) and two poorly performing hotel properties that were already experiencing declining NOI. The ratings on seven P&I classes in GS Mortgage Securities Trust 2011-GC5 were placed on review for possible downgrade due to uncertainty regarding the upcoming maturity risk for loans secured by regional mall properties with declining performance, as well as significant exposure to loans secured by other retail properties. The remaining loans in the pool all mature on or before August 2021. The downgraded tranches included in this action represent approximately 2% by balance and 5% by count of the outstanding tranches Moody's rates in CMBS conduit transactions and are from 35 transactions that were issued between 2011 and 2016, and one transaction issued in 2006 in which a regional mall represents 94% of the remaining collateral. One additional transaction, issued in 2013, contains tranches that were placed on review for possible downgrade as part of this action. Moody's had previously downgraded ratings on at least one principal and interest tranche in 31 of the 37 impacted conduit transactions. These past downgrades were predominantly due to the poor performance of certain loans backed by regional malls. Loans secured by regional malls represent at least 5% and up to 40% or more of the 37 CMBS conduit transactions included in this action (by current pool balance), with the average exposure across these transactions of approximately 25%. Most of the regional mall loans affected by this rating action already exhibited year-over-year NOI declines in 2019, and nearly all of these properties faced further NOI declines in 2020. Furthermore, as of the March 2021 remittance report, exposure to specially serviced and 60 or more days delinquent loans secured by regional malls represents up to 38% of the current pool balance, with an average exposure of 15% and 8%, respectively. Several lower quality regional mall loans are able to cover monthly debt service payments during the term, however, certain loans may face maturity defaults if borrowers are unwilling to contribute additional equity to refinance at loan maturity. Moody's expect the greatest impact on transactions with significant exposure to non-dominant regional malls that have already exhibited weakening performance, as indicated by declines in tenant sales, in-line occupancy and/or NOI. For the impacted transactions, the regional mall loans identified as the primary driver for the rating actions are typically the largest contributors to deal-level anticipated losses. Moody's loss assumptions consider i) historical revenue and NOI trends, ii) reported tenant sales (if available), iii) location and competition and iv) other market data. For regional mall loans liquidated from CMBS conduit transactions since 2017, the weighted average loss severity has been above 75%. There is a limited universe of potential buyers for distressed regional malls and the conversion to alternative use of a failed regional mall often requires a significant equity contribution. Additionally, value preservation for an underperforming mall has historically been difficult as shifts to alternative uses typically yield significantly lower rents. These factors have led to a lack of liquidity in the market for distressed regional malls and may also limit servicer resolution strategies and contribute to elevated realized losses upon disposition. Moody's base expected loss plus realized losses has increased by an average of 2% of the original pooled balance across impacted transactions compared to their respective prior review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com, at: https://bit.ly/3aIoqcG. Furthermore, significant appraisal reductions have been recognized on many defaulted loans secured by regional malls and other asset types. As of the March 2021 remittance statements, 33 loans backed by regional malls across the impacted transactions have recognized appraisal reductions, of which 20 regional mall loans have recognized an appraisal reduction in excess of 40% of their respective loan balance. As a result of the appraisal reductions, interest shortfalls have increased across the transactions exposed to these severely delinquent loans. Moody's expects interest shortfalls on many of these transactions to increase as updated appraisals are received or loan modifications are executed. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Additional interest shortfall risk may be evident for the remaining senior classes within transactions that rely on paydowns from the remaining poorly performing or delinquent specially serviced loans. The positive impact of increased credit support for the remaining senior classes could be offset by the poor credit quality of remaining loans in the pool as adverse selection plays out, particularly if all or nearly all of the remaining loan balance is in special servicing. The non-essential retail sector, particularly regional malls, has been greatly affected by the coronavirus outbreak as a result of temporary store closures and reduced store traffic due to health and safety concerns. Combined with higher online retail sales, these factors have caused higher vacancies in regional malls, with store closures from corporate bankruptcies and overall reductions in store counts accelerating. Critically, the shift to online shopping is impacting Class B or lower quality regional malls particularly hard. Moody's expects that occupancy rates and revenue will remain under pressure due to continued weakness in certain tenant sectors and several retailers' rationalizing their physical footprints. Department stores, which serve as the anchors for many of these CMBS assets, have been among the hardest-hit in the retail industry during the pandemic, while stress in the experiential and entertainment segment (such as movie theaters) has further reduced the number of replacement tenants available to backfill vacated department stores and other large spaces. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of commercial real estate from a gradual and unbalanced recovery in US economic activity. Stress on commercial real estate properties will be most directly stemming from declines in hotel occupancies (particularly related to conference or other group attendance) and declines in foot traffic and sales for non-essential items at retail properties. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Given the downgrades, an upgrade on the impacted classes is unlikely in the foreseeable future until there is a significant increase in performance, loan paydowns or amortization and/or an increase in defeasance. Factors that could lead to a downgrade of the ratings include further declines in loan or pool performance, decline in loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or increased interest shortfalls. [*] S&P Takes Various Actions on 172 Classes From 29 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 172 classes from 29 U.S. RMBS re-securitized real estate mortgage investment conduits (re-REMIC) issued between 2003 and 2010. The review yielded 13 upgrades, seven downgrades, 115 affirmations, 31 withdrawals, and six discontinuances. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Factors related to the COVID-19 pandemic, -- Underlying collateral performance or delinquency trends, -- Available subordination and/or overcollateralization, -- Historical missed interest payments, -- Expected short duration, -- Payment priority, and -- Reduced interest payments due to loan modifications. S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." A list of Affected Ratings can be reached through: https://bit.ly/3nGInFS [*] S&P Takes Various Actions on 66 Classes From 11 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 66 ratings from 11 U.S. RMBS transactions issued in 2004 and 2005. The review yielded five upgrades, 14 downgrades, 38 affirmations, eight withdrawals, and one discontinuance. Analytical Considerations S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Factors related to the COVID-19 pandemic; -- Collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Expected short duration; -- Small loan count; -- Historical interest shortfalls or missed interest payments; and -- Reduced interest payments due to loan modifications. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, and/or reflect the application of specific criteria applicable to these classes. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. "We withdrew our ratings on eight classes from three transactions due to the small number of loans remaining within the related structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." A list of Affected Ratings can be viewed at: https://bit.ly/3h0ev6c [*]DBRS Reviews 315 Classes From 25 U.S. RMBS Transactions ---------------------------------------------------------- DBRS, Inc. reviewed 315 classes from 25 U.S. residential mortgage-backed security (RMBS) transactions. Of the 315 classes reviewed, DBRS Morningstar confirmed 294 ratings and upgraded 21 ratings. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. DBRS Morningstar's rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in delinquency (including forbearance) percentages, credit enhancement (CE) increases since deal inception, and CE levels relative to 30-day+ delinquencies. -- Offset of mortgage-relief initiatives via direct-to-consumer economic aid, mortgage payment assistance, and foreclosure suspension directives. -- Elevated economic concerns and more conservative home-price assumptions. As a result of the Coronavirus Disease (COVID-19) pandemic, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. The pools backing the reviewed RMBS transactions consist of Prime, Alt-A, Option-ARM, Scratch and Dent, Second-Lien, Subprime, and Reperforming collateral. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation; however, in this case, the ratings on the subject securities may either reflect additional seasoning being warranted to substantiate a further upgrade or small loan count. Generally for RMBS transactions, the reporting of recent forbearance-related delinquencies (as opposed to nonforbearance-related delinquencies) in remittance reports has not been consistent and standardized. DBRS Morningstar believes that recent increases in delinquencies mostly reflect forbearances being requested and granted as a result of the coronavirus pandemic. Additionally, DBRS Morningstar believes that forbearance-related delinquencies, especially during the coronavirus pandemic, should have a lower probability of default than nonforbearance-related delinquencies. Because of the lack of standardized reporting, DBRS Morningstar may not be able to appropriately identify delinquencies as a result of forbearance in its loss analysis; therefore, for certain transactions, DBRS Morningstar may have projected significantly higher expected losses using its quantitative model. After reviewing transaction-level performance trends and other analytical considerations outlined in this press release, however, DBRS Morningstar may assign ratings that differ from those implied by the quantitative model, thus resulting in a material deviation. -- Aegis Asset Backed Securities Trust 2005-2, Mortgage-Backed Notes, Series 2005-2, Class M3 -- Accredited Mortgage Loan Trust 2006-1, Asset-Backed Notes, Series 2006-1, Classes A-4 and M-1 -- ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM1, Asset-Backed Pass-Through Certificates, Series 2005-RM1, Classes M-3 and M-4 -- Citigroup Mortgage Loan Trust Inc., Series 2005-WF2, Asset-Backed Pass-Through Certificates, Series 2005-WF2, Classes MV-3, MV-4, and MV-5 -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Classes I-A, II-A-3, and II-A-4 -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-HE2, Classes A-4 and M-1 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC1, Mortgage Pass-Through Certificates, Series 2007-BC1, Classes A1, A4, A5, and A6 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Classes A1, A2, A4, M1, and M2 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2, Mortgage Pass-Through Certificates, Series 2007-WF2, Classes A1, A3, and A4 -- SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Classes A-1, A-2, and A-3B -- Sequoia Mortgage Trust 2005-3, Mortgage Pass-Through Certificates, Series 2005-3, Classes X-A and X-B The rating actions are the result of DBRS Morningstar's application of its "U.S. RMBS Surveillance Methodology" published on February 21, 2020. Notes: The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria The Affected Rating is Available at https://bit.ly/3aOpMCB [*]DBRS Reviews 593 Classes from 47 US ReREMIC & RMBS Transactions ------------------------------------------------------------------ DBRS, Inc. reviewed 593 classes from 47 U.S. resecuritized real estate mortgage investment conduit (ReREMIC) and residential mortgage-backed security (RMBS) transactions. Of the 593 classes reviewed, DBRS Morningstar confirmed 531 ratings, upgraded 36 ratings, and discontinued 26 ratings. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The rating upgrades reflect positive performance trends and an increase in credit support sufficient to withstand stresses at their new rating levels. The discontinuations reflect a full repayment of principal to bondholders. DBRS Morningstar's rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in delinquency (including forbearance) percentages, credit enhancement (CE) increases since deal inception, and CE levels relative to 30+ day delinquencies. -- Offset of mortgage-relief initiatives via direct-to-consumer economic aid, mortgage payment assistance, and foreclosure suspension directives. -- Elevated economic concerns and more conservative home price assumptions. As a result of the Coronavirus Disease (COVID-19) pandemic, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. The pools backing the reviewed ReREMIC and RMBS transactions consist of legacy prime, subprime, option adjustable-rate mortgage, Scratch & Dent, Alt-A, second-lien, manufactured housing, ReREMIC, and prime jumbo collateral. In the prime asset class, DBRS Morningstar generally believes this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation; however, in this case, the ratings on the subject securities may either reflect additional seasoning being warranted to substantiate a further upgrade or actual deal/tranche performance that is not fully reflected in the projected cash flows/model output. Generally for RMBS transactions, the reporting of recent forbearance-related delinquencies (as opposed to nonforbearance-related delinquencies) in remittance reports has not been consistent and standardized. DBRS Morningstar believes that recent increases in delinquencies mostly reflect forbearances being requested and granted as a result of the coronavirus pandemic. Additionally, DBRS Morningstar believes that forbearance-related delinquencies, especially during the coronavirus pandemic, should have a lower probability of default than nonforbearance-related delinquencies. Because of the lack of standardized reporting, DBRS Morningstar may not be able to appropriately identify delinquencies as a result of forbearance in its loss analysis; therefore, for certain transactions, DBRS Morningstar may have projected significantly higher expected losses using its quantitative model. After reviewing transaction-level performance trends and other analytical considerations outlined in this press release, however, DBRS Morningstar may assign ratings that differ from those implied by the quantitative model, thus resulting in a material deviation. -- Agate Bay Mortgage Trust 2014-2, Mortgage Pass-Through Certificates, Series 2014-2, Class B-4 -- Agate Bay Mortgage Trust 2014-3, Mortgage Pass-Through Certificates, Series 2014-3, Class B-4 -- Agate Bay Mortgage Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-3 -- Agate Bay Mortgage Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-4 -- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-3 -- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-4 -- Citigroup Mortgage Loan Trust 2013-J1, Mortgage Pass-Through Certificates, Series 2013-J1, Class B-3 -- Citigroup Mortgage Loan Trust 2013-J1, Mortgage Pass-Through Certificates, Series 2013-J1, Class B-4 -- Citigroup Mortgage Loan Trust 2014-J1, Mortgage Pass Through Certificates, Series 2014-J1, Class B-4 -- Citigroup Mortgage Loan Trust 2014-J2, Mortgage Pass Through Certificates, Series 2014-J2, Class B-4 -- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-2 -- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-3 -- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-4 -- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-5 -- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-2 -- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-3 -- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-4 -- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-5 -- Onslow Bay Mortgage Loan Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4 -- Onslow Bay Mortgage Loan Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-5 -- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-2 -- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-3 -- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4 -- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-4 -- TIAA Bank Mortgage Loan Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-2 -- TIAA Bank Mortgage Loan Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4 -- TIAA Bank Mortgage Loan Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-2 -- TIAA Bank Mortgage Loan Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-3 -- TIAA Bank Mortgage Loan Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-4 -- Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS1, REMIC Trust Certificates, Series 2008-RS1, Class 1-A-1 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 1-A2 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 1-A3 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 2-A2 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 2-A3 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 4-A3 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 5-A3 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 6-A2 -- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A2 The rating actions are the result of DBRS Morningstar's application of its "U.S. RMBS Surveillance Methodology," published on February 21, 2020. Notes: The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. The Affected Rating is Available at https://bit.ly/3aNlNWW [*]DBRS Reviews 895 Classes From 92 U.S. RMBS Transactions ---------------------------------------------------------- DBRS, Inc. reviewed 895 classes from 92 U.S. residential mortgage-backed security (RMBS) transactions. Of the 895 classes reviewed, DBRS Morningstar confirmed 887 ratings and removed two of them from Under Review with Negative Implications, downgraded five ratings and removed them from Under Review with Negative Implications, and placed three ratings Under Review with Negative Implications. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The rating downgrades reflect the unlikely recovery of the bonds' principal loss amount or the transactions' negative trend in loss activity. The Under Review with Negative Implications status reflects the negative impact of the Coronavirus Disease (COVID-19) pandemic on the bonds. For certain bonds, DBRS Morningstar maintained the Under Review with Negative Implications status amid the uncertainty in such transactions' performance with respect to forbearance and delinquency trends. DBRS Morningstar's rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in delinquency (including forbearance) percentages, credit enhancement (CE) increases since deal inception, and CE levels relative to 30-day+ delinquencies. -- Offset of mortgage-relief initiatives via direct-to-consumer economic aid, mortgage payment assistance, and foreclosure suspension directives. -- Elevated economic concerns and more conservative home price assumptions. As a result of the coronavirus pandemic, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. The pools backing the reviewed RMBS transactions consist of re-performing (RPL) collateral. In the RPL asset class, DBRS Morningstar generally believes that loans that were previously delinquent, recently modified, or have higher updated loan-to-value ratios (LTVs) may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with previous delinquencies or recent modifications have exhibited difficulty in fulfilling payment obligations in the past and may revert back to spotty payment patterns in the near term. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and, therefore, slower prepayments. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation; however, in this case, the ratings on the subject securities reflect actual deal/tranche performance that is not fully reflected in the projected cash flows/model output. Generally for RMBS transactions, the reporting of recent forbearance-related delinquencies (as opposed to nonforbearance-related delinquencies) in remittance reports has not been consistent and standardized. DBRS Morningstar believes that recent increases in delinquencies mostly reflect forbearances being requested and granted as a result of the coronavirus pandemic. Additionally, DBRS Morningstar believes that forbearance-related delinquencies, especially during the coronavirus pandemic, should have a lower probability of default than nonforbearance-related delinquencies. Because of the lack of standardized reporting, DBRS Morningstar may not be able to appropriately identify delinquencies as a result of forbearance in its loss analysis; thus, for certain transactions, DBRS Morningstar may have projected significantly higher expected losses using its quantitative model. After reviewing transaction-level performance trends and other analytical considerations outlined in this press release, however, DBRS Morningstar may assign ratings that differ from those implied by the quantitative model, thus resulting in a material deviation. -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B3 -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B3-IOA -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B3-IOB -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B5 -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B5-IOA -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B5-IOB -- Bayview Opportunity Master Fund IVa Trust 2017-RT1, Mortgage-Backed Securities, Series 2017-RT1, Class B2 -- Bayview Opportunity Master Fund IVa Trust 2017-RT1, Mortgage-Backed Securities, Series 2017-RT1, Class B3 -- Bayview Opportunity Master Fund IVa Trust 2017-RT1, Mortgage-Backed Securities, Series 2017-RT1, Class B4 -- Bayview Opportunity Master Fund IVa Trust 2017-RT1, Mortgage-Backed Securities, Series 2017-RT1, Class B5 -- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B3 -- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B3-IOA -- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B3-IOB -- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B2 -- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B2-IO -- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B3 -- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B3-IOA -- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B3-IOB -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class M3 -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class M3-IO -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class B1 -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class B2 -- CIM Trust 2020-R2, Mortgage-Backed Notes, Series 2020-R2, Class A1-B -- CSMC Trust 2017-RPL1, Mortgage-Backed Securities Series 2017-RPL1, Class M1 -- CSMC Trust 2017-RPL1, Mortgage-Backed Securities Series 2017-RPL1, Class M2 -- CSMC 2018-RPL9 Trust, Mortgage-Backed Notes, Series 2018-RPL9, Class B-1 -- CSMC 2018-RPL9 Trust, Mortgage-Backed Notes, Series 2018-RPL9, Class B-2 -- GCAT 2019-RPL1 Trust, Mortgage-Backed Notes, Series 2019-RPL1, Class M-2 -- GCAT 2019-RPL1 Trust, Mortgage-Backed Notes, Series 2019-RPL1, Class M-3 -- GCAT 2019-RPL1 Trust, Mortgage-Backed Notes, Series 2019-RPL1, Class B-1 -- GCAT 2019-RPL1 Trust, Mortgage-Backed Notes, Series 2019-RPL1, Class B-2 -- GS Mortgage-Backed Securities Trust 2018-RPL1, Mortgage-Backed Securities, Series 2018-RPL1, Class M1 -- GS Mortgage-Backed Securities Trust 2018-RPL1, Mortgage-Backed Securities, Series 2018-RPL1, Class M2 -- MFA 2017-RPL1 Trust, MFA 2017-RPL1 Mortgage-Backed Notes, Series 2017-RPL1, Class M-2 -- MFA 2017-RPL1 Trust, MFA 2017-RPL1 Mortgage-Backed Notes, Series 2017-RPL1, Class B-1 -- MFA 2017-RPL1 Trust, MFA 2017-RPL1 Mortgage-Backed Notes, Series 2017-RPL1, Class B-2 -- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed Securities, Series 2016-1, Class B1 -- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed Securities, Series 2016-1, Class B2 -- Mill City Mortgage Loan Trust 2017-1, Mortgage Backed Securities, Series 2017-1, Class M3 -- Mill City Mortgage Loan Trust 2017-1, Mortgage Backed Securities, Series 2017-1, Class B2 -- Mill City Mortgage Loan Trust 2017-2, Mortgage Backed Securities, Series 2017-2, Class M3 -- Mill City Mortgage Loan Trust 2017-2, Mortgage Backed Securities, Series 2017-2, Class B1 -- Mill City Mortgage Loan Trust 2017-2, Mortgage Backed Securities, Series 2017-2, Class B2 -- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class B1 -- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class A3 -- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class A4 -- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class M2 -- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class M3 -- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class B1 -- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class A3 -- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class A4 -- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class M2 -- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class M3 -- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class B1 -- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class B2 -- Mill City Mortgage Loan Trust 2018-3, Mortgage Backed Securities, Series 2018-3, Class A3 -- Mill City Mortgage Loan Trust 2018-3, Mortgage Backed Securities, Series 2018-3, Class A4 -- Mill City Mortgage Loan Trust 2018-3, Mortgage Backed Securities, Series 2018-3, Class M2 -- Mill City Mortgage Loan Trust 2018-3, Mortgage Backed Securities, Series 2018-3, Class M3 -- Mill City Mortgage Loan Trust 2018-4, Mortgage Backed Securities, Series 2018-4, Class A3 -- Mill City Mortgage Loan Trust 2018-4, Mortgage Backed Securities, Series 2018-4, Class A4 -- Mill City Mortgage Loan Trust 2018-4, Mortgage Backed Securities, Series 2018-4, Class M2 -- Mill City Mortgage Loan Trust 2018-4, Mortgage Backed Securities, Series 2018-4, Class M3 -- Mill City Mortgage Loan Trust 2019-1, Asset-Backed Notes, Series 2019-1, Class A3 -- Mill City Mortgage Loan Trust 2019-1, Asset-Backed Notes, Series 2019-1, Class A4 -- Mill City Mortgage Loan Trust 2019-1, Asset-Backed Notes, Series 2019-1, Class M2 -- Mill City Mortgage Loan Trust 2019-1, Asset-Backed Notes, Series 2019-1, Class M3 -- Mill City Mortgage Loan Trust 2019-1, Asset-Backed Notes, Series 2019-1, Class B1 -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class M1 -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class M3A -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class M3B -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class B1A -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class B2A -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class M3 -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class A2 -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class A4 -- MetLife Securitization Trust, 2017-1, Residential Mortgage-Backed Securities, Series 2017-1, Class M2 -- MetLife Securitization Trust 2019-1, Residential Mortgage-Backed Securities, Series 2019-1, Class M3 -- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class A-4 -- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class M-1 -- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class M-2 -- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class B-1 -- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class B-2 -- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class M-1 -- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class M-2 -- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class B-1 -- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class B-2 -- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class A-4 -- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class M-1 -- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class M-2 -- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class B-1 -- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class B-2 -- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class A-4 -- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class M-1 -- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class M-2 -- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-1 -- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-2 -- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class A-4 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Series 2017-3, Class M-1 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Series 2017-3, Class M-2 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class A6 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE11 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE12 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE13 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE14 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class A -- Towd Point Mortgage Trust 2015-2, Asset Backed Notes, Series 2015-2, Class 1-B1 -- Towd Point Mortgage Trust 2015-2, Asset Backed Notes, Series 2015-2, Class 1-B2 -- Towd Point Mortgage Trust 2015-2, Asset Backed Notes, Series 2015-2, Class 2-B1 -- Towd Point Mortgage Trust 2015-2, Asset Backed Notes, Series 2015-2, Class 2-B2 -- Towd Point Mortgage Trust 2015-3, Asset Backed Notes, Series 2015-3, Class B1 -- Towd Point Mortgage Trust 2015-3, Asset Backed Notes, Series 2015-3, Class B2 -- Towd Point Mortgage Trust 2015-4, Asset Backed Notes, Series 2015-4, Class B1 -- Towd Point Mortgage Trust 2015-4, Asset Backed Notes, Series 2015-4, Class B2 -- Towd Point Mortgage Trust 2015-5, Asset Backed Notes, Series 2015-5, Class B1 -- Towd Point Mortgage Trust 2015-5, Asset Backed Notes, Series 2015-5, Class B2 -- Towd Point Mortgage Trust 2015-6, Asset Backed Notes, Series 2015-6, Class M2 -- Towd Point Mortgage Trust 2015-6, Asset Backed Notes, Series 2015-6, Class B1 -- Towd Point Mortgage Trust 2015-6, Asset Backed Notes, Series 2015-6, Class B2 -- Towd Point Mortgage Trust 2015-6, Asset Backed Notes, Series 2015-6, Class M2A -- Towd Point Mortgage Trust 2015-6, Asset Backed Notes, Series 2015-6, Class M2X -- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series 2016-1, Class B1 -- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series 2016-1, Class B2 -- Towd Point Mortgage Trust 2016-2, Asset Backed Securities, Series 2016-2, Class M2 -- Towd Point Mortgage Trust 2016-2, Asset Backed Securities, Series 2016-2, Class B1 -- Towd Point Mortgage Trust 2016-2, Asset Backed Securities, Series 2016-2, Class B2 -- Towd Point Mortgage Trust 2016-2, Asset Backed Securities, Series 2016-2, Class A5 -- Towd Point Mortgage Trust 2016-3, Asset Backed Securities, Series 2016-3, Class B1 -- Towd Point Mortgage Trust 2016-3, Asset Backed Securities, Series 2016-3, Class B2 -- Towd Point Mortgage Trust 2016-4, Asset Backed Securities, Series 2016-4, Class M2 -- Towd Point Mortgage Trust 2016-4, Asset Backed Securities, Series 2016-4, Class B1 -- Towd Point Mortgage Trust 2016-4, Asset Backed Securities, Series 2016-4, Class B2 -- Towd Point Mortgage Trust 2016-4, Asset Backed Securities, Series 2016-4, Class B3 -- Towd Point Mortgage Trust 2016-5, Asset Backed Securities, Series 2016-5, Class B1 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class M2 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class B1 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class B2 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class M2A -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class X5 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class M2B -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class X6 -- Towd Point Mortgage Trust 2017-2, Asset Backed Securities, Series 2017-2, Class M2 -- Towd Point Mortgage Trust 2017-2, Asset Backed Securities, Series 2017-2, Class B1 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class M2 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class B1 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class B2 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities, Series 2017-3, Class B3 -- Towd Point Mortgage Trust 2017-6, Asset-Backed Securities Series 2017-6, Class M1 -- Towd Point Mortgage Trust 2017-6, Asset-Backed Securities Series 2017-6, Class M2 -- Towd Point Mortgage Trust 2017-6, Asset-Backed Securities Series 2017-6, Class B1 -- Towd Point Mortgage Trust 2017-6, Asset-Backed Securities Series 2017-6, Class B2 -- Towd Point Mortgage Trust 2017-6, Asset-Backed Securities Series 2017-6, Class A4 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities Series 2018-1, Class M1 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities, Series 2018-1, Class M2 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities, Series 2018-1, Class B1 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities, Series 2018-1, Class B2 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities Series 2018-1, Class A4 -- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class M1 -- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class M2 -- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class B1 -- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class B2 -- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class A4 -- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class M1 -- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class M2 -- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class B1 -- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class B2 -- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class A4 -- Towd Point Mortgage Trust 2018-5, Asset Backed Securities, Series 2018-5, Class B2 -- Towd Point Mortgage Trust 2019-2, Asset-Backed Securities, Series 2019-2, Class M1 -- Towd Point Mortgage Trust 2019-2, Asset-Backed Securities, Series 2019-2, Class M2 -- Towd Point Mortgage Trust 2019-2, Asset-Backed Securities, Series 2019-2, Class B1 -- Towd Point Mortgage Trust 2019-2, Asset-Backed Securities, Series 2019-2, Class B2 -- Towd Point Mortgage Trust 2019-2, Asset-Backed Securities, Series 2019-2, Class A4 -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M1 -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2 -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class B1 -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class B2 -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class A4 -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M1A -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M1B -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M1C -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M1D -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M1E -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M1X -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2A -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2B -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2C -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2D -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2E -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2X -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M1 -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2 -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1 -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B2 -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B3 -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M1A -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M1AX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M1B -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M1BX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2A -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2AX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2B -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2BX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1A -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1AX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1B -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1BX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class A4 -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class A5 The rating actions are the result of DBRS Morningstar's application of its "U.S. RMBS Surveillance Methodology," published on February 21, 2020. When DBRS Morningstar places a rating Under Review with Negative Implications, DBRS Morningstar seeks to complete its assessment and remove the rating from this status as soon as appropriate. Upon the resolution of the Under Review status, DBRS Morningstar may confirm or downgrade the ratings on the affected classes. Notes: The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. The Affected Rating is Available at https://bit.ly/3aK7DpG ********* 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. ********* 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. *** End of Transmission ***