/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210613.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, June 13, 2021, Vol. 25, No. 163 Headlines ALLEGRO CLO XIII: Moody's Assigns (P)Ba3 Rating to Class E Notes AMERICREDIT AUTOMOBILE 2021-2: Moody's Gives (P)Ba1 on E Notes ANCHORAGE CREDIT 13: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ARBOR REALTY 2019-FL1: DBRS Confirms B(low) Rating on G Notes ARBOR REALTY 2021-FL1: DBRS Gives Prov. B(low) Rating on G Notes BATTALION CLO XX: S&P Assigns Prelim BB- (sf) Rating on E Notes BDS 2021-FL7: DBRS Finalizes B(low) Rating on Class G Notes BFLD 2021-FPM: Moody's Assigns (P)B1 Rating to Cl. F Certificates BLUEMOUNTAIN CLO XXXI: S&P Assigns BB-(sf) Rating on Class E Notes BRAVO 2021-NQM1: S&P Assigns Prelim B(sf) Rating on B-2 Notes BRAVO RESIDENTIAL 2021-HE2: DBRS Finalizes B Rating on B-2 Notes CAMB COMMERCIAL 2019-LIFE: DBRS Confirms B(low) Rating on G Certs CEDAR FUNDING XI: S&P Affirms B- (sf) Rating on Class F Notes CFK TRUST 2019-FAX: DBRS Confirms BB(low) Rating on Class E Certs CIFC FUNDING 2021-III: Moody's Assigns Ba3 Rating to 2 Tranches CIM TRUST 2021-J3: Fitch Assigns Final B Rating on B-5 Certs CIM TRUST 2021-J3: Moody's Assigns B2 Rating to Class B-5 Certs CITIGROUP MORTGAGE 2021-RP2: DBRS Gives Prov. B Rating on B3 Notes CITIGROUP MORTGAGE 2021-RP3: DBRS Gives (P) B Rating on B3 Notes COMM 2019-521F: DBRS Confirms B Rating on Class F Certs DBGS 2018-BIOD: DBRS Confirms B(low) Rating on Class HRR Certs DBUBS 2017-BRBK: DBRS Confirms B(low) Rating on Class HRR Certs DBUBS MORTGAGE 2011-LC1: Fitch Affirms B Rating on G Certs DEEPHAVEN 2021-2: S&P Assign Prelim B- (sf) Rating on B-2 Notes ENCINA EQUIPMENT 2021-1: DBRS Finalizes BB Rating on Class E Notes EXETER AUTOMOBILE 2021-2: S&P Assigns BB(sf) Rating on E Notes FIRST INVESTORS 2020-1: S&P Affirms B (sf) Rating on Class F Notes FLAGSTAR MORTGAGE 2021-4: Fitch Gives 'B(EXP)' Rating to B-5 Certs GCAT 2021-NQM2: S&P Assigns B (sf) Rating on Class B-2 Certs GLS AUTO 2021-2: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes GS MORTGAGE 2021-ROSS: DBRS Finalizes B(low) Rating on G Certs GSCG Trust 2019-600C: DBRS Confirms B(low) Rating on Class G Certs HAMLET 2020-CRE1: DBRS Confirms B(low) Rating on Class F-RR Certs HUNDRED ACRE 2021-INV1: Moody's Assigns B2 Rating to Cl. B5 Certs IMPERIAL 2021-NQM1: S&P Assigns Prelim B (sf) Rating on B-2 Certs INDEPENDENCE PLAZA 2018-INDP: DBRS Confirms B Rating on HRR Certs KKR CLO 33: S&P Assigns BB- (sf) Rating on Class E Notes LENDMARK FUNDING 2021-1: DBRS Finalizes BB Rating on Class D Notes LOANCORE 2019-CRE2: DBRS Confirms B(low) Rating on Class G Notes LOANCORE 2021-CRE5: DBRS Gives Prov. B Rating on Class G Notes MAPS 2021-1: S&P Assigns Prelim BB (sf) Rating on Class C Notes MELLO MORTGAGE 2021-MTG2 : DBRS Finalizes B Rating on B5 Certs MF1 2020-FL3: DBRS Confirms B(low) Rating on Class G Notes MORGAN STANLEY 2013-C11: DBRS Cuts Rating on 5 Tranches to C MORGAN STANLEY 2018-H3: Fitch Affirms B- Rating on G-RR Debt MTRO COMMERCIAL 2019-TECH: DBRS Confirms BB Rating on E Certs NATIONSLINK FUNDING 1999-LTL-1: Moody's Lowers Cl. X Certs to B3 NATIXIS COMMERCIAL 2018: DBRS Confirms BB (high) Rating on E Certs NATIXIS COMMERCIAL 2020-2PAC: DBRS Confirms B(low) on 2 Classes OCP CLO 2021-21: S&P Assigns BB- (sf) Rating on Class E Notes OCTAGON INVESTMENT 47: S&P Assigns Prelim BB- Rating on E-R Notes OHA CREDIT 9: S&P Assigns Prelim BB- (sf) Rating on Class E Notes PSMC 2021-2 TRUST: S&P Assigns B (sf) Rating on Class B-5 Certs READY CAPITAL 2020-FL4: DBRS Confirms B(low) Rating on G Notes ROCKLAND PARK CLO: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ROMARK CLO-IV: S&P Assigns BB- (sf) Rating on Class D Notes RR 16: S&P Assigns Prelim BB- (sf) Rating on Class D Notes SCULPTOR CLO XXVI: S&P Assigns Prelim BB- (sf) Rating on E Notes SOUND POINT XXIII: Moody's Assigns Ba3 Rating to $30M Cl. E-R Notes TERWIN MORTGAGE 2007-9SL: S&P Lowers Class A-1 Loans Rating to 'BB' UBS-BARCLAYS 2021-C4: Fitch Lowers Class F Certs to 'CC' UWM MORTGAGE 2021-1: Moody's Assigns B3 Rating to Class B5 Certs VERUS SECURITIZATION 2021-R3: DBRS Finalizes BB Rating on B1 Notes VIBRANT CLO XIII: Moody's Gives Ba3 Rating on $18.75M Cl. D Notes VMC FINANCE 2021-FL4: DBRS Finalizes B(low) Rating on Class G Notes VOYA CLO 2018-4: S&P Affirms B- (sf) Rating on Class F Notes WAMU COMMERCIAL 2007-SL3: Moody's Hikes Rating on G Certs to Ba2 WESTLAKE AUTOMOBILE 2021-2: S&P Assigns Prelim B Rating on F Notes WFRBS COMMERCIAL 2013-C15: Fitch Lowers Class E Certs to 'Csf' [*] DBRS Reviews 214 Classes from 20 U.S. RMBS Transactions [*] DBRS Reviews 30 Classes From 6 U.S. RMBS Transactions [*] S&P Takes Various Actions on 82 Classes from 25 US RMBS Deals ********* ALLEGRO CLO XIII: Moody's Assigns (P)Ba3 Rating to Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seven classes of debt to be issued by Allegro CLO XIII, Ltd. (the "Issuer" or "Allegro XIII"). Moody's rating action is as follows: US$3,500,000 Class X Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf) US$220,000,000 Class A Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf) US$100,000,000 Class A Loans due 2034, Assigned (P)Aaa (sf) US$60,000,000 Class B Senior Secured Floating Rate Notes due 2034, Assigned (P)Aa2 (sf) US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned (P)A3 (sf) US$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned (P)Baa3 (sf) US$25,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)Ba3 (sf) The notes and the loans listed are referred to herein, collectively, as the "Rated Debt." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Allegro XIII is a managed cash flow CLO. The issued debt will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. Moody's expect the portfolio to be approximately 85% ramped as of the closing date. AXA Investment Managers, Inc. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2825 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 7.0% 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 Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. AMERICREDIT AUTOMOBILE 2021-2: Moody's Gives (P)Ba1 on E Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by AmeriCredit Automobile Receivables Trust 2021-2 (AMCAR 2021-2). This is the second AMCAR auto loan transaction of the year for AmeriCredit Financial Services, Inc. (AFS; unrated), wholly owned subsidiary of General Motors Financial Company, Inc. (Baa3, stable). The notes will be backed by a pool of retail automobile loan contracts originated by AFS, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: AmeriCredit Automobile Receivables Trust 2021-2 Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aaa (sf) Class C Notes, Assigned (P)Aa2 (sf) Class D Notes, Assigned (P)Baa1 (sf) Class E Notes, Assigned (P)Ba1 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of AFS as the servicer and administrator. Moody's median cumulative net loss expectation for the 2021-2 pool is 10.0% and the loss at a Aaa stress is 34.0%. Moody's based its cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of AFS to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D, and Class E notes are expected to benefit from 33.85%, 26.60%, 17.60%, 10.74%, and 7.90% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account, and subordination, except for Class E notes which do not benefit from subordination. The notes may also benefit from excess spread. 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 Moody's could upgrade the subordinate notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could downgrade the Class A-1 short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies or a servicer disruption that impacts obligor's payments. ANCHORAGE CREDIT 13: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by Anchorage Credit Funding 13, Ltd. (the "Issuer" or "ACF 13"). Moody's rating action is as follows: US$219,375,000 Class A Senior Secured Fixed Rate Notes due 2039 (the "Class A Notes"), Assigned (P)Aaa (sf) US$59,625,000 Class B Senior Secured Fixed Rate Notes due 2039 (the "Class B Notes"), Assigned (P)Aa3 (sf) US$25,875,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2039 (the "Class C Notes"), Assigned (P)A3 (sf) US$20,250,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2039 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$34,875,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2039 (the "Class E Notes"), Assigned (P)Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. ACF 13 is a managed cash flow CDO. The issued notes will be collateralized primarily by corporate loans and bonds. At least 30% of the portfolio must consist of senior secured loans, senior secured notes, and eligible investments, and up to 20% of the portfolio may consist of second lien loans. Moody's expect the portfolio to be approximately 50% ramped as of the closing date. Anchorage Capital Group, L.L.C. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest up to 50% of 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: $450,000,000 Diversity Score: 45 Weighted Average Rating Factor (WARF): 3450 Weighted Average Coupon (WAC): 5.15% Weighted Average Recovery Rate (WARR): 38.5% Weighted Average Life (WAL): 11 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. ARBOR REALTY 2019-FL1: DBRS Confirms B(low) Rating on G Notes ------------------------------------------------------------- DBRS, Inc. confirmed the ratings on the following classes of notes issued by Arbor Realty Commercial Real Estate Notes 2019-FL1, Ltd.: -- Class A Senior Secured Floating Rate Notes at AAA (sf) -- Class A-S Senior Secured Floating Rate Notes at AAA (sf) -- Class B Secured Floating Rate Notes at AAA (sf) -- Class C Secured Floating Rate Notes at A (sf) -- Class D Secured Floating Rate Notes at BBB (sf) -- Class E Floating Rate Notes at BBB (low) (sf) -- Class F Floating Rate Notes at BB (low) (sf) -- Class G Floating Rate Notes at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. The $650.0 million collateralized loan obligation pool consisted of 28 loans, totaling $520.4 million, at issuance. The transaction features a reinvestment period that will expire in May 2022, after which it will pay sequentially. The Issuer, Servicer, Mortgage Loan Seller, and Advancing Agent are related parties and nonrated entities. Arbor Realty SR, Inc. holds the unrated 7.4% equity piece as Preferred Shares in the transaction. Amid the pandemic, DBRS Morningstar has made inquiries to Arbor about potential business plan stoppages or delays, as well as foreseeable debt service payment disruptions. Arbor expects that all borrowers will continue to make debt service payments even if there are operating shortfalls, and all loans are current per the May 2021 remittance report. Per the May 2021 remittance, the pool consists of 30 floating-rate loans totaling $614.1 million secured by multifamily and commercial properties. There are no loans in special servicing. The Mr. C. Seaport Hotel loan (4.8% of the pool) loan had transferred to special servicing in April 2020 after the borrower requested Coronavirus Disease (COVID-19)-related relief. The loan was returned to the master servicer after the lender agreed to temporarily reduce the interest rate by 1.50%. Furthermore, the borrower made a personal guarantee to replenish the interest reserve every six months until the loan matures in November 2022. This 150 basis point deferral will continue to accrue and be payable at maturity. However, the accrued interest will be waived provided the sponsor makes its four timely interest reserve replenishment payments. The loan is secured by the seven-story, 66-key, luxury Mr. C Seaport Hotel on Peck Slip within the Financial District of Lower Manhattan. The business plan at issuance was to stabilize the hotel following the $21.3 million gut renovation of the former Best Western Seaport hotel. While the property is in the heart of the Seaport district, which is home to a number of museums and restaurants, the property's primary demand driver continues to be business travel given its location in Lower Manhattan. Business and leisure travel will likely take longer to return to prepandemic levels than leisure travel. The appraiser expects the hotel to stabilize by 2023, which could increase the loan's maturity risk should the recovery take longer than expected. The 36-month loan matures in November 2022 and includes one six-month extension option. Notes: All figures are in U.S. dollars unless otherwise noted. ARBOR REALTY 2021-FL1: DBRS Gives Prov. B(low) Rating on G Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of commercial mortgage-backed notes to be issued by Arbor Realty Commercial Real Estate Notes 2021-FL1, Ltd. (ARCREN 2021-FL1): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The collateral consists of 25 floating-rate mortgage loans and senior participations secured by 50 mostly transitional properties, with an initial cut-off date balance totaling $653.0 million, which includes approximately $9.0 million of non-interest-accruing future funding that the Issuer will acquire at closing. Each collateral interest is secured by a mortgage on a multifamily property or a portfolio of multifamily properties. The transaction is a managed vehicle, which includes a 180-day ramp-up acquisition period and a 30-month reinvestment period. The ramp-up acquisition period will be used to increase the trust balance by $162.0 million to a total target collateral principal balance of $815.0 million. DBRS Morningstar assessed the $162.0 million ramp component using a conservative pool construct, and, as a result, the ramp loans have expected losses above the pool WA loan expected loss. During the reinvestment period, so long as the note protection tests are satisfied and no event of default has occurred and is continuing, the collateral manager may direct the reinvestment of principal proceeds to acquire reinvestment collateral interest, including funded companion participations, meeting the eligibility criteria. The eligibility criteria, among other things, has minimum debt service coverage ratio (DSCR), loan-to-value ratio (LTV), and loan size limitations. In addition, only mortgages secured by multifamily properties are allowed as ramp-up collateral interests, while other commercial property types, except healthcare, retail, and hospitality properties, are allowed as reinvestment collateral interests, subject to pool concentration limitations. Lastly, the eligibility criteria stipulates a rating agency confirmation (RAC) on ramp loans, reinvestment loans, and pari passu participation acquisitions above $500,000 if a portion of the underlying loan is already included in the pool, thereby allowing DBRS Morningstar the ability to review the new collateral interest and any potential impacts to the overall ratings. For the floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cut-off balances were measured against the DBRS Morningstar As-Is NCF, 16 loans, representing 51.9% of the initial pool balance, had a DBRS Morningstar As-Is DSCR of 1.00x or below, a threshold indicative of default risk. Additionally, the DBRS Morningstar Stabilized DSCR of three loans, representing 9.5% of the initial pool balance, are below 1.00x, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets will stabilize to above-market levels. The transaction will have a sequential-pay structure. The sponsor for the transaction, Arbor Realty SR, Inc., is a majority-owned subsidiary of Arbor Realty Trust, Inc. (Arbor; NYSE: ABR) and an experienced commercial real estate (CRE) collateralized loan obligation (CLO) issuer and collateral manager. The ARCREN 2021-FL2 transaction will be Arbor's 15th post-crisis CRE CLO securitization, and the firm has five outstanding transactions representing approximately $2 billion in investment-grade proceeds. Additionally, Arbor will purchase and retain 100.0% of the Class F Notes, the Class G Notes, and the Preferred Shares, which total $140,588,000, or 17.25% of the transaction total. Twenty-one loans, representing 82.8% of the pool balance, represent acquisition financing. Acquisition financing generally requires the respective sponsor(s) to contribute material cash equity as a source of funding in conjunction with the mortgage loan, resulting in a higher sponsor cost basis in the underlying collateral and aligns the financial interests between the sponsor and lender. The initial collateral pool is diversified across 11 states and has a loan Herfindahl score of approximately 28.3. The loan Herfindahl score is similar to those of recent Arbor CRE CLO transactions. Three of the loans, representing 15.1% of the initial pool balance, are portfolio loans that benefit from multiple property pooling. Mortgages backed by cross-collateralized cash flow streams from multiple properties typically exhibit lower cash flow volatility. The DBRS Morningstar Business Plan Scores (BPS) for loans analyzed by DBRS Morningstar ranged between 1.38 and 3.08, with an average of 2.08. Higher DBRS Morningstar BPS indicate more risk in the sponsor's business plan. DBRS Morningstar considers the anticipated lift at the property from current performance, planned property improvements, sponsor experience, projected time horizon, and overall complexity of the business plan. Compared with similar transactions, the subject has a low average DBRS Morningstar BPS, which is indicative of lower risk. The loan collateral was generally found to be in good physical condition as evidenced by one loan (4.6% of the trust balance) secured by properties that DBRS Morningstar deemed to be Excellent in quality. An additional three loans, representing 12.9% of the trust balance, are secured by properties with Above Average quality. The ongoing Coronavirus Disease (COVID-19) pandemic continues to pose challenges and risks to the CRE sector, and, while DBRS Morningstar expects multifamily to fare better than most other property types, the long-term effects on the macroeconomy and consumer sentiment remain unsettled. Arbor provided coronavirus and business plan updates for all loans in the pool, confirming that all debt service payments have been received in full through January 2021. Furthermore, no loans are in forbearance or other debt service relief. Twenty-five loans, totaling 100.0% of the trust balance, were originated after March 2020, or the beginning of the pandemic. Loans originated after the pandemic include timely property performance reports and recently completed third-party reports, including appraisals. Given the uncertainty and elevated execution risk stemming from the coronavirus pandemic, 12 loans, totaling 43.4% of the trust balance, have substantial upfront interest reserves, some of which are expected to cover six months or more of interest shortfalls. Notes: All figures are in U.S. dollars unless otherwise noted. BATTALION CLO XX: S&P Assigns Prelim BB- (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Battalion CLO XX Ltd./Battalion CLO XX LLC's floating- and fixed-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of June 3, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Battalion CLO XX Ltd./Battalion CLO XX LLC Class A-L, $126.00 million: AAA (sf) Class A-N, $0: AAA (sf) Class A, $120.00 million: AAA (sf) Class A-J, $5.00 million: AAA (sf) Class B, $53.00 million: AA (sf) Class C-1 (deferrable), $16.50 million: A (sf) Class C-2 (deferrable), $7.50 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $40.80 million: not rated BDS 2021-FL7: DBRS Finalizes B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by BDS 2021-FL7 Ltd.: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. CORONAVIRUS OVERVIEW With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, feeling more immediate effects. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis. For example, DBRS Morningstar may front-load default expectations and/or assess the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. The initial collateral consists of 22 floating-rate mortgages secured by 22 mostly transitional properties with a cut-off balance of $536.5 million, excluding approximately $59.3 million of future funding commitments. In addition, the transaction has a Ramp-Up Acquisition Period from the sixth payment date during which the Issuer may use $63.5 million of funds deposited into the unused proceeds account to acquire additional eligible multifamily loans, subject to the Eligibility Criteria, resulting in a target pool balance of $600.0 million. As of May 11, 2021, there are two unclosed or delayed-close loans, representing 14.4% of the trust balance: Retreat at Waterside (Prospectus ID#2), representing 7.9% of the trust balance, and Nottingham Village (Prospectus ID#6), representing 6.4% of the trust balance. If a delayed-close loan is not expected to close or fund prior to the purchase termination date, the expected purchase price will be credited to the unused proceeds amount to be used by the Issuer to acquire ramp-up mortgage assets during the Ramp-Up Acquisition Period. The Eligibility Criteria indicates that all loans acquired within the Ramp-Up Acquisition Period must be secured by multifamily properties. Most loans are in a period of transition, with plans to stabilize and improve the asset value. During the Reinvestment Period, the Issuer may acquire future funding commitments and additional eligible loans subject to the Eligibility Criteria. The transaction stipulates a $1.0 million threshold on companion participation interest acquisitions before a rating agency confirmation is required if there is already a participation or note of the underlying loan in the trust. The loans are mostly secured by currently cash flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. In total, 19 loans, representing 86.6% of the pool, have remaining future funding participation totaling $59.3 million, which the Issuer may acquire in the future. For the floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cut-off balances were measured against the DBRS Morningstar As-Is Net Cash Flow (NCF), 15 loans, comprising 63.1% of the initial pool, had a DBRS Morningstar As-Is Debt Service Coverage Ratio (DSCR) below 1.00 times (x), a threshold indicative of default risk. However, the DBRS Morningstar Stabilized DSCRs for only three loans, representing 9.6% of the initial pool balance, are below 1.00x. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets will stabilize above market levels. The transaction will have a sequential-pay structure. The pool consists almost entirely of multifamily assets (95.4% of the mortgage asset cut-off date balance consists of apartments and 3.5% consists of one manufactured housing community property). Historically, multifamily properties have defaulted at much lower rates than the overall commercial mortgage-backed securities universe. The one industrial asset in the pool represents 1.1% of the mortgage asset cut-off date balance. As no loans in the pool were originated prior to the onset of the coronavirus pandemic, the weighted-average (WA) remaining fully extended term is 57 months, which gives the sponsor enough time to execute its business plans without risk of imminent maturity. Based on the initial pool balances, the overall WA DBRS Morningstar As-Is DSCR of 0.90x and WA As-Is Loan-to-Value (LTV) of 84.8% generally reflect high-leverage financing. When measured against the DBRS Morningstar Stabilized NCF, the WA DBRS Morningstar DSCR is estimated to improve to 1.22x, suggesting that the properties are likely to have improved NCFs once the sponsor's business plan has been implemented. The transaction is managed and includes a ramp-up component and reinvestment period, which could result in negative credit migration and/or an increased concentration profile over the life of the transaction. The risk of negative migration is partially offset by Eligibility Criteria (detailed in transaction documents) that outline minimum DSCR, LTV, Herfindahl score, and multifamily property type requirements for 80% of the pool and loan size limitations for ramp and reinvestment assets. Furthermore, multifamily assets are the only property type allowed to be acquired during the ramp-up period. DBRS Morningstar accounted for the uncertainty introduced by the six-month ramp-up period by running a ramp scenario that simulates the potential negative credit migration in the transaction, based on the eligibility criteria. As a result, the ramp component has a higher expected loss than the WA pre-ramp pool expected loss. Furthermore, the ramp loans may be collateralized only by multifamily properties, which is a more favorable property type. DBRS Morningstar has analyzed the loans to a stabilized cash flow that is, in some instances, above the in-place cash flow. It is possible that the sponsor will not successfully execute its business plans and that the higher stabilized cash flow will not materialize during the loan term, particularly with the ongoing coronavirus pandemic and its impact on the overall economy. A sponsor's failure to execute the business plan could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar sampled a large portion of the loans, representing 81.1% of the pool cut-off date balance. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plan to be rational and the loan structure to be sufficient to execute such plans. In addition, DBRS Morningstar analyzes loss given default based on the as-is credit metrics, assuming the loan is fully funded with no NCF or value upside. One of the sampled loans, comprising 6.3% of the pool balance, was analyzed with Weak sponsorship strengths. The Nottingham Village loan is among the pool's 10 largest loans. DBRS Morningstar applied a probability of default penalty to the loan analyzed with Weak sponsorship strength. All 22 loans have floating interest rates, are interest only during the original term and through all extension options, and have original terms of 36 months to 60 months, creating interest rate risk. All loans are short term and, even with extension options, they have a fully extended maximum loan term of five years. For the floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. Notes: All figures are in U.S. dollars unless otherwise noted. BFLD 2021-FPM: Moody's Assigns (P)B1 Rating to Cl. F Certificates ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to eight classes of CMBS securities, issued by BFLD 2021-FPM Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2021-FPM: 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)Ba2 (sf) Cl. F, Assigned (P)B1 (sf) Cl. HRR, Assigned (P)B2 (sf) Cl. X-CP*, Assigned (P)Aaa (sf) * Reflects interest-only classes RATINGS RATIONALE The certificates are collateralized by a single, floating-rate loan secured by the borrower's fee simple and leasehold interests in Fashion Place (the "property"), a super-regional mall located in Murray, UT. The collateral for the loan consists of a 632,264 SF portion (the "collateral") of the 969,864 SF property. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. The property is of Class A quality and well located in Murray, UT, approximately 11 miles south of downtown Salt Lake City. The property is anchored by Macy's (161,634 SF, 25.6% of collateral NRA), Dillard's (non-collateral; 200,000 SF) and Nordstrom (non-collateral; 137,600 SF). Large tenants at the property (greater than 10,000 SF) include Crate & Barrel (29,341 SF, 4.6% of collateral NRA), Zara (28,866 SF, 4.6% of collateral NRA), The Container Store (25,011 SF, 4.0% of collateral NRA), H&M (22,777 SF, 3.6% of collateral NRA), The Cheesecake Factory (10,230 SF, 1.6% of collateral NRA), Forever 21 (10,135 SF, 1.6% of collateral NRA) and Urban Outfitters (10,003 SF, 1.6% of collateral NRA). Other noteworthy retailers at the property Apple, Lululemon, Sephora, Peloton, Lego, Sur La Table, Lovesac, White House Black Market, Vans, Madewell, Athleta, Victoria's Secret and Banana Republic. The subject contains approximately numerous food venues, including an eight-bay food court (5,072 SF) and seven full-service restaurants. Some of the noteworthy food venues include The Cheesecake Factory, California Pizza Kitchen, Brio Italian Grille, Shake Shack, Red Rock Place, Olive Garden, Chick-fil-A and Taqueria 27. As of April 30, 2021, the occupancy of the collateral was approximately 93.7% (excluding Dillard's and Nordstrom). Total occupancy at the property (including Dillard's and Nordstrom) is approximately 95.9%. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower CMBS methodology and Moody's IO Rating methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. The securitization consists of a single floating-rate, interest-only, first lien mortgage loan with an outstanding cut-off date principal balance of $290,000,000 (the "loan" or "mortgage loan"). The mortgage loan has an initial three-year term, with two, one-year extension options. The Moody's first-mortgage DSCR is 2.22x and Moody's first-mortgage stressed DSCR (at a 9.25% constant) is 0.89x. Moody's DSCR is based on Moody's assessment of the property's stabilized NCF. The first mortgage balance of $290,000,000 represents a Moody's LTV of 102.9%. 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 subject received a property quality grade of 1.75. Notable strengths of the transaction include: property's trophy qualities, capital investment, strong location, exceptional tenant roster, in-line sales, strong NOI margins and experienced sponsorship. Notable concerns of the transaction include: tenant rollover, lack of asset diversification, recent decline in operating performance, floating-rate/interest-only mortgage loan profile and certain credit negative legal features. The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in September 2020. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. 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 U.S. economic activity. BLUEMOUNTAIN CLO XXXI: S&P Assigns BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to BlueMountain CLO XXXI Ltd.'s floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Assured Investment Management LLC, a subsidiary of Assured Guaranty. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned BlueMountain CLO XXXI Ltd./BlueMountain CLO XXXI LLC Class A-1, $248.00 million: AAA (sf) Class A-2, $8.00 million: Not rated Class B, $48.00 million: AA (sf) Class C, $24.00 million: A (sf) Class D, $22.00 million: BBB- (sf) Class E, $16.80 million: BB- (sf) Subordinated notes, $40.50 million: Not rated BRAVO 2021-NQM1: S&P Assigns Prelim B(sf) Rating on B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BRAVO Residential Funding Trust 2021-NQM1's mortgage-backed notes series 2021-NQM1. The note issuance is an RMBS securitization backed by first-lien fixed- and adjustable-rate fully amortizing and interest-only residential mortgage loans primarily secured by single-family residences, planned unit developments, condominiums, condotels, two- to four-family homes, mixed-use, nonprime borrowers. The pool has 1,050 loans, which are primarily nonqualified mortgage loans. The preliminary ratings are based on information as of June 4, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition, -- The transaction's credit enhancement, -- The transaction's associated structural mechanics, -- The transaction's representation and warranty (R&W) framework, -- The mortgage originator, -- The geographic concentration, and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. Preliminary Ratings Assigned BRAVO Residential Funding Trust 2021-NQM1 Class A-1, $231,830,000: AAA (sf) Class A-2, $20,076,000: AA (sf) Class A-3, $31,389,000: A (sf) Class M-1, $16,571,000: BBB (sf) Class B-1, $7,170,000: BB (sf) Class B-2, $6,054,000: B (sf) Class B-3, $5,577,480: Not rated Class SA, $48,740: Not rated Class FB, $2,573,868: Not rated Class A-IO-S, notional amount: Not rated Class XS, notional amount(i): Not rated Class R, not applicable(i): Not rated (i)The notional amount equals the loans' aggregate unpaid principal balance. BRAVO RESIDENTIAL 2021-HE2: DBRS Finalizes B Rating on B-2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2021-HE2 issued by BRAVO Residential Funding Trust 2021-HE2 (BRAVO 2021-HE2): -- $202.9 million Class A-1 at AAA (sf) -- $16.0 million Class A-2 at AA (sf) -- $17.5 million Class A-3 at A (sf) -- $13.5 million Class M-1 at BBB (sf) -- $13.3 million Class B-1 at BB (sf) -- $8.1 million Class B-2 at B (sf) The AAA (sf) rating on the Notes reflects 31.10% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 25.65%, 19.70%, 15.10%, 10.60%, and 7.85% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This is a securitization of a portfolio of seasoned first- and junior-lien revolving home equity lines of credit (HELOC) and home equity mortgage loans funded by the issuance of the Notes. The Notes are backed by 5,067 HELOCs (including multiple segments of the same loan at different interest rates) and 59 home equity loans with total unpaid principal balances of $291,020,267 and $3,439,554, respectively. The HELOCs had a total current credit limit of $451,071,777 as of the Cut-Off Date (April 30, 2021). DBRS Morningstar considers this transaction to be a seasoned performing HELOC securitization. Please refer to Appendix 7 of the "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology" for the applicable analytics used to estimate expected losses for HELOCs. The transaction includes a significantly seasoned first-lien portion and a slightly more seasoned junior-lien (predominantly second-lien) portion. In this transaction, approximately 77.0% of the loans are open and temporarily closed HELOCs; 21.9% are closed HELOCs; and 1.2% are home equity mortgage loans. The open-HELOC loans generally have a draw period during which borrowers may make draws up to a credit limit, which would result in increased loan balances up to the related credit limit, though such right to make draws may be temporarily frozen in certain circumstances. The HELOCs could be closed temporarily, preventing borrowers from making new draws. The temporary freeze of the credit line may happen for a few reasons, including, but not limited to, a decrease in value of the related mortgaged property, a material change in a borrower's financial circumstances, a default by the related borrower under the related line of credit agreement, or a change in delinquency status. Borrowers of closed HELOCs may no longer make draws, while open-HELOC mortgagors generally have a draw periods of 10 or 20 years and a repayment period at the end of the draw term of either 10, 15, or 20 years or are required to be repaid in full at the end of the draw period. During the repayment period, borrowers are no longer allowed to draw. Also, their monthly principal payments during the repayment period will equal an amount that allows the outstanding loan balance to evenly amortize down over the repayment term, except for 36.3% that have a balloon payment due at the end of the repayment period. Borrowers are generally required to make accrued and unpaid interest payments only during the draw period except in certain instances when the principal balance exceeds the credit limit. Borrowers of less than 0.02% and approximately 0.57% of the loans (by loan count) opted to use a fixed-rate lock and fixed-rate option feature, respectively. A loan with a fixed-rate lock feature gives the borrower the ability to convert their HELOC into a closed, fixed-rate mortgage loan with a repayment period of 15 years. A HELOC with a fixed-rate option feature gives the borrower the ability to convert up to three segments of $5,000 or more to a fixed-rate segment, while retaining the ability to draw additional balances during the draw period up to the remaining credit limit. The portfolio is approximately 116 months seasoned and contains 2.0% of modified loans. The modifications happened more than two years ago for 70.2% of the modified loans. Within the pool, 198 mortgages have non-interest-bearing deferred amounts totaling $332,676, which equates to approximately 0.1% of the total principal balance. There are no Home Affordable Modification Program (HAMP) or proprietary principal forgiveness amounts included in the deferred amounts. Loan Funding Structure LLC is the Sponsor, and PMIT TRS II LLC is the Seller. PMIT Residential Funding VIII, LLC (the Depositor) will transfer the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market. Rushmore Loan Management Services LLC will service the loans. The initial aggregate servicing fee for the BRAVO 2021-HE2 portfolio will be 0.50% per annum. U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) will serve as Indenture Trustee, Paying Agent, and Custodian. U.S. Bank Trust National Association will serve as the Owner Trustee. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain a vertical 5% interest in each class of securities (other than the Class SA, Class AIOS and Class R Notes) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Unlike in several other transactions backed by junior-lien mortgage loans and/or HELOCs, in this transaction, any junior-lien HELOC or loan that is 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method will not be charged off. Notwithstanding, DBRS Morningstar assumes no recoveries upon default of any junior liens in this pool in its analysis. This transaction uses a structural mechanism similar to those used in other HELOC-backed transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws prior to any payments on the Notes from the principal collections. If the aggregate draws exceed the principal collections (Net Draw), then the Paying Agent will reimburse the Servicer first from amounts on deposit in the variable-funding account (VFA) and second, if the amounts available in the VFA are insufficient, from the future principal collections. The VFA has an initial balance of $100,000 and a VFA required amount of $100,000 for each payment date. If the amount on deposit in the VFA is less than such required amount on a payment date, the Paying Agent will use excess cash flow to deposit in the VFA. To the extent the VFA is not funded up to its required amount from excess cash flow, the holder of the Trust Certificates on behalf of the Class R Notes will be required to use its own funds to make any deposits to the VFA or to reimburse the Servicer for any Net Draws. The holder of the Trust Certificate is permitted to finance these funding obligations by using the financing secured by the Trust Certificate with a third-party lender. The balance of Trust Certificates will be increased by an amount deposited to VFA account used to reimburse the Servicer for the Net Draws. The transaction employs a modified sequential-pay cash flow structure with a pro rata principal distribution among the more senior tranches (Class A-1, A-2, and A-3 Notes) subject to a sequential priority trigger (Credit Event) as described further below. The Trust Certificates have a pro rata principal distribution with all senior and subordinate tranches while the Credit Event is not in effect. When the trigger is in effect, the Trust Certificates principal distribution will be subordinated to both the senior and subordinate notes in the payment waterfall. While a Credit Event is in effect, realized losses will be allocated reverse sequentially starting with the Trust Certificates, followed by the Class B-3 Notes, and then continuing up to Class A-1 Notes based on their respective payment priority. While a Credit Event is not in effect, the losses will be allocated pro rata between the Trust Certificates and all outstanding notes based on their respective priority of payments. The outstanding notes will allocate realized losses reverse sequentially, beginning with Class B-3 up to Class A-1 Notes. There will be no advancing of delinquent principal or interest on the mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances for the first-lien loans in respect of homeowner association fees, taxes and insurance, as well as reasonable costs and expenses incurred in the course of servicing and disposing properties. The Servicer is also obligated to fund any monthly Net Draws, as noted above. As of the Cut-Off Date, 99.5% of the pool was current and 0.3% was 30 days delinquent, under the MBA delinquency method. Additionally, 0.2% of the pool was in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 91.1% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the MBA delinquency method. The majority of the pool (99.0%) is exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. The loans subject to the ATR rules (1.0%) were missing a designation. HELOCs are not subject to the ATR/QM rules. The holder of the Trust Certificates may, at its option, on or after the earlier of (1) the payment date in May 2024 or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 30% of the loan balance as of the Cut-Off Date, purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more MBA delinquent under the MBA method (or in the case of any loan that has been subject to a Coronavirus Disease (COVID-19) pandemic-related forbearance plan, on any date from and after the date on which such loan becomes 90 days MBA delinquent following the end of the forbearance period) at the repurchase price described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off balance. The Servicer, at the direction of the Controlling Holder, may direct the Issuer to sell eligible nonperforming loans (NPLs; those 120 days or more MBA delinquent) or REO properties (both Eligible NPLs) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sale the Eligible NPLs, as described in the transaction documents. Coronavirus 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 securities (RMBS) asset classes. Reperforming loans (RPL) is a traditional RMBS asset class that consists of securitizations backed by pools of seasoned performing and reperforming residential first- and junior- lien home loans and HELOCs. Although borrowers in these pools may have experienced delinquencies in the past, the loans have been largely performing for the past six months to 24 months since issuance. 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 the respective 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 which 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 to spotty payment patterns in the near term. Higher LTV borrowers with less equity in their properties generally have fewer refinance opportunities and, therefore, slower prepayments. In addition, the Coronavirus Aid, Relief, and Economic Security (CARES) Act, signed into law on March 27, 2020, mandates that all mortgagors with government-backed mortgages be allowed to delay at least 180 days of monthly payments (followed by another period of 180 days if the mortgagor requests it). For loans not subject to the CARES Act, servicers may still provide payment relief to borrowers who report financial hardship related to the coronavirus pandemic. Within this pool, although not subject to the CARES Act, 6.6% of the borrowers are on or have been on coronavirus pandemic-related forbearance or deferral plans. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends or a deferral of the forborne balance. The DBRS Morningstar ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related notes. The DBRS Morningstar ratings of A (sf), BBB (sf), BB (sf), and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related notes. Notes: All figures are in U.S. dollars unless otherwise noted. CAMB COMMERCIAL 2019-LIFE: DBRS Confirms B(low) Rating on G Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-LIFE issued by CAMB Commercial Mortgage Trust 2019-LIFE as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class X-NCP at A (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) DBRS Morningstar discontinued the rating on Class X-CP as the bond has exceeded its stated maturity date of June 2020 and is no longer receiving interest payments. All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The $1.17 billion trust mortgage loan is secured by the sponsor's leasehold interest in eight life sciences office and laboratory buildings, totaling approximately 1.3 million square feet in Cambridge, Massachusetts. The senior mortgage loan has an initial two-year term with five one-year extensions options, resulting in a fully extended maturity date of December 9, 2025. The loan pays floating-rate interest of Libor plus 2.0444% on an interest-only (IO) basis throughout the term. Additionally, the capital stack includes mezzanine debt of $130.0 million subordinate to and held outside of the trust. The mezzanine note pays an interest rate of Libor plus 4.1% on a full-term IO basis and is secured by the interest in the equity of the borrowing entities. Loan proceeds, along with $448.7 million of borrower cash equity, facilitated the acquisition of the portfolio properties by the sponsorship group, Brookfield Asset Management. All eight properties are on the campus of the Massachusetts Institute of Technology (MIT) within the Cambridge submarket, which has limited available land for development and high barriers to entry. Cambridge has the largest concentration of life sciences researchers in the U.S. and strong historical occupancy driven by the high demand for specialized laboratory space by institutional tenants. As of YE2020, the properties were 100% occupied. The properties have reported an average physical occupancy of 97.8% since 2008, which indicates a long-term, "sticky" tenant roster. Only 34.2% of the DBRS Morningstar base rent expires during the fully extended loan term, with no more than 12.8% expiring in any single year. As of YE2020, the loan reported a net cash flow of $95.2 million, representing a 13.5% increase from the YE2019 cash flow of $83.9 million. The portfolio benefits from a high concentration of institutional-quality tenants, with approximately 90.7% of the DBRS Morningstar base rent derived from public companies or major research institutions. Furthermore, 44.8% of the DBRS Morningstar base rent is tied to investment-grade tenants. The largest tenant, Millennium Pharmaceuticals, Inc., occupies 31.7% of the net rentable area (NRA) and plans to spend $11 million of its own funds to improve its space at the 40 Landsdowne Street property as part of its early renewal for its leases. Other large tenants include Blueprint Medicines Corporation (13.6% of NRA), Agios Pharmaceuticals (14.3% of NRA), and Brigham and Women's Hospital (9.3% of NRA). Other investment-grade tenants include Takeda Vaccines, Inc. (6.0% of NRA) and Sanofi Pasteur Biologics Co. (4.1% of NRA). Most of the in-place tenants have invested a considerable amount of their own capital into their space build-outs. Each property operates subject to a ground lease from MIT with maturity dates ranging from 2061 to 2076 and base rent and percentage rent components. The base rent for each of the properties is fixed for the entire term of the ground lease, while the percentage rent components are calculated based on the product of 15% and the gross revenue from the given property over a specified threshold. The threshold for each is subject to increases or decreases based on changes (on a dollar-for-dollar basis) in the deemed debt service due under the loan secured by the applicable property. The deemed debt service is calculated based on a maximum 75.0% loan-to-value ratio (LTV) (i.e., no debt service exceeding 75.0% LTV is to be considered) and an assumed fixed debt service equivalent stipulated in accordance with the lease documents. Additionally, the ground lessor has a right of first refusal with respect to a sale of the properties by the borrower and/or future proposed mortgage or mezzanine refinancing. Notes: All figures are in U.S. dollars unless otherwise noted. CEDAR FUNDING XI: S&P Affirms B- (sf) Rating on Class F Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1R, A-2R, and B-2R replacement notes from Cedar Funding XI CLO Ltd., a CLO originally issued in 2019 that is managed by Aegon USA Investment Management LLC. At the same time, S&P withdrew its ratings on the original class A-1A, A-1F, and B-F notes following payment in full on the June 1, 2021, refinancing date. The class A-2 notes were not previously rated. In addition, S&P affirmed its ratings on the class B-1, C, D, E, F, and R combination notes, which are not refinanced. The replacement notes were issued via a supplemental indenture, which, outlines the terms of the replacement notes. According to the supplemental indenture: -- Certain LIBOR replacement provisions were added, and -- Related definition and sections were amended, updated, or added. S&P said, "Our review of this transaction included a cash flow analysis. On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class F notes (which are not refinancing) than the rating action reflects. However, we affirmed the class F notes' rating at 'B- (sf)' after considering the improved overcollateralization ratio since the transaction's last rating action, and reduced exposure to 'CCC' rated assets. Additionally, the rating committee believed that the payment of principal or interest when due is not dependent upon favorable business, financial, or economic conditions; therefore, this class does not fit our definition of 'CCC' risk in accordance with our guidance criteria. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "The assigned ratings reflect our opinion that the results of the cash flow analysis, and other qualitative factors as applicable, show that the rated outstanding classes of notes have adequate credit enhancement and credit support available for the associated rating levels. "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 we will take further rating actions as we deem necessary." 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 Withdrawn Cedar Funding XI CLO Ltd./Cedar Funding XI CLO LLC Class A-1A: to NR from AAA (sf) Class A-1F: to NR from AAA (sf) Class B-F: to NR from AA (sf) Ratings Affirmed Cedar Funding XI CLO Ltd./Cedar Funding XI CLO LLC Class B-1: AA (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: B+ (sf) Class F: B- (sf) Class R combo: BBB+p (sf) Other Outstanding Ratings Cedar Funding XI CLO Ltd./Cedar Funding XI CLO LLC Subordinated notes: NR NR--Not rated. CFK TRUST 2019-FAX: DBRS Confirms BB(low) Rating on Class E Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-FAX issued by CFK Trust 2019-FAX as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-A at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The loan is secured by the Fairfax Multifamily Portfolio, which consists of three multifamily properties totalling 870 units in Fairfax and Herndon, Virginia. The sponsor used loan proceeds as well as its ownership equity of $2.1 million and preferred equity of $36.0 million to acquire the Ellipse at Fairfax Corner asset for $98.0 million ($112,644 per unit), to refinance the short-term bridge loan on the Windsor at Fair Lakes and Townes at Herndon Center properties for $86.1 million, and to fund an upfront replacement reserve of $11.1 million. The whole loan is composed of an $82 million trust loan (two senior notes and two junior notes) and a $70 million nontrust pari passu companion loan (five senior notes) for a total first mortgage of $152 million. In addition to the senior debt, the transaction was structured with a $25 million senior mezzanine loan and a $20 million junior mezzanine loan, which are held outside the trust. The 10-year loan is interest only (IO) for the entire period. All three properties are well situated near I-66 and I-495, providing direct access to Arlington, Washington, D.C., and other major cities in Virginia. The properties are in good school districts and are close to grocery stores, hospitals, and shopping centers. Fairfax Multifamily Portfolio is in a strong multifamily submarket with rental rates increasing year over year. The submarket, which is popular among young to middle-aged individuals, has had a vacancy rate of less than 6% over the past five years. The portfolio has an average occupancy of 93.5% with the individual properties ranging from 92.8% to 94.4%, which is in line with issuance levels. According to Reis, as of Q1 2021, the collateral's submarket reports average vacancy of 5.2% with average effective rents of $1,701 per unit. The loan experienced a nominal decline in cash flow in 2020, falling from $12.0 million in 2019 to $11.4 million in 2020. The decline in cash flow was primarily expense driven. The previous owner invested more than $22.8 million in capital improvements and renovated 248 of the 870 units in the portfolio. The sponsor budgeted an additional $11.0 million, or $12,800 per unit, for future renovations and upgrades, which will increase in-place rents and keep the property competitive. At issuance, the sponsor reportedly had renovated 151 units at the largest of the three collateral properties, Elipse at Fairfax Corner, achieving rental premiums ranging from $56 per unit to $103 per unit. As of May 2021, the replacement reserve reported a balance of $7.4 million, suggesting that renovations are progressing. DBRS Morningstar has inquired about the status of the renovations. The loan sponsor is Tomas Rosenthal, the chief executive officer of Hampshire Properties Ltd., which is a New York-based privately held real estate investment firm specializing in value-add opportunities. Rosenthal founded the company in 1988 and its current portfolio consists of office buildings, industrial properties, and multifamily complexes across the United States and Canada, valued at approximately $1 billion. Notes: All figures are in U.S. dollars unless otherwise noted. CIFC FUNDING 2021-III: Moody's Assigns Ba3 Rating to 2 Tranches --------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued by CIFC Funding 2021-III, Ltd. (the "Issuer"). Moody's rating action is as follows: US$372,000,000 Class A Senior Secured Floating Rate Notes due 2036, Assigned Aaa (sf) US$20,000,000 Class E-1 Junior Secured Deferrable Floating Rate Notes due 2036, Assigned Ba3 (sf) US$4,000,000 Class E-2 Junior Secured Deferrable Floating Rate Notes due 2036, Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. CIFC Funding 2021-III, Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, up to 10% of the portfolio may consist of assets that are not senior secured loans or eligible investments, and up to 5% of the portfolio may consist of bonds. The portfolio is approximately 88% ramped as of the closing date. CIFC 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 issued three classes of senior notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3239 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 47.0% 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 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. CIM TRUST 2021-J3: Fitch Assigns Final B Rating on B-5 Certs ------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates (RMBS) issued by CIM Trust 2021-J3 (CIM 2021-J3). DEBT RATING PRIOR ---- ------ ----- CIM Trust 2021-J3 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-25 LT AAAsf New Rating AAA(EXP)sf A-26 LT AAAsf New Rating AAA(EXP)sf A-27 LT AAAsf New Rating AAA(EXP)sf A-28 LT AAAsf New Rating AAA(EXP)sf A-29 LT AAAsf New Rating AAA(EXP)sf A-30 LT AAAsf New Rating AAA(EXP)sf A-31 LT AAAsf New Rating AAA(EXP)sf A-32 LT AAAsf New Rating AAA(EXP)sf A-33 LT AAAsf New Rating AAA(EXP)sf A-34 LT AAAsf New Rating AAA(EXP)sf A-35 LT AAAsf New Rating AAA(EXP)sf A-36 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 AAsf 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-10 LT AAAsf New Rating AAA(EXP)sf A-X-11 LT AAAsf New Rating AAA(EXP)sf A-X-12 LT AAAsf New Rating AAA(EXP)sf A-X-13 LT AAAsf New Rating AAA(EXP)sf A-X-14 LT AAAsf New Rating AAA(EXP)sf A-X-15 LT AAAsf New Rating AAA(EXP)sf A-X-16 LT AAAsf New Rating AAA(EXP)sf A-X-17 LT AAAsf New Rating AAA(EXP)sf A-X-18 LT AAAsf New Rating AAA(EXP)sf A-X-19 LT AAAsf New Rating AAA(EXP)sf A-X-20 LT AAAsf New Rating AAA(EXP)sf A-X-21 LT AAAsf New Rating AAA(EXP)sf A-X-22 LT AAAsf New Rating AAA(EXP)sf A-X-23 LT AAAsf New Rating AAA(EXP)sf A-X-24 LT AAAsf New Rating AAA(EXP)sf A-X-25 LT AAAsf New Rating AAA(EXP)sf A-X-26 LT AAAsf New Rating AAA(EXP)sf A-X-27 LT AAAsf New Rating AAA(EXP)sf A-X-28 LT AAAsf New Rating AAA(EXP)sf A-X-29 LT AAAsf New Rating AAA(EXP)sf A-X-30 LT AAAsf New Rating AAA(EXP)sf A-X-31 LT AAAsf New Rating AAA(EXP)sf A-X-32 LT AAAsf New Rating AAA(EXP)sf A-X-33 LT AAAsf New Rating AAA(EXP)sf A-X-34 LT AAAsf New Rating AAA(EXP)sf A-X-35 LT AAAsf New Rating AAA(EXP)sf A-X-36 LT AAAsf New Rating AAA(EXP)sf A-X-37 LT AAAsf New Rating AAA(EXP)sf B-1A LT AAsf New Rating AA(EXP)sf B-X-1 LT AAsf New Rating AA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2A LT Asf New Rating A(EXP)sf B-X-2 LT Asf New Rating A(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 A-X-S LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 340 fixed-rate mortgages (FRMs) with a total balance of approximately $320.27 million as of the cutoff date. The loans were originated by various mortgage originators, and the seller, Fifth Avenue Trust, 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 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." 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 three months. The pool has a weighted average (WA) original FICO score of 778, which is indicative of very high credit-quality borrowers. Approximately 87% of the loans have a borrower with a FICO score equal to or above 750. In addition, the original WA combined loan to value ratio (CLTV) of 62.9% represents substantial borrower equity in the property and reduced default risk. Geographic Concentration (Negative): Approximately 49% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles MSA (16%), followed by the San Francisco MSA (15%) and the San Jose MSA (6%). The top three MSAs account for 37% of the pool. As a result, there was a 1.01x 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 certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Wells Fargo, as master servicer, will advance if the servicer fails to do so. Subordination Floor (Positive): A CE or senior subordination floor of 1.40% 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. Also, a junior subordination floor of 0.90% 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. Payment Forbearance (Neutral): As of May 1, 2021, none of the borrowers in the pool were on an active coronavirus forbearance plan. The borrowers that previously entered into a coronavirus pandemic-related forbearance plan have since been reinstated (Fitch did not penalize these loans). In the event that, after closing, a borrower enters into or requests an active coronavirus-related forbearance plan, such loan will remain in the pool and the servicer will be required to make advances in respect of delinquent P&I (as well as 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. If the borrower does not resume making payments, the loan will likely become modified and the advancing party will be reimbursed from principal collections on the overall pool. This will likely result in writedowns to the most subordinate class, which will be written back up as subsequent recoveries are realized. Since there will be no borrowers on a coronavirus-related forbearance plan as of the closing date and forbearance requests have significantly declined, Fitch did not increase its loss expectation to address the potential for writedowns due to reimbursement of servicer advances. Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 100% of the pool by Clayton Services, Opus CMC and Consolidated Analytics, which are respectively assessed as Acceptable - Tier 1, Acceptable - Tier 2 and Acceptable - Tier 3 by Fitch. The due diligence results identified no material exceptions, as 100% of the loans were graded either 'A' or 'B'. Credit exceptions were deemed immaterial and supported by compensating factors, and compliance exceptions were primarily related to the TRID (TILA-RESPA Integrated Disclosures) rule and cured with subsequent documentation. Fitch applied a credit for loans that received due diligence, which ultimately reduced the 'AAAsf' loss expectation by 16 basis points (bps). Representation and Warranty Framework Adjustment (Negative): The loan-level representation and warranty (R&W) framework is consistent with a Tier 1 framework, as it contains the full list of representations that are outstanding for the life of the mortgage loans. Despite a strong framework, repurchase obligations are designated to a separate fund that does not hold an investment-grade rating. The fund may have issues fulfilling repurchases in times of economic stress, particularly if the fund must repurchase on behalf of underlying originators. Fitch increased its loss expectations by 13bps at the 'AAAsf' rating category to account for the non-investment-grade counterparty risk of the R&W provider. Low Operational Risk (Negative): Operational risk is well controlled for in this transaction. Chimera actively purchases prime jumbo loans and is assessed as an 'average' aggregator by Fitch. Loans were primarily originated by Guaranteed Rate, Inc., Guild Mortgage Company LLC and Fairway Independent Mortgage Corporation (Fairway), which comprise approximately 19%, 18% and 16% of the loans in the transaction pool, respectively. Fitch has reviewed both Guaranteed Rate and Fairway mortgage origination platforms and has assessed them both to be 'Average' originators. Shellpoint Mortgage Servicing is the named servicer for the transaction and is responsible for primary and special servicing functions. Fitch views Shellpoint as a sound servicer of prime loans, and the company is rated 'RPS2'/Outlook Stable. Wells Fargo Bank, N.A. (RMS1-/Negative) will act as master servicer. Overall, Fitch increased its expected losses at the 'AAAsf' rating stress slightly, by 8bps, to reflect the absence of originator assessments covering a portion of the transaction coupled with the 'average' aggregator assessment. 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'. Factors 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 40.7% 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 Services 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. 100% of the pool received a final grade of 'A' or 'B' and confirms no incidence of material exceptions. Approximately 16% of the loan pool (by loan count) was assigned a final grade 'B', which is lower than other prime jumbo RMBS reviewed by Fitch. Approximately 4% of the pool was graded 'B' for credit exceptions that were considered immaterial as they were supported with significant compensating factors identified by both the seller and Chimera during the acquisition process. Additionally, approximately 12% of the pool was graded 'B' for immaterial compliance exceptions primarily to the TILA-RESPA Integrated Disclosure (TRID) rule that were corrected by the seller with subsequent and/or post-closing documentation. Fitch did not apply any loss adjustments based on the due diligence results. Fitch applied a credit for loans that received due diligence, which ultimately reduced the 'AAAsf' loss expectation by 16bps. ESG CONSIDERATIONS 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. CIM TRUST 2021-J3: Moody's Assigns B2 Rating to Class B-5 Certs --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to eighty-two classes of residential mortgage-backed securities issued by CIM Trust 2021-J3 (CIM 2021-J3). The ratings range from Aaa (sf) to B2 (sf). CIM 2021-J3 is a securitization of prime residential mortgages. This transaction represents the third prime jumbo issuance by Chimera Investment Corporation (the sponsor) in 2021. The pool comprises of 340, 30-year fixed rate non-conforming mortgage loans. The mortgage loans for this transaction have been acquired by the affiliate of the sponsor, Fifth Avenue Trust (the seller) from Bank of America, National Association (BANA). BANA acquired the mortgage loans through its whole loan purchase program from various originators. Approximately, 96.6% of the loans in the pool are underwritten to Chimera Investment Corporation's (Chimera) guidelines. The credit characteristics of the mortgage loans backing this transaction are similar or better to recent CIM Trust transactions and other prime jumbo issuers that Moody's have rated. Moody's consider the overall servicing arrangement for this pool to be adequate. Shellpoint Mortgage Servicing (Shellpoint) will service the loans and Wells Fargo Bank, N.A. (Wells Fargo) (Aa1 long term deposit) will be the master servicer. 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 expected losses based on qualitative attributes, including the financial strength of the representation and warranties (R&W) provider and TPR results. CIM 2021-J3 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. Moody's coded the cash flow for each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: CIM Trust 2021-J3 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-25, Assigned Aaa (sf) Cl. A-26, Assigned Aaa (sf) Cl. A-27, Assigned Aaa (sf) Cl. A-28, Assigned Aaa (sf) Cl. A-29, Assigned Aaa (sf) Cl. A-30, Assigned Aaa (sf) Cl. A-31, Assigned Aaa (sf) Cl. A-32, Assigned Aaa (sf) Cl. A-33, Assigned Aaa (sf) Cl. A-34, Assigned Aaa (sf) Cl. A-35, Assigned Aaa (sf) Cl. A-36, Assigned Aaa (sf) Cl. A-X-1*, Assigned Aaa (sf) Cl. A-X-2*, Assigned Aaa (sf) Cl. A-X-3*, Assigned Aaa (sf) Cl. A-X-4*, Assigned Aaa (sf) Cl. A-X-5*, Assigned Aaa (sf) Cl. A-X-6*, Assigned Aaa (sf) Cl. A-X-7*, Assigned Aaa (sf) Cl. A-X-8*, Assigned Aaa (sf) Cl. A-X-9*, Assigned Aaa (sf) Cl. A-X-10*, Assigned Aaa (sf) Cl. A-X-11*, Assigned Aaa (sf) Cl. A-X-12*, Assigned Aaa (sf) Cl. A-X-13*, Assigned Aaa (sf) Cl. A-X-14*, Assigned Aaa (sf) Cl. A-X-15*, Assigned Aaa (sf) Cl. A-X-16*, Assigned Aaa (sf) Cl. A-X-17*, Assigned Aaa (sf) Cl. A-X-18*, Assigned Aaa (sf) Cl. A-X-19*, Assigned Aaa (sf) Cl. A-X-20*, Assigned Aaa (sf) Cl. A-X-21*, Assigned Aaa (sf) Cl. A-X-22*, Assigned Aaa (sf) Cl. A-X-23*, Assigned Aaa (sf) Cl. A-X-24*, Assigned Aaa (sf) Cl. A-X-25*, Assigned Aaa (sf) Cl. A-X-26*, Assigned Aaa (sf) Cl. A-X-27*, Assigned Aaa (sf) Cl. A-X-28*, Assigned Aaa (sf) Cl. A-X-29*, Assigned Aaa (sf) Cl. A-X-30*, Assigned Aaa (sf) Cl. A-X-31*, Assigned Aaa (sf) Cl. A-X-32*, Assigned Aaa (sf) Cl. A-X-33*, Assigned Aaa (sf) Cl. A-X-34*, Assigned Aaa (sf) Cl. A-X-35*, Assigned Aaa (sf) Cl. A-X-36*, Assigned Aaa (sf) Cl. A-X-37*, Assigned Aaa (sf) Cl. B-1, Assigned Aa3 (sf) Cl. B-X-1*, Assigned Aa3 (sf) Cl. B-1A, Assigned Aa3 (sf) Cl. B-2, Assigned A2 (sf) Cl. B-X-2*, Assigned A2 (sf) Cl. B-2A, Assigned A2 (sf) Cl. B-3, Assigned Baa2 (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-mean is 0.20%, in a baseline scenario-median is 0.09%, and reaches 2.15% 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% (5.94% 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 the cut-off date of May 1, 2021. CIM 2021-J3 is a securitization of 340, 30-year fixed rate, prime residential non-conforming mortgage loans with an aggregate principal balance of approximately $320,266,773. All of the mortgage loans are secured by first liens on single-family residential properties, planned unit developments, condominiums, co-operatives, and multi-family units. The loans have a weighted average seasoning of approximately one month. All of the mortgage loans are designated as qualified mortgages (QM) under the QM safe harbor rules. As of May 1, 2021, no borrower under any mortgage loan is currently in an active COVID-19 related forbearance plan with the servicer. In the event that after May 1, 2021, a borrower experiences financial difficulty as a result of the COVID-19 outbreak and requests forbearance or other relief with respect to its mortgage payments, such mortgage loan will remain in the mortgage pool. Origination Quality and Underwriting Guidelines The seller, Fifth Avenue Trust, acquired the mortgage loans from Bank of America, National Association (BANA). Approximately 96.6% of the mortgage loans by stated principal balance as of the cut-off date were acquired by BANA from various mortgage loan originators or sellers through its jumbo whole loan purchase program. 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 CIM 2021-J3 acquisition criteria. There are 11 originators in the transaction. The largest originators in the pool with more than 10% by balance are Guaranteed Rate Inc., Guaranteed Rate Affinity, LLC, and Proper Rate, LLC (combined 23.5%), Guild Mortgage Company LLC (18.0%), Fairway Independent Mortgage Corporation (16.4%), PrimeLending (14.0%) and Commerce Home Mortgage, LLC (11.2%). Moody's increased its base case and Aaa loss expectations for all loans underwritten to Chimera's underwriting guidelines, which include loans originated by the aforementioned originators, because Moody's consider 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 losses for loans originated under loanDepot's underwriting guidelines as Moody's consider the company's prime jumbo origination quality to be adequate. Servicing arrangement Moody's consider the overall servicing framework for this pool to be adequate given the servicing arrangement in this transaction in which Shellpoint will service all the mortgage loans and Wells Fargo, an experienced master servicer, provides oversight of the servicer. Shellpoint will be responsible for advancing principal and interest and corporate advances, with the master servicer backing up Shellpoint's advancing obligations if Shellpoint cannot fulfill them. In the event that after May 1, 2021 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 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. 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. Representations and Warranties Framework Each originator will provide comprehensive loan level representations and warranties for their respective loans. BANA will assign each originator's R&W to the seller, 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, Chimera Funding TRS LLC (an affiliate of the sponsor) 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. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinate bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinate bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 1.40% of the cut-off date pool balance, and as subordination lockout amount of 0.90% of the cut-off date pool balance. Moody's calculate the credit neutral floors as shown in Moody's principal methodology. Other Considerations In CIM 2021-J3, 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 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. CITIGROUP MORTGAGE 2021-RP2: DBRS Gives Prov. B Rating on B3 Notes ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage-Backed Notes, Series 2021-RP2 to be issued by Citigroup Mortgage Loan Trust 2021-RP2 (CMLTI 2021-RP2): -- $512.1 million Class A-1 at AAA (sf) -- $512.1 million Class A-1-IO at AAA (sf) -- $554.1 million Class A-2 at AA (high) (sf) -- $589.2 million Class A-3 at A (high) (sf) -- $621.8 million Class A-4 at A (sf) -- $554.1 million Class A-5 at AA (high) (sf) -- $589.2 million Class A-6 at A (high) (sf) -- $621.8 million Class A-7 at A (sf) -- $512.1 million Class A-8 at AAA (sf) -- $42.0 million Class M-1 at AA (high) (sf) -- $35.1 million Class M-2 at A (high) (sf) -- $32.6 million Class M-3 at A (sf) -- $25.8 million Class B-1 at BB (sf) -- $19.7 million Class B-2 at B (high) (sf) -- $16.9 million Class B-3 at B (sf) Class A-1-IO is an interest-only note. The class balance represents a notional amount. Classes A-2, A-3, A-4, A-5, A-6, A-7, and A-8 are exchangeable notes. These classes can be exchanged for combinations of exchange notes. The AAA (sf) rating on the Notes reflects 28.60% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (high) (sf), A (sf), BB (sf), B (high) (sf), and B (sf) ratings reflect 22.75%, 17.85%, 13.30%, 9.70%, 6.95%, and 4.60% of credit enhancement, respectively. Other than the specified class above, DBRS Morningstar does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 3,821 loans with a total principal balance of $717,238,556 as of the Cut-Off Date (April 30, 2021). The mortgage loans, which were purchased from Fannie Mae, are approximately 166 months seasoned. As of the Cut-Off Date, 98.6% of the loans are current, including 1.3% bankruptcy-performing loans. Approximately 73.3% and 97.2% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the Mortgage Bankers Association (MBA) delinquency method. The portfolio contains 95.6% modified loans. The modifications happened more than two years ago for 91.4% of the modified loans. Within the pool, 2,124 mortgages have aggregate non-interest-bearing deferred amounts of $100,111,453, which comprise approximately 14.0% of the total principal balance. Approximately 2.7% of the loans in the pool are subject to the Consumer Financial Protection Bureau Ability-to-Repay and Qualified Mortgage rules. Approximately 2.6% of these loans are designated as either Temporary Safe Harbor or Safe Harbor and 0.1% as non-QM. The remainder of the pool is exempt due to seasoning. The Seller, Citigroup Global Markets Realty Corp. (CGMRC), acquired the mortgage loans from Fannie Mae following the award of a bid in connection with a competitive auction for the initial pool. The Seller will then contribute the loans to the Trust through an affiliate, Citigroup Mortgage Loan Trust Inc. (the Depositor). As the Sponsor, CGMRC or one of its majority-owned affiliates will acquire and retain a 5% eligible vertical interest in each class of Notes (other than the Class R Notes) to satisfy the credit risk retention requirements. The loans were originated and previously serviced by various entities. As of the Cut-Off Date, the loans are serviced by an interim servicer. Such servicing will be transferred to Select Portfolio Servicing, Inc (SPS) on June 14, 2021. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner association fees in super lien states and in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. With respect to mortgage loans that are either subject to loss mitigation or at least 90 days delinquent, the Directing Noteholder may direct the Servicer to arrange for the subservicing of such mortgage loans with a particular subservicer for an agreed-upon subservicing fee. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-2 and more subordinate principal and interest (P&I) bonds will not be paid from principal proceeds until the more senior classes are retired. CORONAVIRUS IMPACT – REPERFROMING LOAN 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. Reperforming loan (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 the past six to 24 months since issuance. 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. Such deteriorations may continue to adversely affect borrowers' ability to make monthly payments, or refinance their loans. In connection with the economic stress assumed under its moderate scenario, 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 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. DBRS Morningstar generally believes that loans which 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 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, 10.8% of the borrowers are in or have completed coronavirus-related relief plans because the borrowers reported financial hardship related to coronavirus. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. The interim servicer generally offered borrowers a three-month payment forbearance plan. Beginning in month four, the borrower can repay all of 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 months. During the repayment period, the borrower needs to make regular payments and additional amounts to catch up on the missed payments. The interim servicer or the Servicer, as applicable, 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 interim servicer or Servicer may offer a repayment plan or other forms of payment relief, such as deferrals of the unpaid P&I amounts, forbearance extensions, or a loan modification, in addition to pursuing other loss mitigation options. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP MORTGAGE 2021-RP3: DBRS Gives (P) B Rating on B3 Notes ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage-Backed Notes, Series 2021-RP3 to be issued by Citigroup Mortgage Loan Trust 2021-RP3: -- $1.0 billion Class A-1 at AAA (sf) -- $73.3 million Class A-2 at AA (high) (sf) -- $1.1 billion Class A-3 at AA (high) (sf) -- $1.2 billion Class A-4 at A (sf) -- $1.2 billion Class A-5 at BBB (sf) -- $72.0 million Class M-1 at A (sf) -- $55.0 million Class M-2 at BBB (sf) -- $38.0 million Class B-1 at BB (sf) -- $31.9 million Class B-2 at B (high) (sf) -- $21.0 million Class B-3 at B (sf) Classes A-3, A-4, and A-5 are exchangeable notes. These classes can be exchanged for combinations of exchange notes. The AAA (sf) rating on the Notes reflects 24.55% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (sf), BBB (sf), BB (sf), B (high) (sf), and B (sf) ratings reflect 19.15%, 13.85%, 9.80%, 7.00%, 4.65%, and 3.10% of credit enhancement, respectively. Other than the specified class above, DBRS Morningstar does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 10,137 loans with a total principal balance of $1,357,832,280 as of the Cut-Off Date (April 30, 2021). The mortgage loans, which were purchased from Fannie Mae, are approximately 172 months seasoned. As of the Cut-Off Date, 97.2% of the loans are current, including 140 bankruptcy-performing loans. Approximately 40.7% and 68.8% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the Mortgage Bankers Association delinquency method. The portfolio contains 88.8% modified loans. The modifications happened more than two years ago for 83.3% of the modified loans. Within the pool, 3,002 mortgages have aggregate noninterest-bearing deferred amounts of $130,016,711, which comprise approximately 9.6% of the total principal balance. Approximately 3.4% of the loans in the pool are subject to the Consumer Financial Protection Bureau Ability-to-Repay (ATR) and Qualified Mortgage (QM) rules. Approximately 3.4% of these loans are designated as either Safe Harbor or Temporary Safe Harbor and less than 0.1% as non-QM. The remainder of the pool is exempt due to seasoning or loan purpose. The Seller, Citigroup Global Markets Realty Corp. (CGMRC), acquired the mortgage loans from Fannie Mae following the award of a bid in connection with a competitive auction for the initial pool. The Seller will then contribute the loans to the Trust through an affiliate, Citigroup Mortgage Loan Trust Inc. (the Depositor). As the Sponsor, CGMRC or one of its majority-owned affiliates will acquire and retain a 5% eligible vertical interest in each class of Notes (other than the Class R Notes) to satisfy the credit risk retention requirements. The loans were originated and previously serviced by various entities. As of the Cut-Off Date, the loans are serviced by Shellpoint Mortgage Servicing. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner association fees in super lien states and in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. When the aggregate pool balance is reduced to less than 25% of the balance as of the Cut-off Date, the directing noteholder may purchase all of the mortgage loans and real-estate-owned properties from the Issuer, as long as the aggregate proceeds meet a minimum price. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-1 and more subordinate principal and interest (P&I) bonds will not be paid from principal proceeds until the more senior classes are retired. CORONAVIRUS IMPACT – REPERFROMING LOAN 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. Reperforming loan (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 the past six to 24 months since issuance. Generally, these pools are highly seasoned and contain sizable concentrations of previously modified loans. As a result of the coronavirus pandemic, DBRS Morningstar has seen increased delinquencies and loans on forbearance plans. Such deteriorations may continue to adversely affect borrowers' ability to make monthly payments, or refinance 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 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. DBRS Morningstar generally believes that loans which 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 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 Act, signed into law on March 27, 2020, 11.2% of the borrowers are on or have completed coronavirus-related relief plans because the borrowers reported financial hardship related to the coronavirus pandemic. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. The interim servicer generally offered borrowers a three-month payment forbearance plan. Beginning in month four, the borrower can repay all of 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 months. During the repayment period, the borrower needs to make regular payments and additional amounts to catch up on the missed payments. The interim servicer or the Servicer, as applicable, 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 interim servicer or Servicer may offer a repayment plan or other forms of payment relief, such as deferrals of the unpaid P&I amounts, forbearance extensions, or a loan modification, in addition to pursuing other loss mitigation options. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2019-521F: DBRS Confirms B Rating on Class F Certs ------------------------------------------------------- DBRS Limited confirmed the ratings on the COMM 2019-521F Mortgage Trust, Commercial Mortgage Pass-Through Certificates issued by COMM 2019-521F Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (sf) -- Class F at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. The $242.0 million first-lien mortgage loan is secured by a 39-storey Class A office building in New York that was built in 1929. The sponsor, Savanna Capital Partners, acquired the property in May 2019 for $381.0 million. The 495,636-square foot (sf) building has three underground levels and multilevel retail space. The 521 Fifth Avenue building sits at the northeast corner of East 43rd Street, which is within the Grand Central office submarket per Reis. The property is a short distance from Grand Central Terminal, Bryant Park, and the New York City Public Library. The building offers efficient and flexible floorplates with outdoor terraces that appeal to both large and boutique tenants. Tenants can enter the office space using the main office lobby along 43rd Street, which provides additional access to the two side street retail tenants within the property. The office floorplates range in size from 3,000 sf to 22,500 sf. The property also has eight setback outdoor terraces on the fifth, 14th, 16th, 19th, 22nd, 24th, and 37th floors. Urban Outfitters occupies the prime Fifth Avenue retail space on the ground floor, while Equinox and Cazzolina Restaurant occupy the side street retail suites. The loan had an initial term of two years with the initial maturity date in June 2021. The borrower has notified the servicer of its intent to exercise the first of three one-year extension options. These options are not subject to any performance hurdles and we expect the loan's maturity to be extended to June 2022. The property consists of 89.9% office space (floors three to 39) and 10.1% retail space (sub-lower level to floor 2). Retail tenancy combined represents approximately 17.4% of the DBRS Morningstar gross potential rent with the subject's largest contributor by rent being the clothing retailer Urban Outfitters (13.2% of the DBRS Morningstar rent), which occupies 9,644 sf on the ground level and 12,525 sf on the second level. The Urban Outfitters lease commenced in August 2010, and expires in February 2026, and is structured with two five-year extension options. The largest tenant by square footage is Equinox (5.4% of the net rentable area (NRA) through January 2035), which occupies 26,914 sf of primarily below-ground-level retail space. No other tenant represents more than 5.0% of the NRA. Major office tenants at the property include BMO Capital Markets (4.5% of the NRA through May 2022), Modis Inc. (4.4% of the NRA through November 2021), and Major, Lindsey & Africa (4.4% of the NRA through January 2024). According to the March 2021 rent roll, the property was 89.6% occupied at an average gross rental rate of $61.17 per square foot (psf), compared with the occupancy rate of 93.0% and average gross rental rate of $64.83 psf at issuance. As of Q1 2021 Reis data, comparable office properties within the Grand Central submarket reported an average rental rate of $62.57 psf and a vacancy rate of 9.5%. However, these figures have changed since Q1 2020 when Reis reported figures of $66.77 psf and 7.7%. The loan benefits from the experienced institutional sponsorship of Savanna Investment Management LLC. The New York-based firm is vertically integrated with acquisition, asset management, leasing, and project management capabilities. It invests exclusively in New York City and has significant experience owning and operating office buildings throughout New York City, having managed a collective 8.4 million sf of space across 20 assets. DBRS Morningstar also notes that the collateral has a land value of $250.0 million, which exceeds the securitized loan balance. Notes: All figures are in U.S. dollars unless otherwise noted. DBGS 2018-BIOD: DBRS Confirms B(low) Rating on Class HRR Certs -------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of the Commercial Mortgage Pass-Through Certificates, Series 2018-BIOD issued by DBGS 2018-BIOD Mortgage Trust: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (high) (sf) -- Class HRR at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The loan is secured by a portfolio of 16 office/lab buildings, three office buildings, and one parking garage. The properties are located across California, Washington, Massachusetts, New York, Pennsylvania, and New Jersey. The loan benefits from its collateral concentration located within life science clusters including Boston-Cambridge, the San Francisco Bay Area, San Diego, and New Jersey, in addition to Seattle, which is considered an emerging science hub. The sponsor is an affiliate of The Blackstone Group Inc., which acquired the subject in 2016 as part of the acquisition of BioMed Realty Trust, Inc. The loan had an initial two-year term with five one-year extension options, with two of its options exercised. The loan is interest only for the fully extended term. At issuance, the whole-loan proceeds included $725.0 million of senior debt, which is held in the subject trust, $140.0 million of senior mezzanine debt, and $95.0 million of junior mezzanine debt. The loans were used to refinance existing debt of $714.6 million, with $216.9 million of equity returned to the sponsor. The loan is structured with a partial pro rata/sequential-pay structure, as the loan allows for pro rata paydowns for the first 25.0% of unpaid principal balance. The underlying release provisions convey the prepayment premium for the release of the individual assets at 105.0% for the first 25.0% of the senior loan balance and 110.0% thereafter. Since issuance, the Walnut Street and Trade Centre Avenue properties have been released, with the release prices bringing the senior note balance down to $672.9 million. Those are the only property releases processed to date. This loan was previously on the servicer's watchlist because of the extended maturity date in May 2021; however, the second extension option was exercised, with the loan now due in May 2022, and the loan was removed from the servicer's watchlist as of the May 2021 remittance report. According to the December 2020 rent roll, the property was 81.6% occupied, which is a decline from the YE2019 occupancy rate of 92.6%. DBRS Morningstar has requested a leasing update from the servicer and a response is currently pending as of the date of this press release. Although occupancy has declined, it is still in line with DBRS Morningstar's analysis at issuance, which assumed a vacancy loss of 17.1%. There are leasing reserves in place, and the sponsor made a $3.4 million payment in to the reserves with the May 2021 remittance. According to the trailing 12-months ended September 2020 financials, the loan reported a net cash flow (NCF) of $71.9 million, compared with the YE2019 NCF of $73.6 million, YE2018 NCF of $69.9 million, and DBRS Morningstar NCF of $52.8 million. Notes: All figures are in U.S. dollars unless otherwise noted. DBUBS 2017-BRBK: DBRS Confirms B(low) Rating on Class HRR Certs --------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-BRBK issued by DBUBS 2017-BRBK Mortgage Trust as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) -- Class HRR at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The collateral is a first-lien mortgage on the borrower's fee-simple interests in four Class A office properties in Burbank, California. The four properties comprising the portfolio include three office towers in Burbank's Media District known as The Pointe, 3800 Alameda, and Central Park as well as a five-building creative office campus, the Media Studios, four miles north of the Media District adjacent to Hollywood Burbank Airport. In total, the portfolio comprises 2.1 million square feet (sf). Whole loan proceeds of $660 million along with $378.8 million of sponsor equity were used to acquire the portfolio for a purchase price of $1.03 billion. The trust loan is part of a split loan structure and includes four senior notes with an aggregate balance of $249 million and two junior notes with an aggregate balance of $281 million, resulting in an aggregate trust principal balance of $530 million. The whole loan includes five non trust senior notes that total $130 million, which have been contributed to other commercial mortgage-backed security (CMBS) transactions, including CD 2017-CD6 Mortgage Trust, which is also rated by DBRS Morningstar. The whole loan is structured as an interest-only (IO), fixed-rate loan with a seven-year term that matures in October 2024. At issuance, DBRS Morningstar noted that the portfolio had high rollover risk, as tenants representing 74.4% of the net rentable area (NRA) had lease expirations during the loan term. This risk is mitigated by the portfolio's proximity to studio headquarters for the three largest tenants with lease expirations during the loan term. The Walt Disney Company (Disney) in particular occupies the single-tenant building at 3800 Alameda (in addition to spaces at other properties), with lease expirations during the fourth and sixth years of the loan term. However, according to the March 2021 rent roll for the 3800 Alameda property, Disney has renewed its entire 421,835 sf (20.3% of portfolio NRA) at the 3800 Alameda property for 10 years and will be receiving nine months of rent abatement until January 2022. Based on the most recent rent rolls provided (as of December 2020 for the Central Park property and as of March 2021 for the other three properties), tenants representing 11.3% of the total portfolio NRA have leases with upcoming expirations through December 2022. Included in this group of expirations, however, are only two tenants that represent more than 1% of NRA: Outlook Amusements, Inc. (1.8% of NRA, with lease expiration in May 2021) and Rovi Corporation (1.6% of NRA, with lease expiration in December 2021). The most recent rent rolls show that the portfolio was 93.1% occupied, compared with the servicer's YE2020 reporting that noted occupancy of 94.0%. The portfolio's five largest tenants, representing 61.8% of total portfolio NRA, include Disney (31.0% of portfolio NRA); AT&T (12.7% of portfolio NRA, primarily through subsidiaries Warner Bros. Entertainment, Inc. and Turner Broadcasting System, Inc.); Kaiser Foundation Health Plan, Inc. (9.3% of portfolio NRA); Legendary Entertainment (5.1% of portfolio NRA); and Hasbro, Inc. (3.7% of portfolio NRA). Disney, Turner Broadcasting System, Inc., Warner Bros. Entertainment, Inc., and Kaiser Foundation Health Plan, Inc. were all considered investment-grade tenants at issuance, and, as of May 2021, the tenants remain investment grade. As of the YE2020 financials, the servicer reported a net cash flow (NCF) of $57.3 million and debt service coverage ratio (DSCR) of 2.57 times (x). This compares favorably with the YE2019 NCF and DSCR of $57.0 million and 2.41x, respectively, and is stronger than the DBRS Morningstar-assumed NCF of $48.3 million. The variance from the DBRS Morningstar NCF figure is primarily because of differences in vacancy, step rent assumptions, and concessions. Additionally, with the free rent for the Disney renewal at the 3800 Alameda property, DBRS Morningstar expects the base rent revenues to decline during 2021 but anticipates that NCF should rebound in 2022. The property continues to benefit from strong sponsorship and experienced management. At issuance, through various affiliates, The Blackstone Group Inc. acquired an 80.0% interest in each property in the portfolio from certain separate joint ventures comprising Worthe Real Estate Group Inc. (Worthe) affiliates and certain third parties. In connection with the acquisition, affiliates of Worthe acquired or retained the remaining 20.0% interest in each property in the portfolio. Worthe operates media and technology campuses in Los Angeles, with an existing portfolio comprising 35 assets totaling approximately 5.4 million sf. Worthe is the largest owner and manager of real estate by square footage in Burbank and manages all four assets in the portfolio. Notes: All figures are in U.S. dollars unless otherwise noted. DBUBS MORTGAGE 2011-LC1: Fitch Affirms B Rating on G Certs ---------------------------------------------------------- Fitch Ratings has affirmed two classes of DBUBS Mortgage Trust commercial mortgage pass-through certificates series 2011-LC1. In addition, Fitch revised the Rating Outlook for both classes to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- DBUBS 2011-LC1 F 233050AK9 LT BBsf Affirmed BBsf G 233050AL7 LT Bsf Affirmed Bsf KEY RATING DRIVERS Lowered Loss Expectations: Fitch's loss projections have declined following the repayment of 18 loans since the last rating action. Loans which have repaid from the trust include the two previous largest projected loss contributors, Kenwood Towne Center and 1200 K Street, which were repaid in full from the trust in February 2021. Fitch's current loss expectations for the three loans still outstanding are contained to the unrated class. Increased Credit Support Offset by Pool Concentration: There has been considerable collateral reduction since the last rating action, with 18 repaid loans contributing approximately $572.5 million in principal paydown to the bonds. As of the May 2021 distribution, the pool has paid down by 94% to $130.5 million from $2.2 billion at issuance. Although the trust continues to receive monthly amortization, the pool has become extremely concentrated with only three loans remaining, all of which are Fitch Loans of Concern. The largest loan is the Marriott Crystal Gateway (62.5% of the pool). The subject is a 697-key full-service hotel in Alexandria, VA managed by Marriott International, Inc. The property is well located, approximately two miles from Reagan National Airport. It has historically outperformed its competitive set. An August 2020 site inspection indicated the property was in very good condition. The loan transferred to special servicing in June 2020 and the borrower submitted various modification proposals to the special servicer. A modification was ultimately executed in November 2020 and the loan was returned to the master servicer in March 2021. Terms of the modification included a 12-month extension of the maturity date to November 2021, repayment of all defaulted debt service and interest, and a $9 million capital infusion to pay down the loan, with the final $2 million installment scheduled for July 2021. An appraisal conducted in January 2021 indicates an as-is value that is in excess of the loan amount. This remains a FLOC given the upcoming scheduled maturity and previous maturity default; however, based on the borrower's recent capital contributions, collateral quality and location, Fitch expects there will be sufficient proceeds to repay the class F and G certificates. This has contributed to the revision of Rating Outlooks to Stable. The two remaining loans are Westgate I Corporate Center (27.9% of the pool) and Fordham Road Retail (9.6% of the pool). Both loans are in special servicing for missing their January 2021 maturity dates. Westgate I Corporate Center is a vacant office building in Basking Ridge, NJ. The sole tenant vacated in December 2020 as expected, following years of reports that it had plans to relocate. The loan has been in cash management and has a current leasing reserve of $5.6 million ($24.17 psf). The borrower submitted a modification proposal which was deemed unacceptable by the special servicer. Fitch's projected loss severity of 29% is based on a dark value analysis and is not expected to exceed the unrated class balance. Fordham Road Retail comprises two unanchored retail properties located in Fordham Heights, NY. The largest tenant is Planet Fitness (56.6% of the NRA through July 2025). The borrower has stated that it has been unable to secure refinancing due to the anchor tenant being a gym. The property is fully occupied and has been cash flowing. The borrower, who has continued remitting monthly debt service payments, has indicated it has no capital to offer for a maturity date extension. The special servicer is dual-tracking modification and foreclosure. Fitch's projected loss, which is based on a sensitivity that assumes a 30% loss severity, is not expected to exceed the unrated class balance. RATING SENSITIVITIES Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Classes F and G are not likely to be upgraded due to the pool's concentration. The ratings have been affirmed below investment grade as all three outstanding loans defaulted at their original maturity dates and have previously been, or are currently in, special servicing. Factor that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming loans or the transfer of loans to special servicing. Classes F and G could be downgraded if Marriott Crystal Gateway fails to refinance and defaults at maturity, or if the specially service assets experience significantly higher than expected losses at disposition. 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. DEEPHAVEN 2021-2: S&P Assign Prelim B- (sf) Rating on B-2 Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Deephaven Residential Mortgage Trust 2021-2's mortgage pass-through notes series 2021-2. The note issuance is an RMBS transaction backed by first-lien fixed- and adjustable-rate fully amortizing and interest-only residential mortgage loans primarily secured by single-family residences, planned unit developments, two-to-four-family homes, condominiums, five-to-10 unit properties, mixed-use properties, townhouses, and one condotel residential property to both prime and nonprime borrowers. The pool has 452 loans, which are primarily nonqualified mortgage (non-QM) and ATR-exempt loans. The preliminary ratings are based on information as of June 7, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics -- The representation and warranty framework; -- The mortgage aggregator, Deephaven Mortgage LLC; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. 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." Preliminary Ratings Assigned(i) Deephaven Residential Mortgage Trust 2021-1 Class A-1, $137,353,000: AAA (sf) Class A-2, $11,895,000: AA (sf) Class A-3, $20,028,000: A (sf) Class M-1, $12,607,000: BBB (sf) Class B-1, $8,744,000: BB (sf) Class B-2, $7,828,000: B- (sf) Class B-3, $4,880,569: NR Class XS, Notional(ii): NR Class A-IO-S, Notional(ii): NR Class R: NR (i)The collateral and structural information in this report reflects the term sheet dated June 3, 2021. The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount equals the aggregate stated principal balance of loans in the pool. NR--Not rated. ENCINA EQUIPMENT 2021-1: DBRS Finalizes BB Rating on Class E Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of asset-backed notes issued by Encina Equipment Finance 2021-1, LLC: -- $108,700,000 Class A-1 Notes at AAA (sf) -- $88,940,000 Class A-2 Notes at AAA (sf) -- $13,242,000 Class B Notes at AA (sf) -- $13,812,000 Class C Notes at A (sf) -- $21,643,000 Class D Notes at BBB (sf) -- $12,103,000 Class E Notes at BB (sf) The ratings are based on the review by DBRS Morningstar of the following analytical considerations: (1) In its analytical review, DBRS Morningstar considered the 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. The scenarios were 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 (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. (2) DBRS Morningstar's respective stressed cumulative net loss (CNL) hurdle rates of 32.94%, 27.99%, 22.74%, 15.87%, and 11.37% in the cash flow scenarios commensurate with the AAA (sf), AA (sf), A (sf), BBB (sf), and BB (sf) ratings did not assign any credit to seasoning of the collateral of approximately 11 months as of the Cut-Off Date. In addition, DBRS Morningstar assigned no credit to any expected build-up in collateral coverage over the life of the transaction. (3) DBRS Morningstar assessed the stressed CNL hurdle rates at each rating level by blending the stressed net loss assumptions for the concentrated (including 22 obligors) and more granular portions of the collateral pool based on their share of the Aggregate Securitization Value. (4) The transaction's capital structure and form and sufficiency of available credit enhancement. The subordination, overcollateralization, cash held in the reserve account, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the respective ratings for each class of Notes. (5) The weighted-average (WA) yield for the collateral pool is approximately 8.43%. The securitization value of the collateral pool is determined by discounting all leases and loans at either implied or actual applicable contract rate, thus, creating excess spread that may be available to the Notes. (6) The transaction does not have a prefunding period. (7) The transaction is the first 144A term securitization sponsored by Encina Equipment Finance, LLC (Encina EF), which has been operating since 2017. Nevertheless, the company's senior management team has extensive experience in equipment industry, originating, underwriting, and managing credit to small- and middle-market companies in the United States through multiple market cycles. Funds managed by Oaktree Capital Management hold a minority equity interest in Encina EF and also participate in the investment committee. (8) Since inception, Encina EF has experienced a limited number of obligor defaults and low and intermittent amount of charge-offs. (9) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Encina EF, that the trustee has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar Legal Criteria for U.S. Structured Finance. Notes: All figures are in U.S. dollars unless otherwise noted. EXETER AUTOMOBILE 2021-2: S&P Assigns BB(sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2021-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 59.9%, 53.3%, 44.4%, 34.8%, and 29.7% credit support for the class A-1, A-2, and A-3 notes (collectively, class A), B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). This credit support provides coverage of approximately 2.78x, 2.44x, 1.99x, 1.52x, and 1.27x our 21.00%-22.00% expected cumulative net loss range. These break-even scenarios withstand cumulative gross losses of approximately 92.2%, 82.0%, 71.1%, 55.7%, and 47.6%, (for the base and upsized pools), respectively. -- S&P's expectation for timely interest and principal payments on the notes, based on stressed cash flow modeling scenarios, which, in its view, are appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario (1.52x its expected loss level), all else being equal, our ratings will be within the credit stability limits specified by section A.4 of the Appendix in "S&P Global Ratings Definitions," published Jan. 5, 2021. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's payment, credit enhancement, and legal structures. 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 Exeter Automobile Receivables Trust 2021-2 Class A-1, $105.79 million: A-1+ (sf) Class A-2, $330.00 million: AAA (sf) Class A-3, $137.62 million: AAA (sf) Class B, $173.20 million: AA (sf) Class C, $186.81 million: A (sf) Class D, $196.71 million: BBB (sf) Class E, $69.90 million: BB (sf) FIRST INVESTORS 2020-1: S&P Affirms B (sf) Rating on Class F Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on nine classes from three First Investors Auto Owner Trust (FIAOT) transactions. At the same time, S&P affirmed its ratings on nine classes from the transactions. The transactions' collateral pools comprise auto loan receivables that were originated to mainly subprime borrowers. The rating actions reflect S&P's view of each transaction's structure, credit enhancement level, and collateral performance to date, as well as S&P's expectations regarding its future collateral performance, including an upward adjustment in remaining cumulative net losses (CNLs) to account for the COVID-19-induced recession. S&P also incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Considering all these factors, S&P believes the notes' credit worthiness is consistent with the raised and affirmed ratings. Table 1 Collateral Performance (%)(i) Pool Current 60+ days Series Month factor CNL delinq. 2019-1 25 38.03 4.25 1.83 2019-2 19 50.47 2.93 1.81 2020-1 14 57.37 2.07 1.59 (i)As of the May 2021 distribution date. CNL--Cumulative net. Delinq.--Delinquencies. Table 2 CNL Expectations (%) Initial Prior Current lifetime lifetime lifetime Series CNL exp. CNL exp.(ii) CNL exp.(i) 2019-1 9.75-10.25 11.50-12.00 9.00-9.50 2019-2 10.75-11.25 11.00-11.50 9.00-9.50 2020-1 10.75-11.25 11.00-11.50 9.00-9.50 (i)As of the May 2021 distribution date. (ii)2019-1 was last revised in Aug. 2020, and 2019-2 and 2020-1 in Oct. 2020. CNL exp.--Cumulative net loss expectations. Each transaction has a sequential principal payment structure in which the notes are paid principal by seniority, as well as credit enhancement in the form of a nonamortizing reserve account, overcollateralization, subordination for the higher-rated tranches, and excess spread. The hard credit enhancement for each transaction is at the specified target or floor. The credit enhancement levels have increased for all of the outstanding classes as a percentage of their current collateral balances and are a major consideration behind the upgrades and affirmations. Table 3 Hard Credit Support (%) As of the May 2021 distribution date Initial hard Current hard Series Class credit support(i) credit support(i) 2019-1 A 29.33 79.31 2019-1 B 23.58 64.19 2019-1 C 15.08 41.84 2019-1 D 8.34 24.10 2019-1 E 4.34 13.59 2019-1 F 2.00 7.44 2019-2 A 31.10 65.11 2019-2 B 23.80 50.65 2019-2 C 14.30 31.83 2019-2 D 7.60 18.55 2019-2 E 4.15 11.71 2019-2 F 1.50 6.47 2020-1 A 31.35 58.14 2020-1 B 24.35 45.95 2020-1 C 14.85 29.39 2020-1 D 7.85 17.19 2020-1 E 4.35 11.08 2020-1 F 1.50 6.11 (iii)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "We incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNL for those classes for which hard credit enhancement alone without credit to the expected excess spread was sufficient, in our view, to raise the ratings to or affirm the ratings at 'AAA (sf)'. For the other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. Our various cash-flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given each transaction's performance to date. Aside from our break-even cash flow analysis, we also conducted sensitivity analyses for these series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectation. "In our view, the results demonstrated that the classes all have adequate credit enhancement at the raised or affirmed rating levels. We will continue to monitor the performance of the outstanding transactions to ensure the credit enhancement remains sufficient, in our view, to cover our cumulative net loss expectations under our stress scenarios for each of the rated classes." 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 RAISED First Investors Auto Owner Trust Rating Series Class To From 2019-1 B AAA (sf) AA (sf) 2019-1 C AA+ (sf) A (sf) 2019-1 D A- (sf) BBB (sf) 2019-2 B AAA (sf) AA (sf) 2019-2 C AA- (sf) A (sf) 2019-2 D BBB+ (sf) BBB (sf) 2020-1 B AAA (sf) AA (sf) 2020-1 C AA- (sf) A (sf) 2020-1 D BBB+ (sf) BBB (sf) RATINGS AFFIRMED First Investors Auto Owner Trust Series Class Rating 2019-1 A AAA (sf) 2019-1 E BB- (sf) 2019-1 F B (sf) 2019-2 A AAA (sf) 2019-2 E BB- (sf) 2019-2 F B (sf) 2020-1 A AAA (sf) 2020-1 E BB (sf) 2020-1 F B (sf) FLAGSTAR MORTGAGE 2021-4: Fitch Gives 'B(EXP)' Rating to B-5 Certs ------------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates (RMBS) issued by Flagstar Mortgage Trust 2021-4 (FSMT 2021-4). DEBT RATING ---- ------ FSMT 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-X-1 LT AAA(EXP)sf Expected Rating A-X-2 LT AAA(EXP)sf Expected Rating A-X-4 LT AAA(EXP)sf Expected Rating A-X-6 LT AAA(EXP)sf Expected Rating A-X-8 LT AAA(EXP)sf Expected Rating A-X-10 LT AAA(EXP)sf Expected Rating A-X-12 LT AAA(EXP)sf Expected Rating A-X-14 LT AAA(EXP)sf Expected Rating A-X-16 LT AAA(EXP)sf Expected Rating A-X-18 LT AAA(EXP)sf Expected Rating A-X-20 LT AAA(EXP)sf Expected Rating A-X-22 LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-1-A LT AA(EXP)sf Expected Rating B-1-X LT AA(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-2-A LT A(EXP)sf Expected Rating B-2-X LT A(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-3-A LT BBB(EXP)sf Expected Rating B-3-X LT BBB(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6-C LT NR(EXP)sf Expected Rating B-X LT BBB(EXP)sf Expected Rating B LT BBB(EXP)sf Expected Rating LT-R LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates issued by Flagstar Mortgage Trust 2021-4 (FSMT 2021-4) as indicated above. The transaction is expected to close on June 25, 2021. The certificates are supported by 827 newly originated fixed-rate prime quality first liens on one- to four-family residential homes and condominiums. The pool consists of both non-agency jumbo and agency eligible mortgage loans. The total balance of these loans is approximately $750.54 million as of the cutoff date. This is the 16th post-financial crisis issuance from Flagstar Bank, FSB (Flagstar). 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, Rebuttable Presumption, or Temporary qualified mortgages (SHQM, HPQM, and TQM, respectively). Flagstar (RPS2-/Negative) 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 YE21; 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. 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 (three months per the transaction documents). The pool has a weighted average (WA) original FICO score of 773 and 30.9% DTI (as determined by Fitch), which is indicative of very high credit quality borrower. Approximately 80.4% of the loans have a borrower with an original FICO score at or above 750. In addition, the original WA combined loan-to-value ratio (CLTV) of 63.7%, translating to a sustainable loan-to-value ratio (sLTV) of 69.3%, represents substantial borrower equity in the property and reduced default risk. The pool consists of 96.0% of loans where the borrower maintains a primary residence, while 4.0% is a second home. Single-family homes comprise 94.6% of the pool, and condominiums make up 3.5%. Cashout refinances comprise 13.0% of the pool, purchases, 28.2%, and rate-term refinances, 58.8%. Of the loans, 94.0% are non-conforming. while 6.0% are conforming loans. All of the loans were originated through a retail channel. A total of 220 loans in the pool are over $1 million, and the largest loan is $2.5 million. No loans in the pool were made to foreign nationals/nonpermanent residents. Fitch viewed this as a positive attribute for the transaction. Shifting Interest Structure and Full Servicer Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, Flagstar (RPS2-/Negative), will provide full advancing for the life of the transaction. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Wells Fargo Bank (servicer rating of RMS1-/Negative; IDR, AA-/ Negative) is the master servicer in this transaction and will advance delinquent P&I on the loans if Flagstar is not able to. Subordination Floor (Positive): A credit enhancement or senior subordination floor of 0.70% 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 0.50% 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 COVID 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." The B-5 certificates passed Fitch's 'BBsf' stresses, however the committee decided to assign a 'Bsf' rating to the class due to its position in the capital structure and tranche size. 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'. Factors 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 40.1% 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. -- 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 Canopy Financial Technology Partners, LLC. The third-party due diligence described in Form 15E focused on credit, compliance, property valuation and data integrity. Fitch considered this information in its analysis. Fitch applied an adjustment to losses based on the unreviewed population of the pool as described below. A credit was given to loans that received a due diligence review, which decreased Fitch's loss expectations by 5bps at the 'AAAsf' rating stress. The sample was determined by a statistically significant selection methodology based on a 95% confidence level with a 5% error rate. Flagstar adopted this methodology in 2019 when it had previously selected loans for review at a fixed rate. For loans that were reviewed, the diligence scope consisted of a review of credit, regulatory compliance, property valuation and data integrity. Both the sample size and review scope are consistent with Fitch criteria for diligence sampling. 100% of the loans in the review sample received a final diligence grade of 'A' or 'B' and the results did not indicate material defects. The sample exhibited strong adherence to underwriting guidelines as approximately 98% of loans received a final credit grade of 'A'. The sample had a low concentration of compliance 'B' exceptions (3.8%) compared to the average prime jumbo non-agency transactions (46%). Approximately 0.5% 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 32% of the initial pool, which led Fitch to extrapolate the findings to the remainder of the pool. Since more than half of the pool did not receive due diligence, Fitch assumed that 0.5% of the non-reviewed loans have potential TRID exceptions that would be identified as material and not cured with post-closing documentation. Fitch applies a standard loss adjustment of $15,500 to the loss amount for material TRID exceptions as these loans can carry an increased risk of statutory damages. However, the aggregate loss severity adjustment was negligible at the 'AAAsf' level, and Fitch did not make any further adjustments to the model output. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on approximately 32% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria," and Canopy Financial Technology Partners, LLC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. 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-5designated 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. GCAT 2021-NQM2: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to GCAT 2021-NQM2's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans primarily secured by single-family residential properties, planned-unit developments, condominiums, condotels, cooperatives, two- to four-family residential properties, and manufactured housing properties to both prime and nonprime borrowers. The pool has 377 loans, which are nonqualified or ATR-exempt mortgage loans. The ratings reflect S&P's view of: -- The asset pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's geographic concentration; -- The transaction's representation and warranty framework; -- The mortgage aggregator, Blue River Mortgage III LLC; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and the liquidity available in the transaction. 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& 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 GCAT 2021-NQM2 Class A-1, $148,898,000: AAA (sf) Class A-1X, $148,898,000: AAA (sf) Class A-2, $16,066,000: AA (sf) Class A-3, $21,946,000: A (sf) Class M-1, $10,396,000: BBB (sf) Class B-1, $6,090,000; BB (sf) Class B-2, $3,991,000: B (sf) Class B-3, $2,625,238: Not rated Class A-IO-S, Notional(i): Not rated Class X, Notional(i): Not rated Class R, N/A: Not rated (i)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period, which initially is $210,012,238. GLS AUTO 2021-2: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GLS Auto Receivables Issuer Trust 2021-2's (GCAR 2021-2) automobile receivables-backed notes series 2021-2. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of June 2, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 56.7%, 49.0%, 40.0%, 31.1%, and 26.1% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 2.90x, 2.47x, 1.98x, 1.51x, and 1.25x its 19.00%-20.00% expected cumulative net loss (CNL) for the class A, B, C, D, and E notes, respectively. These break-even scenarios withstand cumulative gross losses (CGLs) of approximately 90.7%, 78.4%, 66.6%, 51.9%, and 43.5%, respectively. -- S&P's expectations that under a moderate ('BBB') stress scenario (1.60x its expected loss level), all else being equal, the preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB- (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within the credit stability limits specified by section A.4 of the Appendix contained in S&P Global Rating Definitions. -- S&P's analysis of over seven years of origination static pool and securitization performance data on Global Lending Services LLC's (GLS) 15 Rule 144A securitizations. -- The collateral characteristics of the subprime automobile loans securitized in this transaction, including the representation in the transaction documents that all contracts in the pool have made a least one payment. -- The notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, D, and E notes. -- The timely interest and principal payments made to the notes under our stressed cash flow modeling scenarios, which we believe are appropriate for the assigned preliminary ratings. 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." Preliminary Ratings Assigned GLS Auto Receivables Issuer Trust 2021-2 Class A, $278.23 million: AAA (sf) Class B, $82.62 million: AA (sf) Class C, $80.02 million: A (sf) Class D, $75.12 million: BBB- (sf) Class E, $43.91 million: BB- (sf) GS MORTGAGE 2021-ROSS: DBRS Finalizes B(low) Rating on G Certs -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates issued by GS Mortgage Securities Corporation Trust 2021-ROSS, Series 2021-ROSS: -- Class A at AAA (sf) -- Class A-Y at AAA (sf) -- Class A-Z at AAA (sf) -- Class A-IO at AAA (sf) -- Class B at AA (high) (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) All trends are Stable. Class X and Class H are not rated by DBRS Morningstar. Class X is an interest-only (IO) class whose balance is notional. The Class A, A-Y, A-Z, and 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. The GS Mortgage Securities Corporation Trust 2021-ROSS portfolio, consisting of the fee-simple interests in seven properties totaling approximately 2.13 million sf of Class A/B, cross-collateralized office space, is well-positioned to take advantage of improving market fundamentals as the Rosslyn market continues transform into a modern, mixed-use, live-work-play environment. Having been heavily affected by the Department of Defense Base Realignment and Closure Act (BRAC) and the federal budget sequestration as well as historically dominated by government tenants and contractors, the submarket continues to diversify with private sector tenants committing to the market at the portfolio and at other properties in Rosslyn. Overall vacancy rates in the submarket spiked to a peak of 28.2% in 2014 and according to the appraisals, the vacancy rate at the end of 2020 (including sublet availabilities) was 18.1%, up from year-end 2019 due to pandemic-related dynamics, but down from the 2018 level of 21.7%. Following Amazon's November 2018 announcement that it will construct its new "HQ2" Pen Place campus in nearby Arlington, demand by private office tenants has further increased in the Rosslyn market as users find themselves priced out of the Arlington office market where rents have already started to increase. Demand by office tenants and residential tenants alike is expected to continue to rise in Rosslyn as workers move to the area for Amazon's assumed 25,000 new high-paying jobs and Amazon suppliers seek a presence close to their customer. Construction review of the second phase of the HQ2 project commenced early March 2021 and is expected to deliver by 2025. As of December 2020, Amazon had already relocated 1,600 employees to the Arlington area. In addition, approximately 1.5 million sf of noncompetitive, low price-point office product in Rosslyn (approximately 44% of lesser quality supply) is approved or proposed for mixed-use development to create an additional 2,200 residential units, 350 hotel rooms, and 135,000 sf of retail. Previously identified as an office dominant submarket with considerable exposure to government tenants, further development borne out of obsolete office product will continue to reduce the stock of noncompetitive, low price-point office supply in Rosslyn. Five of the properties were previously securitized in 2017 in the RPT 2017-ROSS transaction, which was financed by GSCRE and BXMT. 1400 Key Boulevard and 1401 Wilson Boulevard, which were part of the 2017 securitization, have been replaced by 1200 Wilson Boulevard and 1701 North Fort Myer Drive. Strong and experienced sponsorship has invested approximately $168.7 million toward renovating and re-leasing the Rosslyn portfolio's seven buildings since 2017, which has included the creation of spacious upgraded lobbies, renovated common areas, and the addition of modern tenant amenities such as club-quality fitness centers and airy open common areas demanded by today's workforce. 1100 Wilson Boulevard has seen the addition of a finished roof deck, which allows tenants to enjoy the views of neighboring Washington, D. C., just across the Potomac River. Behind the scenes, the building systems have been upgraded and modernized as needed to meet today's high-tech needs. The Sponsor's continued investment in the properties has resulted in new and renewal leases totaling approximately 982,000 sf (46.2% of the total NRA) since the beginning of 2017. As of February 28, 2021, the portfolio was 78.2% leased across the seven properties to a diverse mix of over 60 individual public and private sector tenants. The portfolio's largest tenant is the U.S. Department of State (342,967 sf, 16.1% of the NRA), which recently executed a 15-year renewal at 1701 North Fort Myer Drive, expanded into 1200 Wilson Boulevard in 2019, and does not roll until June 2034. Other than the Department of State, no single tenant occupies more than 6.0% of the portfolio's NRA or produces more than 8.0% of the gross rents. Approximately 671,000 sf (31.6% of the NRA) of the portfolio's rent roll and 36.1% of total rent carries an investment grade rating. Since 2009, the portfolio has averaged an occupancy level of 81.5%, with a peak occupancy of 98.5% in 2009 and a trough occupancy of 67.0% in 2015. The portfolio is owned by a joint venture between US Real Estate Opportunities I, L.P. (approximately 89% ownership) (USREO) and an affiliate of Monday Properties (approximately 11% ownership). USREO is a $1.3 billion fund formed by The Goldman Sachs Group, Inc., which controls the fund, and two sovereign wealth funds. Monday Properties has managed the properties since 2005 and, together with its partner, has owned the properties since 2011. As of December 2020, the Sponsor had a total cost basis in the portfolio of approximately $1.35 billion and will have $329 million of implied equity remaining in the portfolio post transaction. The Sponsor also contributed approximately $106 million of equity in June 2020 to pay down the existing debt in order to qualify for an extension. DBRS Morningstar believes that the substantial amount of Sponsor equity, combined with sponsorship's combined strength and experience as reflected by proactive repositioning of the properties, adds to the strength of this transaction. The ongoing Coronavirus Disease (COVID-19) pandemic continues to pose challenges and risks to virtually all major commercial real estate (CRE) 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. Despite the disruptions and uncertainty, the collateral has largely been unaffected with year-to-date rent collections as of April 2021 at 99.2%. GS Commercial Real Estate LLC and Goldman Sachs Bank USA originated the $841 million whole loan, which consists of a $691 million mortgage loan and $150 million of mezzanine debt. The mortgage loan has a two-year initial term (with three one-year extension options). The mortgage loan pays floating-rate interest of Libor plus a spread of 3.02439% on an interest-only (IO) basis through the initial maturity of the loan. The spread will increase by 0.15% from and after the commencement of the second extension term; Libor is subject to a floor of 0%. The mezzanine loan has a two-year initial term (with three one-year extension options). The mezzanine loan pays floating-rate interest of Libor plus 9.72207% on an IO basis through the final initial of the loan. On or about May 28, 2021, a portion of the mezzanine loan evidenced by the $112.5 million Note A-1 is expected to be securitized in a stand-alone, mezzanine securitization, the certificates of which are expected to be purchased by Lord Abbett, and the remaining portion of the Mezzanine Loan evidenced by the $37.5 million Note A-2 is expected to be purchased by a sovereign wealth fund that has an ownership interest in USREO. The Sponsor is partially using proceeds from the whole loan and mezzanine debt to repatriate approximately $63.3 million of equity. DBRS Morningstar views cash-out refinancing transactions as less favorable than acquisition financings as sponsors typically have less incentive to support a property through times of economic stress if less of their own cash equity is at risk. Based on the appraiser's as-is valuation of $1.17 billion, the Sponsor will have approximately $329 million of unencumbered market equity remaining in the transaction. The DBRS Morningstar loan-to-value ratio (LTV) is high at 112.4% based on the $691 million mortgage loan and increases substantially to an all-in DBRS Morningstar LTV of 136.7% when factoring in the mezzanine debt. In order to account for the high leverage, DBRS Morningstar programmatically reduced its LTV benchmark targets for the transaction by 2.75% across the capital structure. The nonrecourse carveout guarantor is US Real Estate Opportunities I, L.P., which is required to maintain a domestic net worth of only at least $225 million or more, inclusive of the property, and aggregate liquid assets of at least $25 million, effectively limiting the recourse back to the Sponsor for bad act carveouts. "Bad boy" guarantees and consequent access to the guarantor help mitigate the risk and increased loss severity of bankruptcy, additional encumbrances, unapproved transfers, fraud, misappropriation of rents, physical waste, and other potential bad acts of the borrower or its sponsor. Individual properties are permitted to be released with customary requirements. However, the prepayment premium for the release of individual assets is 105% of the ALA for the applicable property up to 25% of the original principal balance and thereafter 115% of the ALA for the applicable property. DBRS Morningstar considers the release premium to be weaker than those of other previously rated single-borrower, multi-property transactions 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. GSCG Trust 2019-600C: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------------ DBRS Limited confirmed its ratings on the GSCG Trust 2019-600C as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class X at A (high) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) Classes A, B, C, X, and D have Stable trends. Classes E, F, and G continue to have Negative trends because DBRS Morningstar is concerned about the property's exposure to WeWork, which accounts for 51.7% of the collateral property's net rentable area (NRA). Although there is a long-term lease in place, the company has shuttered many of its facilities since the outbreak of the Coronavirus Disease (COVID-19) pandemic, and an infusion of liquidity from its largest investor, Softbank, failed to materialize. This places the company at increased risk with significantly reduced revenue. The property exhibits significant tenant concentration, with the largest tenant—WeWork—accounting for 51.7% of the NRA. After an initial public offering failed in 2019, WeWork announced a second plan to go public in March 2021 through a merger with the special purpose acquisition company BowX Acquisition. Although this is a newsworthy development, WeWork continues to face significant challenges and could continue to shed locations as profitability issues persist. It was reported in February 2021 that a WeWork spokesperson had confirmed that the company is considering closing four locations in San Francisco, including locations at 1161 Mission Street, 995 Market Street, 156-160 Second Street, and 25 Taylor Street, and unconfirmed reports indicate that WeWork had already terminated its leases at 180 Sansome Street and 1 Post Street (all six of these properties have been removed from the WeWork website), though the subject property has not been mentioned in any of these reports. As of the first quarter of 2021, WeWork has reported a net loss of $2.06 billion with total revenue of $598 million. The collateral for the subject transaction is a $240.0 million first-lien mortgage loan secured by an approximately 359,154-square foot (sf), 20-story, Class A office property with ground-floor retail and a three-level, below-grade parking garage located at 600 California Street in San Francisco bordering the Union Square and Chinatown neighborhoods. The three largest tenants in place as of May 2021 account for 71.6% of the NRA and include WeWork; Cardinia Real Estate LLC, a subsidiary of Omnicom Group Inc. (11.6% of the NRA); and Audentes Therapeutics (8.3% of the NRA). There are no termination clauses available in the WeWork lease at the subject property, but DBRS Morningstar notes the firm's lease for the Wilshire Courtyard property that backs the Natixis Commercial Mortgage Securities Trust 2019-MILE transaction, also rated by DBRS Morningstar, was modified to accommodate the company's request to downsize its space at that property. The sponsor, Ark Capital Advisors, LLC (Ark), used the loan proceeds to acquire the property for $322.8 million, or $898 per rentable sf. Including a transfer tax of approximately 3.0%, the total purchase price was $332.5 million, or $926 per rentable sf. The trust loan balance of $240.0 million results in a 74.3% loan-to-purchase price excluding the transfer tax, 72.2% including the transfer tax, and a 64.8% loan-to-value (LTV) ratio based on the as-stabilized appraised value of the collateral at $370.0 million. Ark is a joint venture among Ivanhoe Cambridge, the Rhone Group, and the parent company of WeWork. Goldman Sachs Bank USA and Citi Real Estate Funding Inc. co-originated the five-year, fixed-rate interest-only loan, which matures in September 2024. The property, which was built in 1991, was awarded the LEED Gold certification in 2009 and 2016. It has benefitted from the prior owner's investment of $8.9 million in capital improvements since 2015. The building sports an atrium-style lobby, clad in marble and granite with state-of-the-art systems. Major capital improvements include the full lobby renovation; the addition of a new management office, a fitness center, and a bike room; a new roof membrane; and boiler room replacements. In addition, the sponsor's planned capital improvement program includes an additional $11.6 million in elective capital improvements to modernize the building's elevators, add exterior waterproofing to the building, upgrade the building's HVAC system and common area restrooms, and replace the cooling towers. The servicer has reported that the improvement projects are ongoing and that progress had been slowed by the pandemic. As of the May 2021 servicer reporting, $7.6 million of the $11.6 million collected at issuance remains in the capital reserve account. The subject benefits from its desirable location, within the strong and historically stable North Financial District submarket in San Francisco. The Financial District has the highest concentration of Fortune 500 companies occupying space in the San Francisco central business district. The property is situated at the corner of California Street and Kearny Street, bordering the Union Square and Chinatown neighbourhoods. The building has good exposure with approximately a half block of frontage on California Street, a primary two-way, four-lane major arterial that runs east to west in downtown San Francisco, and a full block of frontage on Kearny Street, which is a primary street that runs north to south through San Francisco. The location affords excellent access to public transportation, with four BART subway lines that stop twice in the Financial District and transport commuters to and from San Francisco and the East Bay. As of the December 2020 rent roll, the property was 99.2% occupied by 14 tenants (including four retail tenants). The retail portion of the property accounts for less than 2.0% of the annual base rent, while the office tenants pay an average annual rental rate of $75.08 per sf. According to the December 2020 rent roll, six tenants, representing 14.1% of the NRA, have lease expirations through December 2022. This includes the fifth-largest tenant, Burr Pilger Mayer, Inc (5.8% of NRA), which has a lease expiration in October 2021, and the seventh-largest tenant, Finastra Financial Technology Corp. (Finastra; 4.1% of NRA), which has a lease expiration in November 2021. At issuance, it was noted that Finastra subleases its space to Zignal Labs Inc. (which operates its headquarters from the subject) at a base rental rate approximately $10.00 below what Finastra is paying, on a lease that is coterminous with the Finastra lease. As of the YE2020 financials, the servicer reported a net cash flow (NCF) of $17.4 million and debt service coverage ratio (DSCR) of 1.79 times (x). This compares favorably with the YE2019 NCF and DSCR of $13.2 million and 1.36x, respectively, and is in line with the issuer's underwriting of $17.4 million and 1.79x, respectively. The decrease in 2019 was largely a result of vacancy and a free rent period for a portion of the WeWork tenant's 83,000 sf of expansion space. The free rent period ended in March 2020. When DBRS Morningstar ratings were assigned in 2020, the DBRS Morningstar NCF of $14.7 million and a cap rate of 6.75% was applied, resulting in a DBRS Morningstar Value of $217.1 million, a variance of -41.3% from the appraised value at issuance of $370.0 million. The DBRS Morningstar Value implies an LTV of 110.6%, as compared with the LTV on the issuance appraised value of 64.8%. The NCF figure applied as part of the analysis represents a -16.1% variance from the Issuer's NCF, primarily driven by leasing costs and vacancy. Notes: All figures are in U.S. dollars unless otherwise noted. HAMLET 2020-CRE1: DBRS Confirms B(low) Rating on Class F-RR Certs ----------------------------------------------------------------- DBRS Limited confirmed the ratings of the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-CRE1 issued by Hamlet Securitization Trust 2020-CRE1: -- 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 (high) (sf) -- Class F-RR at B (low) (sf) The ratings confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar expectations. At issuance, the transaction consisted of 23 fixed-rate loans secured by 48 commercial and multifamily properties, four of which are transitional loans. The transitional loans represent 27.9% of the current pool balance and include the largest loan, 20 Broad Street (Prospectus ID #1; 11.7% of the pool). Most of the properties securing the transitional loans are of recent construction and the business plans generally consist of plans to lease up space to market occupancy levels. The pool is concentrated with loans secured by office and multifamily properties, which represent 46.3% and 19.3% of the current pool balance, respectively. The transaction is also concentrated by geographic location, with 32.2% of the pool secured by properties located in New York and the next-highest concentrations being 12.5% in Illinois and 11.0% in Connecticut. As of the May 2021 remittance, there has been a marginal collateral reduction of 0.20% since issuance with a current pool balance of $1.9 billion. Two loans on the servicer's watchlist were flagged for performance-related issues; these loans combine for 8.5% of the current pool balance. There are no delinquent or specially serviced loans in the pool. The largest loan on the servicer's watchlist, Westin Nashville, represents 5.5% of the current trust balance and is secured by a newly constructed 456-key full-service hotel located in Nashville's South of Broadway (SoBro) submarket. The hotel is well located in proximity to a variety of demand drivers. The loan was added to the servicer's watchlist in January 2021 after the sponsor submitted a relief request related to the ongoing Coronavirus Disease (COVID-19) pandemic. The servicer granted a modification that allowed for the waiver of furniture, fixture, and equipment (FF&E) reserve deposits for six months and allowed the borrower to utilize those funds to cover debt service shortfalls. Any funds drawn from the FF&E reserve for debt service are to be reimbursed by December 2022. In addition, seasonality reserve deposit requirements will be based on the availability of excess cash flow and monthly debt service payments were waived from November 2020 to April 2021, with 11 interest-only payments to follow the deferral period and all deferred debt service to be paid back over a 12-month period following the deferral period. As of the May 2021 remittance, the servicer reports the loan is current. The trailing twelve months (T-12) ended September 2020 Smith Travel Research report for the property noted that the T-12 occupancy, average daily rate (ADR), and revenue per available room (RevPAR) at the subject were 42.1%, $251.77, and $106.12, respectively. Year over year occupancy has declined by 48.9% while ADR and RevPAR saw a decline of 10.0% and 54.0%, respectively. These trends aren't necessarily surprising and, given recent reports that Nashville has removed all indoor capacity restrictions on bars, restaurants, music venues, sporting events, and all other businesses and gatherings, travel to the city is expected to continue to increase over the summer travel season, which should benefit the subject property and incentivize the sponsor to continue supporting the trust loan. The second loan on the servicer's watchlist, 545 & 555 North Michigan Avenue, represents 3.0% of the current trust balance and is secured by two adjacent low-rise buildings in Chicago's Magnificent Mile district. At issuance, the 545 building was leased to luxury watch boutique retailer, Tourbillon, whose parent company is Swatch. However, the space was sublet to UGG, with the end date of the sublease coterminous with Swatch's original lease expiry in December 2022. The 555 building was leased to The Gap, with the site serving as the retailer's flagship store in Chicago and housing all four of the company's product lines. However, the location was closed a few months after the retailer's lease expiry in November 2020 and remains vacant as of May 2021. With the closure of The Gap, the combined occupancy rate across the two buildings fell to 74.0%. The Gap was paying a rate of approximately $82.00 per square foot (psf) at issuance, which was determined to be below market. As of May 2021, the space is being marketed for lease at an asking rate of $100.00 psf. Given the upheaval for retailers that was building even before the onset of the coronavirus pandemic, with several noteworthy closures in the Magnificent Mile district in the last year, the borrower could be faced with an extended lease-up period for the vacant space and the 2022 lease expiry for the remaining tenant could also present a challenge given the market dynamics. In its analysis for this review, DBRS Morningstar increased the probability of default for this loan, significantly increasing the expected loss. Notes: All figures are in U.S. dollars unless otherwise noted. HUNDRED ACRE 2021-INV1: Moody's Assigns B2 Rating to Cl. B5 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to fifty-seven classes of residential mortgage-backed securities issued by Hundred Acre Wood Trust 2021-INV1 (HAWT 2021-INV1). The ratings range from Aaa (sf) to B2 (sf). Hundred Acre Wood Trust 2021-INV1 (HAWT 2021-INV1) is the first issue from Finance of America Mortgage, LLC (FAM) in 2021 backed by investor properties and second home loans. HAWT 2021-INV1 is a securitization of GSE eligible first-lien investment property and second homes mortgage loans. 100.0% of the pool by loan balance were originated by FAM. All the loans are underwritten in accordance with Freddie Mac or Fannie Mae guidelines, which take into consideration, among other factors, the income, assets, employment and credit score of the borrower as well as loan-to-value (LTV). These loans were run through one of the government-sponsored enterprises' (GSE) automated underwriting systems (AUS) and received an "Approve" or "Accept" recommendation. In this transaction, the Class 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. Issuer: Hundred Acre Wood Trust 2021-INV1 Cl. A1, Assigned Aaa (sf) Cl. A2, Assigned Aaa (sf) Cl. A3, Assigned Aaa (sf) Cl. A4, Assigned Aaa (sf) Cl. A5, Assigned Aaa (sf) Cl. A6, Assigned Aaa (sf) Cl. A7, Assigned Aaa (sf) Cl. A8, Assigned Aaa (sf) Cl. A9, Assigned Aaa (sf) Cl. A10, Assigned Aaa (sf) Cl. A11, Assigned Aaa (sf) Cl. A11X*, Assigned Aaa (sf) Cl. A12, Assigned Aaa (sf) Cl. A13, Assigned Aaa (sf) Cl. A14, Assigned Aaa (sf) Cl. A15, Assigned Aaa (sf) Cl. A16, Assigned Aaa (sf) Cl. A17, Assigned Aaa (sf) Cl. A18, Assigned Aaa (sf) Cl. A19, Assigned Aaa (sf) Cl. A20, Assigned Aaa (sf) Cl. A21, Assigned Aaa (sf) Cl. A22, Assigned Aaa (sf) Cl. A23, Assigned Aaa (sf) Cl. A24, Assigned Aaa (sf) Cl. A25, Assigned Aaa (sf) Cl. A26, Assigned Aa1 (sf) Cl. A27, Assigned Aa1 (sf) Cl. A28, Assigned Aa1 (sf) Cl. A29, Assigned Aaa (sf) Cl. A30, Assigned Aaa (sf) Cl. A31, Assigned Aaa (sf) Cl. AX1*, Assigned Aaa (sf) Cl. AX4*, Assigned Aaa (sf) Cl. AX5*, Assigned Aaa (sf) Cl. AX6*, Assigned Aaa (sf) Cl. AX8*, Assigned Aaa (sf) Cl. AX10*, Assigned Aaa (sf) Cl. AX13*, Assigned Aaa (sf) Cl. AX15*, Assigned Aaa (sf) Cl. AX17*, Assigned Aaa (sf) Cl. AX19*, Assigned Aaa (sf) Cl. AX21*, Assigned Aaa (sf) Cl. AX25*, Assigned Aaa (sf) Cl. AX26*, Assigned Aa1 (sf) Cl. AX27*, Assigned Aa1 (sf) Cl. AX28*, Assigned Aa1 (sf) Cl. AX30*, Assigned Aaa (sf) Cl. B1, Assigned Aa3 (sf) Cl. B1A, Assigned Aa3 (sf) Cl. BX1*, Assigned Aa3 (sf) Cl. B2, Assigned A2 (sf) Cl. B2A, Assigned A2 (sf) Cl. BX2*, Assigned A2 (sf) Cl. B3, Assigned Baa2 (sf) Cl. B4, Assigned Ba2 (sf) Cl. B5, 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 0.56% at the mean, 0.33% at the median, and reaches 5.79% 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% (7.08% 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 thirdparty due diligence and the R&W framework of the transaction. Collateral description As of the cut-off date of May 1, 2021, the $301,508,511 pool consisted of 971 mortgage loans secured by first liens on residential investment properties and second homes. The average stated principal balance is $310,513 and the weighted average (WA) current mortgage rate is 3.41%. The majority of the loans have a 30year term, with 106 loans with terms ranging from 10 to 25 years. All of the loans have a fixed rate. The WA original credit score is 768 for the primary borrower only and the WA combined original LTV (CLTV) is 63.4%. The WA original debt-to-income (DTI) ratio is 36.2%. Approximately, 20.2% by loan balance of the borrowers have more than one mortgage loan in the mortgage pool. Approximately half of the mortgage loans by loan balance (45.3%) are backed by properties located in California. The next largest geographic concentration of properties are Arizona, which represents 8.8% by loan balance, Oregon, which represents 6.9% by loan balance, New York, which represents about 5.0% by loan balance, Washington, which represents 4.4% by loan balance and New Jersey, which represents 4.3% by loan balance. All other states each represents less than 4% by loan balance. Loans backed by single family residential properties represent 60.2% (by loan balance) of the pool. Approximately 12.9% of the mortgage loans by count are "Appraisal Waiver" (AW) loans, whereby the sponsor obtained an AW for each such mortgage loan from Fannie Mae or Freddie Mac through their respective programs. In each case, neither Fannie Mae nor Freddie Mac required an appraisal of the related mortgaged property as a condition of approving the related mortgage loan for purchase by Fannie Mae or Freddie Mac, as applicable. Origination quality FAM originated 100% of the loans in the pool. These loans were underwritten in conformity with GSE guidelines with overlays. However, these overlays are predominantly non-material with the exception of verbal verification of employment and reserves for investment properties. Overall, Moody's consider Finance of America Mortgage to be an adequate originator of conforming and nonconforming mortgages. As a result, Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on Moody's review of the loan performance and origination practices. Headquartered in Horsham, Pennsylvania, FAM is a wholly-owned subsidiary of Finance of America Holdings LLC, a Delaware limited liability company ("FAH"). FAH is ultimately owned by Finance of America Companies Inc., a publicly traded company, and certain other investors, including funds affiliated with The Blackstone Group Inc. FAM is licensed as a residential mortgage lender in all fifty states. Servicing arrangements Moody's consider the overall servicing arrangement for this pool to be adequate. Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on the servicing arrangement. Moody's also consider the presence of a strong master servicer to be a mitigant against the risk of any servicing disruptions. Although FAM is the named servicer, ServiceMac, LLC and LoanCare, LLC will be the subservicers, servicing approximately 57.2% and 42.8% of the mortgage loans, respectively. Nationstar Mortgage LLC will be the master servicer. FAM will be responsible for principal and interest advances as well as servicing advances. The master servicer will be required to make principal and interest advances if Finance of America is unable to do so. The securities administrator, Citibank, N.A., will make the required advances to the extent the master servicer is unable to do so. Third-party review The independent third party review firm, Evolve Mortgage Services, was engaged to conduct due diligence for the credit, regulatory compliance, property valuation, and data accuracy on a total of approximately 28.5% of the pool (by loan count). Evolve conducted due diligence for a total random sample of 278 loans originated by Finance of America Mortgage LLC in this transaction. Of note, within these 278 loans all the loans (of 971 total loan count in pool) are included in the final data tape. Based on the sample size reviewed, the TPR results indicate that there are no material compliance, credit, or data issues and no appraisal defects. Moody's took into account the sample size that was reviewed and made an adjustment to Moody's losses because the sample size does not meet Moody's credit neutral threshold. Representations and Warranties Framework Moody's increased its loss levels to account for weakness in the overall R&W framework due to the financial weakness of the R&W provider and the lack of repurchase mechanism for loans experiencing an early payment default. The R&W provider may not have the financial wherewithal to purchase defective loans. Moreover, unlike other comparable transactions that Moody's have rated, the R&W framework for this transaction does not include a mechanism whereby loans that experience an early payment default (EPD) are repurchased. However, the results of the independent due diligence review revealed a high level of compliance with underwriting guidelines and regulations, as well as overall strong valuation quality. These results give us a clear indication that the loans most likely do not breach the R&Ws. Also, the transaction benefits from unqualified R&Ws and an independent breach reviewer. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria to determine whether any R&Ws were breached when (1) the loan becomes 120 days delinquent, (2) the servicer stops advancing, (3) the loan is liquidated at a loss or (4) the loan becomes between 30 days and 119 days delinquent and is modified by the servicer. Similar to other private-label transactions, the transaction contains a "prescriptive" R&W framework. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. Transaction structure The securitization has a shifting interest structure that benefits from a senior subordination floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period of time, and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balances of the subordinate bonds are written off, losses from the pool begin to write off the principal balances of the senior support bonds until their principal balances are reduced to zero. Next, realized losses are allocated to super senior bonds until their principal balance is written off. Tail risk & subordination floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to eroding credit enhancement over time and increased performance volatility, known as tail risk. To mitigate this risk, the transaction provides for a senior subordination floor of 1.20% which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 1.20% of the closing pool balance. Moody's calculate the credit neutral floors for a given target rating as shown in Moody's principal methodology. The senior subordination floor and the subordinate floor of 1.20% and 1.20%, respectively, are consistent with the credit neutral floors for the assigned ratings. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. IMPERIAL 2021-NQM1: S&P Assigns Prelim B (sf) Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Imperial Fund Mortgage Trust 2021-NQM1's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate fully amortizing residential mortgage loans that are secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to prime and nonprime borrowers. The pool has 493 non-qualified or exempt mortgage loans. The preliminary ratings are based on information as of June 4, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The pool's geographic concentration -- The transaction's representation and warranty (R&W) framework; -- The mortgage originator, A&D Mortgage LLC; and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. 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." Preliminary Ratings Assigned Imperial Fund Mortgage Trust 2021-NQM1 Class A-1, $141,066,000: AAA (sf) Class A-2, $15,745,000: AA (sf) Class A-3, $28,920,000: A (sf) Class M-1, $11,675,000: BBB (sf) Class B-1, $7,712,000: BB (sf) Class B-2, $5,570,000: B (sf) Class B-3, $3,535,458: NR Class A-IO-S, notional(i): NR Class X, notional(i): NR Class R, not applicable: NR (i)Notional amount equals the loans' aggregate stated principal balance. NR--Not rated. INDEPENDENCE PLAZA 2018-INDP: DBRS Confirms B Rating on HRR Certs ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-INDP issued by Independence Plaza Trust 2018-INDP: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-CP at BBB (sf) -- Class X-NCP at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class X-ECP at B (high) (sf) -- Class X-ENP at B (high) (sf) -- Class HRR at B (sf) All trends are Stable. The ratings confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The collateral for the transaction consists of the fee and leasehold interests in a 1.5 million-square foot (sf) mixed-use residential and commercial complex located in the Tribeca neighborhood of Manhattan in New York. The property consists of three 39-storey apartment towers and connecting townhomes in addition to commercial space. The towers are at 310 Greenwich Street, 40 Harrison Street, and 80 North Moore Street. The fee interest covers the entire property, while the leasehold interests relate to three parcels: the South Podium, North Podium, and Tower Development, which contain a mix of parking, retail, and apartment units. Collateral for the loan consists of both the fee and leasehold interests. Loan proceeds of $675 million were used to retire outstanding debt of $551.6 million (comprising a $444.0 million commercial mortgage-backed security mortgage loan securitized in BAMLL 2014-IP and a $110.0 million mezzanine loan), return $112.8 million of equity to the sponsor, and cover closing costs of $10.6 million. The property was originally built in 1975 under the Mitchell-Lama Housing Program of New York State, an affordable-housing initiative for lower- and middle-income families. The property exited the program in June 2004, at which time the borrower offered the Landlord Assistance Program to any tenants not qualifying for the Section 8: Enhanced Vouchers program. Management has been able to increase value by renovating rent-regulated apartments as they become available and re-leasing them at market rents following a significant renovation. The borrower intends to continue this strategy as additional units turn over. As of the December 2020 rent roll, the residential portion of the property was 86.0% occupied at an average rental rate of $3,445 per unit, trailing the September 2019 occupancy rate of 95.9%. The servicer did not confirm the reason for the decline in occupancy; however, it may be attributed to the ongoing coronavirus pandemic. The servicer did note that, as of May 2021, the borrower reported an increase in leasing momentum on the residential units. According to the Q1 2021 Reis market report, the average asking rent for the West Village/Downtown New York Metropolitan submarket was $4,282 per unit with an average vacancy rate of 5.5%. As of May 2021, the servicer noted that the retail occupancy rate was 88.4% with no recent tenant rollover and, as such, retail occupancy remains in line with the September 2019 figure. Retail occupancy had previously declined from the March 2018 rent roll when the commercial portion of the property was 95.6% occupied at an average rental rate of $22.73 per square foot (psf). Patriot Parking Inc., the largest commercial tenant, occupies 75.6% of the commercial net rentable area (NRA) and leases the entire 550-space parking garage through August 2024 at a rental rate of $18.83 psf. As of May 2021, the servicer confirmed that Best Market (7.3% of the commercial NRA) vacated its space upon its October 2018 lease expiration but Public School 150 (6.2% of the commercial NRA) extended its lease by three years from its original lease expiration in July 2019. Reportedly, the borrower plans to renovate the formerly occupied Best Market space and is targeting an increase in rental rates to approximately $200 psf from $22.70 psf, with renovations ongoing as of May 2021. While a renovation and retrofit of the retail footprint may bring tenants that better complement the current tenant base, the loan has been structured in a way that eliminates the upside potential from the credit perspective. The three leasehold parcels, which contain all of the retail and parking, can be released, subject to the repayment of a portion of the loan, based on a release price formula anchored to the greater of in-place cash flow attributable to the released parcel or the cash flow of such parcel at the time of release. As such, the borrower would be incentivized to release the parcels prior to restabilization and leverage them separately. According to the December 2020 financials, the debt service coverage ratio (DSCR) was 1.36 times (x) compared with the DBRS Morningstar Term DSCR derived at issuance of 1.49x. Notes: All figures are in U.S. dollars unless otherwise noted. KKR CLO 33: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to KKR CLO 33 Ltd./KKR CLO 33 LLC 's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests The transaction is managed by KKR Financial Advisors II LLC. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the rated notes' performance through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned KKR CLO 33 Ltd./KKR CLO 33 LLC Class A, $240.00 million: AAA (sf) Class B, $64.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $39.05 million: Not rated LENDMARK FUNDING 2021-1: DBRS Finalizes BB Rating on Class D Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by Lendmark Funding Trust 2021-1: -- $323,610,000 Class A Notes rated AA (sf) -- $42,770,000 Class B Notes rated A (sf) -- $36,240,000 Class C Notes rated BBB (sf) -- $47,380,000 Class D Notes rated BB (sf) The ratings on the Notes are based on a review by DBRS Morningstar of the following considerations: -- The transaction's 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, which 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 form and sufficiency of available credit enhancement. -- Overcollateralization, note subordination, reserve account amounts, and excess spread create credit enhancement levels that are commensurate with the ratings. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. -- Lendmark's capabilities with regard to originations, underwriting and servicing. -- The credit quality and performance of the Lendmark's consumer loan portfolio. -- DBRS Morningstar has performed an operational review of Lendmark and considers the entity to be an acceptable originator and servicer of unsecured personal loans with an acceptable back-up servicer. -- The legal structure and legal opinions that address the true sale of the student loans, the nonconsolidation of the trust, that the trust has a valid first-priority security interest in the assets, and the consistency with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. LOANCORE 2019-CRE2: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------------- DBRS, Inc. confirmed the ratings on the following classes of floating-rate notes issued by LoanCore 2019-CRE2 Issuer Ltd.: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. At issuance, the pool consisted of 33 floating-rate mortgages secured by 49 transitional properties totaling approximately $1.06 million, excluding approximately $120.2 million of future funding commitments. The transaction is structured with an initial 24-month Reinvestment Period whereby the Issuer may acquire additional loans or include additional future funding participations and funded companion participations, with principal repayment proceeds. As of the May 2021 remittance, the trust consists of 26 loans with an aggregate principal balance of $1.06 billion and approximately $63.9 million in unfunded future funding commitments remain. There are 13 loans, representing 54.4% of the aggregate principal balance, that are pari passu structures with companion notes placed in the LoanCore 2019-CRE3 transaction, also rated by DBRS Morningstar. According to the May 2021 remittance, there are no loans in special servicing and three loans (5.3% of the pool) on the servicer's watchlist for maturity risk concerns. Two loans, The Cigar Factory (Prospectus ID#27, 1.3% of the pool) and The Volt Campus (Prospectus ID#35, 2.8% of the pool), were flagged for upcoming maturity in June 2021; however, both loans have extension options remaining. The servicer has advised that the third watchlisted loan, Lakeside Office (Prospectus ID#34, 1.2% of the pool), which was flagged in the May 2021 maturity, is expected to repay in the near term. Eight loans, representing 27.0% of the pool, were modified in 2020 due to performance issues related to the Coronavirus Disease (COVID-19) pandemic. The largest modified loan, Exhibit on Superior (Prospectus ID#1, 7.8% of the pool), is secured by a 298-unit Class A apartment complex in Chicago. The loan was modified in October 2020 to allow for a waiver of the debt service coverage ratio (DSCR) requirement for the loan extension option in exchange for a $3.0 million principal paydown. In connection with the extension of the loan term, the sponsor executed a lease with Eggy's restaurant to backfill the vacated Left Coast space. The property had an overall occupancy rate of 90.5% as of November 2020. The 183 Madison Avenue loan (Prospectus ID#2, 9.8% of the pool) is secured by a 265,367-square foot office property in Midtown Manhattan. The borrower initially requested a three-month forbearance at the onset of the pandemic in May 2020; however, the YE2020 business plan update provided by the collateral manager noted that no loan modification, forbearance, or other debt service relief was ultimately provided. The property has exposure to WeWork, Inc. (11.7% of the net rentable area (NRA); lease expires May 2035) and its ground-floor retail tenant, DomUS Design Center (Domus; 7.9% of NRA), vacated at lease expiry in June 2020. Domus had been paying well-below market rent and the sponsor's business plan contemplated repurposing the retail space into smaller units to achieve higher rents. The office portion of the collateral was 90.0% occupied as of YE2020; however, the pandemic has delayed the lease-up of the vacant retail space and has affected cash flow. The loan reported a trailing 11 months ended November 2020 DSCR of 0.93 times with an occupancy rate of 80.3%. DBRS Morningstar analyzed this loan with an elevated probability of default to reflect the loan's current risk profile. DBRS Morningstar materially deviated from its North American CMBS Insight Model when determining the ratings assigned to Class G as the quantitative results suggested higher ratings on the class. The material deviation is warranted given the sustainability of loan performance trends not demonstrated. Notes: All figures are in U.S. dollars unless otherwise noted. LOANCORE 2021-CRE5: DBRS Gives Prov. B Rating on Class G Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by LoanCore 2021-CRE5 Issuer Ltd.: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (sf) The initial collateral consists of 20 floating-rate mortgages secured by 45 mostly transitional properties with a cut-off balance of $909.6 million, excluding approximately $140.9 million of future funding participations and $353.8 million of funded companion participations. In addition, there is a 180-day ramp-up period during which the Issuer may use $125.0 million of funds deposited into the unused proceeds account to acquire additional eligible loans, subject to the eligibility criteria, resulting in a target pool balance of $1.035 billion. Of the 20 loans, there are three unclosed, targeted mortgage assets loans, representing 17.3% of the trust balance, as of May 21, 2021: The Paragon at Kierland (#1), representing 9.7% of the trust balance; The Reserve at Seabridge (#12), representing 4.3% of the trust balance; and Lotus Village (#15), representing 3.3% of the trust balance. If a delayed-close loan is not likely to close or fund prior to the purchase termination date or if the terms are materially different from the terms described in the offering memorandum, the expected purchase price can be credited to the unused proceeds amount for the Issuer to acquire ramp-up mortgage assets secured by multifamily properties during the ramp-up acquisition period. The eligibility criteria indicates that 70.0% of the loans acquired within the ramp-up period, other than mortgage assets that were targeted mortgage assets, must be secured by multifamily properties. Of the 20 loans, there are two loans with funded companion participations, representing 12.1% of the trust balance: 345 Park Avenue South (#4), representing 7.1% of the trust balance, and One Whitehall (#9), representing 5.0% of the trust balance. During the replenishment period the Issuer may acquire up to $103.0 million of funded companion participations subject to the eligibility criteria, acquisition criteria, and acquisition requirements. During the reinvestment period, the Issuer may acquire future funding commitments, funded companion participations, and additional eligible loans subject to the eligibility criteria. The transaction stipulates a $5.0 million threshold on companion participation acquisitions before a rating agency confirmation is required if there is already a participation of the underlying loan in the trust. The transaction is managed and includes a ramp-up component and reinvestment period, which could result in negative credit migration and/or an increased concentration profile over the life of the transaction. The risk of negative migration is partially offset by eligibility criteria (detailed in the transaction documents) that outline debt service coverage ratio (DSCR), loan-to-value ratio (LTV), Herfindahl score minimum, property type, and loan size limitations for ramp and reinvestment. DBRS Morningstar accounted for the uncertainty introduced by the 180-day ramp-up period by running a ramp scenario that simulates the potential negative credit migration in the transaction, based on the eligibility criteria. As a result, the ramp component has a higher expected loss (E/L) than the weighted-average (WA) preramp pool E/L. The transaction's sponsor is LCC REIT, which is managed by a LoanCore Capital Credit Advisor LLC, a wholly owned subsidiary of LoanCore Capital (LoanCore). LoanCore 2021-CRE5 Issuer Ltd. and LoanCore 2021-CRE5 Co-Issuer LLC are each newly formed special-purchase vehicles (collectively, the Co-Issuers) and indirect wholly owned subsidiaries of the Sponsor. LoanCore is a leading investor and commercial real estate lender with a credit-focused alternative asset management platform that manages LLC REIT and LoanCore Capital Markets (LCM). As of March 31, 2021, LoanCore had $13.5 billion in assets under management between LCC REIT and LCM. This transaction represents LoanCore's sixth commercial real estate collateralized loan obligation (CRE CLO) since 2013, and there have been no realized losses to date in any of its issued CRE CLO on approximately $5.6 billion of mortgage assets contributed including reinvestments. An affiliate of LCC REIT, an indirect wholly owned subsidiary of the Sponsor (as retention holder) will acquire the Class F notes, the Class G notes, and the Preferred Shares (Retained Securities), representing the most subordinate 18.125% of the transaction by principal balance. Based on the initial pool balances, the overall WA DBRS Morningstar As-Is DSCR of 0.79 times (x) and WA As-Is LTV of 80.9% generally reflect high-leverage financing. The DBRS Morningstar As-Is DSCR for each loan at issuance does not consider the sponsor's business plan, as the DBRS Morningstar As-Is Net Cash Flow (NCF) was generally based on the most recent annualized period. The sponsor's business plan could have an immediate impact on the underlying asset performance that the DBRS Morningstar As-Is NCF is not accounting for. When measured against the DBRS Morningstar Stabilized NCF, the WA DBRS Morningstar DSCR is estimated to improve to 1.20x, suggesting that the properties are likely to have improved NCFs once the sponsors' business plans have been implemented Six loans, representing 38.8% of the DBRS Morningstar sample (28.8% of the mortgage asset cut-off date balance), had Above Average or Average + property quality scores based on physical attributes and/or a desirable location within their respective markets. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. No loans in the DBRS Morningstar sample had property quality scores below Average. The properties are primarily in core markets with the overall pool's WA DBRS Morningstar Market Rank at 5.5, which indicates dense suburban markets. Four loans, totaling 25.9% of the of the mortgage asset cut-off date balance, are in markets with a DBRS Morningstar Market Rank of 8, which indicate super dense market locations. These markets generally benefit from increased liquidity that is driven by consistently strong investor demand and therefore tend to benefit from lower default frequencies than less-dense suburban, tertiary, or rural markets. Only one loan, Boulder County Business Center, representing 6.5% of the of the mortgage asset cut-off date balance, is secured by a property in an area with a DBRS Morningstar Market Rank of 2, which indicates tertiary market characteristics. DBRS Morningstar conducted site inspections for three loans in the pool, representing 16.1% of the loan allocated cut-off date balance—345 Park Avenue South, Latsko Portfolio, and Ace Hotel Chicago—because of health and safety constraints associated with the ongoing Coronavirus Disease (COVID-19) pandemic. DBRS Morningstar previously conducted site inspections for 471-476 Central Park West in conjunction with its original securitization in the LNCR 2019-CRE2 transaction and One Whitehall in conjunction with its original securitization in LNCR 2021-CRE4. Including the site inspections for 471-476 Central Park West and One Whitehall, the DBRS Morningstar site inspection sample by loan allocated cut-off balance is 26.3%. As a result, DBRS Morningstar relied more heavily on third-party reports, online data sources, and information from the Issuer to determine the overall DBRS Morningstar property quality assigned to each loan. With regard to the pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, affected more immediately. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis, for example by front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar. Notes: All figures are in U.S. dollars unless otherwise noted. MAPS 2021-1: S&P Assigns Prelim BB (sf) Rating on Class C Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to MAPS 2021-1 Trust's notes. The note issuance is an ABS securitization backed by the two AOE issuers' series A, B, and C notes, which are in turn backed by 20 aircraft and the related leases and shares and beneficial interests in entities that directly and indirectly receive aircraft portfolio lease rental and residual cash flows, among others. The preliminary ratings are based on information as of June 2, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The likelihood of timely interest on the series A notes (excluding step up interest) on each payment date, the timely interest on the series B notes (excluding step up interest) when series A notes are no longer outstanding on each payment date, the ultimate interest on the series C notes (excluding step up interest), and the ultimate principal payment on the series A, B, and C notes on or prior to the legal final maturity date at their respective rating stress. -- The portfolio comprising a diversified mix of popular and new generation narrow-body aircraft (29% A320s, 21% A220s, 13% A320 Neos, 13% B737 NGs, and 6% B737 Max 8) and freighters (14% B777F and 4% B747F) by LMM of the half-life values. -- The weighted average age (by LMM of the half-life values) of the aircraft in the portfolio being 6.5 years. Currently, all the 20 aircraft are on lease, with weighted average remaining maturity of approximately eight years. Weighted average age and remaining term are calculated as of the economic closing date. -- The majority of the lessees operating in developed markets, where domestic air traffic levels have picked up recently, after a global air travel shutdown was imposed in 2020 at the height of the COVID-19 pandemic. -- The existing and future lessees' estimated credit quality and diversification. The 20 aircraft are currently leased to 12 airlines in 10 countries. -- Each series' scheduled amortization profile, which is straight line over 13 years for series A and B, and straight line over seven years for series C. -- The transaction's debt service coverage ratios (DSCRs) and utilization trigger--a failure of which will result in the series A and B notes' turbo amortization; turbo amortization for the series A, B, and C notes will also occur if they are outstanding after year seven. -- The end-of-lease payment will be paid to the series A, B, and C notes according to a percentage equaling each series' then-current LTV ratio. -- The subordination of series C principal and interest to series A and B principal and interest. -- A revolving credit facility from Natixis, which is available to cover senior expenses, including hedge payments and interest on the series A and B notes. The amount available under the facility will equal nine months of interest on the series A and B notes. -- Alton Aviation Consultancy Ireland Ltd.'s (Alton) maintenance analysis before closing. After closing, the servicer will perform a forward-looking 18-month maintenance analysis at least semi-annually, which Alton will review and confirm for reasonableness and achievability. -- The maintenance reserve account ($3 million balance at closing), which is used to cover maintenance costs. The account gets topped up to a senior and a junior required amount, which are sized based on a forward-looking schedule of maintenance outflows. The excess amounts in the account over the required maintenance amount will be transferred to the waterfall on or after December 2022. -- A heavy maintenance reserve account, which will be replenished through the priority of payments starting on the sixth year anniversary of the closing date and up to and including the payment date in January 2031, if a rapid amortization event is occurring or if there are four or less leases that pay utilization rent. The target amount is set at $25 million. This account can be used to pay maintenance expenses not covered through the maintenance reserve account. This account covers spikes in projected maintenance expenses observed under our stress runs and preserves lease collections for interest payable on the senior notes. -- The security deposit and liquidity account ($4.5 million at closing), which can be used to repay security deposit due amounts along with other senior expenses, including interest on the class A and B notes. -- The expense reserve account, which will be funded at closing from note proceeds with approximately $500,000 that is expected to cover the next three months' expenses. -- The series C interest reserve account, which will be funded at closing from note proceeds of approximately $1 million, which may be used to pay interest on the series C notes for the first seven years. Thereafter, it will be released to the collections account. -- The senior indemnification (excluding indemnification amounts to lessees under leases entered into before the transaction closing date) is capped at $10 million and is modelled to occur in the first 12 months. -- The junior indemnification (uncapped) is subordinated to the rated series' principal payment. -- Merx Aviation, an aircraft lessor founded by Apollo Investment Corp. in 2012, being the servicer for this transaction. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned MAPS 2021-1 Trust Class A, $417.650 million: A (sf) Class B, $72.230 million: BBB (sf) Class C, $50.240 million: BB (sf) MELLO MORTGAGE 2021-MTG2 : DBRS Finalizes B Rating on B5 Certs -------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2021-MTG2 issued by Mello Mortgage Capital Acceptance 2021-MTG2 (MELLO 2021-MTG2): -- $297.3 million Class A1 at AAA (sf) -- $297.3 million Class A2 at AAA (sf) -- $297.3 million Class A3 at AAA (sf) -- $178.4 million Class A4 at AAA (sf) -- $178.4 million Class A5 at AAA (sf) -- $178.4 million Class A6 at AAA (sf) -- $118.9 million Class A7 at AAA (sf) -- $118.9 million Class A8 at AAA (sf) -- $118.9 million Class A9 at AAA (sf) -- $223.0 million Class A10 at AAA (sf) -- $223.0 million Class A11 at AAA (sf) -- $223.0 million Class A12 at AAA (sf) -- $74.3 million Class A13 at AAA (sf) -- $74.3 million Class A14 at AAA (sf) -- $74.3 million Class A15 at AAA (sf) -- $44.6 million Class A16 at AAA (sf) -- $44.6 million Class A17 at AAA (sf) -- $44.6 million Class A18 at AAA (sf) -- $35.0 million Class A19 at AAA (sf) -- $35.0 million Class A20 at AAA (sf) -- $35.0 million Class A21 at AAA (sf) -- $332.2 million Class A22 at AAA (sf) -- $332.2 million Class A23 at AAA (sf) -- $332.2 million Class A24 at AAA (sf) -- $332.2 million Class AX1 at AAA (sf) -- $297.3 million Class AX2 at AAA (sf) -- $297.3 million Class AX3 at AAA (sf) -- $297.3 million Class AX4 at AAA (sf) -- $178.4 million Class AX5 at AAA (sf) -- $178.4 million Class AX6 at AAA (sf) -- $178.4 million Class AX7 at AAA (sf) -- $118.9 million Class AX8 at AAA (sf) -- $118.9 million Class AX9 at AAA (sf) -- $118.9 million Class AX10 at AAA (sf) -- $223.0 million Class AX11 at AAA (sf) -- $223.0 million Class AX12 at AAA (sf) -- $223.0 million Class AX13 at AAA (sf) -- $74.3 million Class AX14 at AAA (sf) -- $74.3 million Class AX15 at AAA (sf) -- $74.3 million Class AX16 at AAA (sf) -- $44.6 million Class AX17 at AAA (sf) -- $44.6 million Class AX18 at AAA (sf) -- $44.6 million Class AX19 at AAA (sf) -- $35.0 million Class AX20 at AAA (sf) -- $35.0 million Class AX21 at AAA (sf) -- $35.0 million Class AX22 at AAA (sf) -- $332.2 million Class AX23 at AAA (sf) -- $332.2 million Class AX24 at AAA (sf) -- $332.2 million Class AX25 at AAA (sf) -- $5.6 million Class B1 at AA (high) (sf) -- $5.6 million Class B1A at AA (high (sf) -- $5.6 million Class BX1 at AA (high) (sf) -- $4.9 million Class B2 at A (sf) -- $4.9 million Class B2A at A (sf) -- $4.9 million Class BX2 at A (sf) -- $3.7 million Class B3 at BBB (sf) -- $1.7 million Class B4 at BB (sf) -- $349.0 thousand Class B5 at B (sf) Classes AX1, AX2, AX3, AX4, AX5, AX6, AX7, AX8, AX9, AX10, AX11, AX12, AX13, AX14, AX15, AX16, AX17, AX18, AX19, AX20, AX21, AX22, AX23, AX24, AX25, BX1, and BX2 are interest-only certificates. The class balances represent notional amounts. Classes A1, A2, A3, A4, A5, A7, A8, A9, A10, A11, A12, A13, A14, A16, A17, A19, A20, A22, A23, A24, AX2, AX3, AX4, AX5, AX8, AX9, AX10, AX11, AX12, AX13, AX14, AX17, AX20, AX23, AX24, AX25, B1 and B2 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates. Classes A1, A2, A3, A4, A5, A6, A7, A8, A9, A10, A11, A12, A13, A14, A15, A16, A17, and A18 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A19, A20, and A21) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 5.00% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.40%, 2.00%, 0.95%, 0.45%, and 0.35% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien fixed-rate prime conventional residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 552 loans with a total principal balance of $349,732,039 as of the Cut-Off Date (May 1, 2021). MELLO 2021-MTG2 is the fourth prime securitization issued from the MELLO shelf MTG series and comprises fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years. The first two MELLO deals were issued in 2018 and consisted of a combination of nonagency and agency-eligible prime collateral. Unlike the first two securitizations, all loans in the MELLO 2021-MTG2 pool are conforming, high-balance mortgage loans which were underwritten by loanDepot.com, LLC (loanDepot) using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. In addition, the pool contains a large concentration of loans (43.9%) that were granted appraisal waivers by the agencies. In its analysis, DBRS Morningstar applied property value haircuts to such loans, which increased the expected losses on the collateral. loanDepot is the Originator, Seller, and Servicing Administrator of the mortgage loans, and Artemis Management LLC is the Sponsor of the transaction. LD Holdings Group LLC, the parent company of the Sponsor and Seller, will serve as Guarantor with respect to the remedy obligations of the Seller. LDPMF LLC, a subsidiary of the Sponsor and an affiliate of the Seller, will act as Depositor of the transaction. Cenlar FSB will act as the Servicer. Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as the Master Servicer and Securities Administrator. Wilmington Savings Fund Society, FSB will serve as Trustee, and Deutsche Bank National Trust Company will serve as Custodian. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. As of the Cut-Off Date, no borrower within the pool has entered into a Coronavirus Disease (COVID-19)-related forbearance plan with a servicer. In the event a borrower requests or enters into a forbearance plan after the Closing Date, such loan will remain in the pool. Coronavirus 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 securities (RMBS) asset classes, some meaningfully. 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 (see "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021), 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 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 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 may experience additional stress from extended lockdown periods and the slowdown of the economy. Notes: All figures are in U.S. dollars unless otherwise noted. MF1 2020-FL3: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------- DBRS, Inc. confirmed the ratings on the following classes of notes issued by MF1 2020-FL3, Ltd.: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The transaction consists of 25 loans secured by 50 multifamily properties as one loan has been repaid since issuance. All loans in the pool are secured by transitional assets in the process of stabilization. At issuance, 18 of the remaining 25 loans had outstanding future funding obligations, with an aggregate commitment of $115.5 million to fund capital expenditures (capex) and operating shortfalls to aid in the individual properties' stabilization plans. As of the Q1 2021 collateral manager report, $57.9 million of that future funding has been released to individual borrowers, including $22.3 million allocated to The Darlington loan (Prospectus ID#9; 5.7% of the pool balance). Of the $57.9 million released to borrowers, $41.0 million has been purchased by the trust with the remaining $16.9 million held outside of the trust. The transaction is structured with a 24-month Permitted Funded Companion Participation Acquisition Period whereby the Issuer can contribute funded participations of loans into the Trust. The period ends with the June 2022 payment date. As of the May 2021 remittance, there were no available funds in the Permitted Funded Companion Participation Acquisition Account as the cumulative loan balance equaled the cumulative bond balance of $820.0 million. The Darlington loan is secured by a 623-unit multifamily property located along Peachtree Road between the Midtown and Buckhead submarkets of Atlanta. The high-rise building was originally built in 1948 and the sponsor's business plan is extensive, with total upgrades planned at $36.5 million including new utilities, mechanicals, exterior facade, property amenities, and unit interiors. At issuance, the loan had outstanding future funding of $38.9 million including $7.5 million for operating and debt service shortfalls. Initial construction was stalled as the borrower could not obtain the necessary permits as a result of the Coronavirus Disease (COVID-19) pandemic, which extended the projected completion date to September 2021 from April 2021. As a result of the delay, the guarantor deposited an additional $750,000 into the operating reserve account. As of March 2021, construction was approximately 72% complete with all utility upgrades finished and the temporary certificate of occupancy pending for the first floor (the site of the leasing office, property amenities, and some residential units) upon building and elevator inspections. The collateral manager reported that 85 units had been preleased; however, the average rental rate was not provided. At issuance, DBRS Morningstar assumed a projected average stabilized rental rate of $1,050/unit, slightly below the current Class B/C average rental rate of $1,104/unit in the Buckhead submarket as of Q1 2021, according to Reis. There may be additional cash flow upside as the average rental rate for properties built prior to 1960 was reported at $1,377/unit and the total renovation budget for the property is in excess of $50,000/unit, suggesting the borrower may be able to achieve Class A rents. Of the $22.3 million of loan future funding released to the borrower through Q1 2021, $17.4 million has been purchased by the trust with the remaining $4.9 million held outside the trust. As of Q1 2021, $16.6 million of future funding remained outstanding. The loan has a maximum funded balance of $68.5 million, which, if fully contributed to the trust, would represent 8.4% of the pool balance and would be the third-largest loan in the transaction. There are no loans in special servicing and all loans are current. There are 10 loans on the servicer's watchlist, representing 34.4% of the pool balance, which have been added for various reasons including upcoming maturity, deferred maintenance, low occupancy rates, and/or debt service coverage ratios. As initial performance declines were expected for many loans given the individual borrower's business plans to implement capital expenditure programs and the existence of upfront operating shortfall reserves, a loan's placement on the servicer's watchlist is not necessarily indicative of increased risks from issuance. The Wave Lakeview loan (Prospectus ID#17; 2.6% of the pool balance) was added for its upcoming June 2021 maturity date; however, the borrower has three one-year extension options remaining. As the borrower has yet to achieve its business plan, DBRS Morningstar expects it to exercise the first extension option. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2013-C11: DBRS Cuts Rating on 5 Tranches to C ------------------------------------------------------------ DBRS, Inc, downgraded its ratings on the following classes of the Commercial Mortgage Pass-Through Certificates, Series 2013-C11 issued by Morgan Stanley Bank of America Merrill Lynch Trust: -- Class B to B (low) (sf) from AA (low) (sf) -- Class C to C (sf) from BBB (high) (sf) -- Class PST to C (sf) from BBB (high) (sf) -- Class D to C (sf) from B (sf) -- Class E to C (sf) from B (low) (sf) -- Class F to C (sf) from CCC (sf) In addition, DBRS Morningstar confirmed the following ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) DBRS Morningstar also changed the trends on Classes A-S and B to Negative from Stable. All other trends are Stable, with the exception of Classes C, D, E, F, and PST, which have ratings that do not carry trends. In addition, DBRS Morningstar added an Interest in Arrears designation for Class C. The downgrades and Negative trends generally reflect the increased likelihood of significant losses to the trust for the two mall loans currently in special servicing, Westfield Countryside (Prospectus ID#1; 16.6% of the pool) and The Mall at Tuttle Crossing (Prospectus ID#2; 15.0% of the pool), which are the two largest loans in the pool. DBRS Morningstar also notes the significantly increased risks for the Marriott Chicago River North Hotel (Prospectus ID#5; 7.9% of the pool), as described below. The pivotal mall loans have been with the special servicer since 2020 and, with the December 2020 surveillance review of this transaction, DBRS Morningstar assumed significant haircuts to the issuance appraised values for each in loss scenarios for both loans. However, the special servicer recently finalized 2020 appraisals for each that suggest the losses at resolution will come in significantly higher than previously projected, supporting the rating downgrades and Negative trends assigned with this review. The largest loan in the pool, Westfield Countryside, transferred to the special servicer in June 2020 for imminent default, after being closed for over two months as a result of Coronavirus Disease (COVID-19) restrictions. The loan is secured by a 464,398-square-foot (sf) portion of a 1.3 million-sf super-regional mall in Clearwater, Florida. The mall was initially anchored by Sears (which vacated in July 2018), Macy's, Dillard's, and JCPenney, all of which own their improvements and are not part of the collateral. Major collateral tenants include Cobb Theatres (11.6% of the NRA through December 2026), Game Time (5.7% of the NRA through September 2034), and Forever 21 (4.3% of the NRA through January 2023). The loan is sponsored by Westfield Group (Westfield) and O'Connor Capital Partners (O'Connor); Westfield was acquired by Unibail-Rodamco in 2019 and is now part of Unibail-Rodamco-Westfield (URW). The property was 88% occupied based on the December 2020 rent roll, while net cash flow is down 34% as compared with the issuance figure. According to the servicer's commentary, Westfield will no longer be supporting the asset going forward but is cooperating in a friendly foreclosure process. The property was reappraised in August 2020 at an as-is value of $91.5 million ($70 per square foot (psf)), down 61.0% from the issuance appraisal of $270 million and indicative of a loan-to-value ratio (LTV) of approximately 160.0%. DBRS Morningstar liquidated the loan in the analysis for this review, resulting in a loss severity of 54.8%. The second-largest loan in the pool, The Mall at Tuttle Crossing, transferred to the special servicer in July 2020, also for imminent default. The loan is secured by a 385,057-sf portion of a 1.1 million-sf super-regional mall in Dublin, Ohio, a suburb of Columbus. The property, owned and operated by Simon Property Group (Simon), was built in 1997 and originally had three anchors: JCPenney, Sears, and Macy's. The noncollateral Macy's downsized in 2017, closing one of its two anchor spaces, and the noncollateral Sears vacated the property in 2018. Dayton-based fun center Scene75 purchased the former Macy's store and opened in mid-2019. Simon classifies this property as "Other," which designates the REIT's noncore assets within its portfolio. According to servicer commentary, the borrower has agreed to a friendly foreclosure. As of the September 2020 rent roll, the property was 62.0% occupied, compared with 87.0% at issuance. An updated appraisal completed in August 2020 valued the property at $80 million ($16.25 psf), down 67% from the issuance appraisal of $240 million and indicative of an LTV of approximately 141.0%. The liquidation scenario assumed for this loan resulted in a loss severity of 44.8%. The fourth-largest loan in the pool, Marriott Chicago River North Hotel, is backed by a 523-key, dual-flagged hotel in Chicago, just north of the central business district. The property includes a 270-key Residence Inn and a 253-key SpringHill Suites. The loan transferred to special servicing in July 2020 for payment default, driven by coronavirus-related cash flow declines. As of the May 2021 remittance, the loan is more than 120 days delinquent with the monthly debt service last paid in April 2020. The property's performance declined in 2019, resulting in a year end (YE) 2019 debt service coverage ratio (DSCR) of 1.09 times (x) for the trust loan, a sizable drop from the YE2018 DSCR of 1.38x. While the YE2019 NCF deceased by 27.0% compared with issuance, the decrease was primarily associated with an increase in operating expenses as revenue was up 6.0% compared with issuance. While the special servicer and borrower continue modification discussions, it is noteworthy that the special servicer rejected the borrower's request to bifurcate the note into an A/B structure. Given the extended delinquency and likely sharp as-is value decline amid the market challenges of the pandemic and the increased submarket competition since issuance, DBRS Morningstar increased the probability of default to significantly increase the expected loss for this loan in the analysis for this review, with the resulting stress to Class B and Class A-S certificates a primary driver for the Negative trend assignments for those classes. DBRS Morningstar materially deviated from its North American CMBS Insight Model when determining the ratings assigned to Class A-S as the quantitative results suggested lower ratings on the class. The material deviations are warranted given the uncertain loan-level event risk with the loans in special servicing and on the servicer's watchlist, in addition to the increased concentration of the pool in terms of the number of loans remaining. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2018-H3: Fitch Affirms B- Rating on G-RR Debt ------------------------------------------------------------ Fitch Ratings has affirmed the ratings of Morgan Stanley Capital I Trust 2018-H3. In addition, Fitch Ratings has maintained the Negative Rating Outlooks on classes F-RR and G-RR. DEBT RATING PRIOR ---- ------ ----- MSC 2018-H3 A-1 61767YAU4 LT AAAsf Affirmed AAAsf A-2 61767YAV2 LT AAAsf Affirmed AAAsf A-3 61767YAX8 LT AAAsf Affirmed AAAsf A-4 61767YAY6 LT AAAsf Affirmed AAAsf A-5 61767YAZ3 LT AAAsf Affirmed AAAsf A-S 61767YBC3 LT AAAsf Affirmed AAAsf A-SB 61767YAW0 LT AAAsf Affirmed AAAsf B 61767YBD1 LT AA-sf Affirmed AA-sf C 61767YBE9 LT A-sf Affirmed A-sf D 61767YAC4 LT BBB-sf Affirmed BBB-sf E-RR 61767YAE0 LT BBB-sf Affirmed BBB-sf F-RR 61767YAG5 LT BB-sf Affirmed BB-sf G-RR 61767YAJ9 LT B-sf Affirmed B-sf X-A 61767YBA7 LT AAAsf Affirmed AAAsf X-B 61767YBB5 LT AA-sf Affirmed AA-sf X-D 61767YAA8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: Loss expectations are in line with Fitch's prior rating action in June 2020. Fitch's ratings assume a base case loss of 5.1%. The Negative Outlooks reflect additional stresses to loans impacted by the coronavirus, which reflect losses could reach 5.9%. There are fourteen Fitch Loans of Concern (FLOCs)(23.3% of pool), including one loan (1.1%) in special servicing. As of the May 2021 distribution report there were 18 loans (27%) on the servicer's watchlist for low DSCR, increased vacancy, executed coronavirus relief, upcoming lease expirations and coronavirus pandemic related underperformance. Fitch Loans of Concern: SunTrust Center (4.1%) located in Glen Allen, VA, approximately 13 miles NW of the Richmond CBD. According to media reports, the subject's largest tenant, SunTrust Bank (NRA 61%), announced it would be departing SunTrust Center by the first half of 2022. SunTrust's scheduled lease expiration at the subject is March 2028. As of May 2021, the property had $278.5 thousand in capex reserves and $471 thousand in tenant reserves. The loan is structured with a with a tenant trigger event whereby a hard lockbox with a springing cash management will be triggered in the event SunTrust vacates its space. Shoppes at Chino Hills (4.0%) lifestyle center located in Chino Hills, CA. The loan was transferred to special servicing in July 2020 for monetary default and was modified in October 2020; terms include bringing the loan current with funds from reserves as well as new equity. The loan was returned to the master servicer as a corrected mortgage loan in late February 2021 and has since remained current. The subject's largest tenant, Jacuzzi Brands (NRA 8.6%), lease is scheduled to expire in September 2021. Crowne Plaza Dulles Airport (3.0%) is a full-service hotel located in Herndon, VA. This loan is on the servicer's watchlist for underperformance due to coronavirus pandemic-related economic hardship. Subject TTM September 2020 ADR and RevPar were $105.46 and $38.76, respectively, compared with YE 2019 ADR and RevPar of $115.89 and $79.20, respectively. YE 2020 NOI DSCR has fallen to -0.91x. In July 2020, a consent agreement was executed whereby the borrower would be allowed to fund debt service from reserve accounts between August and October 2020. Additionally, reserve deposits would be deferred between August 2020 and January 2021. Orlando Airport Marriott Lakeside (2.8%) is a full-service hotel in Orlando, FL. Performance has significantly declined as a result of the pandemic. As of YE 2020, occupancy had declined to 32% from 84% in 2019, and NOI DSCR declined to 0.44x at YE 2020 from 2.25x at YE 2019. Coronavirus relief has been granted whereby October 2020 through March 2021 FF&E payments were deferred, with FF&E account to be used for P&I payment assistance in October and November 2020 only. 55 Miracle Mile (2.5%) is a mixed-use retail/office property located in Coral Gables, FL. Property occupancy has been volatile since issuance as occupancy fell to 66% as of year-end 2020 from 76% in March 2020 and 96.5% in May 2018. The lease for the largest tenant, All-Inclusive Collections (NRA 12.4%) is scheduled to expire in June 2022. In order to provide relief from pandemic-related hardship, the borrower and lender have entered into a consent agreement whereby reserve balances may be used to partially fund debt service between September 2020 and February 2021. Additionally, deposits to the Capital Expenditure Account and Rollover Account will be deferred between September 2020 and August 2021. The loan was classified between 30 and 60 days delinquent between September 2020 and April 2021 and was brought current as of the May 2021 reporting period. New York Film Academy (2.1%) is a single tenant office property in Burbank, CA fully leased to New York Film Academy. NOI DSCR has fallen to 0.97x as of YE 2020 compared with 1.86x (YE 2019) and underwritten NOI DSCR of 1.72x. Gross rent collections have fallen 42% between YE 2020 and YE 2019. Prince and Spring Street Portfolio (1.1%) is a portfolio of three retail/multifamily properties located in the NoLita neighborhood of Manhattan, just east of SoHo. The loan transferred to special servicing in December 2020 for payment default. Since the January 2021 distribution, the loan has been classified as 90+ days delinquent. The remaining seven FLOCs (3.9%) account for less than 1% of aggregate outstanding loan balance on an individual basis. Exposure to Coronavirus: Eight loans (12.3% of pool), which have a weighted average NOI DSCR of 0.41x, are secured by hotel properties. Thirteen loans (15.6%), which have a weighted average NOI DSCR of 1.59x, are secured by retail properties. Sixteen loans (8.5%), which have a weighted average NOI DSCR of 1.73x, are secured by multifamily properties. Fitch's analysis applied additional stresses to six hotel loans and one retail loan 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. Minimal Change to Credit Enhancement: As of the May 2021 distribution date, the pool's aggregate principal balance has paid down by 1.1% to $1.013 billion from $1.024 billion at issuance. At issuance, based on the scheduled balance at maturity, the pool was expected to pay down by 6.4%, which is below the 2018 average of 7.2% and the 2017 average of 7.9%. No loans mature until 2023. No loans have been defeased. No loans were given investment grade credit opinion by Fitch at issuance. Of the remaining pool balance, 27 loans comprising 54.6% of the pool were classified as full interest-only through the term of the loan. RATING SENSITIVITIES The Stable Outlooks on classes A-1 through E-RR reflect the overall stable performance of the majority of the pool and expected continued amortization. The Negative Outlooks on classes F-RR and G-RR 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 one specially serviced loan. 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. -- Upgrades of the '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 and the interest-only class X-A 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-RR, 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-RR and G-RR could 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. 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. MTRO COMMERCIAL 2019-TECH: DBRS Confirms BB Rating on E Certs ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-TECH issued by MTRO Commercial Mortgage Trust 2019-TECH as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class X-NCP at AAA (sf) -- Class C at AA (high) (sf) -- Class D at BBB (sf) -- Class E at BB (sf) -- Class F at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The December 2020 financials reported net cash flow that was in line with 2019 and 16% above the Issuer's assumptions. Occupancy remained stable at 97% as of YE2020. The transaction comprises a $200.0 million loan with an initial term of two years with three one-year extension options (the first of which has been exercised) and a final maturity in December 2023. The loan pays interest only (IO) throughout its term at a rate of Libor plus 1.725%. In addition to the trust debt, there is $30.0 million in mezzanine debt (which is coterminous with the trust debt), bringing the total debt to $230.0 million. This debt, combined with $106.8 million of sponsor equity, was used to purchase the properties and fund upfront reserves. The collateral consists of the leasehold interest in two Class A office buildings totaling 1.1 million square feet (sf) in Brooklyn, New York. The buildings are part of the MetroTech office/educational campus, which totals 5.5 million sf across 11 buildings. One MetroTech Centre is a Class A, 24-story office building with ground-floor retail, totaling 906,009 sf. This property is encumbered by a 97-year ground lease that expires in March 2087 with no renewal options. Eleven MetroTech Center is a Class A, five-story office building with ground-floor retail, totaling 216,000 sf. This property is encumbered by a 99-year ground lease that expires in January 2092, with no renewal options. The largest tenant at the properties is J.P. Morgan Chase (JPMC) which occupies 270,223 sf in the One MetroTech building on a lease that expires in June 2024 with one 10-year extension option. This extension option also provides JPMC the ability to return up to 50% of its space in contiguous full floor space at the time of renewal. National Grid is the second-largest tenant at the properties, occupying 259,561 sf in the One MetroTech building on a lease that expires in February 2025 with two 10-year extension options. National Grid is an electricity, natural gas, and clean energy delivery company serving the U.S. and Great Britain. The third-largest tenant at the properties is the New York City Department of Information Technology & Telecommunications (DoITT) which occupies 155,500 sf (making it the largest tenant in the Eleven MetroTech building) on a lease that expires in March 2030. DoITT delivers IT services, infrastructure, and telecommunications across New York City's governmental operations. This property serves as its headquarters, although the lease does not contain any extension options. Notes: All figures are in U.S. dollars unless otherwise noted. NATIONSLINK FUNDING 1999-LTL-1: Moody's Lowers Cl. X Certs to B3 ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating on one interest only class of NationsLink Funding Corporation 1999-LTL-1: Cl. X, Downgraded to B3 (sf); previously on Nov 9, 2018 Affirmed B2 (sf) RATINGS RATIONALE The rating on the IO class, Cl. X, was downgraded due to the principal paydowns of its higher quality referenced classes. The IO class is the only outstanding Moody's-rated class in this transaction. 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. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING An IO class may be subject to ratings upgrades if there is an improvement in the credit quality of its referenced classes, subject to the limits and provisions of the updated IO methodology. An IO class may be subject to ratings downgrades if there is (i) a decline in the credit quality of the reference classes and/or (ii) paydowns of higher quality reference classes, subject to the limits and provisions of the updated IO methodology. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in this rating were "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in June 2020. DEAL PERFORMANCE As of the May 24, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $8.5 million from $492.5 million at securitization. The Certificates are currently 100% collateralized by a Credit Tenant Lease (CTL) component that includes 16 loans ranging in size from 2% to 18% of the pool. One loan, representing 2.5% of the pool, is on the master servicer's watchlist. The watchlist includes loans which 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, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $1.2 million (22% loss severity on average). No loans are currently in special servicing. The CTL component consists of 16 loans, secured by properties leased to five tenants. The largest exposure is Winn-Dixie (prior name Kash n' Karry) ($3.4 million -- 39.9% of the pool). Four of the tenants have a Moody's rating. The bottom-dollar weighted average rating factor (WARF) for this pool is 3,638. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of the default probability within the pool. NATIXIS COMMERCIAL 2018: DBRS Confirms BB (high) Rating on E Certs ------------------------------------------------------------------ DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-ALXA issued by Natixis Commercial Mortgage Securities Trust 2018-ALXA as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of this transaction, which is in line with DBRS Morningstar's expectations. The loan is secured by Centre 425 Bellevue, a 356,909-square-foot (sf) Class A LEED Silver-certified office building in downtown Bellevue, Washington, approximately 10 miles east of Seattle. The condominium interest includes 98.3% of the leasable square footage within the 16-story structure, in addition to an eight-level underground parking garage. The property is 100.0% occupied by Amazon.com, Inc. (Amazon) and Starbucks Corporation (Starbucks), both investment-grade-rated tenants, with Amazon accounting for 99.4% of the net rentable area. In 2017, Amazon executed a 16-year triple net lease that extends well beyond the 10-year loan term to September 30, 2033. Also in 2017, Starbucks executed a 10-year triple net lease through to June 2027 with two five-year renewal options. The loan is sponsored by RFR Holdings LLC and Tristar Capital, whose principals serve as guarantors for the transaction. Loan proceeds of $208.5 million, $57.6 million of mezzanine debt, and $71.7 million of borrower equity were used to finance the acquisition of the subject for a purchase price of $313.0 million, fund upfront reserves, and cover closing costs. The fixed-rate interest-only (IO) mortgage loan has an anticipated repayment date (ARD) in 2027 and final loan maturity in 2033. As at the March 2021 rent roll, Amazon is paying rent of $36.24 per square foot (psf) with annual rental rate escalations of 2.25%, while Starbucks is paying rent of $39.90 psf with a 10.0% rent escalation in July 2022. Amazon's lease has no termination options; it can downsize its space by whole-floor increments but must maintain at least 175,000 sf at the collateral. Its lease is also guaranteed by Amazon subject to a cap of $190.0 million for the first five years, which reduces by $19.0 million each year thereafter. As of the most recent financials, the collateral reported a debt service coverage ratio (DSCR) of 1.72 times (x) at year-end (YE) 2020 a slight increase from the YE2019 DSCR of 1.68x and up significantly from the YE2018 DSCR of 1.12x when Amazon's free rent period was burning off. Notes: All figures are in U.S. dollars unless otherwise noted. NATIXIS COMMERCIAL 2020-2PAC: DBRS Confirms B(low) on 2 Classes --------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2020-2PAC, Amazon Phase VII Loan Specific Certificates issued by Natixis Commercial Mortgage Securities Trust 2020-2PAC (NCMS 2020-2PAC) as follows: -- Class AMZ1 at BBB (low) (sf) -- Class AMZ2 at BB (low) (sf) -- Class AMZ3 at B (low) (sf) -- Class V-AMZ at B (low) (sf) All trends are Stable. The rating confirmations reflect DBRS Morningstar's unchanged credit view of the transaction, which is very early in its lifecycle. Collateral for the underlying loan is secured by the borrower's fee-simple interest in Amazon Phase VII, a 12-story, Class A office property in Seattle. Built to suit in 2015, the property is 98.2% occupied by Amazon Corporate LLC, a subsidiary of Amazon, an investment-grade tenant. The building is LEED Gold certified and totals 318,617 square feet (sf), including 5,651 sf of ground-floor retail space, a four-level subterranean parking garage containing 429 parking spaces, a public plaza, and a landscaped rooftop terrace with sweeping views of Seattle. The property is one of more than 40 office buildings comprising Amazon's corporate headquarters campus in Seattle's South Lake Union submarket. Amazon's lease, which has a 9.3% rent increase every three years, is fully guaranteed by Amazon. The lease commenced on September 2015 and expires in August 2031, well beyond the loan term. In addition, the lease is structured with two five-year extension options and no early termination options. Furthermore, the current contractual rent is $33.98 per sf, approximately 19.0% below the market rate estimated by the appraiser. The only other tenant at the property is Sam's Tavern 2.0 Llc (1.8% of the net rentable area), on a lease through January 2026. The Amazon Phase VII whole loan has an outstanding principal balance of $220.0 million and is evidenced by a senior A note with an outstanding principal balance of $160.0 million and a subordinate B note with an outstanding principal balance of $60.0 million. The five-year whole loan is full-term interest only. The Amazon Phase VII A note was contributed to the subject trust and split into four components: one senior pooled component with an outstanding principal balance of $100.1 million and three subordinate nonpooled components totalling $59.9 million, which serve as collateral for these rated loan-specific certificates. DBRS Morningstar does not rate the NCMS 2020-2PAC pooled certificates. The sponsors cashed out $17.5 million as part of the transaction; however, they still have approximately $68.0 million of implied equity behind the deal based on the issuance appraised value. The borrowing entities for the loan are RF Sidneysea TIC LLC (RFR) and Brazil 7star LLC (TriStar), as tenants in common. RFR is ultimately owned by Aby Rosen and Michael Fuchs while TriStar is ultimately owned by David Edelstein, all of which reported significant financial wherewithal at issuance. RFR is a Manhattan-based, privately controlled real estate investment, development, and management company founded in 1991 by Rosen and Fuchs that operates, develops, leases, and manages a variety of properties. TriStar is a New York-based real estate firm led by Edelstein that builds and invests in both commercial and residential properties. DBRS Morningstar's net cash flow (NCF) derived at issuance was $10.9 million. As of YE2020, the servicer reported an NCF of $10.6 million, in line with expectations. DBRS Morningstar assumed a straight-line credit over the loan term for Amazon. The Q4 2020 reporting shows an occupancy rate of 100% for the property. Notes: All figures are in U.S. dollars unless otherwise noted. OCP CLO 2021-21: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to OCP CLO 2021-21 Ltd./OCP CLO 2021-21 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 OCP CLO 2021-21 Ltd./OCP CLO 2021-21 LLC Class A-1, $300.0 million: AAA (sf) Class A-2, $20.0 million: Not rated Class B, $60.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D (deferrable), $30.0 million: BBB- (sf) Class E (deferrable), $17.5 million: BB- (sf) Subordinated notes, $50.7 million: Not rated OCTAGON INVESTMENT 47: S&P Assigns Prelim BB- Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Octagon Investment Partners 47 Ltd./Octagon Investment Partners 47 LLC, a CLO originally issued in May 2020 that is managed by Octagon Credit Investors LLC. The preliminary ratings are based on information as of June 3, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 4, 2021, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. S&P said, "At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm our ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement classes are expected to be issued at a lower spread over three-month LIBOR than the original notes. -- All replacement classes are expected to be issued at a floating spread, replacing the current floating-rate notes. -- The stated maturity will be extended 3.25 years, and the reinvestment and non-call periods are also being extended accordingly. -- The class A-1 and A-2 notes are collapsing into a single class A-R note. -- The total balance of the secured notes is being increased slightly. -- Of the identified underlying collateral obligations, 100.0% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 93.1% have recovery ratings assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Octagon Investment Partners 47 Ltd./Octagon Investment Partners 47 LLC Class A-R, $320.0 million: AAA (sf) Class B-R, $60.0 million: AA (sf) Class C-R (deferrable), $30.0 million: A (sf) Class D-R (deferrable), $30.0 million: BBB- (sf) Class E-R (deferrable), $20.0 million: BB- (sf) Subordinated notes, $48.1 million: Not rated OHA CREDIT 9: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OHA Credit Funding 9 Ltd./OHA Credit Funding 9 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Oak Hill Advisors L.P. The preliminary ratings are based on information as of June 2, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned OHA Credit Funding 9 Ltd./OHA Credit Funding 9 LLC Class X, $3.00 million: AAA (sf) Class A-1, $375.00 million: AAA (sf) Class A-2, $6.00 million: Not rated Class B, $75.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $36.00 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Subordinated notes, $48.50 million: Not rated PSMC 2021-2 TRUST: S&P Assigns B (sf) Rating on Class B-5 Certs --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to PSMC 2021-2 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed-rate, fully amortizing mortgage loans secured by single-family residential properties, condominiums, and planned-unit developments to prime borrowers. The preliminary ratings are based on information as of June 3, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The high-quality collateral in the pool; -- The available credit enhancement; -- The transaction's associated structural mechanics; -- The representation and warranty framework (R&W) for this transaction; -- The geographic concentration; -- The experienced aggregator; -- 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. 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." Preliminary Ratings Assigned PSMC 2021-2 Trust Class A-1, $303,440,000: AAA (sf) Class A-2, $303,440,000: AAA (sf) Class A-3, $227,580,000: AAA (sf) Class A-4, $227,580,000: AAA (sf) Class A-5, $15,172,000: AAA (sf) Class A-6, $15,172,000: AAA (sf) Class A-7, $60,688,000: AAA (sf) Class A-8, $60,688,000: AAA (sf) Class A-9, $37,318,000: AAA (sf) Class A-10, $37,318,000: AAA (sf) Class A-11, $242,752,000: AAA (sf) Class A-12, $75,860,000: AAA (sf) Class A-13, $242,752,000: AAA (sf) Class A-14, $75,860,000: AAA (sf) Class A-15, $340,758,000: AAA (sf) Class A-16, $340,758,000: AAA (sf) Class A-17, $45,516,000: AAA (sf) Class A-18, $15,172,000: AAA (sf) Class A-19, $45,516,000: AAA (sf) Class A-20, $15,172,000: AAA (sf) Class A-21, $197,236,000: AAA (sf) Class A-22, $30,344,000: AAA (sf) Class A-23, $197,236,000: AAA (sf) Class A-24, $30,344,000: AAA (sf) Class A-25, $106,204,000: AAA (sf) Class A-26, $106,204,000: AAA (sf) Class A-X1, $340,758,000(i)(ii)(iii): AAA (sf) Class A-X2, $303,440,000(i)(ii)(iv): AAA (sf) Class A-X3, $227,580,000(i)(ii)(v): AAA (sf) Class A-X4, $15,172,000(i)(ii)(vi): AAA (sf) Class A-X5, $60,688,000(i)(ii)(vii): AAA (sf) Class A-X6, $37,318,000(i)(ii)(viii): AAA (sf) Class A-X7, $340,758,000(i)(ii)(iii): AAA (sf) Class A-X8, $45,516,000(i)(ii)(ix): AAA (sf) Class A-X9, $15,172,000(i)(ii)(x): AAA (sf) Class A-X10, $197,236,000(i)(ii)(xi): AAA (sf) Class A-X11, $30,344,000(i)(ii)(xii): AAA (sf) Class B-1, $6,069,000: AA (sf) Class B-2, $2,856,000: A (sf) Class B-3, $3,748,000: BBB- (sf) Class B-4, $1,250,000: BB- (sf) Class B-5, $1,071,000: B (sf) Class B-6, $1,249,699: Not rated Class R, not applicable: Not rated (i)Notional balance. (ii)The class A-X1, A-X2, A-X3, A-X4, A-X5, A-X6, A-X7, A-X8, A-X9, A-X10, and A-X11 certificates are interest-only certificates. (iii)The class A-X1 and A-X7 certificates will each accrue interest on a notional amount equal to the aggregate class principal amount of the class A-5, A-9, A-19, A-20, A-21 and A-22 certificates. (iv)The class A-X2 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-5, A-19, A-20, A-21 and A-22 certificates. (v)The class A-X3 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-21 and A-22 certificates. (vi)The class A-X4 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-5 certificates. (vii)The class A-X5 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the classes A-19 and A-20 certificates. (viii)The class A-X6 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-9 certificates. (ix)The class A-X8 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-19 certificates. (x)The class A-X9 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-20 certificates. (xi)The class A-X10 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-21 certificates. (xii)The class A-X11 certificates will accrue interest on a notional amount equal to the aggregate class principal amount of the class A-22 certificates. READY CAPITAL 2020-FL4: DBRS Confirms B(low) Rating on G Notes -------------------------------------------------------------- DBRS Limited confirmed its ratings on the notes issued by Ready Capital Mortgage Financing 2020-FL4, LLC as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. At issuance, the pool consisted of 56 floating-rate mortgages secured by 63 mostly transitional properties with an aggregate principal balance of $405.3 million, excluding $147.5 million of future funding commitments. The transaction is structured with an initial 24-month acquisition period whereby the Issuer may acquire future funding participations with principal repayment proceeds into the trust, limited to a cumulative amount of $65.0 million. This period is scheduled to end with the July 2022 payment date. As of April 2021 reporting, 50 of the original 56 loans remain in the pool with an aggregate principal balance of $403.6 million. Approximately $116.3 million of outstanding future funding commitments have yet to be released to individual borrowers to aid in the completion of the respective business plans contemplated at loan closing. Since issuance, six loans (4.1% of the initial pool balance) have repaid in full, while two portfolio loans (7.2% of the initial pool balance) secured by multiple properties have had partial loan repayments, as a result of collateral releases. To date, $23.2 million of funded loan participations across 27 loans have been purchased the trust. All loans have interest-only (IO) terms ranging from 24 to 48 month, with extension options available based on certain criteria, including minimum debt service coverage ratio (DSCR) and loan-to-value (LTV) requirements. The majority of the loans will amortize during the respective extension options. There are currently no loans that are delinquent, in special servicing, or on the servicer's watchlist. No loans in the pool are secured by hospitality properties, while only three loans (6.2% of the pool) are secured by retail or student housing properties. The pool is concentrated by loans secured by industrial (29.2% of the current pool balance), office (24.9% of the current pool balance), and multifamily (24.6% of the current pool balance) properties. There are 37 loans (76.2% of the current pool balance) in the trust that represent acquisition financing. The acquisition financings within this securitization generally required the respective sponsor(s) to contribute material cash equity as a source of funding in conjunction with the mortgage loans, resulting in a higher sponsor cost basis in the underlying collateral. One of the loans that had partial repayment, RealOp & Bain Portfolio (Prospectus ID#5, 5.1% of the initial pool balance), was originally secured by three industrial properties located across three different states, totaling 862,602 square feet (sf). Initial loan proceeds of $16.5 million, along with $14.6 million of borrower equity, were primarily used to acquire the property, with $8.6 million of future funding available for stabilization through an estimated $4.0 million of capital improvements, $2.9 million of TI/LC reserves, and $1.1 million to cover projected debt service and operating shortfalls. In September 2020, the Wilmar Boulevard property located southwest of Charlotte, North Carolina, was repaid at 105.0% of the allocated fully funded loan amount for the property, totaling $7.1 million. The property had been leased to MSS Solutions, LLC in 2019 on a 12-year lease through September 2031. The two remaining collateral assets are the Tampa Park of Commerce, secured by a 364,082-sf, Class B property in Tampa, and 109 Kirby Drive (Kirby), secured by a 219,767 sf, Class C+ property in Portland, Tennessee. The Tampa Park of Commerce is currently fully occupied by Refresco Beverages US Inc. on a lease through January 2031; however, a potential property release is not known at this time. The Kirby asset is 40 miles north of Nashville near I-65 and remains vacant as of the most recent update provided by the collateral manager. Reportedly, the strategic location could result in demand from warehousing and logistics users seeking access to key markets in the southeast. The sponsor has dedicated approximately $1.5 million in the renovation of the property and build out the space to attract a future tenant. Notes: All figures are in U.S. dollars unless otherwise noted. ROCKLAND PARK CLO: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ---------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Rockland Park CLO Ltd.'s floating-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of June 4, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Rockland Park CLO Ltd./Rockland Park CLO LLC Class A, $302.50 million: AAA (sf) Class B, $77.50 million: AA (sf) Class C, $30.00 million: A (sf) Class D, $30.00 million: BBB- (sf) Class E, $20.00 million: BB- (sf) Subordinated notes, $50. 25 million: Not rated ROMARK CLO-IV: S&P Assigns BB- (sf) Rating on Class D Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Romark CLO-IV Ltd./Romark CLO-IV LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Romark CLO Advisors LLC. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Romark CLO-IV Ltd./Romark CLO-IV LLC Class A-1, $240.00 million: AAA (sf) Class A-2a, $50.00 million: AA (sf) Class A-2b, $14.00 million: AA (sf) Class B (deferrable), $24.00 million: A (sf) Class C-1 (deferrable), $16.00 million: BBB+ (sf) Class C-2 (deferrable), $8.00 million: BBB- (sf) Class D (deferrable), $14.20 million: BB- (sf) Subordinated notes, $36.65 million: Not rated RR 16: S&P Assigns Prelim BB- (sf) Rating on Class D Notes ---------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to RR 16 Ltd./RR 16 LLC's floating-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of June 4, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned RR 16 Ltd./RR 16 LLC Class A-1 loans, $130.00 million: AAA (sf) Class A-1, $236.00 million: AAA (sf) Class A-2, $78.00 million: AA (sf) Class B (deferrable), $48.00 million: A (sf) Class C (deferrable), $36.00 million: BBB- (sf) Class D (deferrable), $22.50 million: BB- (sf) Subordinated notes, $48.75 million: not rated SCULPTOR CLO XXVI: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sculptor CLO XXVI Ltd./Sculptor CLO XXVI LLC's floating-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by Sculptor Loan Management L.P. The preliminary ratings are based on information as of June 3, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Sculptor CLO XXVI Ltd./Sculptor CLO XXVI LLC Class A, $248.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $16.00 million: BBB+ (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $37.74 million: Not rated SOUND POINT XXIII: Moody's Assigns Ba3 Rating to $30M Cl. E-R Notes ------------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by Sound Point CLO XXIII, Ltd. (the "Issuer"). Moody's rating action is as follows: US$3,200,000 Class X-R Senior Secured Floating Rate Notes due 2034 (the "Class X-R Notes"), Assigned Aaa (sf) US$384,000,000 Class A-R Senior Secured Floating Rate Notes due 2034 (the "Class A-R Notes"), Assigned Aaa (sf) US$72,000,000 Class B-R Senior Secured Floating Rate Notes due 2034 (the "Class B-R Notes"), Assigned Aa2 (sf) US$28,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class C-R Notes"), Assigned A2 (sf) US$37,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2034 (the "Class D-R Notes"), Assigned Baa3 (sf) US$30,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2034 (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 senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans and bonds. Sound Point Capital Management, LP (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; the inclusion of Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $600,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2842 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9.12 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. TERWIN MORTGAGE 2007-9SL: S&P Lowers Class A-1 Loans Rating to 'BB' ------------------------------------------------------------------- S&P Global Ratings completed its review of Terwin Mortgage Trust 2007-9SL (Terwin 2007-9SL), a U.S. residential mortgage-backed securities (RMBS) transaction. S&P lowered its rating on class A-1 to 'BB (sf)' from 'AA (sf)' and removed it from CreditWatch with negative implications. The downgrade stems from loan rate modifications involving the underlying collateral, which has reduced the amount of interest payable to the class A-1. S&P said, "In line with our updated guidance article, we now assess the credit quality of the class A-1, which has weakened because of the reduced interest payments, as commensurate with a 'BB' rating level rather than an 'AA'. The guidance article explains how we analyze the impact of reductions in interest payments to securityholders due to loan rate modifications and other credit-related events involving the underlying mortgage loan collateral." Rating Actions Class A-1 from Terwin 2007-9SL is an insurance-wrapped RMBS, and although the insurer has made full interest payments under the terms of the insurance policy, the interest payments to the bondholders have been reduced due to mortgage loan rate modifications or other credit-related events involving the underlying residential mortgage collateral. Under the transaction documents, the amount of interest payable to the class A-1 holders is limited by, among other factors, the weighted average coupon (WAC) of the underlying mortgage loans. S&P said, "Based on our analysis of the decline in WAC since the issuance of the class A-1, we have determined that loan rate modifications have weakened the credit quality of the underlying mortgage loan collateral. The rating change reflects our updated opinion regarding the impact of the reduced interest payments on the creditworthiness of class A-1. Our rating continues to contemplate the likelihood of ultimate repayment of principal on the basis of the rating on the bond insurer, which is currently 'AA'." To assess the impact of a reduction in the amount of interest payable to securityholders under its updated guidance, S&P generally look to the following: -- A monthly calculation that considers: (a) the portion of the pool reported as modified; (b) our assumption as to what percentage of the modified portion has experienced an interest rate adjustment; and (c) an assumed amount of interest rate reduction. -- A calculation that captures expected cumulative interest reduction amount (CIRA) for the remaining life of the security from existing modifications. -- As noted in S&P's guidance article, it may take transaction-specific considerations into account to arrive at the maximum potential rating (MPR). In this case, for example, S&P considered the existence of the bond insurance policy when it comes to ultimate payment of principal. The WAC on the collateral has decreased to 6.29% (April 2021) from 11.05% at issuance (October 2007). Moreover, the transaction is significantly under-collateralized (i.e., $4.4 million in remaining collateral vs. $28.9 million in class A-1 principal balance, as of April 2021). While the bond insurance policy covers repayment of principal and certain interest losses, it is S&P's understanding it does not cover interest reductions from loan rate modifications. Therefore, S&P determined the interest loss attributable to such loan rate modifications (79% of the pool has been modified or has likely been modified, based on data as of April 2021) in line with the calculations mentioned earlier, which led us to the MPR of 'BB (sf)' for class A-1. 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." UBS-BARCLAYS 2021-C4: Fitch Lowers Class F Certs to 'CC' -------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed nine classes of UBS-Barclays Commercial Mortgage Trust 2012-C4 Commercial Mortgage Pass-Through Certificates, Series 2012-C4. DEBT RATING PRIOR ---- ------ ----- UBS-BB 2012-C4 A-3 90270RBC7 LT AAAsf Affirmed AAAsf A-4 90270RBD5 LT AAAsf Affirmed AAAsf A-5 90270RBE3 LT AAAsf Affirmed AAAsf A-AB 90270RBF0 LT AAAsf Affirmed AAAsf A-S 90270RAA2 LT AAAsf Affirmed AAAsf B 90270RAG9 LT AA-sf Affirmed AA-sf C 90270RAJ3 LT A-sf Affirmed A-sf D 90270RAL8 LT BBsf Downgrade BBB-sf E 90270RAN4 LT CCCsf Downgrade Bsf F 90270RAQ7 LT CCsf Downgrade CCCsf X-A 90270RAC8 LT AAAsf Affirmed AAAsf X-B 90270RAE4 LT A-sf Affirmed A-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrades of the subordinate classes reflect Fitch's increased loss expectations from the specially serviced loans while the affirmations of the senior classes reflect the continued amortization and significant defeasance. There are four loans in special servicing (14.9% of the current pool balance) and 10 loans (24.1%), including the specially serviced loans, that have been designated as Fitch Loans of Concern (FLOCs). The downgrades and Negative Outlooks reflect a base case loss of 8.30% which factors in concerns with the declining performance on the regional mall assets. The Negative Outlooks on classes C and D also reflect losses that could reach 8.80% when factoring additional coronavirus-related stresses. Fitch Loans of Concern: The largest contributor to losses is Newgate Mall (4.9%), a regional mall in Ogden, UT that is anchored by Dillard's, Burlington Coat Factory and Downeast Home. Sears (30.1% of the collateral net rentable area) went dark in early 2018, and there has been no leasing activity for the vacant box. Cinemark Theatres (12.4% NRA) closed in May 2021. When Cinemark's departure is taken into consideration, collateral and total mall occupancy will be 47% and 50%. The property has experienced declining cash flow and is not the dominant mall in its trade area. The loan transferred to special servicing in March 2020 when the borrower indicated that they would not be able to refinance the loan prior to their June 2020 maturity date and went REO in March 2021. The servicer is evaluating the property to determine the best liquidation strategy. Fitch modeled a loss of approximately 85% which implies an approximate cap rate of 29%. The second largest driver to losses is Visalia Mall (6.2%), a regional mall in Visalia, CA anchored by Macy's, JC Penney and Old Navy. As of March 2021, the property was 97% occupied and reported an IO NOI debt service coverage ratio (DSCR) of 3.39x at YE 2020. The loan transferred to special servicing in May 2020 for imminent default after the borrower indicated that they would not be able to refinance the loan prior to its May 2020 maturity date. The servicer executed a forbearance agreement which pushed the maturity date to June 2021. As of May 2021, the borrower was in discussions with the special servicer for a second extension to the maturity date. Fitch modeled a loss of approximately 25% which implies an approximate cap rate of 17%. The third largest driver to losses is Chinatown Shopping Center (1.6%), a shopping center located in Austin, TX, and anchored by MT Supermarket. As of YE 2020, the property was 90% occupied and performing at a 1.53x NOI DSCR. The loan transferred to special servicing in June 2020 for imminent monetary default and a pandemic- related forbearance was executed. Fitch modeled a loss of approximately 30% based on a stressed asset valuation using an 9.25% cap rate and 10% haircut to the YE 2020 NOI. Other FLOCs include the Rocky Hill Portfolio (3.4%), an office portfolio in Connecticut with significant upcoming tenant rollover; the Manassas Retail Portfolio (2.2%), a two-property retail portfolio in Manassas, VA being stress tested due to coronavirus; the Sun Development Portfolio (2.1%), a specially serviced hotel portfolio; Courtyard Columbus at Easton Town Center (1.5%), a hotel in Columbus, OH being stress tested due to coronavirus; Gaithersburg Office Portfolio (1.1%), an office portfolio in suburban Maryland with low DSCR due to increased vacancy; the Gaslamp Portfolio (0.7%), a mixed-use portfolio in San Diego, CA where occupancy has declined to 73% as of 1Q21 compared to 94% at YE 2020; and Nottingham Square Shopping Center (0.3%), a retail property in White Marsh, MD where the largest tenant, Bed Bath & Beyond, has vacated prior to their lease expiration. Alternative Loss Considerations: Fitch's analysis included scenario that assumed the only remaining loans are the two regional malls, given concerns about continued performance deterioration and the ability of the Visalia Mall borrower to refinance the loan. All other loans were assumed to liquidate or pay in full at maturity. The downgrades and Negative Outlooks considered this scenario. In addition, an ESG relevance score of '4' for Social Impacts was applied as a result of exposure to sustained structural shift in secular preferences affecting consumer trends, occupancy trends, etc., which, in combination with other factors, impacts the ratings. Stable Credit Enhancement (CE); Increased Defeasance: As of the May 2021 distribution date, the pool's aggregate principal balance has been reduced by 19.2% to $1.18 billion from $1.46 billion at issuance. One loan (0.3% of the prior pool balance) has been liquidated at a loss since Fitch's last rating action. Twenty-five loans (20.7%) have been defeased compared to 20 loans (15.1%) at the prior rating action. Class G has realized $2,046,354 in losses and is currently being affected by interest shortfalls. Coronavirus Exposure: Fitch's base case analysis applied an additional NOI stress to three hotel loans and one retail loan. The pool contains seven non-defeased loans (10.7%) secured by hotels with a weighted-average DSCR of 2.66x. Retail properties account for 28.9% of the pool balance and have weighted average DSCR of 2.02x These additional stresses contributed to the Negative Outlooks on classes C and D and the distressed ratings on classes E and F. RATING SENSITIVITIES The Negative Outlooks on classes C and D reflect the potential for a near-term rating change should the performance of the specially serviced loans, particularly Visalia Mall and Newgate Mall, deteriorate. It also reflects concerns with hotel and retail properties as a result of the coronavirus pandemic. The Stable Outlooks on all other classes reflect the overall stable performance of the pool, significant defeasance and expected continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades of the B, C, and X-B classes would only occur with significant improvement in CE or substantial defeasance but would be limited should the deal be susceptible to a concentration whereby the underperformance of particular loans, such as Visalia Mall or Newgate Mall, 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 for interest shortfalls. An upgrade to classes E and F is not likely and would only occur if the specially serviced loans were resolved without losses, the performance of the remaining pool is stable, and if there is sufficient CE, which would likely occur when the 'CCCsf' or below class(es) are not eroded and the senior classes payoff. Upgrades to any classes are highly unlikely if the specially serviced loans, particularly Newgate Mall, are liquidated with substantial losses. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to the senior classes, A-3, A-4, A-5, A-AB, A-S and X-A are not likely due to the high CE and defeasance. Downgrades to classes B, C and X-B are possible if additional loans default and transfer to special servicing, if the performance of specially serviced loans deteriorate, or if several large loans realize outsized losses. -- Downgrades may occur at 'AAAsf' or 'AAsf' should interest shortfalls occur. Additional downgrades to classes D, E and F would occur if loss expectations increase further due to additional transfers to special servicing or as losses 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 UBS-BB 2012-C4 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to the pool's significant retail exposure, including two specially serviced regional mall loans that are currently underperforming as a result of changing consumer preferences in shopping, which has a negative impact on the credit profile and is highly relevant to the ratings. This impact contributed to the downgrade of classes D, E and F and the Negative Outlooks on classes C and D. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. UWM MORTGAGE 2021-1: Moody's Assigns B3 Rating to Class B5 Certs ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to thirty-one classes of residential mortgage-backed securities (RMBS) issued by UWM Mortgage Trust 2021-1. The ratings range from Aaa (sf) to B3 (sf). UWM Mortgage Trust 2021-1 is a securitization of 508 first-lien agency eligible mortgage loans. All the loans in the pool are originated by United Wholesale Mortgage, LLC (UWM - Ba3 long-term corporate family and Ba3 senior unsecured bond ratings, with stable outlook) in accordance with the underwriting guidelines of Fannie Mae or Freddie Mac with additional credit overlays. The transaction is backed by 502 30-year, 2 29-year, 3 25-year and 1 24-year fixed rate mortgage loans, respectively, with an aggregate stated principal balance of $351,858,069. The average stated principal balance is $692,634 and the weighted average (WA) current mortgage rate is 3.00%. All of the loans are designated as Qualified Mortgages (QM) under the GSE temporary exemption under the Ability-to-Repay (ATR) rules. Cenlar FSB (Cenlar) will service all the mortgage loans in the pool. Servicing compensation is subject to a step-up incentive fee structure. UWM will be the servicing administrator and Nationstar Mortgage LLC (Nationstar - B2 long-term issuer rating, with positive outlook) will be the master servicer. UWM will be responsible for principal and interest advances as well as other servicing advances. The master servicer will be required to make principal and interest advances if UWM is unable to do so. A third-party review (TPR) firm verified the accuracy of the loan level information on all the mortgage loans in the collateral pool. The firm conducted credit, property valuation, data accuracy and compliance reviews. The TPR results indicate that there are no material compliance, credit, or data issues and no appraisal defects. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's expected loss for this pool in a baseline scenario-mean is 0.28%, in a baseline scenario-median is 0.11%, and reaches 5.07% at a stress level consistent with Moody's Aaa ratings. Moody's also compared the collateral pool to other securitizations with agency eligible loans. Overall, this pool has average credit risk profile as compared to that of recent transactions. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: UWM Mortgage Trust 2021-1 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-9-X*, Assigned Aaa (sf) Cl. A-9-A, Assigned Aaa (sf) Cl. A-9-AI*, Assigned Aaa (sf) Cl. A-9-B, Assigned Aaa (sf) Cl. A-9-BI*, 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 Aa1 (sf) Cl. A-15, Assigned Aa1 (sf) Cl. A-16, Assigned Aaa (sf) Cl. A-17, Assigned Aaa (sf) Cl. A-X-1*, Assigned Aa1 (sf) Cl. A-X-2*, Assigned Aa1 (sf) Cl. A-X-3*, Assigned Aaa (sf) Cl. A-X-4*, Assigned Aa1 (sf) Cl. B1, Assigned Aa3 (sf) Cl. B2, Assigned A3 (sf) Cl. B3, Assigned Baa3 (sf) Cl. B4, Assigned Ba3 (sf) Cl. B5, Assigned B3 (sf) *Reflects Interest-Only Classes Ratings Rationale Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario is 0.28% at the mean, 0.11% at the median, and reaches 5.07% 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% (6.01% for the mean) and its Aaa losses by 2.5% to reflect the likely performance deterioration resulting from a 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 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 UWM Mortgage Trust 2021-1 is a securitization of 508 first-lien agency eligible mortgage loans. All the loans in the pool are originated by UWM in accordance with the underwriting guidelines of Fannie Mae or Freddie Mac with additional credit overlays. The transaction is backed by 502 30-year, 2 29-year, 3 25-year and 1 24-year fixed rate mortgage loans, respectively, with an aggregate stated principal balance of $351,858,069. The average stated principal balance is $692,634 and the weighted average (WA) current mortgage rate is 3.00%. Borrowers of the mortgage loans backing this transaction have strong credit profiles demonstrated by strong credit scores and low combined loan-to-value (CLTV) ratios. The weighted average primary borrower original FICO score and original CLTV ratio of the pool is 767 and 65.64%, respectively. The WA original debt-to-income (DTI) ratio is 36.00%. Approximately, 28.61% (by loan balance) of the borrowers in the pool have more than one mortgaged property. All of the loans are designated as Qualified Mortgages (QM) under the GSE temporary exemption under the Ability-to-Repay (ATR) rules. Approximately half of the mortgages (47.68% by loan balance) are backed by properties located in California. The next largest geographic concentration is New York (14.27% by loan balance), Washington (8.86% by loan balance), Colorado (8.34% by loan balance) and Utah (7.43% by loan balance). All other states each represent 4% or less by loan balance. Approximately 3.70% (by loan balance) of the pool is backed by properties that are 2-to-4 unit residential properties whereas loans backed by single family residential properties represent 68.04% (by loan balance) of the pool. Approximately 85.19% and 14.81% (by loan balance) of the loans were originated through the broker and the correspondent channels respectively. Irrespective of the origination channel, UWM underwrites all the loans it originates through its underwriting process. Nevertheless, the MILAN model adjusts the loan probability of default (PD) to account for different loan origination channels - retail (the least risk), broker (the most risk) and correspondent (intermediate risk) channels. Origination Quality and Underwriting Guidelines All the mortgage loans in this pool (including correspondent channel loans) were originated in accordance with the underwriting guidelines of Fannie Mae or Freddie Mac with additional credit overlays and approved for origination through Fannie Mae's Desktop Underwriter Program or Freddie Mac's Loan Prospector Program. Loan file reviews are conducted through a pre-funding and post-closing quality control (QC) process. Moody's consider UWM to be an adequate originator of GSE eligible loans following its review of its underwriting guidelines, quality control processes, policies and procedures, and historical performance relative to its peers. As a result, Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions. Servicing arrangement Cenlar (the servicer) will service all the mortgage loans in the transaction. UWM will serve as the servicing administrator and Nationstar will serve as the master servicer. The servicing administrator will be required to (i) make advances in respect of delinquent interest and principal on the mortgage loans and (ii) make certain servicing advances with respect to the preservation, restoration, repair and protection of a mortgaged property, including delinquent tax and insurance payments, unless the servicer determines that such amounts would not be recoverable. The master servicer will be obligated to fund any required monthly advance if the servicing administrator fails in its obligation to do so. Moody's consider the overall servicing arrangement for this pool as adequate given the ability and experience of Cenlar as a servicer and the presence of a master servicer, and as a result, Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions. COVID-19 Impacted Borrowers As of the cut-off date, none of the borrowers under the mortgage loans have entered into a disaster related forbearance plan, including, but not limited to, in response to the COVID-19 outbreak. In the event a borrower requests or enters into a disaster related forbearance plan after the cut-off date but prior to the closing date, the sponsor will remove such mortgage loan from the mortgage pool and remit the related closing date substitution amount. In the event a borrower enters into a disaster related forbearance plan after the closing date, such mortgage loan will remain in the mortgage pool. While a mortgage loan is in a disaster related forbearance period, the servicer will continue to report the borrower's delinquency status based on the actual payments received while in forbearance, which will show the borrower as delinquent for any scheduled payments not made during the disaster related forbearance period. Servicing compensation in this transaction is based on a fee-for-service incentive structure. The servicer receives higher fees for labor-intensive activities that are associated with servicing delinquent loans, including loss mitigation, than they receive for servicing a performing loan, which is less labor intensive. The fee-for-service incentive structure includes an initial monthly base servicing fee of $40 for all performing loans and increases according to certain delinquent and incentive fee schedules. The fees in this transaction are similar to other transactions with fee-for-service structure which Moody's have rated. Third-party review (TPR) An independent third-party review firm, Wipro Opus Risk Solutions, LLC (Opus), was engaged to conduct due diligence for the credit, regulatory compliance, property valuation, and data accuracy on 100% of the loans in the pool. There were generally no material findings. The loans that had exceptions to the originators' underwriting guidelines had significant compensating factors that were documented. Moody's did not make any adjustments to Moody's credit enhancement for TPR scope and results. Representations and Warranties Framework UWM as the sponsor, makes the loan-level R&Ws for the mortgage loans. The R&Ws cover most of the categories that Moody's identified in Moody's methodology as credit neutral. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria. The independent reviewer will perform detailed reviews to determine whether any R&Ws were breached when any loan becomes a severely delinquent mortgage loan, a delinquent modified mortgage loan, or is liquidated at a loss. These reviews are thorough in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. However, Moody's applied an adjustment to its expected losses to account for the risk that UWM may be unable to repurchase defective loans in a stressed economic environment in which a substantial portion of the loans breach the R&Ws, given that it is a non-bank entity with a monoline business (mortgage origination and servicing) that is highly correlated with the economy. Transaction structure The securitization has a shifting interest structure that benefits from a senior subordination floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments on a pro-rata basis up to the senior bonds principal distribution amount, and then interest and principal payments on a sequential basis up to each subordinate bond principal distribution amount. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bonds for a specified period of time, and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. Realized losses are allocated reverse sequentially among the subordinate and senior support certificates and on a pro-rata basis among the super senior certificates. Tail risk & subordination floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to eroding credit enhancement over time and increased performance volatility, known as tail risk. To mitigate this risk, the transaction provides for a senior subordination floor of 0.60% which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 0.50% of the closing pool balance. Moody's calculate the credit neutral floors for a given target rating as shown in Moody's principal methodology. The senior subordination floor and the subordinate floor of 0.60% and 0.50%, respectively, are consistent with the credit neutral floors for the assigned ratings. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020. VERUS SECURITIZATION 2021-R3: DBRS Finalizes BB Rating on B1 Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2021-R3 issued by Verus Securitization Trust 2021-R3: -- $325.6 million Class A-1 at AAA (sf) -- $28.1 million Class A-2 at AA (sf) -- $41.2 million Class A-3 at A (sf) -- $25.9 million Class M-1 at BBB (low) (sf) -- $14.2 million Class B-1 at BB (sf) -- $12.2 million Class B-2 at B (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Notes reflects 27.70% of credit enhancement provided by subordinate notes. The AA (sf), A (sf), BBB (low) (sf), BB (sf), and B (sf) ratings reflect 21.45%, 12.30%, 6.55%, 3.40%, and 0.70% of credit enhancement, respectively. This securitization is a portfolio of fixed- and adjustable-rate, expanded prime and nonprime, first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,173 mortgage loans with a total principal balance of $450,394,262 as of the Cut-Off Date (May 1, 2021). Subsequent to the issuance of the related Presale Report, there were minimal loan drops and balance updates. The Notes are backed by 1,187 mortgage loans with a total principal balance of $456,322,141 in the Presale Report. Unless specified otherwise, all the statistics regarding the mortgage loans in the related report are based on the Presale Report balance. The mortgage pool consists primarily of loans from collapsed previously issued Verus transactions. The loans are on average more seasoned than a typical new origination non-Qualified Mortgage (non-QM) securitization. The DBRS Morningstar calculated weighted-average loan age is 29 months, and all of the loans are seasoned 24 months or more. Within the pool, 97.0% of the loans are current, 2.2% are 30 days delinquent, and 0.8% are 60 days or more delinquent. All loans that remain 60 days or more delinquent on the closing date will be removed from the pool. The Coronavirus Disease (COVID-19)-affected loans account for 34.8% of the pool and are described in further detail below. The originators for the mortgage pool are Sprout Mortgage (21.2%) and other originators, each comprising less than 10.0% of the mortgage loans. The Servicers of the loans are Shellpoint Mortgage Servicing (79.1%) and Specialized Loan Servicing LLC (SLS; 20.9%). Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 46.7% of the loans are designated as non-QM and one loan is designated as QM rebuttable presumption. Approximately 53.3% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. The sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible vertical residual interest consisting of not less than 5% of each Note, 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 occurring in May 2023 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Paying Agent, at the Controlling Holder's option, may redeem all of the outstanding Notes at a price equal to the greater of (A) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts and (B) the class balances of the related Notes less than 90 days delinquent with accrued unpaid interest plus fair market value of the loans 90 days or more delinquent and real estate owned properties (Optional Redemption Price). After such purchase, the Paying Agent 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. If the Sponsor (or an affiliate) is not the Controlling Holder and there is more than one Class XS Noteholder, a Third-Party Auction may be requested. The Third-Party Auction Bid must equal or exceed the Optional Redemption Price for the qualified liquidation to take place. The P&I Advancing Party or servicer in the case of loans serviced by SLS will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent. The P&I Advancing Party or servicer has no obligation to advance P&I on a mortgage approved for a forbearance plan during its related forbearance period. The Servicers, however, are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The three-month advancing mechanism may increase the probability of periodic interest shortfalls in the current economic environment affected by the coronavirus pandemic. As borrowers may seek forbearance on their mortgages in the coming months, P&I collections may be reduced meaningfully. This transaction incorporates a sequential-pay cash flow structure with a pro rata feature among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Class A-1 and A-2 Notes sequentially after a Trigger Event. For more subordinated Notes, principal proceeds can be used to cover interest shortfalls as the more senior Notes are paid in full. Furthermore, excess spread can be used to cover realized losses and prior period bond writedown amounts first before being allocated to unpaid cap carryover amounts to Class A-1 down to Class B-2. CORONAVIRUS 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 securities (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 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. 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 ratio (LTV) 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 (CARES) Act, signed into law on March 27, 2020, 34.8% (as of May 1, 2021) of the borrowers had been granted forbearance or deferral plans because of financial hardship related to the coronavirus pandemic. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. The Servicers, in collaboration with the Servicing Administrator, are generally offering borrowers a three-month payment forbearance plan. Beginning in month four, the borrower can repay all of the missed mortgage payments at once or opt for other loss mitigation options. Prior to the end of the applicable forbearance period, the Servicers will contact each related borrower to identify the options available to address related forborne payment amounts. As a result, the Servicers, in conjunction with or at the direction of the Servicing Administrator, may offer a repayment plan or other forms of payment relief, such as deferral of the unpaid P&I amounts or a loan modification, in addition to pursuing other loss mitigation options. Notes: All figures are in U.S. dollars unless otherwise noted. VIBRANT CLO XIII: Moody's Gives Ba3 Rating on $18.75M Cl. D Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by Vibrant CLO XIII, Ltd. (the "Issuer" or "Vibrant XIII"). Moody's rating action is as follows: US$312,000,000 Class A-1A Senior Secured Floating Rate Notes due 2034 (the "Class A-1A Notes"), Definitive Rating Assigned Aaa (sf) US$8,000,000 Class A-1B Senior Secured Fixed Rate Notes due 2034 (the "Class A-1B Notes"), Definitive Rating Assigned Aaa (sf) US$10,000,000 Class A-1S Senior Secured Floating Rate Notes due 2034 (the "Class A-1S Notes"), Definitive Rating Assigned Aaa (sf) US$50,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$30,000,000 Class B Secured Deferrable Floating Rate Notes due 2034 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$27,500,000 Class C Secured Deferrable Floating Rate Notes due 2034 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$18,750,000 Class D Secured Deferrable Floating Rate Notes due 2034 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Vibrant XIII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans and certain other permitted non-loan assets. The portfolio is approximately 80% ramped as of the closing date. Vibrant Capital Partners, Inc. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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: 74 Weighted Average Rating Factor (WARF): 2750 Weighted Average Spread (WAS): 3.33% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR): 46.25% 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 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. VMC FINANCE 2021-FL4: DBRS Finalizes B(low) Rating on Class G Notes ------------------------------------------------------------------- DBRS, Inc. finalized provisional ratings on the following classes of notes issued by VMC Finance 2021-FL4 LLC: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The collateral consists of 23 floating-rate mortgage loans secured by 29 mostly transitional real estate properties with a cut-off date pool balance of approximately $927.9 million, excluding nearly $92.3 million of future funding commitments that remained outstanding as of the mortgage loan cut-off date. Most loans are in a period of transition with plans to stabilize and improve asset value. During the Permitted Funded Companion Participation Acquisition Period, the Issuer may acquire Related Funded Companion Participations subject to, among other criteria, receipt of a no-downgrade confirmation from DBRS Morningstar (commonly referred to as a rating agency confirmation), except that such confirmation will not be required with respect to the acquisition of a participation if the principal balance of the participation being acquired is less than $1.0 million. The transaction does not permit the ability to reinvest or add unidentified assets to the pool postclosing, except that principal proceeds can be used to acquire the aforementioned Related Funded Companion Participations. The loans are generally secured by traditional property types (i.e., retail, multifamily, and office) with only three loans, representing 11.1% of the cut-off date pool balance, secured by nontraditional property types such as hospitality and self-storage. Additionally, no loans are secured by student-housing properties, which often exhibit higher cash flow volatility than traditional multifamily properties. Five loans, representing 27.6% of the cut-off date pool balance, exhibited either Average + or Above Average property quality. Additionally, no loans exhibited Average – or Below Average property quality. Based on the initial pool balances, the overall weighted-average (WA) DBRS Morningstar As-Is debt service coverage ratio (DSCR) of 0.74x and WA DBRS Morningstar As-Is loan-to-value ratio (LTV) of 80.1% generally reflect high-leverage financing. Most of the assets are generally well positioned to stabilize, and any realized cash flow growth would help to offset a rise in interest rates and improve the overall debt yield of the loans. DBRS Morningstar associates its loss given default (LGD) based on the assets' as-is LTV, which does not assume that the stabilization plan and cash flow growth will ever materialize. The DBRS Morningstar As-Is DSCR at issuance does not consider the sponsor's business plan, as the DBRS Morningstar As-Is net cash flow (NCF) was generally based on the most recent annualized period. The sponsor's business plan could have an immediate impact on the underlying asset performance that the DBRS Morningstar As-Is NCF is not accounting for. When measured against the DBRS Morningstar Stabilized NCF, the WA DBRS Morningstar DSCR is estimated to improve to 1.05x, suggesting that the properties are likely to have improved NCFs once the sponsors' business plans have been implemented. Eleven loans, totaling 54.5% of the cut-off date pool balance, represent refinancings. The refinancings within this securitization generally do not require the respective sponsor(s) to contribute material cash equity as a source of funding in conjunction with the mortgage loan, resulting in a lower sponsor equity basis in the underlying collateral. Generally speaking, the refinance loans are performing at a higher level and have less stabilization to do. Of the 11 refinance loans, five loans, representing 42.2% of the refinancings, reported occupancy rates higher than 80.0%. Additionally, the 11 refinance loans exhibited a WA growth between as-is and stabilized appraised value estimates of 11.6% compared with the overall WA appraised value growth of 17.2% of the pool and the WA appraised value growth of 23.9% exhibited by the pool's acquisition loans. Twenty-three loans, totaling 100.0% of the cut-off date pool balance, have floating interest rates. All of the aforementioned loans are interest only (IO) through the full duration of the initial loan term (and eight loans representing 33.4% of the cut-off date pool balance are IO through the fully extended loan period) with original terms ranging from 24 to 48 months, creating interest rate risk. All identified floating-rate loans are short-term loans with maximum fully extended loan terms of 60 months or less. Additionally, for all floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded with the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. DBRS Morningstar did not conduct interior or exterior tours of the properties because of health and safety constraints associated with the ongoing Coronavirus Disease (COVID-19) pandemic. As a result, DBRS Morningstar relied more heavily on third-party reports, online data sources, and information provided by the Issuer to determine the overall DBRS Morningstar property quality assigned to each loan. DBRS Morningstar received recent third-party reports containing property quality commentary and photos for all loans. With regard to the pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, affected more immediately. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis, for example by front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. Notes: All figures are in U.S. dollars unless otherwise noted. VOYA CLO 2018-4: S&P Affirms B- (sf) Rating on Class F Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1AR and D-R replacement notes from Voya CLO 2018-4 Ltd./Voya CLO 2018-4 LLC, a CLO that is managed by Voya Alternative Asset Management LLC. At the same time, S&P withdrew its ratings on the original class A-1A and D notes following payment in full on the June 4, 2021, refinancing date and affirmed its ratings on the class A-1BR, B-R, C-R, E, and F notes, which were not affected by this amendment. S&P did not rate the class A-2AR and A-2BR notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Voya CLO 2018-4 Ltd./Voya CLO 2018-4 LLC Class A-1AR, $219.4 million: AAA (sf) Class D-R, $22.0 million: BBB- (sf) Ratings Withdrawn Voya CLO 2018-4 Ltd./Voya CLO 2018-4 LLC Class A-1A to not rated from 'AAA (sf)' Class D to not rated from 'BBB- (sf)' Ratings Affirmed Voya CLO 2018-4 Ltd./Voya CLO 2018-4 LLC Class A-1BR: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) Class E: BB- (sf) Class F: B- (sf) Other Outstanding Notes Voya CLO 2018-4 Ltd./Voya CLO 2018-4 LLC Class A-2AR: Not rated Class A-2BR: Not rated Subordinated notes: Not rated WAMU COMMERCIAL 2007-SL3: Moody's Hikes Rating on G Certs to Ba2 ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes and upgraded the ratings on three classes in WaMu Commercial Mortgage Securities Trust 2007-SL3 as follows: Cl. F, Upgraded to Baa2 (sf); previously on Feb 7, 2020 Upgraded to Ba1 (sf) Cl. G, Upgraded to Ba2 (sf); previously on Feb 7, 2020 Affirmed B1 (sf) Cl. H, Upgraded to B3 (sf); previously on Feb 7, 2020 Affirmed Caa1 (sf) Cl. J, Affirmed Caa3 (sf); previously on Feb 7, 2020 Affirmed Caa3 (sf) Cl. K, Affirmed C (sf); previously on Feb 7, 2020 Affirmed C (sf) RATINGS RATIONALE The ratings on three P&I classes were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 18.5% since Moody's last review and 97% since securitization. Furthermore, loan representing approximately 86% of the pool balance fully amortize over their loan term. The ratings on the P&I classes Cl. J and Cl. K were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class K has already experienced a 77% loss from previously liquidated loans. 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 7.9% of the current pooled balance, compared to 10.7% at Moody's last review. Moody's base expected loss plus realized losses is now 4.0% of the original pooled balance, compared to 4.1% 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/353EYbO. 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 principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in September 2020. DEAL PERFORMANCE As of the May 24, 2021 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $43.5 million from $1.28 billion at securitization. The certificates are collateralized by 84 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans (excluding defeasance) constituting 33% 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 50, compared to 56 at Moody's last review. As of the May 2021 remittance report, loans representing 96.4% were current or within their grace period on their debt service payments, 2.3% were beyond their grace period but less than 30 days delinquent and 1.3% were between 30 -- 59 days delinquent. Thirty-five loans, constituting 49% of the pool, are on the master servicer's watchlist, of which four loans, representing 7.9% of the pool, indicate the borrower has received loan modifications. 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 hundred and sixteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $47.9 million (for an average loss severity of 31.7%). No loans are currently in special servicing. Moody's has assumed a high default probability for 17 poorly performing loans, constituting 20% of the pool, and has estimated an aggregate loss of $2.8 million (a 33% expected loss on average) from these troubled loans. 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 73% of the pool, and full or partial year 2020 operating results for 29% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 71%, compared to 70% 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 16% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 2.07X and 1.71X, respectively, compared to 1.82X and 1.65X 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. WESTLAKE AUTOMOBILE 2021-2: S&P Assigns Prelim B Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2021-2's automobile receivables-backed notes series 2021-2. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of June 2, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 46.77%, 40.04%, 31.32%, 24.70%, 21.49%, and 17.52% credit support for the class A-1 and A-2-A/A-2-B (collectively, class A), B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios (including excess spread). These provide approximately 3.35x, 2.85x, 2.20x, 1.70x, 1.47x, and 1.10x, respectively, of the 13.50%-14.00% expected cumulative net loss (CNL) range. -- The transaction's ability to make timely interest and principal payments under stressed cash flow modeling scenarios appropriate for the assigned preliminary ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.70x S&P's expected loss level), all else being equal, its ratings will be within the credit stability limits specified by section A.4 of the Appendix contained in "S&P Global Ratings Definitions," published Jan. 5, 2021. The collateral characteristics of the securitized pool of subprime automobile loans. -- The originator/servicer's long history in the subprime/specialty auto finance business. -- S&P's analysis of approximately 16 years (2006-2021) of static pool data on the company's lending programs. -- The transaction's payment, credit enhancement, and legal structures. 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." Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2021-2 Class A-1, $192.00 million: A-1+ (sf) Class A-2-A/A-2-B, $603.03 million: AAA (sf) Class B, $117.58 million: AA (sf) Class C, $151.56 million: A (sf) Class D, $113.67 million: BBB (sf) Class E, $47.69 million: BB (sf) Class F, $74.47 million: B (sf) WFRBS COMMERCIAL 2013-C15: Fitch Lowers Class E Certs to 'Csf' -------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed four classes of WFRBS Commercial Mortgage Trust (WFRBS) Commercial Mortgage Pass-Through Certificates, Series 2013-C15. DEBT RATING PRIOR ---- ------ ----- WFRBS 2013-C15 A-3 92938CAC1 LT AAAsf Affirmed AAAsf A-4 92938CAD9 LT AAAsf Affirmed AAAsf A-S 92938CAF4 LT Asf Downgrade AAAsf A-SB 92938CAE7 LT AAAsf Affirmed AAAsf B 92938CAH0 LT BBBsf Downgrade Asf C 92938CAJ6 LT CCCsf Downgrade BBsf D 92938CAL1 LT CCsf Downgrade CCCsf E 92938CAN7 LT Csf Downgrade CCsf F 92938CAQ0 LT Csf Affirmed Csf PEX 92938CAK3 LT CCCsf Downgrade BBsf X-A 92938CAG2 LT Asf Downgrade AAAsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades and Negative Outlooks reflect higher loss expectations since Fitch's last rating action on two regional mall loans, Augusta Mall and Carolina Place (combined 24.5% of pool), driven by continued performance deterioration and increased refinance risk. Fitch's current ratings reflect a base case loss for the pool of 16.1%. The Negative Outlooks reflect losses that could reach 17.4% after factoring additional pandemic-related stresses. There are 11 Fitch Loans of Concern (FLOCs; 54.4%), including three specially serviced loans (11.6%). In addition to Augusta Mall and Carolina Place, the pool's regional mall concentration also includes the specially serviced Kitsap Mall loan (9.8%). Fitch's base loss expectation on the Augusta Mall loan (14.4%), which is secured by a 500,222sf collateral portion of a 1.1 million sf regional mall in Augusta, GA, increased to 13% from 3% at the last rating action. Fitch's loss reflects a 12% cap rate and 15% haircut to the YE 2020 NOI. Fitch also ran an additional coronavirus sensitivity utilizing a 15% cap rate and a 15% haircut to YE 2020 NOI, which brought the loss to 20%. The loan, which is sponsored by Brookfield Properties Retail Group, matures in August 2023. Noncollateral anchors are Dillard's, JCPenney and Macy's, and include a vacant former Sears box. The largest collateral tenants are Dick's Sporting Goods (12.4% of NRA; through January 2023), Barnes & Noble (5.8%; January 2024), H&M (4.6%; January 2025), Forever 21 (3.2%; January 2023) and Apple (2.6%, December 2021). The subject is the only regional mall within its trade area. Per the December 2020 rent roll, collateral occupancy dropped to 89.7% from 92.0% at YE 2019. The servicer-reported NOI debt service coverage ratio (DSCR) fell to 3.62x as of YE 2020 from 3.86x at YE 2019 and 4.11x at YE 2018. YE 2020 inline sales, which were affected by the pandemic, declined to $341 psf ($318 psf, excluding Apple) from $514 psf ($434 psf) at YE 2019 and $482 psf ($421 psf) at YE 2018. Fitch's base loss expectation on the Carolina Place loan (10.1%), which is secured by a 693,196sf collateral portion of a 1.2 million sf regional mall in Pineville, NC, approximately 10 miles southwest of the Charlotte CBD, increased to 54% from 40% at the last rating action. Fitch's loss reflects a 20% cap rate to the YE 2020 NOI. The loan, which is sponsored by a joint venture between Brookfield and the New York State Common Retirement Fund, was designated a FLOC due to significant lease rollover concerns prior to its June 2023 maturity, declining occupancy and sales since issuance, limited leasing progress on the vacant anchor space formerly occupied by Sears and significant market competition. The remaining collateral anchor JCPenney (17% NRA) recently extended its lease for two years through May 2023. The noncollateral anchors are Dillard's and Belk. In 2019, Dick's Sporting Goods and Golf Galaxy began leasing a noncollateral anchor box formerly occupied by Macy's. Collateral occupancy and servicer-reported NOI DSCR were 73% and 1.48x, respectively, at YE 2020. Near-term rollover includes 5.8% NRA in 2021 and 14.2% in 2022. In-line tenant sales were $335 psf as of YE 2020 down from $411 at YE 2019. The loan has remained current since issuance, and the borrower has not requested coronavirus relief to date. While loss expectations on the specially serviced Kitsap Mall loan (9.8%), which is secured by a 579,894sf collateral portion of a 761,840sf regional mall in Silverdale, WA, remain relatively unchanged since the last rating action, this loan is the second largest contributor to overall loss expectations for the pool. Fitch's base case loss expectation on this loan of approximately 60% factors in a discount to a recent appraisal valuation and reflects an implied cap rate of 18% to the YE 2019 NOI. The loan transferred to special servicing in May 2020 due to imminent default. The sponsor, Starwood Capital Group, indicated their intent to convey title to the trust. Per the servicer, a receiver was appointed in August 2020 and foreclosure is scheduled for August 2021. Collateral anchors include JCPenney (27.1% of collateral NRA; lease through August 2023) and Macy's (20.9%; January 2024). Kohl's is the sole noncollateral tenant after Sears closed in October 2019. Per the servicer, collateral occupancy decreased to 92.6% as of January 2021 from 96% as of YE 2019. The most recent available in-line sales as of YE 2019 increased to $458 psf from $406 psf in 2018, $430 psf in 2017 and $389 psf at issuance. Macy's sales declined to $121 psf at YE 2019 from $123 psf at YE 2018, $133 psf at YE 2017 and $184 psf at issuance. Increased Credit Enhancement (CE): As of the May 2021 distribution date, the pool's aggregate principal balance has been paid down by 31% to $763.5 million from $1.107 billion at issuance. Since issuance, 17 loans (21.5% of the original pool balance) have been paid off or disposed, including two loans since the prior rating action. Realized losses to date total $20.4 million (1.8%) following the dispositions of the REO Holiday Inn Express & Suites - Sydney and Cleveland Airport Marriott assets in July 2019 and July 2020, respectively. Sixteen loans (12.1% of the current pool balance) are fully defeased. Three loans (15.1%) are full-term interest only, including the largest loan in the pool; all other remaining loans (84.9%) are currently amortizing. Loan maturities are concentrated in 2023 (97.6%), with one loan maturing in 2021 (1.1%) and two loans in 2028 (1.2%). Coronavirus Exposure: Six loans (17.9%) are secured by hotel properties and 16 loans (45.8%) are secured by retail properties, including three regional malls (34.3%) in the top five loans. Fitch applied additional stresses to two hotel loans and four retail loans to account for potential cash flow disruptions due to the coronavirus pandemic; these additional stresses contributed to the Negative Rating Outlooks. Alternative Loss Consideration: Fitch considered an additional scenario in addition to its base case scenario, where only the three regional mall loans remain in the pool. Classes A-S through F are reliant on proceeds from regional mall loans for repayment. This scenario contributed to the Negative Rating Outlooks. RATING SENSITIVITIES The Negative Rating Outlooks reflect the potential for downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and performance concerns associated with the FLOCs, primarily the regional mall loans. The Stable Rating Outlooks reflect the increased CE from paydowns and defeasance and continued expected amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. -- Upgrades to classes A-S, B and X-A are not likely due to continued performance and refinance concerns with the regional mall loans, but could occur if performance stabilizes and/or any of these loans or the specially serviced assets are resolved with better recoveries than expected. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. -- Upgrades to the 'Csf', 'CCsf' and 'CCCsf' categories are unlikely absent significant performance improvement on the FLOCs and substantially higher recoveries than expected on the regional mall FLOCs and specially serviced assets. 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-3, A-4 and A-SB are not considered likely due to their position in the capital structure, but may occur if interest shortfalls affect these classes. These classes are not reliant on regional mall loans to pay in full. -- Downgrades to classes A-S, B and X-A may occur if expected losses for the pool increase substantially from continued performance deterioration of the regional mall loans or with greater losses than expected and/or all of the loans susceptible to the coronavirus pandemic suffer losses. -- Further downgrades of the 'Csf', 'CCsf' and 'CCCsf' rated classes would occur with increased certainty of losses or as losses 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 WFRBS 2013-C15 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to significantly high retail exposure, including three underperforming regional malls as a result of changing consumer preferences in shopping, which has a negative impact on the credit profile, and is highly 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. [*] DBRS Reviews 214 Classes from 20 U.S. RMBS Transactions ----------------------------------------------------------- DBRS, Inc. reviewed 214 classes from 20 U.S. residential mortgage-backed security (RMBS) transactions. Of the 214 classes reviewed, DBRS Morningstar confirmed 193 ratings, upgraded 18 ratings, downgraded two ratings and discontinued two ratings. Of the downgrades and discontinuances, DBRS Morningstar downgraded its rating on Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5's, Asset Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M3 and then subsequently discontinued it. The affected rating is available at https://bit.ly/34C2Frg 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. The rating downgrades reflect the unlikely recovery of accumulated interest shortfalls because of a weak interest shortfall recoupment mechanism in the transaction. 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. 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-Adjustable-Rate-Mortgage, 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 certain structural features that are not fully captured in the quantitative 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. -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M2 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M4 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-2 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-3 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-4 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-5 -- Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1, Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-5 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-6 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates, Series 2005-5, Class M-3 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates, Series 2005-5, Class M-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-3 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-2 -- Credit Suisse First Boston Mortgage Acceptance Corp. Home Equity Asset Trust 2005-9, Home Equity Pass-Through Certificates, Series 2005-9, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class M-1 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class I/II-M4 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M1 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M2 -- Securitized Asset Backed Receivables LLC Trust 2006-FR1, Mortgage Pass-Through Certificates, Series 2006-FR1, Class A-2C -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-2 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-3 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-4 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-5 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-6 -- Securitized Asset Backed Receivables LLC Trust 2006-WM1, Mortgage Pass-Through Certificates, Series 2006-WM1, Class A-2C -- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-1 -- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-2 -- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-3 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A1 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A6 -- Soundview Home Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class M-3 -- Soundview Home Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class M-4 -- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class S 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/34C2Frg ------------------------------------------------------------ DBRS Morningstar Takes Rating Actions on 20 U.S. RMBS Transactions RMBS May 28, 2021 DBRS, Inc. reviewed 214 classes from 20 U.S. residential mortgage-backed security (RMBS) transactions. Of the 214 classes reviewed, DBRS Morningstar confirmed 193 ratings, upgraded 18 ratings, downgraded two ratings and discontinued two ratings. Of the downgrades and discontinuances, DBRS Morningstar downgraded its rating on Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5's, Asset Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M3 and then subsequently discontinued it. 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. The rating downgrades reflect the unlikely recovery of accumulated interest shortfalls because of a weak interest shortfall recoupment mechanism in the transaction. 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 (see the "Global Macroeconomic Scenarios: March 2021 Update," published on March 17, 2021), 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-Adjustable-Rate-Mortgage, 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 certain structural features that are not fully captured in the quantitative 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. -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M2 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M4 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-2 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-3 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-4 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-5 -- Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1, Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-5 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-6 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates, Series 2005-5, Class M-3 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates, Series 2005-5, Class M-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-3 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-2 -- Credit Suisse First Boston Mortgage Acceptance Corp. Home Equity Asset Trust 2005-9, Home Equity Pass-Through Certificates, Series 2005-9, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class M-1 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class I/II-M4 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M1 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M2 -- Securitized Asset Backed Receivables LLC Trust 2006-FR1, Mortgage Pass-Through Certificates, Series 2006-FR1, Class A-2C -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-2 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-3 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-4 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-5 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-6 -- Securitized Asset Backed Receivables LLC Trust 2006-WM1, Mortgage Pass-Through Certificates, Series 2006-WM1, Class A-2C -- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-1 -- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-2 -- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-3 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A1 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A6 -- Soundview Home Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class M-3 -- Soundview Home Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class M-4 -- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class S 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. [*] DBRS Reviews 30 Classes From 6 U.S. RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 30 classes from six U.S. residential mortgage-backed security (RMBS) transactions. Of the 30 classes reviewed, DBRS Morningstar upgraded 15 ratings, confirmed 12, and withdrew three. The affected rating is available at https://bit.ly/34BmmzM The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. DBRS Morningstar's rating actions are based on the following analytical consideration: -- Key performance measures as reflected in credit enhancement (CE) increases since deal inception, and running total cumulative loss percentages In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: March 2021 Update" published on March 17, 2021), DBRS Morningstar advances the mortality curve of all the reverse mortgage (RM) borrowers by four years, advances all foreclosure timelines to a AAA scenario timeline, and applies an immediate 10% valuation haircut to all loans. The pools backing the reviewed RMBS transactions consist of reverse mortgage collateral. Reverse Mortgage Loans Lenders typically offer RM loans to people who are at least 62 years old. Through RM loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required if (1) the borrower dies, (2) the borrower sells the related residence, (3) the borrower no longer occupies the related residence for a period (usually a year), (4) it is no longer the borrower's primary residence, (5) a tax or insurance default occurs, or (6) the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues if applicable. RMs are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. Notes: The principal methodology is the U.S. Reverse Mortgage Securitization Ratings Methodology (May 8, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. [*] S&P Takes Various Actions on 82 Classes from 25 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 82 ratings from 25 U.S. RMBS transactions issued in 1997 and 2006. The review yielded 34 upgrades, two downgrades, 40 affirmations, three withdrawals, and three discontinuance. A list of Affected Ratings can be viewed at: https://bit.ly/3fYGceH 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 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; -- 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 actions 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. Please see the ratings list below for the specific rationales associated with each of the classes with rating transitions. "The ratings affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. "We withdrew our ratings on three classes from Delta Funding Home Equity Loan Trust 1997-2 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." ********* 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. 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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 ***