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

              Sunday, August 8, 2021, Vol. 25, No. 219

                            Headlines

ACC AUTO 2021-A: Moody's Assigns B2 Rating to Class D Notes
AFFIRM ASSET 2021-B: DBRS Gives Prov. B Rating on Class E Notes
AJAX MORTGAGE 2021-E: DBRS Finalizes B Rating on Class B-2 Notes
ANCHORAGE CREDIT 1: Moody's Hikes Rating on Class E-R Notes to Ba2
BANK 2021-BNK35: DBRS Gives Prov. B Rating on Class J Certs

BDS 2021-FL8: DBRS Gives Prov. B(low) Rating on Class G Notes
BELLEMEADE RE 2020-2: Moody's Hikes Rating on Cl. B-1 Bonds to Ba2
BENEFIT STREET VI-B: S&P Assigns BB- (sf) Rating on Class E Notes
BRSP 2021-FL1: DBRS Finalizes B(low) Rating on Class G Notes
BUCKHORN PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes

CARLYLE US 2021-6: Moody's Gives (P)Ba3 Rating to $22.5MM E Notes
CAYUGA PARK: S&P Assigns BB-(sf) Rating on $13.5MM Class E-R Notes
CHASE MORTGAGE 2021-CL1: Moody's Assigns B2 Rating to Cl. M-5 Notes
CIM RETAIL 2021-RETL: DBRS Gives Prov. BB Rating on Class F Certs
CROWN CITY III: Moody's Assigns Ba3 Rating to $14MM Class D Notes

CSMC 2018-SITE: DBRS Confirms BB Rating on Class HRR Certs
CSMC 2021-NQM5: S&P Assigns B (sf) Rating on Class B-2 Notes
CSMC TRUST 2021-RPL6: Fitch Assigns B Rating on Class B2 Notes
CWABS 2007-4: S&P Downgrades Class A-4W Certs Rating to 'D (sf)'
DIAMETER CAPITAL 1: Moody's Assigns Ba3 Rating to $16.88MM D Notes

ELMWOOD CLO V: S&P Assigns BB- (sf) Rating on Class E-R Notes
FLAGSHIP CREDIT 2021-3: S&P Assigns Prelim 'BB-' Rating on E Notes
FLAGSTAR MORTGAGE 2021-6INV: DBRS Gives BB Rating on B-4 Certs
FLAGSTAR MORTGAGE 2021-6INV: Moody's Gives B2 Rating to B-5 Certs
FORTRESS CREDIT XI: S&P Assigns BB- (sf) Rating on Class E Notes

FRANCESCA'S HOLDINGS: Posts $1.32 Million Net Loss at July 3
FREDDIE MAC 2021-DNA5: DBRS Finalizes BB Rating on Class B-1 Notes
GOLDENTREE LOAN 10: S&P Assigns B- (sf) Rating on Class F Notes
GS MORTGAGE-BACKED 2021-PJ7: Fitch Rates B-5 Certs 'Bsf'
HOME PARTNERS 2021-1: DBRS Finalizes BB Rating on Class F Certs

HOME RE 2021-2: Moody's Assigns B3 Rating to Cl. M-2 Certificates
JAMESTOWN CLO XVI: Moody's Assigns Ba3 Rating to $20MM Cl. E Notes
JP MORGAN 2018-WPT: DBRS Confirms B(low) Rating on 2 Classes
JP MORGAN 2021-10: Fitch Assigns Final B+ Rating on B-5 Tranche
JP MORGAN 2021-10: Moody's Assigns B3 Rating to Cl. B-5 Certs

JP MORGAN 2021-INV2: S&P Assigns B- (sf) Rating on Class B-5 Certs
JP MORGAN 2021-INV3: S&P Assigns B (sf) Rating on Class B-5 Certs
JPMBB COMMERCIAL 2015-C27: DBRS Cuts Class E Certs Rating to CCC
KREF 2021-FL2: DBRS Gives Prov. B(low) Rating on 3 Classes of Notes
NORTHWOODS CAPITAL 25: Moody's Gives (P)Ba3 Rating to Cl. E Notes

NORTHWOODS CAPITAL 25: Moody's Gives Ba3 Rating to $22.2MM E Notes
OBX 2021-J2: DBRS Gives Prov. B Rating on Class B-5 Notes
OBX TRUST 2021-J2: Moody's Assigns B2 Rating to Class B-5 Certs
PALMER SQUARE 2021-3: Moody's Assigns Ba3 Rating to $10MM E Notes
PROGRESS RESIDENTIAL 2021-SFR7: DBRS Gives B Rating on G Certs

RCKT MORTGAGE 2021-3: Moody's Assigns B3 Rating to Cl. B-5 Certs
READY CAPITAL 2019-6: DBRS Confirms B(low) Rating on Class G Certs
REGIONAL MANAGEMENT 2021-2: DBRS Finalizes BB Rating on D Notes
SEQUOIA MORTGAGE 2019-CH3: Moody's Hikes Cl. B-4 Bonds to Ba3
SREIT TRUST 2021-FLWR: DBRS Finalizes B(low) Rating on Cl. F Certs

TRINITAS CLO VII: Moody's Ups Rating on Class D Notes From Ba1
US AUTO 2021-1: Moody's Assigns (P)B3 Rating to 2 Tranches
UWM MORTGAGE 2021-INV1: Moody's Gives (P)B3 Rating to Cl. B5 Certs
VENTURE XXIII: Moody's Assigns Ba3 Rating to Class E-R2 Notes
VERUS SECURITIZATION 2021-4: DBRS Gives Prov. B Rating on B2 Notes

VERUS SECURITIZATION 2021-4: S&P Assigns 'B-' Rating on B-2 Notes
WELLFLEET CLO 2021-2: Moody's Assigns (P)Ba3 Rating to Cl. F Notes
WELLS FARGO 2016-C34: DBRS Confirms CCC Rating on 3 Classes
[*] DBRS Reviews 336 Classes from 33 U.S. RMBS Transactions
[*] Moody's Hikes 54 Tranches From 9 RMBS Deals Issued 2016-2020


                            *********

ACC AUTO 2021-A: Moody's Assigns B2 Rating to Class D Notes
-----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by ACC Auto Trust 2021-A (AUTOC 2021-A). This is the
inaugural securitization of non-prime quality auto loans sponsored
by Automotive Credit Corporation (ACC; Not Rated). The notes will
be backed by a pool of retail automobile loan contracts originated
by ACC, who is also the servicer and administrator for the
transaction.

The complete rating actions are as follows:

Issuer: ACC Auto Trust 2021-A

Class A Notes, Definitive Rating Assigned A3 (sf)

Class B Notes, Definitive Rating Assigned Baa2 (sf)

Class C Notes, Definitive Rating Assigned Ba2 (sf)

Class D Notes, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, the experience and expertise of ACC as the servicer and
the presence of Vervent, Inc. (unrated) as named backup servicer.

Moody's median cumulative net loss expectation for the 2021-A pool
is 21%. Moody's based its cumulative net loss expectation on an
analysis of the credit quality of the underlying collateral; the
historical performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of ACC 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 and
Class D notes benefit 32.15%, 24.25%, 17.00% and 7.50% of hard
credit enhancement, respectively. Hard credit enhancement for the
notes consists of a combination of overcollateralization, a
non-declining reserve account, and subordination, except for the
Class D notes, which do not benefit from subordination. The notes
will also benefit from excess spread.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
December 2020.

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

Up

Moody's could upgrade the notes if levels of credit enhancement are
higher than necessary to protect investors against current
expectations of portfolio losses. 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 vehicles securing an
obligor's promise of payment. Portfolio losses also depend greatly
on the US job market and the market for used vehicles. Other
reasons for better-than-expected performance include changes to
servicing practices that enhance collections or refinancing
opportunities that result in prepayments.

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.


AFFIRM ASSET 2021-B: DBRS Gives Prov. B Rating on Class E Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following notes to
be issued by Affirm Asset Securitization Trust 2021-B (Affirm
2021-B):

-- $418,750,000 Class A Notes at AA (sf)
-- $28,000,000 Class B Notes at A (sf)
-- $19,750,000 Class C Notes at BBB (sf)
-- $22,500,000 Class D Notes at BB (sf)
-- $11,000,000 Class E Notes at B (sf)

The provisional ratings on the notes are based on DBRS
Morningstar's review of the following considerations:

(1) The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
Coronavirus Disease (COVID-19), available in its commentary "Global
Macroeconomic Scenarios: June 2021 Update", published on June 18,
2021. DBRS Morningstar initially published macroeconomic scenarios
on April 16, 2020, that have been regularly updated. The scenarios
were last updated on June 18, 2021, and are reflected in DBRS
Morningstar's rating analysis.

(2) 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 continued success in containment during the second half
of 2021, enabling the continued relaxation of restrictions.

-- DBRS Morningstar's projected losses include an additional
stress due to the potential impact of the coronavirus. The DBRS
Morningstar cumulative net loss (CNL) assumption is 5.06% based on
the worst-case loss pool constructed giving consideration to the
concentration limits present in the structure.

(3) The transaction's form and sufficiency of available credit
enhancement.

-- Subordination, overcollateralization, amounts held in the
Reserve Account, the Yield Supplement Overcollateralization Amount,
and excess spread create credit enhancement levels that are
commensurate with the proposed ratings.

-- Transaction cash flows are sufficient to repay investors under
all AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) stress scenarios
in accordance with the terms of the Affirm 2021-B transaction
documents.

(4) Inclusion of structural elements featured in the transaction
such as the following:

-- Eligibility criteria for receivables that are permissible in
the transaction.

-- Concentration limits designed to maintain a consistent profile
of the receivables in the pool.

-- Performance-based Amortization Events that, when breached, will
end the revolving period and begin amortization.

(5) The experience, sourcing, and servicing capabilities of Affirm,
Inc. (Affirm).

(6) The experience, underwriting, and origination capabilities of
Cross River Bank (CRB) and Celtic Bank.

(7) The ability of Nelnet Servicing to perform duties as a Backup
Servicer.

(8) The annual percentage rate charged on the loans and CRB and
Celtic Bank's status as the true lender.

-- All loans in the initial pool included in Affirm 2021-B are
originated by originating banks, CRB and Celtic Bank, New Jersey
and Utah, respectively, state-chartered Federal Deposit Insurance
Corporation-insured banks.

-- Loans originated by Affirm Loan Services LLC (ALS) utilize
state licenses and registrations and interest rates are within each
state's respective usury cap.

-- Loans originated by CRB are all within the New Jersey state
usury limit of 30.00%.

-- Loans originated by Celtic Bank are all within the Utah state
usury limit of 36.00%.

-- Loans may be in excess of individual state usury laws; however,
CRB and Celtic Bank as the true lenders are able to export rates
that preempt state usury rate caps.

-- Loans originated to borrowers in states with active litigation
(Second Circuit (New York, Connecticut, Vermont) and Colorado) are
either excluded from the pool or limited to each state's respective
usury cap.

-- Loans originated to borrowers in Iowa will be eligible to be
included in the Receivables to be transferred to the Trust. These
loans will be originated under the ALS entity using Affirm's state
license in Iowa.

-- Loans originated to borrowers in West Virginia will be eligible
to be included in the Receivables to be transferred to the Trust.
Affirm has the required licenses and registrations that will enable
it to operate the bank partner platform in West Virginia.

-- Under the loan sale agreement, Affirm is obligated to
repurchase any loan if there is a breach of representation and
warranty that materially and adversely affects the interests of the
purchaser.

(9) Affirm 2021-B provides for Class E Notes with an assigned
rating of B (sf). While the DBRS Morningstar "Rating U.S.
Structured Finance Transactions" methodology does not set forth a
range of multiples for this asset class for the B (sf) level, the
analytical approach for this rating level is consistent with that
contemplated by the methodology. The typical range of multiples
applied in the DBRS Morningstar stress analysis for a B (sf) rating
is 1.00 times (x) to 1.25x.

(10) The legal structure and expected legal opinions that will
address the true sale of the unsecured consumer loans, the
nonconsolidation of the Trust, and that the Trust has a valid
perfected security interest in the assets and consistency with the
DBRS Morningstar "Legal Criteria for U.S. Structured Finance."

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



AJAX MORTGAGE 2021-E: DBRS Finalizes B Rating on Class B-2 Notes
----------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Mortgage-Backed Notes, Series 2021-E issued by Ajax Mortgage Loan
Trust 2021-E:

-- $396.6 million Class A-1 at AAA (sf)
-- $34.2 million Class A-2 at A (sf)
-- $19.4 million Class M-1 at BBB (sf)
-- $17.9 million Class B-1 at BB (sf)
-- $20.5 million Class B-2 at B (sf)

The AAA (sf) rating on the Notes reflects 23.40% of credit
enhancement provided by subordinated certificates. The A (sf), BBB
(sf), BB (sf), and B (sf) ratings reflect 16.80%, 13.05%, 9.60%,
and 5.65% 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 the Notes. The Notes are backed by 3,142 loans with a
total principal balance of $517,741,210 as of the Cut-Off Date (May
31, 2021).

The mortgage loans are approximately 167 months seasoned. For 15.7%
of the pool, DBRS Morningstar received more recent payment status
as of June 7, and used these in its analysis. As of the Cut-Off
Date or June 7 where applicable, approximately 90.9% of the loans
are current under the Mortgage Bankers Association delinquency
method, including 59 bankruptcy-performing loans. Below is the
current delinquency status distribution for this pool.

Although the number of months clean (consecutively zero times 30 (0
x 30) days delinquent) at issuance is weaker relative to other DBRS
Morningstar-rated seasoned transactions, the borrowers in this pool
demonstrate reasonable cash flow velocity (as by number of payments
over time) in the past six, 12, and 24 months.

The portfolio contains 87.6% modified loans. The modifications
happened more than two years ago for 93.5% of the modified loans.
Within the pool, 1,032 mortgages (42.6% of the pool) have
non-interest-bearing deferred amounts of $49,272,810, which equate
to approximately 9.5% of the total principal balance.

The mortgage loans were previously included in prior
securitizations issued by the Sellers, Ajax Mortgage Loan Trust
2020-C and Ajax Mortgage Loan Trust 2020-D. The issuers of the
prior securitizations will exercise certain loan sale rights, and,
on the Closing Date, the mortgage loans will be conveyed by each
Seller to the Depositor.

To satisfy the credit risk retention requirements, Great Ajax
Operating Partnership L.P. (Ajax or the Sponsor) or a
majority-owned affiliate of the Sponsor will retain at least a 5%
eligible vertical interest in the securities (except for the Class
R Notes).

Gregory Funding LLC is the Servicer for the entire pool and will
not advance any delinquent principal and interest on the mortgages;
however, the Servicer is obligated to make advances in respect of
prior liens, insurance, real estate taxes and assessments, as well
as reasonable costs and expenses incurred in the course of
servicing and disposing of properties.

Since 2013, Ajax and its affiliates have issued 42 securitizations
under the Ajax Mortgage Loan Trust shelf prior to AJAX 2021-E.
These issuances were backed by seasoned loans, reperforming loans
(RPL), or nonperforming loans and are mostly unrated by DBRS
Morningstar. DBRS Morningstar reviewed the historical performance
of the Ajax shelf; however, the nonrated deals generally exhibit
worse collateral attributes than the rated deals with regard to
delinquencies at issuance. The prior nonrated Ajax transactions
generally exhibit relatively high levels of delinquencies and
losses as compared with the rated Ajax securitizations, which are
expected given the nature of these severely distressed assets.

The Issuer has the option to redeem the Notes in full at a price
equal to the remaining note amount of the rated Notes plus accrued
and unpaid interest, including any Step-Up Interest Payment
Amounts, and any unpaid expenses and reimbursement amounts. Such
Note Redemption Rights may be exercised on any date

-- Beginning three years after the Closing Date at the direction
of the Depositor or

-- Beginning on the payment date in July 2026 at the direction of
either the Depositor or holders of more than 50.0% of Class B-3
Notes.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to pay interest and Cap Carryover
Amounts on the Notes, but such interest and Cap Carryover Amounts
on Class A-2 and more subordinate bonds will not be paid from the
principal remittance amount until the more senior classes are
retired. In addition, unique to this shelf, the senior and
mezzanine classes are entitled to Step-Up Interest Payments,
beginning eight years from the Closing Date.

In contrast to prior DBRS Morningstar-rated Ajax-seasoned RPL
securitizations, the representations and warranties (R&W) framework
for this transaction incorporates the following new features:

-- A pool level review trigger that delays potential breach
reviews, similar to many other rated RPL securitizations;

-- The absence of a repurchase remedy by the Sponsor (except for
the real estate mortgage investment conduit representation),
dissimilar to other rated RPL securitizations; and

-- A Breach Reserve Account, which will be available to satisfy
losses related to R&W breaches. Such account is unfunded upfront
and then funds from monthly excess cash flow at the bottom of the
interest remittance waterfall, dissimilar to other rated RPL
securitizations.

Although these updates weaken the R&W framework, the historical
experience of having minimal putbacks and comprehensive third-party
due diligence for the shelf mitigates these features. In addition,
the cash flow structure allows sufficient excess spread to fully
fund the Breach Reserve Account within four months under DBRS
Morningstar cash flow scenarios, which is much faster than other
rated RPL securitizations.

CORONAVIRUS IMPACT

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

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

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



ANCHORAGE CREDIT 1: Moody's Hikes Rating on Class E-R Notes to Ba2
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
CDO refinancing notes issued by Anchorage Credit Funding 1, Ltd.
(the "Issuer").

Moody's rating action is as follows:

US$76,300,000 Class B-R2 Senior Secured Fixed Rate Notes Due 2037
(the "Class B-R2 Notes"), Assigned Aa2 (sf)

US$26,000,000 Class C-R2 Mezzanine Secured Deferrable Fixed Rate
Notes Due 2037 (the "Class C-R2 Notes"), Assigned A2 (sf)

US$26,000,000 Class D-R2 Mezzanine Secured Deferrable Fixed Rate
Notes Due 2037 (the "Class D-R2 Notes"), Assigned Baa2 (sf)

Additionally, Moody's has taken rating action on the following
outstanding notes previously issued by the Issuer on July 29, 2019
(the "Previous Refinancing Date"):

US$26,000,000 Class E-R Junior Secured Deferrable Fixed Rate Notes
Due 2037 (the "Class E-R Notes"), Upgraded to Ba2 (sf); previously
on July 29, 2019 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
CDO's portfolio and structure.

The Issuer is a managed cash flow collateralized debt obligation
(CDO). The issued notes are collateralized primarily by a portfolio
of corporate bonds and loans.

Anchorage Capital Group, L.L.C. (the "Manager") will continue to
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining
reinvestment period.

The Issuer also previously issued another class of secured notes
and one class of subordinated notes, which will remain
outstanding.

In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the non-call period,
and changes to the definition of "Adjusted Weighted Average Rating
Factor".

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

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

Performing par and principal proceeds balance: $523,021,250

Defaulted par: $7,915,000

Diversity Score: 62

Weighted Average Rating Factor (WARF): 3263

Weighted Average Coupon (WAC): 5.7%

Weighted Average Recovery Rate (WARR): 35.8%

Weighted Average Life (WAL): 9 years

Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge from Moody's
base case.

Methodology Underlying the Rating Action:

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

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

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


BANK 2021-BNK35: DBRS Gives Prov. B Rating on Class J Certs
-----------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-BNK35 to
be issued by BANK 2021-BNK35:

-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-4-1 at AAA (sf)
-- Class A-4-2 at AAA (sf)
-- Class A-4-X1 at AAA (sf)
-- Class A-4-X2 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-5-1 at AAA (sf)
-- Class A-5-2 at AAA (sf)
-- Class A-5-X1 at AAA (sf)
-- Class A-5-X2 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class A-S at AAA (sf)
-- Class A-S-1 at AAA (sf)
-- Class A-S-2 at AAA (sf)
-- Class A-S-X1 at AAA (sf)
-- Class A-S-X2 at AAA (sf)
-- Class B at AAA (sf)
-- Class B-1 at AAA (sf)
-- Class B-2 at AAA (sf)
-- Class B-X1 at AAA (sf)
-- Class B-X2 at AAA (sf)
-- Class C at AA (low) (sf)
-- Class C-1 at AA (low) (sf)
-- Class C-2 at AA (low) (sf)
-- Class C-X1 at AA (low) (sf)
-- Class C-X2 at AA (low) (sf)
-- Class X-D at A (low) (sf)
-- Class X-FG at BBB (low) (sf)
-- Class X-H at BB (high) (sf)
-- Class X-J at B (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (high) (sf)
-- Class F at BBB (low) (sf)
-- Class G at BB (high) (sf)
-- Class H at BB (sf)
-- Class J at B (sf)

All trends are Stable.

Classes X-D, X-FG, X-H, X-J, X-K, D, E, F, G, H, J, and K will be
privately placed. Class RR will be a non-offered certificate.

The Class A-4-1, Class A-4-2, Class A-4-X1, Class A-4-X2, Class
A-5-1, Class A-5-2, Class A-5-X1, Class A-5-X2, Class A-S-1, Class
A-S-2, Class A-S-X1, Class A-S-X2, Class B-1, Class B-2, Class
B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1, and Class C-X2
certificates are also offered certificates. Such classes of
certificates, together with the Class A-4, Class A-5, Class A-S,
Class B, and Class C certificates, constitute the Exchangeable
Certificates. The Class A-1, Class A-2, Class A-SB, Class A-3,
Class D, Class E, Class F, Class G, and Class H certificates,
together with the RR Interest and the Exchangeable Certificates
with a certificate balance, are referred to as the principal
balance certificates.

The collateral consists of 76 fixed-rate loans secured by 109
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. Three loans, representing
10.6% of the pool, are shadow-rated investment grade by DBRS
Morningstar. Additionally, 27 loans in the pool, representing 9.5%
of the pool, are backed by residential co-operative loans, which
typically have very low expected losses. The conduit pool was
analyzed to determine the provisional ratings, reflecting the
long-term probability of loan default within the term and its
liquidity at maturity. When the cut-off balances were measured
against the DBRS Morningstar Net Cash Flow and their respective
actual constants, the initial DBRS Morningstar Weighted-Average
(WA) Debt Service Coverage Ratio (DSCR) of the pool was 3.04 times
(x). The pool additionally includes seven loans, representing 13.2%
of the allocated pool balance, that exhibit a DBRS Morningstar
Loan-to-Value (LTV) ratio in excess of 67.1%, a threshold generally
indicative of above-average default frequency. The WA DBRS
Morningstar LTV of the pool at issuance was 54.9%, and the pool is
scheduled to amortize down to a DBRS Morningstar WA LTV of 52.7% at
maturity. These credit metrics are based on the A note balances.
Excluding the shadow-rated loans, the deal still exhibits a
favorable WA DBRS Morningstar LTV of 60.0%.

Twenty-three loans, representing 17.6% of the pool, are in areas
identified as DBRS Morningstar Market Ranks 7 or 8, which are
generally characterized as highly dense urbanized areas that
benefit from increased liquidity driven by consistently strong
investor demand, even during times of economic stress. Markets with
these ranks benefit from lower default frequencies than less dense
suburban, tertiary, and rural markets. Urban markets represented in
the deal include New York and San Francisco.

Forty-one loans, representing 45.8% of the pool balance, have
collateral in Metropolitan Statistical Area (MSA) Group 3, which
represents the best-performing group in terms of historical
commercial mortgage-backed securities (CMBS) default rates among
the top 25 MSAs. MSA Group 3 has a historical default rate of
17.2%, which is nearly 40.0% lower than the overall CMBS historical
default rate of 28.0%. Additionally, only two loans, representing
just 0.9% of the pool, are located in MSA Group 1, which has
historically shown higher probability of default resulting in
greater loan-level expected losses.

Three of the loans – Four Constitution Square, River House Coop,
and Three Constitution Square – exhibit credit characteristics
consistent with investment-grade shadow ratings. Combined, these
loans represent 10.6% of the pool. Four Constitution Square has
credit characteristics consistent with a AA shadow rating. River
House Coop has credit characteristics consistent with a AAA shadow
rating. Three Constitution Square has credit characteristics
consistent with a AA (low) shadow rating.

Twenty-seven loans in the pool, representing 9.5% of the
transaction, are backed by residential co-operative loans.
Residential co-operatives tend to have minimal risk, given their
low leverage and low risk to residents if the co-operative
associations default on their mortgages. The WA DBRS Morningstar
LTV for these loans is 17.1%.

Fifty loans, representing a combined 48.9% of the pool by allocated
loan balance, exhibit issuance LTVs of less than 59.3%, a threshold
historically indicative of relatively low-leverage financing and
generally associated with below-average default frequency. Even
with the exclusion of the shadow-rated loans and the loans secured
by co-operative properties, collectively representing 16.2% of the
pool, the deal exhibits a favorable DBRS Morningstar Issuance LTV
of 60.0%.

Term default risk is low, as indicated by a strong DBRS Morningstar
DSCR of 3.04x. Even with the exclusion of the shadow-rated loans
and the loans secured by co-operative properties, the deal exhibits
a very favorable DBRS Morningstar DSCR of 2.53x.

Nine loans, representing 28.3% of the pool balance, received a
property quality of Average + or better, including three loans,
representing 8.4%, deemed to have Above Average quality and one
loan, representing 3.9%, deemed to have the highest property
quality of Excellent.

Five loans, representing 18.1% of the pool, were classified by DBRS
Morningstar as having Strong sponsorship strength. Furthermore,
DBRS Morningstar identified only one loan, representing 3.2% of the
pool, with Weak sponsorship strength.

While the pool demonstrates favorable loan metrics with WA DBRS
Morningstar Issuance and Balloon LTVs of 54.9% and 52.7%,
respectively, it also exhibits heavy leverage barbelling. There are
three loans, accounting for 10.6% of the pool, with
investment-grade shadow ratings and a WA LTV of 36.9% and 27 loans,
representing 9.5% of the transaction, secured by co-operatives with
a WA DBRS Morningstar LTV of 17.1%. The pool also has 50 loans,
representing a combined 48.9% of the pool by allocated loan
balance, with an issuance LTV lower than 59.3%, a threshold
historically indicative of relatively low-leverage financing. There
are seven loans, comprising a combined 13.2% of the pool balance,
with an issuance LTV higher than 67.1%, a threshold historically
indicative of relatively high-leverage financing and generally
associated with above-average default frequency. The WA expected
loss of the pool's investment-grade and co-operative component was
approximately 0.2%, while the WA expected loss of the pool's
conduit component was substantially higher at approximately 2.1%,
further illustrating the barbelled nature of the transaction.

The WA DBRS Morningstar expected loss exhibited by the loans that
were identified as representing relatively high-leverage financing
was 4.3%. This is significantly higher, more than double, than the
conduit component's WA expected loss of 2.1%, and the pool's credit
enhancement reflects the higher leverage of this component of seven
loans with an issuance LTV in excess of 67.1%. While there is some
leverage barbelling occurring, it is mostly caused by extremely low
leverage and low expected loss loans on one end of the spectrum, as
opposed to extremely high leverage and high expected losses. Even
the higher leverage component of this pool is fairly benign, and
there is not a large component of the pool that represents a
substantial outlier expected loss concentration.

The pool has a relatively high concentration of loans secured by
office and retail properties with 23 loans, representing 51.3% of
the pool balance. The ongoing Coronavirus Disease (COVID-19)
pandemic continues to pose challenges globally, and the future
demand for office and retail space is uncertain, with many store
closures, companies filing for bankruptcy or downsizing, and more
companies extending their remote-working strategy. Two of the 14
office loans, Four Constitution Square and Three Constitution
Square, representing 25.2% of the office concentration, are
shadow-rated investment grade by DBRS Morningstar. Furthermore,
70.6% of the office loans are located in MSA Group 3, which
represents the lowest historical CMBS default rates. The office and
retail properties exhibit favorable WA DBRS Morningstar DSCRs of
3.52x and 3.31x, respectively. Additionally, both property types
exhibit favorable WA Morningstar LTVs at 52.0% and 57.5%,
respectively. Three of the loans secured by office properties,
representing 40.0% of the concentration, have sponsors that were
deemed to be Strong. Additionally, two of the loans secured by
retail properties, representing 30.6% of the concentration, have
sponsors deemed to be Strong.

Forty-eight loans, representing 74.8% of the pool balance, are
structured with full-term interest-only (IO) periods. An additional
six loans, representing 9.2% of the pool balance, are structured
with partial-IO terms ranging from 24 months to 60 months. Of the
48 loans structured with full-term IO periods, 27 loans,
representing 42.5% of the pool by allocated loan balance, are
located in areas with a DBRS Morningstar MSA Group 2 or 3. These
markets benefit from increased liquidity even during times of
economic stress. Three of the loans, representing 10.6% of the
total pool balance, are shadow-rated investment grade by DBRS
Morningstar: Four Constitution Square, River House Coop, and Three
Constitution Square. The full-term IO loans are effectively
pre-amortized, as evidenced by the very low WA DBRS Morningstar
Issuance LTV of only 50.3% for these loans.

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


BDS 2021-FL8: DBRS Gives Prov. B(low) Rating on Class G Notes
-------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by BDS 2021-FL8 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.

The initial collateral consists of 23 short-term, floating-rate
mortgage assets with an aggregate cutoff date balance of $576.4
million secured by 23 properties. The aggregate unfunded future
funding commitment of the future funding participations as of the
cutoff date is approximately $47.2 million. The holder of the
future funding companion participations, affiliates of Bridge III
REIT, Inc. (Bridge REIT), has full responsibility to fund the
future funding companion participations. The collateral pool for
the transaction is static with no ramp-up period or reinvestment
period; however, the Issuer has the right to use principal proceeds
to acquire fully funded future funding participations subject to
stated criteria during the replenishment period, which ends on or
about August 2023 (subject to a 60-day extension for binding
commitments entered during the replenishment period). Interest can
be deferred for Class C, Class D, Class E, Class F, and Class G
Notes, and interest deferral will not result in an event of
default. The transaction will have a sequential-pay structure.

Of the 23 properties, 21 are multifamily assets (86.7% of the
mortgage asset cutoff date balance). The remaining two loans,
Eleven One Eleven and 606-654 Venice Boulevard, are secured by
office properties (13.3% of the mortgage asset cutoff date
balance). The loans are mostly secured by cash flowing assets, most
of which are in a period of transition with plans to stabilize and
improve the asset value. Five loans are whole loans and the other
18 are participations with companion participations that have
remaining future funding commitments totaling $47.2 million. The
future funding for each loan is generally to be used for capital
expenditure to renovate the property or build out space for new
tenants. All of the loans in the pool have floating interest rates
initial indexed to Libor and are interest only (IO) through their
initial terms. As such, to determine a stressed interest rate over
the loan term, DBRS Morningstar used the one-month Libor index,
which was the lower of DBRS Morningstar's stressed rates that
corresponded to the remaining fully extended term of the loans and
the strike price of the interest rate cap with the respective
contractual loan spread added. 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 the other loan structural features are
insufficient to support such treatment. Furthermore, even if the
structure is acceptable, DBRS Morningstar generally does not assume
the assets will stabilize above market levels.

The transaction is sponsored by Bridge REIT, a wholly owned
subsidiary of Bridge Debt Strategies Fund III GP LLC and an
affiliate of Bridge Investment Group LLC (Bridge Investment Group).
The Sponsor has strong origination practices and substantial
experience in originating loans and managing commercial real estate
(CRE) properties. Bridge Investment Group is a leading privately
held real estate investment and property management firm that
manages in excess of $26 billion in assets as of March 2021. Bridge
is an active CRE collateralized loan obligation (CLO) issuer,
having completed three static CRE CLO transactions and four managed
CRE CLO transactions as of the date of this report.

An affiliate of Bridge Investment Group, 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,
representing the most subordinate 18.25% of the transaction by
principal balance.

The pool is composed mostly of multifamily assets (86.7% of the
mortgage asset cutoff date balance). Historically, multifamily
properties have defaulted at much lower rates than other property
types in the overall commercial mortgage-backed securities
universe.

As no loans in the pool were originated prior to the onset of the
Coronavirus Disease (COVID-19) pandemic, the weighted-average (WA)
remaining fully extended term is 45 months, which gives the Sponsor
enough time to execute its business plans without risk of imminent
maturity. In addition, the appraisal and financial data provided
are reflective of conditions after the onset of the pandemic.

Based on the initial pool balances, the overall WA DBRS Morningstar
As-Is debt service coverage ratio (DSCR) is 1.14 times (x) and the
WA DBRS Morningstar Stabilized DSCR is estimated to improve to
1.27x. DBRS Morningstar's estimated lift from As-Is to Stabilized
is not significant, suggesting that the properties are
well-positioned to attain their improved net cash flows (NCFs) once
the Sponsor's business plans have been implemented.

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. The
Sponsor's failure to execute the business plans 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 83.4% of the pool cutoff date balance. DBRS
Morningstar made relatively conservative stabilization assumptions
and, in each instance, considered the business plans 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. Future funding companion participations will be
held by affiliates of Bridge REIT and have the obligation to make
future advances. Bridge REIT agrees to indemnify the Issuer against
losses arising out of the failure to make future advances when
required under the related participated loan. Furthermore, Bridge
REIT will be required to meet certain liquidity requirements on a
quarterly basis. Two loans, representing 6.2% of the pool balance,
are structured with a debt service reserve to cover any interest
shortfalls.

A majority of the collateral is concentrated in Texas and Arizona,
with seven properties comprising 37.0% of the initial pool in the
Dallas metropolitan statistical area (MSA) and six properties
comprising 21.7% of the initial pool in the Phoenix MSA.
Furthermore, the top 10 loans represent 60.5% of the pool. Only two
loans, 606-654 Venice Boulevard and 1024 Clinton (comprising 8.5%
of the pool), are in a DBRS Morningstar Market Rank 6 or 7 and no
loans are in a DBRS Morningstar Market Rank 8. These markets are
considered more urban in nature and benefit from increased
liquidity with consistently strong investor demand even during
times of economic stress. Texas and Arizona are growing states,
with positive migration and an increasing population. Both states
are also projected to have job growth in excess of the national
average for the foreseeable future. By CRE CLO standards, the pool
has a high Herfindahl score of 19.1. Additionally, the properties
are primarily in core markets with the overall pool's WA DBRS
Morningstar Market Rank at 4.1.

Twelve loans, comprising 55.9% of the initial pool balance, are in
DBRS Morningstar MSA Group 1. Historically, loans in this MSA Group
have demonstrated higher probability of defaults resulting in the
individual loan level expected losses to be greater than the WA
pool expected loss. These loans are located across three states
within primarily core markets and a WA DBRS Morningstar Market Rank
of 4.3. More specifically, four of the 12 loans (23.9% of pool) are
in a DBRS Morningstar Market Rank 5.

All 23 loans have floating interest rates, are IO during the
original term and through all extension options, and have original
terms of 36 months to 48 months, creating interest rate risk. All
loans are short-term loans 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. The borrowers of all 23
floating-rate loans have purchased Libor rate caps with strike
prices that range from 0.50% to 3.50% to protect against rising
interest rates through the duration of the loan term. In addition
to the fulfillment of certain minimum performance requirements,
exercise of any extension options would also require the repurchase
of interest rate cap protection through the duration of the
respectively exercised option.

DBRS Morningstar conducted only one management tour, which was for
1024 Clinton, representing 2.6% of the initial pool, because of
health and safety constraints associated with the ongoing
coronavirus 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. Recent
third-party reports were provided for all loans and contained
property quality commentary and photos.

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


BELLEMEADE RE 2020-2: Moody's Hikes Rating on Cl. B-1 Bonds to Ba2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four tranches
from Bellemeade Re 2020-2. This transaction was issued under the
Bellemeade Re program, which transfers to the capital markets the
credit risk of private mortgage insurance (MI) policies issued by
Arch Mortgage Insurance Company and United Guaranty Residential
Insurance Company (each, a subsidiary of Arch Capital Group Ltd.,
and collectively, the ceding insurer) on a portfolio of residential
mortgage loans.

The complete rating actions are as follows:

Issuer: Bellemeade Re 2020-2 Ltd

Cl. B-1, Upgraded to Ba2 (sf); previously on Sep 3, 2020 Definitive
Rating Assigned B1 (sf)

Cl. M-1B, Upgraded to A1 (sf); previously on Sep 3, 2020 Definitive
Rating Assigned Baa1 (sf)

Cl. M-1C, Upgraded to A3 (sf); previously on Sep 3, 2020 Definitive
Rating Assigned Baa3 (sf)

Cl. M-2, Upgraded to Baa3 (sf); previously on Sep 3, 2020
Definitive Rating Assigned Ba2 (sf)

RATINGS RATIONALE

The upgrade actions are primarily driven by the increased levels of
credit enhancement available to the bonds and the reduction in
projected losses. Driven by the low interest rate environment, this
transaction has experienced high prepayment rates over the last
several months. The six-month average CPR was approximately 30%
with less than one basis point of loss on the insured balance under
the reinsurance agreement. High prepayments and the sequential pay
structure have benefited the bonds by increasing the paydown speed
and building up credit enhancement.

On the closing date, Bellemeade Re 2020-2 Ltd (the issuer) and the
ceding insurer entered into a reinsurance agreement providing
excess of loss reinsurance on mortgage insurance policies issued by
the ceding insurer on a portfolio of residential mortgage loans.
Proceeds from the sale of the notes were deposited into the
reinsurance trust account for the benefit of the ceding insurer and
as security for the issuer's obligations to the ceding insurer
under the reinsurance agreement. The funds in the reinsurance trust
account were also available to pay noteholders, following the
termination of the trust and payment of amounts due to the ceding
insurer. Funds in the reinsurance trust account were used to
purchase eligible investments and were subject to the terms of the
reinsurance trust agreement.

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

In Moody's analysis Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's increased
Moody's MILAN model-derived median expected losses by 15% and
Moody's Aaa losses by 5% to reflect the performance deterioration
resulting from a slowdown in US economic activity due to the
COVID-19 outbreak. This loss increase was based on Moody's
assessment of the additional losses if 50% of such loans incur a
deferral of the missed payments or a modification to the loan
terms.

Moody's updated loss expectation on the pool incorporates, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicers.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans as the US
economy continues on the path toward normalization. Economic
activity will continue to strengthen in 2021 because of several
factors, including the rollout of vaccines, growing household
consumption and an accommodative central bank policy. However,
specific sectors and individual businesses will remain weakened by
extended pandemic related restrictions.

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

Principal Methodologies

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.

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

Up

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

Down

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


BENEFIT STREET VI-B: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X, A, B, C-1,
C-2, D, and E replacement notes from Benefit Street Partners CLO
VI-B Ltd., a broadly syndicated CLO that is a reissue of Benefit
Street Partners CLO VI Ltd. The original class A-1-R, A-2-R, B-R,
C-R, and D-R notes were fully redeemed with proceeds from the
replacement notes on the July 27, 2021, refinancing date.

The ratings reflect:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans 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
continue to remain bankruptcy remote.

  Ratings Assigned

  Benefit Street Partners CLO VI-B Ltd./Benefit Street Partners CLO
VI-B LLC

  Class X, $6.00 million: AAA (sf)
  Class A, $393.00 million: AAA (sf)
  Class B, $86.00 million: AA (sf)
  Class C-1 (deferrable), $32.50 million: A (sf)
  Class C-2 (deferrable), $4.50 million: A (sf)
  Class D (deferrable), $39.00 million: BBB- (sf)
  Class E (deferrable), $22.00 million: BB- (sf)
  Subordinated notes, $93.81 million: Not rated

  Ratings Withdrawn

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

  Class A-1-R to not rated from 'AAA (sf)'
  Class A-2-R to not rated from 'AA (sf)'
  Class B-R to not rated from 'A (sf)'
  Class C-R to not rated from 'BBB- (sf)'
  Class D-R to not rated from 'B (sf)'



BRSP 2021-FL1: DBRS Finalizes B(low) Rating on Class G Notes
------------------------------------------------------------
DBRS, Inc. finalized provisional ratings on the following classes
of notes to be issued by BRSP 2021-FL1, 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.

Coronavirus Overview

With regard to the Coronavirus Disease (COVID-19) pandemic, the
magnitude and extent of performance stress posed to global
structured finance transactions remains 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 31 floating-rate mortgages
secured by 41 mostly transitional properties, with a cut-off
balance totaling $800.0 million, excluding approximately $58.1
million of future funding commitments. The trust comprises one
combined loan and 30 participations in mortgage loans. The combined
loan, 360 Wythe (Prospectus #13), includes a mortgage loan and
related mezzanine loan that DBRS Morningstar treated as a single
loan. There is one delayed close loan, BELA Apartments (Prospectus
#4), that is expected to close on or prior to the closing date or
within six months after the closing date. If the loan does not
close during this period, the funds may be used to acquire
additional collateral subject to the eligibility criteria as
detailed in the offering memorandum. Most loans are in a period of
transition with plans to stabilize operations and improve the asset
value. The transaction stipulates a $1.0 million threshold on
companion participation acquisitions before a rating agency
confirmation (RAC) is required if there is already a participation
of the underlying loan in the trust.

As of the date of the Rating Report, the BELA Apartments loan
(Prospectus ID# 4) officially closed following the publishing of
the presale report, and all references to delayed close collateral
interests and subsequent ramp up period in the Rating Report and
closing press release are no longer applicable.

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), 21 loans, totaling 76.2% 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 DSCR for only six loans,
representing 23.5% 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 sponsor's stabilization plan 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 to stabilize above
market levels.

Five loans were originated prior to the onset of the Coronavirus
Disease (COVID-19) pandemic. Those loans are backed by collateral
in markets where shutdowns were more pronounced and may have some
uncertainty in their near-term recovery. In addition, because they
were originated prior to 2020, there may be less time for the
respective borrowers to realize their business plan. DBRS
Morningstar believes that the transaction may be exposed to losses
beyond the base case pool loss captured within the CMBS Insight
Model described in the "North American CMBS Multi-Borrower
Methodology." DBRS Morningstar materially deviated from its "CMBS
Insight Model" when determining the ratings assigned to Class B,
which deviated from the higher ratings implied by the quantitative
results. The material deviation is also driven in part by the
Issuer's proposed capital structure representing a more
conservative pool composition than the current assets contributed
to the trust. Such capital structure would allow for negative drift
in concentration as allowed by the Eligibility Criteria. The
Eligibility Criteria also require receipt of a No Downgrade
Confirmation to be provided by DBRS Morningstar in connection with
the trust's acquisition of a Ramp-Up Collateral Interest or
Reinvestment Collateral Interest, which would also provide a
barrier to negative concentration drift, if needed. DBRS
Morningstar considers a material deviation from a model to exist
when there may be a substantial likelihood that a reasonable
investor or other user of the credit ratings would consider the
material deviation to be a significant factor in evaluating the
ratings.

The transaction will have a sequential-pay structure.

The loans are generally secured by traditional property types
(e.g., multifamily, office, and industrial), with no hotel loans in
the pool. There is a 72.1% multifamily concentration in the pool,
which is considerably higher than recent commercial real estate
collateralized loan obligation (CRE CLO) transactions rated by DBRS
Morningstar that are not exclusively limited to one property type.
The largest loan in the pool, Clutter NYC Portfolio, is secured by
four self-storage properties, the highest performing property type
DBRS Morningstar observed.

The initial pool exhibits a Herfindahl score of 24.4, given the 31
collateral interests, which is favorable for a CRE CLO and higher
than most recent CRE CLO transactions rated by DBRS Morningstar.

The weighted-average (WA) DBRS Morningstar Stabilized Loan-to-Value
is 67.0%. This credit metric compares favorably with recent CRE CLO
transactions rated by DBRS Morningstar, resulting in lower loan
level probability of defaults (PODs) and loss severity given
defaults (LGDs).

The pool exhibits a WA DBRS Morningstar Business Plan Score of
1.99, which is considerably lower than recent CRE CLO transactions
rated by DBRS Morningstar. The low Business Plan Score indicates
that borrowers have the necessary funds to achieve their business
plans, proper loan structures, and adequate upside cash flow
potential. The score also reflects that many loans in the pool have
achieved the proposed stabilized operations.

The sponsor for this transaction, BrightSpire, is an experienced
CRE CLO issuer and collateral manager. BrightSpire was previously
managed externally by Colony Capital Inc., before completing an
internalization of management in April 2021. The sponsor had a $1.3
billion market capitalization and $4.1 billion in total assets as
of March 31, 2021. BrightSpire, under Colony Capital Inc.'s
management, has completed one CRE CLO securitization, CLNC
2019-FL1, Ltd., which is rated by DBRS Morningstar. Additionally,
BRSP 2021-FL1 DRE, LLC (BRSP), a wholly-owned subsidiary of
BrightSpire, will purchase and retain 100.0% of the Class F Notes,
Class G Notes, and Preferred Shares, which represent 16.25% of the
transaction total.

Five loans in the pool were originated before April 2020 at the
onset of the coronavirus pandemic in the U.S., including the
largest loan in the pool. The ongoing coronavirus pandemic
continues to pose challenges and risks to the CRE sector, and the
long-term effects on the general economy and consumer sentiment are
still unclear. All properties were appraised or reappraised in late
2020 or early 2021, and the recent appraisals incorporated the
current property performance and changes to market conditions as a
result of the coronavirus pandemic. All loans in the pool are
current on debt service payments as of the cut-off date and no
loans in the pool requested any form of forbearance throughout the
coronavirus pandemic.

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 ramp-up period only goes into effect if the
BELA Apartments loan does not close within six months of the
transaction's closing date. DBRS Morningstar believes this is
unlikely, and if the loan does not close, there will be relatively
minimal funding for the ramp-up period. Additionally, these funds
will be subject to the eligibility criteria as stipulated in the
offering memorandum. DBRS Morningstar has RAC for ramp loans,
companion participations above $1.0 million, and new reinvestment
loans. DBRS Morningstar will analyze these loans for potential
ratings impacts.

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 sponsors will not successfully execute their
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 determined a sample size that represents
74.8% of the pool cut-off date balance. While site inspections did
not occur, DBRS Morningstar did a thorough analysis of all
third-party documents and loan documents from the Issuer. 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 LGDs based on the as-is credit
metrics, assuming the loan is fully funded with no NCF or value
upside. Affiliates of BRSP will hold future funding companion
participations and has the obligation to make future advances. BRSP
agrees to indemnify the Issuer against losses arising out of the
failure to make future advances when required under the related
participated loan. Furthermore, BRSP will be required to meet
certain liquidity conditions on a quarterly basis.

All 31 loans have floating interest rates, and all loans are
interest only during the original term, except for one loan with
minimal amortization. Additionally, all loans have original terms
ranging from 12 months to 36 months, creating interest rate risk.
All loans are short-term loans, and even with extension options,
they have a fully extended maximum loan term of five years to six
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.

The pool reflects a WA DBRS Morningstar Market Rank of 4.42,
indicative of a higher concentration of suburban markets, which
generally experience higher PODs and LGDs. There are 15 loans,
representing 43.2% of the pool that fall in a DBRS Morningstar
Market Rank of 3 or 4, which represents a higher POD. Conversely,
only five loans, representing 13.0% of the pool, are secured by
properties in DBRS Morningstar Market Ranks of 6, 7, and 8, which
tend to be more urban in nature. The pool has a Herfindahl index of
24.4, which indicates a highly diversified pool. There are 41
properties in the pool, which is more than many of the recent CRE
CLO transactions rated by DBRS Morningstar. There were several
loans in the pool that received beneficial treatment because of
their property quality. Three loans, representing 16.3% of the
pool, received Above Average property quality scores, and seven
loans, representing 28.2% of the pool, received Average + property
quality scores. No loans in the pool received a property quality
score that was below Average.

Five loans were originated prior to the onset of the coronavirus
pandemic. Those loans are backed by collateral in markets where
shutdowns were more pronounced and may have some uncertainty in
their near-term recovery. In addition, because they were originated
prior to 2020, there may be less time for the respective borrowers
to realize their business plan. DBRS Morningstar believes that the
transaction may be exposed to losses beyond the base-case pool loss
captured within the CMBS Insight Model described in the "North
American CMBS Multi-Borrower Rating Methodology." DBRS Morningstar
materially deviated from its CMBS Insight Model when determining
the ratings assigned to Class B, which deviated from the higher
ratings implied by the quantitative results. The material deviation
is also driven in part by the Issuer's proposed capital structure
representing a more conservative pool composition than the current
assets contributed to the trust. Such capital structure would allow
for negative drift in concentration as allowed by the Eligibility
Criteria. The Eligibility Criteria also require receipt of a No
Downgrade Confirmation to be provided by DBRS Morningstar in
connection with the trust's acquisition of a Ramp-Up Collateral
Interest or Reinvestment Collateral Interest, which would also
provide a barrier to negative concentration drift, if needed. DBRS
Morningstar considers a material deviation from a model to exist
when there may be a substantial likelihood that a reasonable
investor or other user of the credit ratings would consider the
material deviation to be a significant factor in evaluating the
ratings.

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



BUCKHORN PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-1R, B-2R, C-R, D-R, and E-R replacement notes and new class
X-R notes from Buckhorn Park CLO Ltd./Buckhorn Park CLO LLC, a CLO
originally issued in March 2019 that is managed by Blackstone
Liquid Credit Strategies LLC.

The preliminary ratings are based on information as of July 30,
2021. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the August 5, 2021, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

-- The replacement class A-R note is expected to be issued at a
lower spread over three-month LIBOR, replacing the original
floating-spread class A-1 and class A-2 notes.

-- The replacement class B-1R, C-R, D-R, and E-R notes are
expected to be issued at a lower spread over three-month LIBOR than
the original floating-spread class B-1, C, D, and E notes.

-- The replacement class B-2R note is expected to be issued at a
lower fixed coupon, replacing the current fixed-coupon class B-2
note.

-- The stated maturity will be extended by 3.5 years, and the
reinvestment period will be extended by 2.5 years.

-- The class X-R note will be issued in connection with this
refinancing. The note is expected to be paid down using interest
proceeds during the first 12 payment dates beginning with the
payment date in October 2021.

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

-- Of the identified underlying collateral obligations, 97.48%
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

  Buckhorn Park CLO Ltd./Buckhorn Park CLO LLC

  Class X-R, $5.00 million: AAA (sf)
  Class A-R, $297.50 million: AAA (sf)
  Class B-1R, $70.00 million: AA (sf)
  Class B-2R, $10.00 million: AA (sf)
  Class C-R (deferrable), $31.75 million: A (sf)
  Class D-R (deferrable), $30.00 million: BBB- (sf)
  Class E-R (deferrable), $16.75 million: BB- (sf)
  Subordinated notes, $48.30 million: Not rated



CARLYLE US 2021-6: Moody's Gives (P)Ba3 Rating to $22.5MM E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes and one class of loans to be issued by Carlyle US
CLO 2021-6, Ltd. (the "Issuer" or "Carlyle 2021-6").

Moody's rating action is as follows:

US$210,000,000 Class A-1 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$15,000,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

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

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

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

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

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

RATINGS RATIONALE

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

Carlyle 2021-6 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second lien loans and
unsecured loans. Moody's expect the portfolio to be approximately
85% ramped as of the closing date.

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

In addition to the Rated Notes, the Issuer will issue subordinated
notes.

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

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

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

Par amount: $500,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2879

Weighted Average Spread (WAS): 3.50%

Weighted Average Recovery Rate (WARR): 46.5%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


CAYUGA PARK: S&P Assigns BB-(sf) Rating on $13.5MM Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-1-R,
B-2-R, C-R, D-R, and E-R replacement notes and the new class X-R
notes from Cayuga Park CLO Ltd./Cayuga Park CLO LLC, a CLO
originally issued in August 2020 that is managed by Blackstone CLO
Management LLC. At the same time, S&P withdrew its ratings on the
original class A, B-1, B-2, C, D, and E notes following payment in
full on the Aug. 3, 2021, refinancing date.

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

-- The replacement class of notes will be issued at a lower
weighted average debt than the original notes.

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

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

-- The EU risk retention language will be amended.

-- The class X-R notes will be issued in connection with this
refinancing. These notes are expected to be paid beginning on the
payment date in January 2022.

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

-- Of the identified underlying collateral obligations, 97.62%
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 the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.

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

  Ratings Assigned

  Cayuga Park CLO Ltd./Cayuga Park CLO LLC

  Class X-R, $4.00 million: AAA (sf)
  Class A-R, $245.00 million: AAA (sf)
  Class B-1-R, $40.50 million: AA (sf)
  Class B-2-R, $18.00 million: AA (sf)
  Class C-R (deferrable), $22.50 million: A (sf)
  Class D-R (deferrable), $25.50 million: BBB- (sf)
  Class E-R (deferrable), $13.50 million: BB- (sf)
  Subordinated notes, $31.79 million: NR

  Ratings Withdrawn

  Cayuga Park CLO Ltd./Cayuga Park CLO LLC

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

  NR--Not rated.



CHASE MORTGAGE 2021-CL1: Moody's Assigns B2 Rating to Cl. M-5 Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to five
classes of credit risk transfer notes issued by Chase Mortgage
Reference Notes, Series 2021-CL1 (CHASE 2021-CL1). The ratings
range from Aa3 (sf) to B2 (sf).

Chase Mortgage Reference Notes 2021-CL1 is the second credit linked
notes transaction issued by JPMorgan Chase Bank, N.A (JPMCB) in
2021 to transfer credit risk to noteholders through a hypothetical
tranched credit default swap on a reference pool of mortgages.

Principal payments on the notes are based on the performance of a
reference pool consisting of 4,862 fully amortizing fixed-rate
prime jumbo non-conforming mortgages with a total balance of
$3,237,823,514 with original terms to maturity of 30 years. The
notes are uncapped secured overnight financing rate (SOFR) floaters
and are unsecured obligations of JPMCB. Unlike principal payment,
interest payment to the notes is not dependent on the performance
of the reference pool except for loss mitigation modification. This
deal is unique in that the source of payments for the notes will be
JPMCB's own funds, and not the collections on the loans or note
proceeds held in a segregated trust account. As a result, Moody's
capped the ratings of the notes at JPMCB's Senior Unsecured rating
(Aa2).

The credit risk exposure of the notes depends on the actual
realized losses and modification losses incurred by the reference
pool. This transaction has a pro-rata structure, which is more
beneficial to the subordinate bondholders than the shifting
interest structure that is typical of prime jumbo transactions.
However, the mezzanine and junior bondholders will not receive any
principal unless performance tests are satisfied.

The complete rating actions are as follows:

Issuer: Chase Mortgage Reference Notes, Series 2021-CL1

Cl. M-1, Assigned Aa3 (sf)

Cl. M-2, Assigned A3 (sf)

Cl. M-3, Assigned Baa3 (sf)

Cl. M-4, Assigned Ba2 (sf)

Cl. M-5, Assigned B2 (sf)

RATINGS RATIONALE

Summary credit analysis and rating rationale

Moody's expected loss for this pool in a baseline scenario-mean is
0.17%, in a baseline scenario-median is 0.08%, and reaches 1.69% at
a stress level consistent with Moody's Aaa ratings.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of US RMBS as the US economy continues on
the path toward normalization. Economic activity will continue to
strengthen in 2021 because of several factors, including the
rollout of vaccines, growing household consumption and an
accommodative central bank policy. However, specific sectors and
individual businesses will remain weakened by extended pandemic
related restrictions.

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

Moody's base its ratings on the certificates on the Senior
Unsecured rating of JPMCB (Aa2), 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 eligibility
criteria framework of the transaction.

Collateral description

The reference pool consists of 4,862 fully amortizing fixed-rate
prime jumbo non-conforming mortgages with a total balance of
$3,237,823,514, with original terms to maturity of 30 years. The
pool has a weighted average (WA) primary borrower FICO score of 778
and a WA Loan-to-Value (LTV) of 70.2%.

The pool consists of 4,860 (99.96%) Non-QM mortgage loans, and two
(0.04%) mortgage loans that are out of scope due to their
application date occurring prior to the Qualified Mortgage Rule's
effective date. The loans were underwritten to JPMCB underwriting
guidelines. The loans are designated non-QM because the QM status
was not tested. As part of the origination quality review and in
consideration of the loan level third-party diligence reports,
Moody's assess whether there are any particular issues that could
result in a significant risk because these loans are non-QM.
Moody's did not make any adjustments to the loss levels because the
borrowers are prime borrowers. They have the ability to pay, based
on their financial assets and reserves. In addition, the third
party review firm checked for ATR compliance for a sample of the
loans as part of due diligence on the collateral pool and did not
find any issues.

Modified loans: About 30.5% of the pool are loans that were
modified. Moody's did not make any adjustments to the loss levels
because the modifications were relationship modifications offered
to clients for retention purposes, and were heavily offered in 2019
and 2020 to align coupon rates on seasoned mortgages with the
market rate. The borrowers are prime borrowers with financial
assets and reserves and had been current on their mortgage payments
before the modification.

Origination quality

The mortgage loans in the collateral pool were underwritten in
accordance with JPMCB prime jumbo underwriting guidelines. Moody's
consider JPMCB an adequate originator of prime jumbo and Moody's
did not make an adjustment to the loss levels.

JPMCB originates and purchases prime jumbo residential mortgage
loans through its retail and correspondent channels. The retail
channel is made up of two divisions, Field Sales and Centralized
Sales, which is collectively referred to as the Consumer channel.
Field Sales, is made up of a large branch network with traditional
loan officers. Centralized Sales is based out of a large call
center and handles telephone and web-based mortgage loan leads and
applications. JPMCB currently has mortgage processing and
underwriting operations in multiple states. It also has off-shore
sites in the Philippines that perform some loan processing and risk
analytics tasks.

Underwriting

JPMCB has thorough and strict underwriting guidelines. Any
exceptions to the guidelines must be documented with all the
compensating factors before approval. The underwriters review
documentation and analyze income, assets and liabilities. JPMCB's
underwriters are highly experienced -- they have an average of 11
years of experience in the industry of which approximately 7 years
have been with JPMCB for the Consumer channel. The correspondent
channel underwriters have 10 years industry experience and 5 years
JPMCB tenure. The underwriting department is highly structured with
departments by channel, specialty, and quality control.

Quality assurance, which conducts monthly post-closing loan level
quality control reviews, reports to the Mortgage Banking Chief Risk
Officer, which ultimately reports to the Chief Risk Officer of JPM
Chase Bank. Quality assurance delivers results to production
management to initiate and monitor corrective action plans in
response to adverse findings. Every month, quality assurance
forwards audit findings to management that include trending
analysis and observations.

Servicing arrangement

Moody's consider the overall servicing arrangement for this pool
adequate because of the experience and financial strength of JPMCB
as the servicer. JPMCB is not required to advance principal and
interest on the mortgage loans, but JPMCB is responsible to pay
interest to the notes at their respective note rates. JPMCB will be
obligated to make advances with respect to taxes, insurance
premiums and the cost of the property's preservation if deemed
recoverable. JPMCB is a seasoned servicer with more than 20 years
of experience servicing residential mortgage loans and has
demonstrated adequate servicing ability as a primary servicer of
prime residential mortgage loans.

Third-party review

Review Vendor A reviewed a sample of 1,528 loans out of a total of
4,862 loans in this transaction for compliance and title. Review
Vendor B reviewed 349 out of a total of 4,862 loans in this
transaction for credit, compliance and valuation and 220 loans for
title. The TPR results from Review Vendor B indicated compliance
with the originators' underwriting guidelines for majority of
loans, no material compliance issues and no material appraisal
defects.

Overall, the loans from Review Vendor B that had exceptions to the
originators' underwriting guidelines had strong documented
compensating factors such as low LTVs, high reserves, high FICOs,
or clean payment histories. Review Vendor B also identified minor
compliance exceptions for reasons such as inadequate RESPA
disclosures (which do not have assignee liability) and TILA/RESPA
Integrated Disclosure (TRID) violations related to fees that were
out of variance but then were cured and disclosed. In addition, the
data integrity review from Review Vendor B was on the full tape
including the original LTV and FICO.

Scope of Review: Review Vendor A reviewed a sample of 1,528 loans
out of a total of 4,862 loans in this transaction for compliance
and title. Review Vendor A also reviewed 1,748 loans for payment
history and servicing comments. Review Vendor A's TPR scope for
this transaction did not cover credit review and valuation review.
The loans backing the pool are highly seasoned with an average
seasoning of 68 months.

On the credit review, the performance history for highly seasoned
loans provides more insight into the credit quality of the loans
than underwriting factors such as borrower income, assets, and
employment at the time of origination. Review Vendor A reviewed the
payment history which ranged from 30-64 months for 1,748 mortgage
loans out of which 1,740 (99.54%) loans had no delinquencies. 8
mortgage loans (0.46%) showed evidence of one or more delinquencies
during the lookback period. All of the mortgage loans in the pool
have at least a 36- month clean payment history.

On the valuation review, Moody's did not adjust Moody's loss
expectations due to the lack of a property valuation review because
(1) every loan has an original appraisal and there is an
eligibility criterion from JPMCB that each property is undamaged by
certain natural events that would materially and adversely affect
the value of the property as security for the loan at the time of
closing, (2) the issuer provided updated AVMs and BPOs on 100% of
the properties backing mortgages in this pool, with the exception
of 10 loans with an original LTV below 55%, and (3) all loans were
originated and serviced by JPMCB.

Compliance review: The regulatory compliance review consisted of a
review of compliance with the Truth in Lending Act (TILA) and the
Real Estate Settlement Procedures Act (RESPA) among other federal,
state and local regulations. A TILA-RESPA Integrated Disclosure
Rule (TRID) review was also performed for loans originated on
October 3, 2015, or later. Two loans had a final compliance D
because of missing HUD-1 addendum. JPMCB removed these two loans
from the final pool. The other identified compliance issues were
primarily related to minor TILA or TRID exceptions. Moody's did not
make any adjustments to Moody's credit enhancement due to
regulatory compliance issues because Moody's do not deem the
compliance exceptions to be material.

Title review and tax lien: Review Vendor A reviewed a sample of
1,528 loans out of a total of 4,862 loans in this transaction for
title. The title review includes confirming the recordation status
of the mortgage and the intervening chain of assignments, the
status of real estate taxes, and validating the lien position of
the underlying mortgage loan. As a result of the title/lien review,
no loans were found to have any major issues.

Data integrity: Review Vendor A performed Data integrity on a
sample of 1,528 loans out of a total of 4,862 loans. The data
integrity scope did not include FICO and LTV validation. However,
Moody's did not make adjustments due to the following mitigants:
(1) JPMCB originated and serviced 100% of the loans in the pool
since its origination. (2) JPMCB has eligibility criteria that the
original FICO and appraised value on the data tape will correspond
to the original loan files, and (3) the private placement
memorandum will disclose stratification of key fields in the data
tape including the original FICO and LTV.

Transparent Eligibility Criteria framework:

JPMCB has provided clear loan-level eligibility criteria with
respect to the reference pool. There are provisions for binding
arbitration in the event there is a dispute between the issuer and
a representative appointed by the noteholders, regarding
satisfaction of the eligibility criteria. Further, eligibility
criteria breaches are evaluated by an independent third-party using
a set of objective criteria. The transaction contains breach review
triggers: (i) a severely delinquent reference obligation, (ii) a
liquidated reference obligation, or (iii) a delinquent modified
reference obligation. Of note, CHASE 2021-CL1's eligibility
criteria excludes certain credit and underwriting eligibility
criteria because the loans backing this pool are highly seasoned
and the loans have a clean payment history for 36 months or since
origination.

The notes

JPMCB creates a hypothetical structure of senior reference
certificates (A-R1) and multiple classes of subordinate reference
certificates (M-R1, M-R2, M-R3, M-R4, M-R5 and B-R1). The principal
payments and losses on the Class M-1, Class M-2, Class M-3, Class
M-4, Class M-5 and Class B notes will be based on the principal
amounts and losses that would hypothetically be based on the Class
M-R1, Class M-R2, Class M-R3, Class M-R4, Class M-R5 and Class B-R1
certificates, respectively, included in the hypothetical
structure.

Transaction structure

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

Interest due on the notes is determined by the outstanding
principal balance and the interest rate of the notes. The interest
payment amount is the interest accrual amount of a class of notes
minus any modification loss amount allocated to such class on each
payment date. Of note, relationship modification is not part of the
modification loss amount. The modification loss is calculated by
taking the respective positive and negative difference between the
original accrual rate of the loans, multiplied by the unpaid
balance of the loans, and the current accrual rate of the loans,
multiplied by the interest bearing unpaid balance.

Principal payments will be allocated pro rata among the senior and
subordinate notes (mezzanine and junior) based on their respective
senior and subordinate percentages so long as performance triggers
and nonperforming loan test are satisfied. The senior note will
receive 100% of the principal distributions if either the
delinquent trigger or the cumulative loss trigger fails during the
payment period. The senior will receive 100% of the prepayment or
unscheduled payment if the nonperforming loan test fails during the
payment period.

Realized Loss and Modification Loss

Realized losses are applied reverse sequentially starting with
first with Class B until the principal balance has been reduced to
zero. Modification loss will be applied after the allocation of
realized loss.

Modification loss amounts are applied reverse sequentially first to
the distributable interest and principal of the Class B to reduce
the current interest distributable to zero and then to reduce the
principal distributable to zero.

Of note, any principal forbearance/forgiveness amount created in
connection with any modification (whether as a result of a COVID-19
forbearance or otherwise) will result in the allocation of
modification loss. Modifications performed in accordance with the
loss mitigation process of the servicer will not result in the
allocation of realized losses or certificate write-down amount
unless the borrower receives a principal forgiveness or the
modified borrower defaults without enough liquidation proceeds to
cover the unpaid principal balance.

Cash flow features

Moody's took the pro rata principal payments to the notes and
performance triggers into consideration in Moody's cash flow
analysis. Moody's applied a 20% CPR to the cash flow as a
sensitivity for the pro rata feature. In a high prepayment
environment, the senior and the subordinate notes are amortizing
faster. As a result, less subordination will be available to
protect the senior subordinate certificates from losses.

Tail risk

This deal has a pro-rata structure with a subordination lockout
class, which protects the mezzanines of high priority if the
applicable credit support percentage levels are not maintained. The
mezzanine and junior bondholders will not receive any principal
unless performance tests are satisfied. The mezzanine and junior
notes will be locked out of principal payment entirely if the
current applicable credit percentage for such class is less than
the sum of its original applicable credit percentage and 25% of the
nonperforming reference loan percentage. The principal those
tranches would have received are directed to pay more senior
subordinate bonds pro rata.

In addition, the transaction has a subordination floor of 0.20% of
the original pool balance to protect the subordinate notes against
losses that occur late in the life of the pool. The floor is
consistent with the credit neutral floor for the assigned ratings
according to Moody's methodology.

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

Down

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

Up

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

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.


CIM RETAIL 2021-RETL: DBRS Gives Prov. BB Rating on Class F Certs
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-RETL to
be issued by CIM Retail Portfolio Trust 2021-RETL (CIM 2021-RETL):

-- Class A at AAA (sf)
-- Class A-1 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class HRR at BB (low) (sf)
-- Class X-CP at BBB (high) (sf)
-- Class X-EXT at BBB (high) (sf)

All trends are Stable.

Classes X-CP and X-EXT are interest-only (IO) classes whose
balances are notional.

CIM 2021-RETL is a single-asset/single-borrower transaction
collateralized by the borrower's fee-simple interest in a
diversified portfolio of 113 retail properties across 27 U.S.
states and 85 metropolitan statistical areas (MSAs). The portfolio
consists of 50 anchored shopping centers, 61 single-tenant retail
properties, one office property, and an industrial property. DBRS
Morningstar generally takes a positive view on the credit profile
of the overall transaction based on the portfolio's broad
diversification, favorable leverage profile, and strong
essential-business anchor tenancy. Despite these strengths, the
portfolio continues to experience above-market vacancy levels and
there remains secular uncertainty around the retail sector more
broadly. The subject transaction also represents the first
post-Coronavirus Disease (COVID-19) retail portfolio to be financed
in the commercial mortgage-backed securities market.

The cross-collateralized portfolio benefits from granular tenancy
and broad diversification. The portfolio has a property Herfindahl
(Herf) score of 69.4 by allocated loan amount (ALA), a state Herf
score of 22.3 by ALA, and an MSA Herf score of 46.3, which makes
the transaction one of the most diversified retail portfolios
analyzed by DBRS Morningstar. Furthermore, with the exception of LA
Fitness and PetSmart, no other tenants in the portfolio account for
more than 5.0% of the DBRS Morningstar In-Place Base Rent.

The portfolio primarily consists of power center retail properties
anchored or shadow anchored by national grocery store or home
improvement chains including Lowe's, DICK'S Sporting Goods,
PetSmart, Stop & Shop, Home Depot, and Walmart, among many others.
DBRS Morningstar generally views retail properties occupied by
large essential retailers more favorably, and 49.4% of the
portfolio's tenants never closed during the coronavirus pandemic
despite broad local lockdown orders, underscoring the
essential-business concentration of the transaction.

Investment-grade tenants comprise 34.1% of the DBRS Morningstar
In-Place Base Rent (37.5% of the net rentable area), which is a
favorable proportion. However, none of the tenants qualified for
long-term credit tenant cash flow treatment based on their lease
expiry dates.

The portfolio's rent collection history (excluding deferrals and
abatements) through the coronavirus pandemic has been relatively
favorable for a retail portfolio, again underscoring the
essential-business nature of the tenancy. Collections dropped to
78.5% in April 2020 during the height of the first wave of the
pandemic, but rebounded quickly to 92.4% in July 2020 and have
since averaged 95.4%.

The ongoing coronavirus pandemic continues to pose challenges and
risks to virtually all major commercial real estate property types
and has created significant uncertainty around the long-term
viability of a wide array of retail businesses. Mandated closures
and the weakened state of the macroeconomy have only accelerated
consumer purchasing trends in favor of e-commerce, leaving retail
properties, even those more heavily occupied by essential
retailers, vulnerable to store closures and tenant bankruptcies
over the medium term to long term (particularly nonanchor in-line
tenants). While DBRS Morningstar does not view these issues as
imminent threats to most of the portfolio's tenancy for reasons
previously mentioned, the long-term headwinds in the retail sector
will likely persist even after the coronavirus pandemic abates. For
DBRS Morningstar's perspective, specifically with respect to LA
Fitness (7.6% of base rent), please refer to the Tenant Summary and
Lease Terms section of the presale report.

The portfolio is currently 17.7% vacant based on the DBRS
Morningstar concluded vacancy figure, which is significantly above
the appraiser's concluded WA market vacancy of 5.0% for the
portfolio. However, the portfolio has historically performed
favorably, with a three-year historical WA vacancy of 5.9% from
2018 through 2020. DBRS Morningstar views the portfolio's current
vacancy to be elevated because of rollover and fallout from the
ongoing coronavirus pandemic and believes occupancy is likely to
improve over time, if only modestly, as the macroeconomy continues
to recover.

The sponsor is withdrawing approximately $633.9 million of cash to
pay down an existing corporate facility, a term loan, and a secured
loan as a part of the subject transaction, which DBRS Morningstar
views less favorably from an alignment-of-incentive perspective
than cash-in or cash-neutral financings. This leaves the sponsor
with significantly less market equity to protect, which could
potentially disincentivize investment in the portfolio to the
detriment of certificate holders. However, CIM will have
approximately $478 million in remaining implied equity in the
transaction, which is significant.

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


CROWN CITY III: Moody's Assigns Ba3 Rating to $14MM Class D Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued and one class of notes incurred by Crown City CLO III
(the "Issuer" or "Crown City III").

Moody's rating action is as follows:

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

US$104,500,000 Class A-1a Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$109,000,000 Class A-N Loans maturing 2034, Assigned Aaa (sf)

Up to US$109,000,000 Class A-N Senior Secured Floating Rate Notes
due 2034, Assigned Aaa (sf)

US$10,500,000 Class A-1b Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)

US$42,000,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

US$20,500,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned A2 (sf)

US$19,750,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned Baa3 (sf)

US$14,000,000 Class D Secured Deferrable Floating Rate Notes due
2034, Assigned Ba3 (sf)

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

On the closing date, the Class A-N Loans and the Class A-N Notes
have a principal balance of $109,000,000 and $0, respectively. At
any time, the Class A-N Loans may be converted in whole or in part
to Class A-N Notes, thereby decreasing the principal balance of the
Class A-N Loans and increasing, by the corresponding amount, the
principal balance of the Class A-N Notes. The aggregate principal
balance of the Class A-N Loans and Class A-N Notes will not exceed
$109,000,000, less the amount of any principal repayments.

RATINGS RATIONALE

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

Crown City III is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
senior secured loans and eligible investments, and up to 7.5% of
the portfolio may consist of second lien loans, unsecured loans and
senior secured bonds. The portfolio is approximately 95% ramped as
of the closing date.

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

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

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

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

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

Par amount: $350,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2700

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


CSMC 2018-SITE: DBRS Confirms BB Rating on Class HRR Certs
----------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2018-SITE issued by CSMC
2018-SITE as follows:

-- Class A at AAA (sf)
-- Class X at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (sf)
-- Class D at A (sf)
-- Class E at BB (high) (sf)
-- Class HRR at BB (sf)

The ratings of Classes X, B, C, D, E, and HRR have been removed
from Under Review with Negative Implications, where they were
placed on October 6, 2020. In addition, the trend for the Class A
certificate has been changed from Negative to Stable. All other
trends are Stable. The rating confirmations and removal of six
classes from Under Review with Negative Implications reflects the
overall stable performance of the transaction, which is secured by
a portfolio of retail properties as further described below. In
October 2020, DBRS Morningstar noted Coronavirus Disease (COVID-19)
pandemic-driven concerns for retail property types as the driver
for the Under Review with Negative Implications rating actions;
however, in general, the underlying properties have shown
resilience to the effects of the pandemic and the most recently
reported occupancy rates remain in line with DBRS Morningstar's
expectations for the portfolio as a whole.

The collateral for the trust is provided by a portion of the
first-lien mortgages on a portfolio of 10 cross-collateralized and
cross-defaulted retail properties located across nine states,
encumbering the fee-simple interest of the borrower on each of the
properties. The properties include a mix of seven power centers and
three community centers in 10 distinct markets. The retail
properties total 4.1 million square feet (sf), of which
approximately 3.4 million sf is collateral for the underlying
mortgages.

The trust loan is part of a split loan structure and includes a
$170.0 million senior promissory A note and a $144.3 million
subordinate promissory B note. The mortgage whole loan includes an
additional $50.0 million (non-trust) senior pari passu promissory A
note contributed to the DBRS Morningstar rated CSAIL 2019-C15
transaction. The whole loan is evidenced by a 64-month,
interest-only (IO), fixed-rate mortgage loan totaling $364.3
million in financing, with a maturity date in April 2024. The
sponsor and nonrecourse carveout guarantor is Dividend Trust
Portfolio JV LP, a joint venture among wholly-owned subsidiaries of
SITE Centers Corp. (SITE; 20% ownership) and subsidiaries of China
Merchants Group Limited and China Life Insurance Company Ltd. (80%
ownership). DDR Property Management (rebranded as SITE on October
12, 2018) manages the properties.

While servicer reporting for year-end (YE) 2020 showed performance
declines across all 10 of the properties in the portfolio as a
result of the coronavirus pandemic, the loan was still covering
debt service with a net cash flow (NCF) and weighted-average (WA)
debt service coverage ratio (DSCR) of $36.6 million and 2.06 times
(x), respectively, compared to $38.8 million and 2.19x at issuance.
Only one property reported a DSCR below 1.78x. It is likely the
in-place cash flow dip for the portfolio in 2020 was driven by
lower rent collections, but revenues are trending up thus far in
2021 and are expected to continue to stabilize as vaccination rates
increase across the country and social distancing restrictions are
relaxed or eliminated. The loan has never been delinquent since the
onset of the pandemic and, to date, no relief request has been
submitted by the sponsor.

The portfolio loan benefits from its highly granular rent roll,
geographic diversity, and strong tenant mix.
Based on the servicer's reporting of a March 2021 Lease Rollover
Review, the collateral occupancy rate was 93.0%, which compares
with the issuance occupancy rate of approximately 90.4% and the
servicer-reported YE2020 occupancy rate of 88.2%. The tenant roster
includes over 180 unique tenants across 250 tenant spaces, with no
single tenant accounting for more than 7.6% of the portfolio's net
rentable area (NRA), and no single tenant space accounting for more
than 4.0% of portfolio NRA. Each of the properties is located in a
different market, with the greatest market exposure to the Phoenix
(20.2% of NRA and 25.6% of the allocated loan amount (ALA)),
Hartford (16.6% of NRA and 15.3% of ALA), and Kansas City (11.3% of
NRA and 11.8% of ALA) markets. Seven properties have grocery store
anchors or shadow anchors.

The five largest tenants are Lowe's (7.6% of collateral NRA);
Kohl's (7.0% of NRA); AMC Theatres (6.8% of NRA); The TJX
Companies, Inc. (6.0% of NRA); and Dick's Sporting Goods (5.4% of
NRA). The tenant mix for the portfolio consists of a number of
credit-rated tenants, including Lowe's; Kohl's; TJX; Ross Stores,
Inc.; and Best Buy Co., Inc. Major shadow anchors include Target
(three properties), Sam's Club (one property), and Kohl's (one
property). A benefit of the rent roll diversification is that
tenants' lease expirations are staggered over the loan term with
the portfolio's average lease rollover being 11.6% per year, which
the property manager has successfully managed thus far with several
new leases and renewals signed since issuance.

While the portfolio has limited exposure to some of the
high-profile retail bankruptcies over the past 12 months, it is
perhaps most noteworthy that the portfolio does have exposure to
AMC Theatres (AMC) (6.8% of collateral NRA and 10.2% of the DBRS
Morningstar base rent) via leases at three properties (Ahwatukee
Foothills Towne Center, Connecticut Commons, and Independence
Commons) that expire in December 2031, December 2029, and October
2034, respectively. In a positive development, AMC recently renewed
its lease at Independence Commons; however, in recent news
articles, AMC has continued to report concerns about its operations
amid the pandemic with statements noting severe cash flow
impairments as all locations were closed beginning in March 2020.
As of July 2021, all AMC Theatres had reopened with varying levels
of restrictions based on local guidelines, including the three
locations included in this transaction, but attendance numbers
remain well below pre-pandemic levels.

In its analysis, DBRS Morningstar applied a nominal haircut to the
servicer's reported YE2020 NCF. The resulting NCF figure was $35.8
million, to which a capitalization rate of 8.29% was applied,
resulting in a DBRS Morningstar value of $432.3 million, a variance
of 30.3% from the issuance appraised value of $620.0 million. The
DBRS Morningstar value implies a loan-to-value (LTV) ratio of 84.3%
compared with the LTV of 58.8% based on the issuance appraised
value.

The cap rate DBRS Morningstar applied is in the middle of the range
of DBRS Morningstar Cap Rate Ranges for retail properties,
reflecting the subjects' location, property quality, and market
position.

DBRS Morningstar made positive qualitative adjustments to the final
LTV sizing benchmarks used for this rating analysis, totaling 1.5%
to account for cash flow volatility, property quality, and market
fundamentals. DBRS Morningstar also made other positive adjustments
to account for the portfolio's diversity and other negative
adjustments to account for the portfolio's high total secured debt
LTV.

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


CSMC 2021-NQM5: S&P Assigns B (sf) Rating on Class B-2 Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to CSMC 2021-NQM5 Trust's
mortgage pass-through notes. Based on updated information, S&P
assigned an 'A+ (sf)' rating to the class A-3 certificates, which
is higher than the preliminary 'A(sf)' rating assigned. S&P's
ratings on the other classes are unchanged from the preliminary
ratings.

The note issuance is an RMBS transaction backed by fixed-rate,
adjustable-rate, and adjustable-rate first-lien, interest-only,
fully amortizing residential mortgage loans to both prime and
nonprime borrowers (some with interest-only periods). The loans are
secured by single-family residential properties, planned-unit
developments, condominiums, and two- to four-family residential
properties.

The ratings reflect S&P's view of:

-- The pool's collateral composition;

-- The transaction's credit enhancement;

-- The transaction's associated structural mechanics;

-- The transaction's representation and warranty framework;

-- The transaction's geographic concentration;

-- The mortgage aggregator, DLJ Mortgage Capital Inc., as well as
S&P Global Ratings-reviewed originators; 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.

  Ratings Assigned

  CSMC 2021-NQM5 Trust

  Class A-1, $232,065,000: AAA (sf)
  Class A-2, $20,971,000: AA (sf)
  Class A-3, $28,680,000: A+ (sf)
  Class M-1, $13,107,000: BBB (sf)
  Class B-1, $7,247,000: BB (sf)
  Class B-2, $4,626,000: B (sf)
  Class B-3, $1,696,676: Not rated
  Class A-IO-S, notional(i): Not rated
  Class XS, notional(ii): Not rated
  Class PT(iii), $308,392,676: Not rated
  Class R: Not rated

(i)The notional amount will equal the aggregate interest-bearing
principal balance of the mortgage loans as of the first day of the
related due period and is initially $308,380,561.

(ii)The notional amount will equal the aggregate principal balance
of the mortgage loans as of the first day of the related due period
and is initially $308,392,676.

(iii)Certain initial exchangeable notes are exchangeable for the
exchangeable notes and vice versa.



CSMC TRUST 2021-RPL6: Fitch Assigns B Rating on Class B2 Notes
--------------------------------------------------------------
Fitch Ratings has assigned ratings to CSMC 2021-RPL6 Trust's (CSMC
2021-RPL6) residential mortgage-backed notes.

DEBT           RATING              PRIOR
----           ------              -----
CSMC 2021-RPL6

A1      LT  AAAsf  New Rating    AAA(EXP)sf
A1A     LT  AAAsf  New Rating    AAA(EXP)sf
A1X     LT  AAAsf  New Rating    AAA(EXP)sf
M1      LT  AAsf   New Rating    AA(EXP)sf
M2      LT  Asf    New Rating    A(EXP)sf
M3      LT  BBBsf  New Rating    BBB(EXP)sf
B1      LT  BBsf   New Rating    BB(EXP)sf
B2      LT  Bsf    New Rating    B(EXP)sf
B3      LT  NRsf   New Rating    NR(EXP)sf
B4      LT  NRsf   New Rating    NR(EXP)sf
B5      LT  NRsf   New Rating    NR(EXP)sf
AIOS    LT  NRsf   New Rating    NR(EXP)sf
XS      LT  NRsf   New Rating    NR(EXP)sf
PT      LT  NRsf   New Rating    NR(EXP)sf
SA      LT  NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

The notes are supported by one collateral group that consists of
2,274 seasoned performing loans (SPLs) and re-performing loans
(RPLs) with a total balance of approximately $346.3 million,
including $30.4 million in deferred balances.

Distributions of principal and interest (P&I) and loss allocations
are based on a traditional senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicers will not be advancing delinquent monthly
payments of P&I.

KEY RATING DRIVERS

Distressed Performance History (Negative): The collateral pool
consists primarily of peak-vintage SPLs and RPLs. Based on Fitch's
treatment of coronavirus-related forbearance and deferral loans,
approximately 40.7% of the loans were treated as having clean
payment histories for the past two years. The remaining 52.5% of
the loans are current, but have had recent delinquencies or
incomplete 24-month pay strings. As of the cutoff date, 6.8% of the
loans in the pool are being treated as currently delinquent.
Roughly 84.3% of the loans have been modified.

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

No Servicer P&I Advances (Mixed): The servicer will not be
advancing delinquent monthly payments of P&I, which reduce
liquidity to the trust. P&I advances made on behalf of loans that
become delinquent and eventually liquidate reduce liquidation
proceeds to the trust. Due to the lack of P&I advancing, the
loan-level loss severity is less for this transaction than for
those where the servicer is obligated to advance P&I. Structural
provisions and cash flow priorities, together with increased
subordination, provide for timely payments of interest to the
'AAAsf' and 'AAsf' rated classes.

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 an additional scenario analysis based on stressed
assumptions as described in the section to remain consistent with
significant revisions to its macroeconomic baseline scenario or if
actual performance data indicate the current assumptions require
reconsideration.

In response to revisions to Fitch's macroeconomic baseline
scenario, observed actual performance data and the unexpected
development in the health crisis arising from the advancement and
availability of coronavirus vaccines, Fitch reconsidered the
application of the coronavirus-related Economic Risk Factor (ERF)
floors of 2.0 and instead used ERF floors of 1.5 and 1.0 for the
'BBsf' and 'Bsf' rating stresses, respectively.

Fitch's "Global Economic Outlook — March 2021" and related
baseline economic scenario forecasts have been revised to 6.2% U.S.
GDP growth for 2021 and 3.3% for 2022 following a 3.5% GDP
contraction in 2020. Additionally, Fitch's U.S. unemployment
forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, down
from 8.1% in 2020. These revised forecasts support Fitch reverting
to the 1.5 and 1.0 ERF floors described in its "U.S. RMBS Loan Loss
Model Criteria."

RATING SENSITIVITIES

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

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

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

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

-- This defined negative rating sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in
    addition to the model-projected 41.5% at the 'AAA' level. 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 SitusAMC, Opus CMC, Clayton Services and Residential
Real Estate Review Management. The third-party due diligence
described in Form 15E focused on regulatory compliance which
covered applicable federal, state and local high-cost loan and/or
anti-predatory laws, as well as the Truth-in-Lending Act (TILA) and
Real Estate Settlement Procedures Act (RESPA).

A third-party due diligence review was completed on 100% of the
loans in the transaction pool by loan count.

Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustment(s) to its analysis:

The regulatory compliance review indicated that 202 reviewed loans,
or approximately 9% of the review sample, were found to have a
material defect and, therefore, assigned a final grade of 'C' or
'D'.

Of the reviewed loans, 110, or approximately 4.8% of the review
sample, received a final grade of 'D', as the loan file did not
have a final HUD-1 for compliance testing purposes. The absence of
a final HUD-1 file prevents the TPR firm from properly testing for
compliance surrounding predatory lending in which statute of
limitations does not apply. These regulations may expose the trust
to potential assignee liability in the future and create added risk
for bond investors.

The remaining 90 loans with final grades of 'C' or 'D' reflect
missing final HUD-1 files that are not subject to predatory
lending, missing state disclosures and other missing documents
related to compliance testing. Fitch notes that these exceptions
are unlikely to add material risk to bondholders since the statute
of limitations on these issues have expired. No adjustments to loss
expectations were made for these 90 loans.

Fitch also applied an adjustment on 43 loans that had missing
modification agreements. Each loan received a three-month
foreclosure timeline extension to represent a delay in the event of
liquidation as a result of these files not being present.

Fitch increased its loss expectation at the 'AAAsf' level by
approximately 319 bps to reflect these findings.

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.


CWABS 2007-4: S&P Downgrades Class A-4W Certs Rating to 'D (sf)'
----------------------------------------------------------------
S&P Global Ratings reinstated its rating on class A-4W from CWABS
Asset-Backed Certificates Trust 2007-4, which it discontinued in
error on July 23, 2021. In reviewing the rating after discovery of
the erroneous discontinuance, S&P determined that the 'CCC (sf)'
rating was no longer reflective of the certificates'
creditworthiness. Accordingly, S&P is reinstating and at the same
time downgrading the rating on the class to 'D (sf)'.

S&P said, "The downgrade reflects the impact of reductions in
interest payments to security holders due to loan modifications and
other credit-related events. To determine the maximum potential
rating (MPR), we considered the amount of interest the security has
received to date versus how much it would have received absent such
credit-related events ("realized CIRA"), as well as interest
reduction amounts that we expect over the remaining term of the
security ("expected CIRA"). However, when the realized CIRA exceeds
4.5% of the original security balance, we consider the MPR to be
'D' irrespective of the expected CIRA. Although the class benefits
from an insurance policy and the insurer has made full interest
payments under the policy terms, the interest payments to the
certificateholders have been reduced due to mortgage loan rate
modifications or other credit-related events involving the
underlying residential mortgage collateral. As a result, the
realized CIRA exceeds 4.5%, which thus corresponds to an MPR of
'D'."



DIAMETER CAPITAL 1: Moody's Assigns Ba3 Rating to $16.88MM D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to four classes of
notes issued by Diameter Capital CLO 1 Ltd. (the "Issuer").

Moody's rating action is as follows:

US$276,750,000 Class A-1A Floating Rate Notes due 2036, Assigned
Aaa (sf)

US$11,250,000 Class A-1B Floating Rate Notes due 2036, Assigned Aaa
(sf)

US$45,000,000 Class A-2 Floating Rate Notes due 2036, Assigned Aa2
(sf)

US$16,875,000 Class D 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.

Diameter Capital CLO 1 Ltd. is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of first lien senior secured loans and up to 10% of the portfolio
may consist of Second-lien loans, senior unsecured loans, senior
secured bonds, senior secured notes or high yield bonds. The
portfolio is approximately 95% ramped as of the closing date.

Diameter CLO Advisors LLC (the "Manager") will direct the
select8ion, 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 two other classes
of secured notes and one class of subordinated notes.

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

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

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

Par amount: $450,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2970

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 6.00%

Weighted Average Recovery Rate (WARR): 46.25%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


ELMWOOD CLO V: S&P Assigns BB- (sf) Rating on Class E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement notes from Elmwood CLO V Ltd./Elmwood CLO
V LLC, a CLO originally issued in July 2020 that is managed by
Elmwood Asset Management LLC.

On the August 2, 2021, refinancing date, the proceeds from the
replacement notes were used to redeem the original notes. At that
time, S&P withdrew the ratings on the original notes and assigned
ratings to the replacement notes.

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

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

-- The replacement class A-R notes were issued at a floating
spread, replacing the current class A-1 floating-spread and A-2
fixed-coupon notes.

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

-- The documents added the ability to purchase bonds and the
ability of the issuer to purchase notes sequentially.

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

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

  Ratings Assigned

  Elmwood CLO V Ltd./Elmwood CLO V LLC

  Class A-R, $256.0 million: AAA (sf)
  Class B-R, $48.0 million: AA (sf)
  Class C-R (deferrable), $24.0 million: A (sf)
  Class D-R (deferrable), $24.0 million: BBB- (sf)
  Class E-R (deferrable), $14.0 million: BB- (sf)
  Subordinated notes, $30.4 million: Not rated

  Ratings Withdrawn

  Elmwood CLO V Ltd./Elmwood CLO V LLC

  Class A-1 to not rated from 'AAA (sf)'
  Class A-2 to NR from 'AAA (sf)'
  Class B to NR from 'AA (sf)'
  Class C to not rated from 'A (sf)'
  Class D to not rated from 'BBB- (sf)'
  Class E to not rated from 'BB- (sf)'



FLAGSHIP CREDIT 2021-3: S&P Assigns Prelim 'BB-' Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Flagship
Credit Auto Trust 2021-3's automobile receivables-backed notes.

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

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

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

-- The availability of approximately 40.86%, 35.45%, 27.78%,
21.71%, and 17.70% credit support (including excess spread) for the
class A, B, C, D, and E notes, respectively, based on stressed cash
flow scenarios. These credit support levels provide coverage of
approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x of S&P's
11.00%-11.50% expected cumulative net loss range for the class A,
B, C, D, and E notes, respectively. These break-even scenarios
cover total cumulative gross defaults (using a recovery assumption
of 40.00%) of approximately 68.10%, 59.08%, 46.30%, 36.19%, and
29.40%, respectively.

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

-- The expectation that under a moderate ('BBB') stress scenario
(1.75x S&P's expected loss level), all else being equal, S&P's
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB-
(sf)' ratings on the class A, B, C, D, and E notes, respectively,
will be within the credit stability limits specified by section A.4
of the Appendix contained in "S&P Global Ratings Definitions,"
published Jan. 5, 2021.

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

-- The characteristics of the collateral pool being securitized.

-- The transaction's payment and legal structures.

  Preliminary Ratings Assigned

  Flagship Credit Auto Trust 2021-3

  Class A, $268.20 million: AAA (sf)
  Class B, $29.24 million: AA (sf)
  Class C, $39.13 million: A (sf)
  Class D, $25.83 million: BBB (sf)
  Class E, $15.58 million: BB- (sf)



FLAGSTAR MORTGAGE 2021-6INV: DBRS Gives BB Rating on B-4 Certs
--------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage Pass-Through Certificates, Series 2021-6INV  to be issued
by Flagstar Mortgage Trust 2021-6INV:

-- $629.0 million Class A-1 at AAA (sf)
-- $581.8 million Class A-2 at AAA (sf)
-- $629.0 million Class A-3 at AAA (sf)
-- $581.8 million Class A-4 at AAA (sf)
-- $436.4 million Class A-5 at AAA (sf)
-- $436.4 million Class A-6 at AAA (sf)
-- $349.1 million Class A-7 at AAA (sf)
-- $349.1 million Class A-8 at AAA (sf)
-- $87.3 million Class A-9 at AAA (sf)
-- $87.3 million Class A-10 at AAA (sf)
-- $47.2 million Class A-11 at AAA (sf)
-- $47.2 million Class A-11X at AAA (sf)
-- $145.5 million Class A-12 at AAA (sf)
-- $145.5 million Class A-13 at AAA (sf)
-- $232.7 million Class A-14 at AAA (sf)
-- $232.7 million Class A-15 at AAA (sf)
-- $52.9 million Class A-16 at AAA (sf)
-- $52.9 million Class A-17 at AAA (sf)
-- $52.9 million Class A-18 at AAA (sf)
-- $47.2 million Class A-19 at AAA (sf)
-- $47.2 million Class A-20 at AAA (sf)
-- $47.2 million Class A-21 at AAA (sf)
-- $681.9 million Class A-X-1 at AAA (sf)
-- $581.8 million Class A-X-4 at AAA (sf)
-- $436.4 million Class A-X-6 at AAA (sf)
-- $349.1 million Class A-X-8 at AAA (sf)
-- $87.3 million Class A-X-10 at AAA (sf)
-- $145.5 million Class A-X-13 at AAA (sf)
-- $232.7 million Class A-X-15 at AAA (sf)
-- $52.9 million Class A-X-17 at AAA (sf)
-- $52.9 million Class A-X-18 at AAA (sf)
-- $47.2 million Class A-X-20 at AAA (sf)
-- $47.2 million Class A-X-21 at AAA (sf)
-- $6.3 million Class B-1 at AA (high) (sf)
-- $6.3 million Class B-1-A at AA (high) (sf)
-- $6.3 million Class B-1-X at AA (high) (sf)
-- $14.8 million Class B-2 at A (sf)
-- $14.8 million Class B-2-A at A (sf)
-- $14.8 million Class B-2-X at A (sf)
-- $13.0 million Class B-3 at BBB (sf)
-- $9.2 million Class B-4 at BB (sf)
-- $3.3 million Class B-5 at B (high) (sf)
-- $681.9 million Class RR-A at AAA (sf)

Classes A-X-1, A-X-4, A-X-6, A-X-8, A-X-10, A-X11 A-X-13, A-X-15,
A-X-17, A-X-18, A-X-20, A-X-21, B-1-X, and B-2-X Certificates are
interest-only certificates. The class balances represent notional
amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-9, A-12, A-14, A-15,
A-16, A-17, A-19, A-20, A-21, A-X-4, A-X-6, A-X-15, A-X-20, A-X-21,
B-1, B-2, and RR-A are exchangeable certificates. These classes can
be exchanged for combinations of exchange certificates as specified
in the offering documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-19, A-20, and A-21 certificates are
super-senior certificates. These classes benefit from additional
protection from the senior support certificates (Classes A-16,
A-17, and A-18) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 7.85% of credit
enhancement provided by subordinated certificates. The AA (high)
(sf), A (sf), BBB (sf), BB (sf), and B (high) (sf) ratings reflect
7.00%, 5.00%, 3.25%, 2.00%, and 1.55% 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 investment-property residential mortgages funded by
the issuance of the Certificates. The Certificates are backed by
2,742 loans with a total principal balance of $739,992,764 as of
the Cut-Off Date (July 1, 2021).

The portfolio consists of conforming mortgages with original terms
to maturity of primarily 30 years, which were underwritten by
Flagstar using an automated underwriting system (AUS) designated by
Fannie Mae or Freddie Mac and were eligible for purchase by such
agencies. In addition, the pool contains a concentration of loans
(5.3%) 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.
Details on the underwriting of conforming loans can be found in the
Key Probability of Default Drivers section.

Flagstar Bank, FSB is the originator and servicer of all mortgage
loans and the sponsor of the transaction. Wells Fargo Bank, N.A.
(rated AA with a Negative trend by DBRS Morningstar) will act as
the Master Servicer, Securities Administrator, and Custodian.
Wilmington Savings Fund Society, FSB will serve as Trustee.
PentAlpha Surveillance LLC will act as the Reviewer.

For this transaction, the servicing fee payable to the Servicer
comprises three separate components: the base servicing fee, the
aggregate delinquent servicing fee, and the aggregate incentive
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities. The base servicing fee will reduce
the Net weighted-average coupon (WAC) payable to certificate
holders as part of the aggregate expense calculation. However,
except for the Class B-6-C Net WAC, the delinquent and incentive
servicing fees will not be included in the reduction of Net WAC and
will thus reduce available funds entitled to the certificate
holders. To capture the impact of such potential fees, DBRS
Morningstar ran additional cash flow stresses based on its 60+-day
delinquency and default curves.

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, none of the loans are currently subject to
a coronavirus-related forbearance plan. In the event a borrower
requests or enters into a Coronavirus Disease (COVID-19)-related
forbearance plan after the Cut-Off Date but prior to the Closing
Date, the Sponsor will remove such loan from the mortgage pool and
remit the related Closing Date substitution amount. Loans that
enter a coronavirus-related forbearance plan on or after the
Closing Date will remain in the pool.

Coronavirus Impact

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

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

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


FLAGSTAR MORTGAGE 2021-6INV: Moody's Gives B2 Rating to B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
forty-three classes of residential mortgage-backed securities
(RMBS) issued by Flagstar Mortgage Trust 2021-6INV ("FSMT
2021-6INV"). The ratings range from Aaa (sf) to B2 (sf).

Flagstar Mortgage Trust 2021-6INV (FSMT 2021-6INV) is the sixth
issue from Flagstar Mortgage Trust in 2021 and the third issue with
investor-property loans in 2021. Flagstar Bank, FSB (Flagstar) is
the sponsor of the transaction. FSMT 2021-6INV is a securitization
of GSE eligible first-lien investment property mortgage loans.
100.0% of the pool by loan balance were originated by Flagstar
Bank, FSB.

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.

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

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's also compared the
collateral pool to other prime jumbo securitizations. Overall, this
pool has average credit risk profile as compared to that of recent
prime jumbo transactions. The securitization has a shifting
interest structure with a five-year lockout period that benefits
from a senior floor and a subordinate floor. Moody's coded the cash
flow to each of the certificate classes using Moody's proprietary
cash flow tool.

In this transaction, the Class A-11 certificates' 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: Flagstar Mortgage Trust 2021-6INV

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 Aa1 (sf)

Cl. A-17, Assigned Aa1 (sf)

Cl. A-18, Assigned Aa1 (sf)

Cl. A-19, Assigned Aaa (sf)

Cl. A-20, Assigned Aaa (sf)

Cl. A-21, Assigned Aaa (sf)

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

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

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

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

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

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

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

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

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

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

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

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

Cl. B-1, Assigned Aa3 (sf)

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

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

Cl. B-2, Assigned A2 (sf)

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

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

Cl. B-3, Assigned Baa2 (sf)

Cl. B-4, Assigned Ba2 (sf)

Cl. B-5, Assigned B2 (sf)

Cl. RR-A, Assigned Aaa (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 1.10%
at the mean, 0.80% at the median, and reaches 7.22% at a stress
level consistent with Moody's Aaa ratings.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of consumer assets as the US economy
continues on the path toward normalization. Economic activity will
continue to strengthen in 2021 because of several factors,
including the rollout of vaccines, growing household consumption
and an accommodative central bank policy. However, specific sectors
and individual businesses will remain weakened by extended pandemic
related restrictions.

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

Moody's increased its model-derived median expected losses by 10%
(7.6% for the mean) and Moody's Aaa losses by 2.5% to reflect the
likely performance deterioration resulting from a slowdown in US
economic activity in 2020 due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated loans, post-COVID underwriting takes
into account the impact of the pandemic on a borrower's ability to
repay the mortgage. For seasoned loans, as time passes, the
likelihood that borrowers who have continued to make payments
throughout the pandemic will now become non-cash flowing due to
COVID-19 continues to decline.

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

Collateral description

FSMT 2021-6INV is a securitization of GSE eligible first-lien
investment property mortgage loans. 100.0% of the pool by loan
balance were originated by Flagstar Bank, FSB. 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). As of the cut-off date of July 1, 2021, the
$739,992,765 pool consisted of 2,742 mortgage loans secured by
first liens on residential investment properties. The average
stated principal balance is $269,873 and the weighted average (WA)
current mortgage rate is 3.6%. The majority of the loans have a
30-year term, with 11 loans with terms ranging from 25 years. All
of the loans have a fixed rate. The WA original credit score is 771
for the primary borrower only and the WA combined original LTV
(CLTV) is 66.7%. The WA original debt-to-income (DTI) ratio is
36.9%. Approximately, 15.2% by loan balance of the borrowers have
more than one mortgage loan in the mortgage pool.

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

A significant percentage of the mortgage loans by loan balance
(37.9%) are backed by properties located in California. The second
largest geographic concentration of properties are Texas, which
represents 9.0% by loan balance. All other states each represent
less than 5% by loan balance. Approximately 21.1% (by loan balance)
of the pool is backed by properties that are 2-4 unit residential
properties whereas loans backed by single family residential
properties represent 49.0% (by loan balance) of the pool.

Origination Quality

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

Servicing arrangement

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

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

Trustee and master servicer

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

Third-party review

Moody's applied an adjustment to Moody's Aaa and expected losses
due to the sample size. The credit, compliance, property valuation,
and data integrity portion of the third party review (TPR) was
conducted on a total of approximately 12.7% of the pool (by loan
count). Canopy Financial Technology Partners (Canopy) conducted due
diligence for a total random sample of 325 loans. The TPR results
indicated compliance with the originators' underwriting guidelines
for most of the loans without any material compliance issues or
appraisal defects. 100% of the loans reviewed received a grade B or
higher with 73.5% of loans receiving an A grade.

While the TPR results indicated compliance with the originators'
underwriting guidelines for most of the loans, no material
compliance issues and no material appraisal defects, the total
sample size of 325 loans reviewed did not meet Moody's credit
neutral criteria. Moody's therefore made an adjustment to loss
levels to account for this risk.

Representations and Warranties Framework

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

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

Transaction structure

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

In this transaction, the Class A-11 certificates' 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 certificates, including the floating rate
certificates, are subject to the net WAC cap, which prevents the
floating rate certificates from incurring interest shortfalls as a
result of increases in the benchmark index above the fixed rates at
which the assets bear interest. Second, the shifting-interest
structure pays all interest generated on the assets to the bonds
and does not provide for any excess spread.

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

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

Tail Risk and subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 1.00% of the cut-off date pool
balance, and as subordination lock-out amount of 1.00% of the
cut-off date pool balance. The floors are consistent with the
credit neutral floors for the assigned ratings according to Moody's
methodology.

COVID-19 Impacted Borrowers

As of the cut-off date, no borrower in the pool has entered into a
COVID-19 related forbearance plan with the servicer. Also, if any
borrower enters or requests a COVID-19 related forbearance plan
from the cut-off date to the closing date, then the associated
mortgage loan will be removed from the pool. In the event a
borrower enters or requests a COVID-19 related forbearance plan
after the closing date, such mortgage loan (and the risks
associated with it) will remain in the mortgage pool. Any principal
forbearance amount created in connection with any modification
(whether as a result of a COVID-19 forbearance or otherwise) will
result in the allocation of a realized loss and to the extent any
such amount is later recovered, will result in the allocation of a
subsequent recovery.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


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

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

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

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

  Ratings Assigned

  Fortress Credit BSL XI Ltd./Fortress Credit BSL XI LLC

  Class A, $240.0 million: AAA (sf)
  Class B-1, $39.0 million: AA (sf)
  Class B-2, $17.0 million: AA (sf)
  Class C, $26.0 million: A (sf)
  Class D, $24.0 million: BBB- (sf)
  Class E, $15.0 million: BB- (sf)
  Subordinated notes, $41.8 million: Not rated



FRANCESCA'S HOLDINGS: Posts $1.32 Million Net Loss at July 3
------------------------------------------------------------
Francesca's Holdings Corporation, now known as FHC Holdings
Corporation, et al., filed a monthly operating report with the U.S.
Securities and Exchange Commission for the period from May 30, 2021
to July 3, 2021.

The Debtors' consolidated statement of operations showed a net loss
of $1.32 million, a decrease from $1.38 million net loss reported
for the previous reporting period.

As of July 3, 2021, the Debtors listed $51.63 million in
consolidated total assets, $79.09 million in consolidated total
liabilities, and -$27.46 million in total shareholders' equity.

At May 29, 2021, the Debtors had $8.84 million in beginning cash
balance.  They listed total operating disbursements of $265,287.
At July 3, 2021, the Debtors had an ending cash balance of $8.57
million.

A copy of the monthly operating report is available at the SEC at:

                  https://bit.ly/379iGWZ

                       About FHC Holdings

Francesca's Holdings and its affiliates sought protection under
Chapter 11 of the Bankruptcy Code (Bankr. D. Del. Case No.
20-13076) on Dec. 3, 2020. Francesca's Holdings had total assets of
$264.7 million and total liabilities of $290.5 million as of Nov.
1, 2020.  Judge Brendan Linehan Shannon oversees the cases.  

On May 17, 2021, the Bankruptcy Court authorized the Debtors to
change their corporate names to:

  Old Company Name                   Case No.  New Company Name
  ----------------                   --------  ----------------
Francesca's Holdings Corporation   20-13076  FHC Holdings Corp.
Francesca's LLC                    20-13077  FHC LLC
Francesca's Collections, Inc.      20-13078  FHC Collections Inc.
Francesca's Services Corporation   20-13079  FHC Services Corp.

The Debtors tapped O'Melveny & Myers LLP and Richards, Layton &
Finger P.A. as legal counsel; FTI Capital Advisors LLC as financial
advisor and investment banker; A&G Realty Partners as real estate
advisor; and KPMG LLP as tax and accounting advisor. Bankruptcy
Management Solutions Inc. is the notice, claims and balloting
agent.

The U.S. Trustee for Regions 3 and 9 appointed an official
committee to represent unsecured creditors in the Debtors' cases.
Cole Schotz P.C. and Province, LLC serve as the committee's legal
counsel and financial advisor, respectively.


FREDDIE MAC 2021-DNA5: DBRS Finalizes BB Rating on Class B-1 Notes
------------------------------------------------------------------
DBRS, Inc. finalized the following provisional ratings on the
Structured Agency Credit Risk (STACR) REMIC 2021-DNA5 Notes issued
by Freddie Mac STACR REMIC Trust 2021-DNA5 (STACR 2021-DNA5):

-- $169.0 million Class M-1 at BBB (high) (sf)
-- $169.5 million Class M-2A at BBB (sf)
-- $169.5 million Class M-2B at BBB (low) (sf)
-- $169.5 million Class B-1A at BB (high) (sf)
-- $169.5 million Class B-1B at BB (sf)
-- $339.0 million Class M-2 at BBB (low) (sf)
-- $339.0 million Class M-2R at BBB (low) (sf)
-- $339.0 million Class M-2S at BBB (low) (sf)
-- $339.0 million Class M-2T at BBB (low) (sf)
-- $339.0 million Class M-2U at BBB (low) (sf)
-- $339.0 million Class M-2I at BBB (low) (sf)
-- $169.5 million Class M-2AR at BBB (sf)
-- $169.5 million Class M-2AS at BBB (sf)
-- $169.5 million Class M-2AT at BBB (sf)
-- $169.5 million Class M-2AU at BBB (sf)
-- $169.5 million Class M-2AI at BBB (sf)
-- $169.5 million Class M-2BR at BBB (low) (sf)
-- $169.5 million Class M-2BS at BBB (low) (sf)
-- $169.5 million Class M-2BT at BBB (low) (sf)
-- $169.5 million Class M-2BU at BBB (low) (sf)
-- $169.5 million Class M-2BI at BBB (low) (sf)
-- $169.5 million Class M-2RB at BBB (low) (sf)
-- $169.5 million Class M-2SB at BBB (low) (sf)
-- $169.5 million Class M-2TB at BBB (low) (sf)
-- $169.5 million Class M-2UB at BBB (low) (sf)
-- $339.0 million Class B-1 at BB (sf)
-- $169.5 million Class B-1AR at BB (high) (sf)
-- $169.5 million Class B-1AI at BB (high) (sf)

Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT,
M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB,
M-2TB, M-2UB, B-1, B-1AR, and B-1AI are Modifiable and Combinable
STACR Notes (MAC Notes). Classes M-2I, M-2AI, M-2BI, and B-1AI are
interest-only MAC Notes.

The BBB (high) (sf), BBB (sf), BBB (low) (sf), BB (high) (sf), and
BB (sf) ratings reflect 1.750%, 1.500%, 1.250%, 1.000%, and 0.750%
of credit enhancement, respectively. Other than the specified
classes above, DBRS Morningstar does not rate any other classes in
this transaction.

STACR 2021-DNA5 is the 27th transaction in the STACR DNA series.
The Notes are subject to the credit and principal payment risk of a
certain reference pool (the Reference Pool) of residential mortgage
loans held in various Freddie Mac-guaranteed mortgage-backed
securities.

As of the Cut-Off Date, the Reference Pool consists of 230,280
greater-than-20-year fully amortizing first-lien fixed-rate
mortgage loans underwritten to a full documentation standard, with
original loan-to-value (LTV) ratios greater than 60% and less than
or equal to 80%. The mortgage loans were estimated to be originated
on or after April 2020 and were securitized by Freddie Mac between
November 1, 2020, and December 31, 2020.

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

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

In this transaction, approximately 48.4% of the loans were
originated using property values determined using Freddie Mac's
automated collateral evaluation (ACE) assessment rather than a
traditional full appraisal. Loans where the property values were
determined using ACE assessments generally have better credit
attributes.

The calculation of principal payments to the Notes will be based on
actual principal collected on the Reference Pool. For STACR DNA
transactions, beginning with the STACR 2018-DNA2 transaction, there
has been a revision to principal allocation. The scheduled
principal in prior transactions was allocated pro rata between the
senior and nonsenior (mezzanine and subordinate) tranches,
regardless of deal performance, while the unscheduled principal was
allocated pro rata subject to certain performance tests being met.
For the more recent transactions, the scheduled and unscheduled
principal will be combined and only allocated pro rata between the
senior and nonsenior tranches if the performance tests are
satisfied.

Unlike prior STACR transactions, the minimum credit enhancement
test for STACR 2021-DNA5 is not set to fail at the Closing Date,
allowing rated classes to receive principal payments from the First
Payment Date, provided the other two performance
tests—delinquency test and cumulative net loss test—are met.
Additionally, the nonsenior tranches will also be entitled to a
supplemental subordinate reduction amount if the offered reference
tranche percentage increases above 5.50%.

This transaction is the first STACR transaction setting the Class
B3H's coupon rate to be the SOFR benchmark rate without any spread.
This may reduce the cushion that rated classes have to the extent
any modification losses arise.

STACR 2021-DNA5 is the first DNA transaction with a STACR REMIC
structure with a 12.5-year deal term. The Notes will be scheduled
to mature on the payment date in January 2034, but they will be
subject to mandatory redemption prior to the scheduled maturity
date upon the termination of the CAA.

The sponsor of the transaction will be Freddie Mac. U.S. Bank
National Association (rated AA (high) with a Stable trend and R-1
(high) with a Stable trend by DBRS Morningstar) will act as the
Indenture Trustee and Exchange Administrator. Wilmington Trust,
National Association (rated AA (low) with a Negative trend and R-1
(middle) with a Stable trend by DBRS Morningstar) will act as the
Owner Trustee. The Bank of New York Mellon will act as the
Custodian.

The Reference Pool consists of approximately 1.0% of loans
originated under the Home Possible program. Home Possible is
Freddie Mac's affordable mortgage product designed to expand the
availability of mortgage financing to creditworthy low- to
moderate-income borrowers.

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

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

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

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


GOLDENTREE LOAN 10: S&P Assigns B- (sf) Rating on Class F Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to GoldenTree Loan
Management U.S. CLO 10 Ltd./GoldenTree Loan Management U.S. CLO 10
LLC's floating-rate notes.

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

The ratings reflect:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  GoldenTree Loan Management U.S. CLO 10 Ltd./GoldenTree Loan
Management U.S. CLO 10 LLC

  Class X, $3.84 million: AAA (sf)
  Class A, $385.92 million: AAA (sf)
  Class B, $100.48 million: AA (sf)
  Class C (deferrable), $38.40 million: A (sf)
  Class D (deferrable), $38.40 million: BBB- (sf)
  Class E (deferrable), $24.96 million: BB- (sf)
  Class F (deferrable), $10.88 million: B- (sf)
  Subordinated notes, $36.95 million: Not rated



GS MORTGAGE-BACKED 2021-PJ7: Fitch Rates B-5 Certs 'Bsf'
--------------------------------------------------------
Fitch Ratings has rated the residential mortgage-backed
certificates issued by GS Mortgage-Backed Securities Trust 2021-PJ7
(GSMBS 2021-PJ7). The certificates are supported by 953 prime-jumbo
mortgage loans with a total balance of approximately $929 million
as of the cut-off date.

DEBT             RATING              PRIOR
----             ------              -----
GSMBS 2021-PJ7

A-1       LT  AAAsf  New Rating    AAA(EXP)sf
A-10      LT  AAAsf  New Rating    AAA(EXP)sf
A-11      LT  AAAsf  New Rating    AAA(EXP)sf
A-11-X    LT  AAAsf  New Rating    AAA(EXP)sf
A-12      LT  AAAsf  New Rating    AAA(EXP)sf
A-13      LT  AAAsf  New Rating    AAA(EXP)sf
A-14      LT  AAAsf  New Rating    AAA(EXP)sf
A-15      LT  AAAsf  New Rating    AAA(EXP)sf
A-15-X    LT  AAAsf  New Rating    AAA(EXP)sf
A-16      LT  AAAsf  New Rating    AAA(EXP)sf
A-17      LT  AAAsf  New Rating    AAA(EXP)sf
A-17-X    LT  AAAsf  New Rating    AAA(EXP)sf
A-18      LT  AAAsf  New Rating    AAA(EXP)sf
A-18-X    LT  AAAsf  New Rating    AAA(EXP)sf
A-19      LT  AAAsf  New Rating    AAA(EXP)sf
A-2       LT  AAAsf  New Rating    AAA(EXP)sf
A-20      LT  AAAsf  New Rating    AAA(EXP)sf
A-21      LT  AA+sf  New Rating    AA+(EXP)sf
A-3       LT  AA+sf  New Rating    AA+(EXP)sf
A-4       LT  AA+sf  New Rating    AA+(EXP)sf
A-5       LT  AAAsf  New Rating    AAA(EXP)sf
A-6       LT  AAAsf  New Rating    AAA(EXP)sf
A-7       LT  AAAsf  New Rating    AAA(EXP)sf
A-7-X     LT  AAAsf  New Rating    AAA(EXP)sf
A-8       LT  AAAsf  New Rating    AAA(EXP)sf
A-9       LT  AAAsf  New Rating    AAA(EXP)sf
A-IO-S    LT  NRsf   New Rating    NR(EXP)sf
A-R       LT  NRsf   New Rating    NR(EXP)sf
A-X-1     LT  AA+sf  New Rating    AA+(EXP)sf
A-X-13    LT  AAAsf  New Rating    AAA(EXP)sf
A-X-2     LT  AAAsf  New Rating    AAA(EXP)sf
A-X-3     LT  AA+sf  New Rating    AA+(EXP)sf
A-X-4     LT  AA+sf  New Rating    AA+(EXP)sf
A-X-5     LT  AAAsf  New Rating    AAA(EXP)sf
A-X-9     LT  AAAsf  New Rating    AAA(EXP)sf
B-1       LT  AAsf   New Rating    AA(EXP)sf
B-2       LT  Asf    New Rating    A(EXP)sf
B-3       LT  BBBsf  New Rating    BBB(EXP)sf
B-4       LT  BBsf   New Rating    BB(EXP)sf
B-5       LT  Bsf    New Rating    B(EXP)sf
B-6       LT  NRsf   New Rating    NR(EXP)sf

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists of
mostly 30-year fixed-rate mortgage fully amortizing loans seasoned
approximately five months in aggregate. The collateral is a mix of
prime-jumbo (92.2%) and agency conforming loans (7.8%). The
borrowers in this pool have strong credit profiles (767 model FICO)
and relatively low leverage (a 74.6% sustainable loan to value
ratio). Fitch treated 98.5% as full documentation collateral, while
100% of the loans are safe-harbor qualified mortgages. Of the pool,
97.6% are loans for which the borrower maintains a primary
residence, while 2.4% are for second homes. Additionally, 88% of
the loans were originated through a retail channel.

Shifting-Interest Deal Structure (Mixed): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. While there is
only minimal leakage to the subordinate bonds early in the life of
the transaction, the structure is more vulnerable to defaults
occurring at a later stage compared to a sequential or
modified-sequential structure.

To help mitigate tail risk, which arises as the pool seasons and
fewer loans are outstanding, a subordination floor of 0.70% of the
original balance will be maintained for the senior certificates,
and a subordination floor of 0.50% of the original balance will be
maintained for the subordinate certificates.

Shellpoint Mortgage Servicing (SMS) will provide full advancing for
the life of the transaction. While this helps the liquidity of the
structure, it also increases the expected loss due to unpaid
servicer advances.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. Goldman Sachs is assessed as an 'Above
Average' aggregator by Fitch due to its robust sourcing strategy
and seller oversight, experienced senior management and staff, and
strong risk management and corporate governance controls.

Additionally, Fitch has conducted reviews on almost 80% of the
originators in this transaction, all of which are considered at
least an 'Average' originator by industry standards. Primary
servicing responsibilities are performed by SMS, rated 'RPS2' by
Fitch. Fitch did not adjust its expected losses based on these
operational assessments.

Updated Economic Risk Factor (Positive): Consistent with the
Additional Scenario Analysis section of Fitch's "U.S. RMBS
Coronavirus-Related Analytical Assumptions" criteria, Fitch will
consider applying additional scenario analysis based on stressed
assumptions as described in the section to remain consistent with
significant revisions to its macroeconomic baseline scenario or if
actual performance data indicate the current assumptions require
reconsideration.

In response to revisions made to Fitch's macroeconomic baseline
scenario, observed actual performance data, and the unexpected
development in the health crisis arising from the advancement and
availability of coronavirus vaccines, Fitch reconsidered the
application of the coronavirus-related Economic Risk Factors (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 "Global Economic Outlook -- March 2021" and related
baseline economic scenario forecasts have been revised to 6.2% U.S.
GDP growth for 2021 and 3.3% for 2022, following -3.5% GDP growth
in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021
and 2022 are 5.8% and 4.7%, respectively, down from 8.1% in 2020.
These revised forecasts support Fitch reverting to the 1.5 and 1.0
ERF floors described in its "U.S. RMBS Loan Loss Model Criteria."
The lower expected losses in the non-investment-grade rating
stresses led to higher ratings for class B5 compared to prior
transactions.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level.

Sensitivity analyses were conducted at the state and national
levels to assess the effect of higher MVDs for the subject pool, as
well as lower MVDs, illustrated by a gain in home prices.

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

-- This defined negative stress sensitivity analysis demonstrates
    how the ratings would react to steeper MVDs at the national
    level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
    addition to the model projected decline at the base case. This
    analysis indicates there is some potential rating migration
    with higher MVDs compared with the model projection.

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 with
    no assumed overvaluation. The analysis assumes positive home
    price growth of 10.0%. Excluding the senior classes already
    rated 'AAAsf' and classes constrained due to qualitative
    rating caps, the analysis indicates there is potential
    positive rating migration for all of the other rated classes.

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

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. Third-party due diligence was
performed on 100% of the loans in the transaction. Due diligence
was performed by SitusAMC, Opus, Recovco, Digital Risk, and Evolve
which Fitch assesses as 'Acceptable -- Tier 1', 'Acceptable -- Tier
2', 'Acceptable -- Tier 3', 'Acceptable -- Tier 2', and 'Acceptable
-- Tier 3' respectively. The review scope is consistent with Fitch
criteria, and the results are generally similar to prior prime RMBS
transactions. Credit exceptions were supported by strong mitigating
factors, and compliance exceptions were primarily cured with
subsequent documentation.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on 100% of the pool. The third-party due
diligence was consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Opus, Recovco, Digital Risk, and Evolve were engaged to
perform the review. Loans reviewed under this engagement were given
compliance, credit and valuation grades, and assigned initial
grades for each subcategory.

Fitch also utilized data files made available by the issuer on its
SEC Rule 17g-5-designated website. Fitch received loan-level
information based on the American Securitization Forum's (ASF) data
layout format, and the data are considered comprehensive.

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

ESG CONSIDERATIONS

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


HOME PARTNERS 2021-1: DBRS Finalizes BB Rating on Class F Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Single-Family
Rental Pass-Through Certificates to be issued by Home Partners of
America 2021-1 Trust:

-- $196.5 million Class A at AAA (sf)
-- $58.1 million Class B at AA (low) (sf)
-- $29.7 million Class C at A (low) (sf)
-- $32.1 million Class D at BBB (sf)
-- $28.4 million Class E at BBB (low) (sf)
-- $35.8 million Class F at BB (sf)

The AAA (sf) rating on the Certificates reflects 52.61% of credit
enhancement provided by subordinated notes in the pool. The AA
(low) (sf), A (low) (sf), BBB (sf), BBB (low) (sf), and BB (sf)
ratings reflect 38.60%, 31.45%, 23.70%, 16.84%, and 8.20% of credit
enhancement, respectively.

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

The Certificates are supported by the income streams and values
from 1399 rental properties. The properties are distributed across
16 states and 42 metropolitan statistical areas (MSAs) in the
United States. DBRS Morningstar maps an MSA based on the ZIP code
provided in the data tape, which may result in different MSA
stratifications than those provided in offering documents. As
measured by value, 43.3% of the portfolio is concentrated in three
states: Colorado (17.5%), Florida (13.3%), and Georgia (12.5%). The
average purchase price per property is $337,542, and the average
value is $353,316. The average age of the properties is roughly 26
years. The majority of the properties have three or more bedrooms.
The certificates represent a beneficial ownership in an eight-year,
fixed-rate, interest-only loan with an initial aggregate principal
balance of approximately $414.6 million.

As in typical single-borrower, single-family rental transactions,
the waterfall has straight sequential payments with reverse
sequential losses.

DBRS Morningstar estimated the base-case net cash flow (NCF) by
evaluating the gross rent, concession, vacancy, operating expenses,
and capital expenditure data. DBRS Morningstar's base-case
underwriting yielded an aggregate annualized NCF of approximately
$14.9 million. Based on DBRS Morningstar's NCF assumptions outlined
in the rating report, the DBRS Morningstar NCF analysis resulted in
a minimum DSCR of greater than 1.0 times (x).

Vacancy data in the single-family rental space is relatively
limited. In general, based on performance data in existing
securitizations as well as information gathered in annual
property-manager reviews, vacancy is considered low in the
single-family rental market. DBRS Morningstar applied a base
vacancy rate of 9.0%, an additional base vacancy adjustment related
to the rental payment delinquency impact of the Coronavirus Disease
(COVID-19) pandemic, plus a qualitative adjustment to account for
structural and documentation weakness in the transaction. The loan
agreement lacks credit measures, such as the income-to-rent ratio,
in the eligible tenant provision. DBRS Morningstar accounted for
this potential impact by reducing the DBRS Morningstar gross rent
by 1.0%. DBRS Morningstar also accounted for the current
delinquency and vacancy levels as well as the highly concentrated
lease expiration profile by further stressing the vacancy
assumption, bringing the DBRS Morningstar vacancy rate to 14.9%,
which is more conservative than the underwritten economic vacancy
rate of 4.1% (includes underwritten annual credit loss) of the
Issuer's gross income.

Additionally, DBRS Morningstar applied a stress to the broker price
opinions (BPOs) because, in general, a valuation based on a BPO may
be less comprehensive than a valuation based on a full appraisal.
DBRS Morningstar had initially increased the BPO stress in response
to the pandemic and the resulting isolation measures, which caused
an immediate economic contraction, leading to sharp increases in
unemployment rates and income reductions for many consumers. Due to
the continued strong performance of the housing market, DBRS
Morningstar will no longer apply the additional pandemic-related
BPO stress.

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


HOME RE 2021-2: Moody's Assigns B3 Rating to Cl. M-2 Certificates
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to four
classes of mortgage insurance credit risk transfer notes issued by
Home Re 2021-2 Ltd.

Home Re 2021-2 Ltd. (the issuer) is the fifth transaction issued
under the Home Re program to date and the second such issue in
2021, which transfers to the capital markets the credit risk of
private mortgage insurance (MI) policies issued by Mortgage
Guaranty Insurance Corporation (MGIC, the ceding insurer) on a
portfolio of residential mortgage loans. The notes are exposed to
the risk of claims payments on the MI policies, and depending on
the notes' priority, may incur principal and interest losses when
the ceding insurer makes claims payments on the MI policies.

As of the cut-off date, no mortgage loan has been reported to the
ceding insurer as in two payment loan default (i.e. two or more
monthly payments delinquent) and 0.03% (by unpaid principal
balance) are subject to forbearance but are not currently
delinquent. To the extent that a mortgage loan no longer satisfies
the eligibility criteria as of a date subsequent to the cut-off
date, such mortgage loan will not be removed from the offering and
the coverage for the related MI policy will continue to be provided
by the reinsurance agreement.

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

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

Transaction credit strengths include strong loan credit
characteristics, including the fact that the MI policies are
predominantly borrower-paid MI policies (98.4% by unpaid principal
balance). Transaction credit weaknesses include predominantly high
loan-to-value (LTV) ratios, as well as a limited third-party review
scope and lack of representations and warranties (R&Ws) to the
noteholders.

The complete rating actions are as follows:

Issuer: Home Re 2021-2 Ltd.

Cl. M-1A, Assigned Baa2 (sf)

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

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

Cl. M-2, Assigned B3 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expect this insured pool's aggregate exposed principal
balance (AEPB) to incur 2.16% losses in a baseline scenario-mean, a
baseline scenario-median loss of 1.83%, and 16.60% losses under a
Aaa stress scenario.The AEPB is the portion of the pool's risk in
force that is not covered by existing quota share reinsurance
through unaffiliated parties. It is the product, for all the
mortgage loans covered by MI policies, of (i) the unpaid principal
balance of each mortgage loan, (ii) the MI coverage percentage, and
(iii) the existing quota share reinsurance percentage. Reinsurance
coverage percentage is 100% minus existing quota share reinsurance
through unaffiliated insurer, if any. By unpaid principal balance,
approximately 23.2% of the pool has zero quota share reinsurance,
71.8% of the pool has 30% reinsurance and 5.0% of the pool has 65%
reinsurance. The ceding insurer has purchased quota share
reinsurance from unaffiliated third parties, which provides
proportional reinsurance protection to the ceding insurer for
certain losses.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of consumer assets as the US economy
continues on the path toward normalization. Economic activity will
continue to strengthen in 2021 because of several factors,
including the rollout of vaccines, growing household consumption
and an accommodative central bank policy. However, specific sectors
and individual businesses will remain weakened by extended pandemic
related restrictions.

Moody's increased its model-derived median expected losses by 7.5%
(6.6% for the mean) and Moody's Aaa loss by 2.5% to reflect the
likely performance deterioration resulting from the slowdown in US
economic activity due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated loans, post-COVID underwriting takes
into account the impact of the pandemic on a borrower's ability to
repay the mortgage. For seasoned loans, as time passes, the
likelihood that borrowers who have continued to make payments
throughout the pandemic will now become non-cash flowing due to
COVID-19 continues to decline.

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

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

Collateral Description

The mortgage loans in the reference pool have an insurance coverage
effective date (in force date) from January 1, 2021 to May 28, 2021
(both days inclusive). The reference pool consists of 181,727
prime, fixed- and adjustable-rate, one- to four-unit, first-lien
fully-amortizing, predominantly conforming mortgage loans with a
total insured loan balance of approximately $52 billion. There are
7,285 loans (5.1% of total unpaid principal balance) which were not
underwritten through GSE guidelines. All loans in the reference
pool had a loan-to-value (LTV) ratio at origination that was
greater than 80% with a weighted average (WA) of 90.7% (by unpaid
principal balance).

By unpaid principal balance, the borrowers in the pool have a WA
FICO score of 749, a WA debt-to-income ratio of 35.1% and a WA
mortgage rate of 3.0%. The WA risk in force (MI coverage percentage
net of existing reinsurance coverage) is approximately 17% of the
reference pool unpaid principal balance.100% of insured loans were
covered by mortgage insurance at origination with 98.4% covered by
BPMI and 1.6% covered by LPMI based on risk in force.

Company Overview

MGIC is an insurance company domiciled in the State of Wisconsin.
MGIC received its initial certificate of authority from the
Wisconsin Office of the Commissioner of Insurance in March 1979.
MGIC is one of the leading private mortgage insurers in the
industry. MGIC is an approved mortgage insurer of loans purchased
by Fannie Mae and Freddie Mac, and is licensed in all 50 states,
the District of Columbia and the territories of Puerto Rico and
Guam to issue private mortgage guaranty insurance. MGIC has $251.7
billion of insurance in force as of March 31, 2021, with more than
5,000 originators and/or servicers utilized MGIC mortgage insurance
in the last 12 months. MGIC is the primary insurance subsidiary of
MGIC Investment Corporation, a Wisconsin corporation whose stock
trades on the New York Stock Exchange under the symbol "MTG". MGIC
Investment Corporation is a holding company which, through MGIC,
MGIC Indemnity Corporation and several other subsidiaries, is
principally engaged in the mortgage insurance business. MGIC is
rated Baa1 (insurance financial strength) by Moody's with stable
outlook.

Underwriting Quality

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

Most applications for mortgage insurance are submitted to MGIC
electronically, and MGIC relies upon the lender's R&Ws that the
data submitted is true and correct when MGIC makes its insurance
decisions. At present, MGIC's underwriting guidelines are broadly
consistent with those of the GSEs. MGIC accepts the underwriting
decisions made by the GSEs' underwriting systems, subject to
certain additional limitations and requirements. MGIC has overlays
to GSE underwriting requirements though immaterial.

MGIC's primary mortgage insurance policies are issued through one
of two programs. Lenders submit mortgage loans to MGIC for
insurance either through delegated underwriting or non-delegated
underwriting program. Under the delegated underwriting program,
lenders can submit loans for insurance without MGIC re-underwriting
the loan file. MGIC issues an MI commitment based on the lender's
representation that the loan meets the insurer's underwriting
requirement. Lenders eligible under this program must be
pre-approved by MGIC's risk management group and are subject to
random and targeted internal quality control (QC) reviews. In this
transaction, approximately 71.2% of the mortgage loans were
originated under a delegated underwriting program.

Under the non-delegated underwriting program, insurance coverage is
approved after underwriting by the insurer. Some customers prefer
MGIC's non-delegated program because MGIC assumes underwriting
responsibility and will not rescind coverage if it makes an
underwriting error, subject to the terms of its master policy. MGIC
seeks to ensure that loans are appropriately underwritten through
QC sampling, loan performance monitoring and training. In this
transaction, approximately 28.8% of the mortgage loans were
originated under a non-delegated underwriting program.

Overall, the share of delegated and non-delegated underwriting in
this pool is reflective of the corresponding percentage in MGIC's
overall portfolio (approximately 70% and 30%, respectively). MGIC
maintains a primary underwriting center in Milwaukee, Wisconsin,
along with geographically disbursed underwriters. Although MGIC's
employees conduct the substantial majority of its non-delegated
underwriting, from time-to-time, MGIC engages third parties to
assist with certain clerical functions.

As part of its ongoing QC processes, MGIC undertakes QC reviews of
limited samples of mortgage loans that it insures under both
delegated and non-delegated underwriting programs. Through MGIC's
quality control process, it reviews a statistically significant
sample of individual mortgages from its customers to ensure that
the loans accepted through its underwriting processes meet MGIC's
pre-determined eligibility and underwriting criteria. The QC
process allows MGIC to identify trends in lender underwriting and
origination practices, as well as to investigate underlying reasons
for delinquencies, defaults and claims within its portfolio that
are potentially attributable to insurance underwriting process
defects. The information gathered from the QC process is used by
MGIC in its ongoing policy acquisitions and is intended to prevent
continued aggregation of Policies with insurance underwriting
process defects.

Submission of Claims

Unless MGIC has directed the insured to file an accelerated claim,
the master policy requires the insured to submit a claim for loss
no later than 60 days after the earliest of (i) acquiring the
borrower's title to the related property, (ii) an approved sale or
(iii) completion of the foreclosure sale of the property.

Prior to claim payment, an investigative underwriter investigates
select claims to determine the appropriateness of the claim amount.
The insurance policy provides that MGIC can reduce or deny a claim
if the servicer did not comply with its obligations required by the
policy, including the requirement to mitigate losses through
reasonable loss mitigation efforts or, for example, diligently
pursuing a foreclosure or bankruptcy relief in a timely manner. In
addition, the master policy reserves rescission rights with respect
to fraud committed by the insured or those under its control and
certain patterns of fraud. When no issues are found, the
investigative underwriter will close the investigation case and
release the claim for final processing. Investigative underwriters
analyze the origination documentation as well as documentation from
a variety of sources and determine if there is a significant
defect.

Third-Party Review

MGIC engaged Wipro Opus Risk Solutions, LLC to perform a data
analysis and diligence review of a sampling of mortgage loans files
submitted for mortgage insurance. This review included validation
of credit qualifications, verification of presence of material
documentation as applicable to the mortgage insurance application,
updated valuation analysis and comparison, and a tape-to-file data
integrity validation to identify possible data discrepancies. There
was no compliance tested due to the nature of the review, which was
to ensure the mortgage insurance application met all applicable
company guidelines. MGIC is a mono-line mortgage insurance company
not a mortgage lender.

The size of the diligence sample was determined by the third-party
diligence provider using a 95% confidence level applied to the
total pool of 181,727 mortgage loans to be covered by the
reinsurance agreement, a 2% precision interval applied to the
confidence level and a 5% error rate applied to the final result,
with the resulting number rounded up. The diligence sample
consisted of 325 mortgage loans to be covered by the reinsurance
agreement.

The scope of the third-party review is weaker than private label
RMBS transactions because it covers only a limited sample of loans
(0.18% by total loan count in the reference pool) and only includes
credit, data and valuation. Of note, approximately 30% of the
insured loans in the reference pool are re-underwritten by the
ceding insurer via non-delegated underwriting program, which
mitigates the risk of underwriting defects. In addition, MI claims
paid will not include legal costs associated with any TRID
violations, as the loan originators will bear these costs. Since
the insured pool is predominantly GSE loans, the GSEs will also
conduct their QC review.

After taking into account the (i) third-party due diligence results
for credit and property valuation and (ii) the extent to which the
characteristics of the mortgage loans can be extrapolated from the
error rate and the extent to which such errors and discrepancies
may indicate an increased likelihood of MI losses, Moody's did not
make any further adjustments to Moody's credit enhancement.

R&Ws Framework

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

Transaction Structure

The transaction structure is very similar to other MI CRT
transactions that Moody's have rated. The ceding insurer will
retain the senior coverage level A-H, coverage level B-2 (subject
to a class B-2 reopening), and coverage level B-3 at closing. The
offered notes benefit from a sequential pay structure. The
transaction incorporates structural features such as a 12.5-year
bullet maturity and a sequential pay structure for the non-senior
tranches, resulting in a shorter expected WA life on the offered
notes.

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

Credit enhancement in this transaction is comprised of
subordination provided by mezzanine and junior tranches. The rated
Class M-1A, Class M-1B, Class M-1C, and Class M-2 offered notes
have credit enhancement levels of 5.75%, 4.55%, 3.15%, and 2.35%,
respectively. The credit risk exposure of the notes depends on the
actual MI losses incurred by the insured pool. MI losses are
allocated in a reverse sequential order starting with the coverage
level B-3H. Investment deficiency amount losses are allocated in a
reverse sequential order starting with the class B-1 notes, or
class B-2 notes if issued pursuant to a class B-2 reopening.

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

A trigger event with respect to any payment date will be in effect
if the coverage level amount of coverage level A-H for such payment
date has not been reduced to zero and either (i) the preceding
three month average of the sixty-plus delinquency amount for that
payment date equals or exceeds 75% of coverage level A-H
subordination amount or (ii) the subordinate percentage (or with
respect to the first payment date, the original subordinate
percentage) for that payment date is less than the target CE
percentage (minimum C/E test: 7.25%).

Premium Deposit Account (PDA)

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

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

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

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

Claims Consultant

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

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

SOFR benchmark rate

In this transaction, the notes' coupon is indexed to SOFR. Based on
the transaction's synthetic structure, the particular choice of
benchmark has no credit impact. Interest payments to the notes are
made from income earned on the eligible investments in the
reinsurance trust account and the coverage premium from the ceding
insurer, which prevents the notes from incurring interest
shortfalls as a result of increases in the benchmark index.

Benchmark rate fallback language

The floating rate note coupons reference SOFR which will be based
on compounded SOFR or Term SOFR, as applicable. Following the
occurrence of a benchmark transition event, a benchmark replacement
will be determined by the issuer (in consultation with the ceding
insurer), and such benchmark replacement will replace SOFR and will
be the benchmark for the next following accrual period and each
accrual period thereafter (unless and until a subsequent benchmark
transition event is determined to have occurred).

Any determination made with respect to the occurrence of a
benchmark transition event or a benchmark replacement, and any
calculation by the trustee of the applicable benchmark for an
accrual period, will be final and binding on the noteholders in the
absence of manifest error

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

Down

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

Up

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

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.


JAMESTOWN CLO XVI: Moody's Assigns Ba3 Rating to $20MM Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Jamestown CLO XVI Ltd. (the "Issuer").

Moody's rating action is as follows:

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

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

US$56,000,000 Class B Senior Secured Floating Rate Notes Due 2034,
Assigned Aa2 (sf)

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

US$23,000,000 Class D Senior Secured Deferrable Floating Rate Notes
Due 2034, Assigned Baa3 (sf)

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

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

RATINGS RATIONALE

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

Jamestown CLO XVI Ltd. is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 92.5% of the portfolio must
consist of first lien senior secured loans, cash, and eligible
investments, and up to 7.5% of the portfolio may consist of second
lien loans and unsecured loans. The portfolio is approximately 80%
ramped as of the closing date.

Investcorp Credit Management US LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets. Thereafter, the manager
may not reinvest and all proceeds received will be used to amortize
the notes in sequential order.

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

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

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

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

Par amount: $400,000,000

Diversity Score: 70

Weighted Average Rating Factor (WARF): 2792

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 46.50%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


JP MORGAN 2018-WPT: DBRS Confirms B(low) Rating on 2 Classes
------------------------------------------------------------
DBRS Limited confirmed the ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-WPT
issued by J.P. Morgan Chase Commercial Mortgage Securities Trust
2018-WPT:

-- Class A-FL at AAA (sf)
-- Class A-FX at AAA (sf)
-- Class XA-FX at AAA (sf)
-- Class B-FL at AA (low) (sf)
-- Class B-FX at AA (low) (sf)
-- Class C-FL at A (low) (sf)
-- Class C-FX at A (low) (sf)
-- Class X-FL at BBB (high) (sf)
-- Class XB-FX at BBB (high) (sf)
-- Class D-FL at BBB (sf)
-- Class D-FX at BBB (sf)
-- Class E-FL at BBB (low) (sf)
-- Class E-FX at BBB (low) (sf)
-- Class F-FL at BB (low) (sf)
-- Class F-FX at BB (low) (sf)
-- Class G-FL at B (low) (sf)
-- Class G-FX at B (low) (sf)

All trends are Stable.

The transaction has performed in line with DBRS Morningstar's
expectations since issuance. The collateral loan is secured by the
fee and leasehold interests in a portfolio of 147 properties,
comprising nearly 9.9 million square feet (sf) of office and flex
space, in four states across the United States. Built between 1972
and 2013, the portfolio includes 88 office properties (6.5 million
sf) and 59 flex buildings (3.4 million sf). Located across
Pennsylvania, Florida, Minnesota, and Arizona, the collateral
encompasses five distinct metropolitan statistical areas (MSAs) and
more than 15 submarkets. The largest concentration of portfolio
properties is found in the Philadelphia MSA with 69 properties
totaling 40.3% of the mortgage balance at issuance, followed by the
Tampa MSA (34 properties; 16.5% of the original loan balance), the
Minneapolis MSA (19 properties; 13.0% of the original loan
balance), the Phoenix MSA (14 properties; 12.9% of the original
loan balance), and the Southern Florida MSA (11 properties; 17.3%
of the original loan balance). Although none of the subject
properties are in what DBRS Morningstar would consider urban
markets, the assets are generally in dense suburban markets that
benefit from favorable accessibility and close proximity to their
respective central business districts.

At issuance, total loan proceeds of $1.3 billion ($129 per square
foot (psf)) were used to pay off $827.5 million ($84 psf) of
existing debt and an existing credit line totaling $227.6 million
($23 psf), redeem a preferred equity interest held by Square Mile
Capital Management LLC, fund upfront reserves of approximately
$32.9 million, pay initial public offering-related expenses, defer
limited partnership distribution and asset management fees, and
cover closing costs. The mortgage loan was split into (1) a
floating-rate component of approximately $255.0 million, with a
two-year initial term and three one-year extension options and (2)
a five-year fixed-rate loan totaling $1.02 billion, comprising the
$850.0 million trust balance and three companion loans totaling
$170.0 million. The companion loans were secured across three other
DBRS Morningstar-rated deals, BMARK 2018-5, BMARK 2018-6, and BMARK
2018-7, as well as a fourth deal, BMARK 2018-8, which was not rated
by DBRS Morningstar. In July 2020, the sponsor submitted an
unscheduled principal payment (curtailment) of nearly $3.0 million,
which paid down the most senior bond in the transaction, Class
A-FL, by that amount.

As of YE2020, the portfolio exhibited a physical occupancy of
86.0%, a slight decline from the 88.6% reported at issuance and
suggestive of stable performance thus far during the Coronavirus
Disease (COVID-19) pandemic. Historically, the portfolio has
exhibited stable performance through downturns, with the occupancy
rate from 88.5% to 91.6% between 2008 and 2010, amid the Great
Recession. Much of the portfolio's stable performance is
attributable to its highly granular rent roll with more than 500
tenants, none of which accounts for more than 4.2% of the total net
rentable area. The loan continues to perform in line with issuance
expectations, most recently reporting a YE2020 debt service
coverage ratio (DSCR) of 1.54 times (x), in line with the YE2019
DSCR of 1.53x. The loan was added to the servicer's watchlist in
May 2021 for its upcoming maturity in July 2021; however, the
borrower has requested to exercise the second extension option
provided in the loan documents, and the loan is expected to be
removed from the watchlist in the near term.

The loan sponsor is Workspace Property Trust, L.P., a privately
held, full-service commercial real estate company specializing in
the acquisition, development, management, and operation of office
and flex properties. Led by a management team with more than 75
years of combined real estate experience, the company acquired 39
of the assets in January 2016 and the remaining 108 assets in
October 2016. Liberty Property Trust held the subject properties
prior to Workspace's acquisitions. A portion of the portfolio was
previously securitized in the JPMCC 2016-WPT transaction.

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


JP MORGAN 2021-10: Fitch Assigns Final B+ Rating on B-5 Tranche
---------------------------------------------------------------
Fitch Ratings has assigned final ratings to JP Morgan Mortgage
Trust 2021-10 (JPMMT 2021-10).

DEBT            RATING               PRIOR
----            ------               -----
JPMMT 2021-10

A-1       LT  AAAsf  New Rating    AAA(EXP)sf
A-2       LT  AAAsf  New Rating    AAA(EXP)sf
A-3       LT  AAAsf  New Rating    AAA(EXP)sf
A-3-A     LT  AAAsf  New Rating    AAA(EXP)sf
A-3-X     LT  AAAsf  New Rating    AAA(EXP)sf
A-4       LT  AAAsf  New Rating    AAA(EXP)sf
A-4-A     LT  AAAsf  New Rating    AAA(EXP)sf
A-4-X     LT  AAAsf  New Rating    AAA(EXP)sf
A-5       LT  AAAsf  New Rating    AAA(EXP)sf
A-5-A     LT  AAAsf  New Rating    AAA(EXP)sf
A-5-B     LT  AAAsf  New Rating    AAA(EXP)sf
A-5-X     LT  AAAsf  New Rating    AAA(EXP)sf
A-6       LT  AAAsf  New Rating    AAA(EXP)sf
A-6-A     LT  AAAsf  New Rating    AAA(EXP)sf
A-6-X     LT  AAAsf  New Rating    AAA(EXP)sf
A-7       LT  AAAsf  New Rating    AAA(EXP)sf
A-7-A     LT  AAAsf  New Rating    AAA(EXP)sf
A-7-B     LT  AAAsf  New Rating    AAA(EXP)sf
A-7-X     LT  AAAsf  New Rating    AAA(EXP)sf
A-8       LT  AAAsf  New Rating    AAA(EXP)sf
A-8-A     LT  AAAsf  New Rating    AAA(EXP)sf
A-8-X     LT  AAAsf  New Rating    AAA(EXP)sf
A-9       LT  AAAsf  New Rating    AAA(EXP)sf
A-9-A     LT  AAAsf  New Rating    AAA(EXP)sf
A-9-X     LT  AAAsf  New Rating    AAA(EXP)sf
A-10      LT  AAAsf  New Rating    AAA(EXP)sf
A-10-A    LT  AAAsf  New Rating    AAA(EXP)sf
A-10-X    LT  AAAsf  New Rating    AAA(EXP)sf
A-11      LT  AAAsf  New Rating    AAA(EXP)sf
A-11-A    LT  AAAsf  New Rating    AAA(EXP)sf
A-11-AI   LT  AAAsf  New Rating    AAA(EXP)sf
A-11-B    LT  AAAsf  New Rating    AAA(EXP)sf
A-11-BI   LT  AAAsf  New Rating    AAA(EXP)sf
A-11-X    LT  AAAsf  New Rating    AAA(EXP)sf
A-12      LT  AAAsf  New Rating    AAA(EXP)sf
A-13      LT  AAAsf  New Rating    AAA(EXP)sf
A-14      LT  AAAsf  New Rating    AAA(EXP)sf
A-15      LT  AAAsf  New Rating    AAA(EXP)sf
A-16      LT  AAAsf  New Rating    AAA(EXP)sf
A-17      LT  AAAsf  New Rating    AAA(EXP)sf
A-X-1     LT  AAAsf  New Rating    AAA(EXP)sf
A-X-2     LT  AAAsf  New Rating    AAA(EXP)sf
A-X-3     LT  AAAsf  New Rating    AAA(EXP)sf
A-X-4     LT  AAAsf  New Rating    AAA(EXP)sf
B-1       LT  AA-sf  New Rating    AA-(EXP)sf
B-1-A     LT  AA-sf  New Rating    AA-(EXP)sf
B-1-X     LT  AA-sf  New Rating    AA-(EXP)sf
B-2       LT  A-sf   New Rating    A-(EXP)sf
B-2-A     LT  A-sf   New Rating    A-(EXP)sf
B-2-X     LT  A-sf   New Rating    A-(EXP)sf
B-3       LT  BBBsf  New Rating    BBB(EXP)sf
B-4       LT  BBsf   New Rating    BB(EXP)sf
B-5       LT  B+sf   New Rating    B+(EXP)sf
B-6       LT  NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Fitch rates the residential mortgage-backed certificates issued by
JP Morgan Mortgage Trust 2021-10 (JPMMT 2021-10), as indicated
above. The certificates are supported by 1,032 loans with a total
balance of approximately $1,015.86 million as of the cutoff date.
The pool consists of prime quality fixed-rate mortgages (FRMs) from
various mortgage originators. The servicers in the transaction
consists of JP Morgan Chase Bank and various other servicers.
Nationstar Mortgage LLC (Nationstar) will be the master servicer.

All of the loans qualify as either Safe Harbor Qualified Mortgages
(SHQM), Agency Safe Harbor QM loans or QM Safe Harbor Average Prime
Offer Rate (APOR) loans.

There are 208 APOR loans, or approximately 18.6% by unpaid
principal balance (UPB), all of which were originated by United
Wholesale Mortgage, LLC, Quicken Loans, Sprout Mortgage and
loanDepot under the new QM rule announced in December 2020. These
loans were not confirmed to be SH-verify loans by the third party
review (TPR) firm. Fitch views QM loans that are non-SH verify
loans as having a possible higher risk of challenges; as such,
Fitch would typically apply a penalty to these loans. For this
transaction, Fitch ran additional analyses, and the difference in
expected losses with and without a penalty was immaterial.
Therefore, no additional loss adjustments were added.

There is no exposure to LIBOR in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are fixed
rate based off of the net weighted average coupon (WAC), or
floating/inverse floating rate based off of the SOFR index, and
capped at the net WAC. This is the eighth Fitch-rated JPMMT
transaction to use SOFR as the index rate for floating/inverse
floating-rate certificates.

KEY RATING DRIVERS

High Quality Mortgage Pool (Positive): The pool consists of very
high quality, fixed-rate fully amortizing loans with maturities of
up to 30 years. All of the loans qualify as SHQM, Agency Safe
Harbor QM or QM Safe Harbor (APOR) loans. The loans were made to
borrowers with strong credit profiles, relatively low leverage and
large liquid reserves. The loans are seasoned at an average of five
months, according to Fitch (three months per the transaction
documents).

The pool has a WA original FICO score of 776 (as determined by
Fitch), which is indicative of very high credit quality borrowers.
Approximately 84.9% (as determined by Fitch) of the loans have a
borrower with an original FICO score equal to or above 750. In
addition, the original WA combined loan-to-value ratio (CLTV) of
68.3%, translating to a sustainable loan-to-value ratio (sLTV) of
75.6%, represents substantial borrower equity in the property and
reduced default risk.

A 92.9% portion of the pool comprises nonconforming loans, while
the remaining 7.1% represents conforming loans. All of the loans
are designated as QM loans, with roughly 74.8% of the pool being
originated by a retail and correspondent channel.

The pool consists of 90.9% of loans where the borrower maintains a
primary residence, while 5.7% comprises second homes. Single-family
homes including townhomes and PUD comprise 93.3% of the pool, and
condominiums make up 5.4%. Cashout refinances comprise 14.5% of the
pool, purchases comprise 35.1% of the pool and rate-term refinances
comprise 50.4% of the pool.

A total of 381 loans in the pool are over $1 million, and the
largest loan is $2.97 million.

Fitch determined that 3.4% of the loans were made to foreign
nationals/nonpermanent residents. These loans were treated as
investor-occupied to reflect the additional risk they may pose.

Geographic Concentration (Neutral): Approximately 50.0% of the pool
is concentrated in California. The largest MSA concentration is in
the San Francisco-Oakland-Fremont, CA MSA (16.2%), followed by the
Los Angeles-Long Beach-Santa Ana, CA MSA (13.5%) and the San
Jose-Sunnyvale-Santa Clara, CA MSA (8.3%). The top three MSAs
account for 38.0% 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 where the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps to maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.

CE Floor (Positive): A CE or senior subordination floor of 0.70%
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 indicate the current assumptions require
reconsideration. In response to revisions made to Fitch's
macroeconomic baseline scenario, observed actual performance data
and the unexpected development in the health crisis arising from
the advancement and availability of coronavirus vaccines, Fitch
reconsidered its application of the coronavirus-related economic
risk factor (ERF) floors of 2.0 and used ERF floors of 1.5 and 1.0
for the 'BBsf' and 'Bsf' rating stresses, respectively.

Fitch's March 2021 Global Economic Outlook and related baseline
economic scenario forecasts have been revised to 6.2% U.S. GDP
growth for 2021 and 3.3% for 2022 following a 3.5% GDP contraction
in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021
and 2022 are 5.8% and 4.7%, respectively, down from 8.1% in 2020.
These revised forecasts support Fitch reverting to the 1.5 and 1.0
ERF floors, as described in Fitch's "U.S. RMBS Loan Loss Model
Criteria."

RATING SENSITIVITIES

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, Digital Risk and Opus. The
third-party due diligence described in Form 15E focused on four
areas: compliance review, credit review, valuation review and data
integrity. Fitch considered this information in its analysis and,
as a result, Fitch did not make any adjustments to its analysis.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Clayton, Digital Risk, and Opus were engaged to perform
the review. Loans reviewed under this engagement were given
compliance, credit and valuation grades and assigned initial grades
for each subcategory. Minimal exceptions and waivers were noted in
the due diligence reports. Refer to the Third-Party Due Diligence
section for more detail.

Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
are considered comprehensive. The data contained in the ResiPLS
layout data tape were reviewed by the due diligence companies, and
no material discrepancies were noted.

ESG CONSIDERATIONS

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


JP MORGAN 2021-10: Moody's Assigns B3 Rating to Cl. B-5 Certs
-------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 53
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust (JPMMT) 2021-10. The ratings range from
Aaa (sf) to B3 (sf).

JPMMT 2021-10 is the tenth transaction in 2021 issued by J.P.
Morgan Mortgage Acquisition Corporation (JPMMAC). The credit
characteristic of the mortgage loans backing this transaction is
similar to both recent JPMMT transactions and other prime jumbo
issuers that Moody's have rated. Moody's consider the overall
servicing framework for this pool to be adequate given the
servicing arrangement of the servicers, as well as the presence of
an experienced master servicer to oversee the servicers.

JPMMT 2021-10 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
coding the cash flow, Moody's took into account the step-up
incentive servicing fee structure.

In this transaction, the Class A-11, A-11-A and A-11-B notes'
coupon is indexed to SOFR. However, based on the transaction's
structure, the particular choice of benchmark has no credit impact.
First, interest payments to the notes, including the floating rate
notes, are subject to the net WAC cap, which prevents the floating
rate notes from incurring interest shortfalls as a result of
increases in the benchmark index above the fixed rates at which the
assets bear interest. Second, the shifting-interest structure pays
all interest generated on the assets to the bonds and does not
provide for any excess spread.

Moody's base 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 review (TPR) and the
representations and warranties (R&W) framework of the transaction.

The complete rating actions are as follows:

Issuer: J.P. Morgan Mortgage Trust 2021-10

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aaa (sf)

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

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

Cl. A-4, Assigned Aaa (sf)

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

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

Cl. A-5, Assigned Aaa (sf)

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

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

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

Cl. A-6, Assigned Aaa (sf)

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

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

Cl. A-7, Assigned Aaa (sf)

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

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

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

Cl. A-8, Assigned Aaa (sf)

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

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

Cl. A-9, Assigned Aaa (sf)

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

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

Cl. A-10, Assigned Aaa (sf)

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

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

Cl. A-11, Assigned Aaa (sf)

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

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

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

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

Cl. A-11-BI*, 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-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. B-1, Assigned Aa3 (sf)

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

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

Cl. B-2, Assigned A2 (sf)

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

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

Cl. B-3, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba3 (sf)

Cl. B-5, Assigned B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Moody's expected loss for this pool in a baseline scenario-mean is
0.36%, in a baseline scenario-median is 0.21%, and reaches 3.15% at
a stress level consistent with Moody's Aaa ratings.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of US RMBS as the US economy continues on
the path toward normalization. Economic activity will continue to
strengthen in 2021 because of several factors, including the
rollout of vaccines, growing household consumption and an
accommodative central bank policy. However, specific sectors and
individual businesses will remain weakened by extended pandemic
related restrictions.

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

Moody's increased its model-derived median expected losses by
10.00% (6.27% for the mean) and Moody's Aaa loss by 2.50% to
reflect the likely performance deterioration resulting from the
slowdown in US economic activity due to the coronavirus outbreak.

These adjustments are lower than the 15% median expected loss and
5% Aaa loss adjustments Moody's made on pools from deals issued
after the onset of the pandemic until February 2021. Moody's
reduced adjustments reflect the fact that the loan pool in this
deal does not contain any loans to borrowers who are not currently
making payments. For newly originated loans, post-COVID
underwriting takes into account the impact of the pandemic on a
borrower's ability to repay the mortgage. For seasoned loans, as
time passes, the likelihood that borrowers who have continued to
make payments throughout the pandemic will now become non-cash
flowing due to COVID-19 continues to decline.

Collateral Description

Moody's assessed the collateral pool as of July 1, 2021, the
cut-off date. The deal will be backed by 1,032 fully amortizing
fixed-rate mortgage loans with an aggregate unpaid principal
balance (UPB) of $1,015,859,990 and an original term to maturity of
up to 30 years. The pool consists of prime jumbo non-conforming
(92.9% by UPB) and GSE-eligible conforming (7.1% by UPB) mortgage
loans. The GSE-eligible loans were underwritten pursuant to GSE
guidelines and were approved by DU/LP.

With the exception of 208 loans which were underwritten pursuant to
the new general QM rule, all of the mortgage loans in the aggregate
pool are QM, with the prime jumbo mortgage loans meeting the
requirements of the QM-Safe Harbor rule.

There are 208 loans originated pursuant to the new general QM rule
in this pool. The third party review verified that the loans' APRs
met the QM rule's thresholds (APOR + 1.5%). Furthermore, these
loans were underwritten and documented pursuant to the QM rule's
verification safe harbor via a mix of the Fannie Mae Single Family
Selling Guide, the Freddie Mac Single-Family Seller/Servicer Guide,
and the applicable program overlays. As part of the origination
quality review and based on the documentation information Moody's
received in the ASF tape, Moody's concluded that these loans were
fully documented and therefore, Moody's ran these loans as "full
documentation" loans in Moody's MILAN model

Overall, the pool is of strong credit quality and includes the high
credit quality of the underlying borrowers, indicated by high FICO
scores, strong reserves for prime jumbo borrowers. The WA original
FICO for the aggregate pool is 781 with a WA original CLTV of
68.3%. Compared to recent JPMMT transactions, the pool has a
smaller share of mortgages originated for purchase rather than
refinancing or debt consolidation at approximately 35.1%. The pool
also has a higher proportion of loans originated via the retail
channel (72.8%) compared to pools of previous JPMMT transactions.
Similar to previous JPMMT transactions, the pool is geographically
concentrated in metro areas in California (50.0% by UPB).

Overall, the pool is of strong credit quality and includes
borrowers with high FICO scores (weighted average primary borrower
FICO of 781), low loan-to-value ratios (WA CLTV 68.3%), high
monthly incomes (about $30,770) and substantial liquid cash
reserves (about $351,644), on a weighted-average basis,
respectively, which have been verified as part of the underwriting
process and reviewed by the TPR firms. Approximately 50.0% of the
mortgage loans (by balance) were originated in California which
includes metropolitan statistical areas (MSAs) San Francisco (16.2%
by UPB) and Los Angeles (13.5% by UPB). The high geographic
concentration in high-cost MSAs is reflected in the high average
balance of the pool ($984,360). Approximately 81.4% of the mortgage
loans are designated as safe harbor Qualified Mortgages (QM) and
meet Appendix Q to the QM rules, 18.6% of the mortgage loans are
designated as Safe Harbor APOR loans, for which mortgage loans are
not underwritten to meet Appendix Q but satisfy AUS with additional
overlays of originators.

As of the Cut-off Date, approximately 0.07% of the borrowers of the
mortgage loans have inquired about or requested forbearance plans
with the related servicer but subsequently declined to enter into
any forbearance plan with such servicer and remain current as of
the Cut-off Date. Approximately 0.07% of the borrowers of the
mortgage loans have previously entered into a COVID-19 related
forbearance plan with the related servicer (which is no longer
active). However, with respect to such mortgage loan, the related
borrower had nonetheless made all of the scheduled payments due
during the related forbearance period and was therefore never
delinquent during such period. In the event a borrower requests or
enters into a COVID-19 related forbearance plan after the Cut-off
Date but prior to the Closing Date, the mortgage loan seller will
remove such mortgage loan from the mortgage pool and remit the
related Closing Date substitution amount.

Aggregation/Origination Quality

Moody's consider JPMMAC's aggregation platform to be adequate and
Moody's did not apply a separate loss-level adjustment for
aggregation quality. In addition to reviewing JPMMAC aggregation
quality, Moody's have also reviewed the origination quality of
originator(s) contributing a significant percentage of the
collateral pool (above 10%) and MAXEX Clearing LLC (an
aggregator).

Guaranteed Rate (Guaranteed Rate Inc, Guaranteed Rate Affinity, LLC
and Proper Rate, LLC), loanDepot (loanDepot.com, LLC) and United
Wholesale Mortgage, LLC (UWM), sold/originated approximately 19.0%,
11.6% and 11.1% of the mortgage loans (by UPB) in the pool. The
remaining originators each account for less than 10.0% (by UPB) in
the pool (58.2% by UPB in the aggregate). Approximately 17.02% (by
UPB) of the mortgage loans were acquired by JPMMAC from MAXEX
Cleaning, LLC (aggregator), respectively, which purchased such
mortgage loans from the related originators or from an unaffiliated
third party which directly or indirectly purchased such mortgage
loans from the related originators.

Moody's did not make an adjustment for GSE-eligible loans, since
those loans were underwritten in accordance with GSE guidelines.
Moody's increased Moody's base case and Aaa loss expectations for
certain originators (except being neutral for Guaranteed Rate
Parties and loanDepot) of non-conforming loans where Moody's do not
have clear insight into the underwriting practices, quality control
and credit risk management.

United Wholesale Mortgage originated approximately 11.1% of the
mortgage loans by pool balance. The majority of these loans were
originated under UWM's prime jumbo program which are processed
using the Desktop Underwriter (DU) automated underwriting system,
and are therefore predominantly underwritten to Fannie Mae
guidelines. The loans receive a DU Approve Ineligible feedback due
to the 1) loan amount or 2) LTV for non-released prime jumbo
cash-out refinances is over 80%. Moody's increased its loss
expectations for UWM loans due mostly to the fact that underwriting
prime jumbo loans mainly through DU is fairly new and no
performance history has been provided to Moody's on these types of
loans. More time is needed to assess UWM's ability to consistently
produce high-quality prime jumbo residential mortgage loans under
this program.

Guaranteed Rate originated approximately 19.0% of the mortgage
loans by pool balance. Moody's consider Guaranteed Rate having an
adequate origination quality of prime jumbo loans due to (1)
adequate underwriting policies and procedures, in line with other
prime jumbo originators, (2) adequate performance history with low
repurchases and (3) solid quality control and audit processes. As a
result, Moody's did not make an origination adjustment in Moody's
analysis for Guaranteed Rate.

LoanDepot originated approximately 11.6% of the mortgage loans by
pool balance. Moody's consider loanDepot's origination quality to
be in line with its peers due to: (1) adequate underwriting
policies and procedures, (2) acceptable performance with low
delinquency and repurchase and (3) adequate quality control.
Therefore, Moody's have not made an origination adjustment for
loanDepot loans.

Servicing Arrangement

Moody's consider the overall servicing framework for this pool to
be adequate given the servicing arrangement of the servicers, as
well as the presence of an experienced master servicer. Nationstar
Mortgage LLC (Nationstar) (Nationstar Mortgage Holdings Inc.
corporate family rating B2) will act as the master servicer.

NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing (Shellpoint), United Wholesale Mortgage, LLC (subserviced
by Cenlar, FSB) and loanDepot.com, LLC (subserviced by Cenlar, FSB)
are the principal servicers in this transaction and will service
approximately 77.37%, 11.49% and 11.14% loans (by UPB) of the
mortgage, respectively. Shellpoint will act as interim servicer for
these mortgage loans from the closing date until the servicing
transfer date, which is expected to occur on or about October 1,
2021 (but which may occur after such date). After the servicing
transfer date, these mortgage loans will be serviced by JPMCB.The
servicers are required to advance P&I on the mortgage loans. To the
extent that the servicers are unable to do so, the master servicer
will be obligated to make such advances. In the event that the
master servicer, Nationstar, is unable to make such advances, the
securities administrator, Citibank, N.A. (rated Aa3) will be
obligated to do so to the extent such advance is determined by the
securities administrator to be recoverable. The servicing fee for
loans in this transaction will be predominantly based on a step-up
incentive fee structure with a monthly base fee of $40 per loan and
additional fees for delinquent or defaulted loans (fixed fee
framework servicers, which will be paid a monthly flat servicing
fee equal to one-twelfth of 0.25% of the remaining principal
balance of the mortgage loans, account for less than 1.00% of
UPB).

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.

R&W Framework

Moody's review of the R&W framework takes into account the
financial strength of the R&W providers, scope of R&Ws (including
qualifiers and sunsets) and enforcement mechanisms. JPMMT 2021-10's
R&W framework is in line with that of other JPMMT transactions
Moody's have rated where an independent reviewer is named at
closing, and costs and manner of review are clearly outlined at
issuance. The loan-level R&Ws meet or exceed the baseline set of
credit-neutral R&Ws Moody's have identified for US RMBS. The R&W
framework is "prescriptive", whereby the transaction documents set
forth detailed tests for each R&W.

The originators and the aggregators each makes a comprehensive set
of R&Ws for their loans. The creditworthiness of the R&W provider
determines the probability that the R&W provider will be available
and have the financial strength to repurchase defective loans upon
identifying a breach. JPMMAC does not backstop the originator R&Ws,
except for certain "gap" R&Ws covering the period from the date as
of which such R&W is made by an originator or an aggregator,
respectively, to the cut-off date or closing date. In this
transaction, Moody's made adjustments to Moody's base case and Aaa
loss expectations for R&W providers that are unrated and/or
financially weaker entities.

Transaction Structure

The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bonds have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order. Realized losses are allocated in a reverse sequential order,
first to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

The Class A-11, A-11-A and A-11-B Certificates will have a
pass-through rate that will vary directly with the SOFR rate and
the Class A-11-X Certificates will have a pass-through rate that
will vary inversely with the SOFR rate.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinate bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinate bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor of 0.70% of the cut-off date pool
balance, and as subordination lockout amount of 0.50% of the
cut-off date pool balance. Moody's calculate the credit neutral
floors as shown in Moody's principal methodology.

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

Down

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

Up

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

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


JP MORGAN 2021-INV2: S&P Assigns B- (sf) Rating on Class B-5 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage
Trust 2021-INV2's mortgage pass-through certificates.

The issuance is a RMBS transaction backed by first-lien, fixed-rate
fully amortizing investment property mortgage loans secured by one-
to four-family residential properties, condominiums, and
planned-unit developments to primarily prime borrowers.

The 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 for this
transaction;

-- The experienced aggregator;

-- The geographic concentration; and

-- The 100% due diligence sampling results consistent with
represented loan characteristics.

  Ratings Assigned

  J.P. Morgan Mortgage Trust 2021-INV2

  Class A-1, $391,405,000: AAA (sf)
  Class A-2, $359,650,000: AAA (sf)
  Class A-3, $302,106,000: AAA (sf)
  Class A-3-A, $302,106,000: AAA (sf)
  Class A-3-X, $302,106,000(i): AAA (sf)
  Class A-4, $226,580,000: AAA (sf)
  Class A-4-A, $226,580,000: AAA (sf)
  Class A-4-X, $226,580,000(i): AAA (sf)
  Class A-5, $75,526,000: AAA (sf)
  Class A-5-A, $75,526,000: AAA (sf)
  Class A-5-B, $75,526,000: AAA (sf)
  Class A-5-X, $75,526,000(i): AAA (sf)
  Class A-6, $184,401,000: AAA (sf)
  Class A-6-A, $184,401,000: AAA (sf)
  Class A-6-X, $184,401,000(i): AAA (sf)
  Class A-7, $117,705,000: AAA (sf)
  Class A-7-A, $117,705,000: AAA (sf)
  Class A-7-B, $117,705,000: AAA (sf)
  Class A-7-X, $117,705,000(i): AAA (sf)
  Class A-8, $42,179,000: AAA (sf)
  Class A-8-A, $42,179,000: AAA (sf)
  Class A-8-X, $42,179,000(i): AAA (sf)
  Class A-9, $19,569,000: AAA (sf)
  Class A-9-A, $19,569,000: AAA (sf)
  Class A-9-X, $19,569,000(i): AAA (sf)
  Class A-10, $55,957,000: AAA (sf)
  Class A-10-A, $55,957,000: AAA (sf)
  Class A-10-X, $55,957,000(i): AAA (sf)
  Class A-11, $57,544,000: AAA (sf)
  Class A-11-X, $57,544,000(i): AAA (sf)
  Class A-11-A, $57,544,000: AAA (sf)
  Class A-11-AI, $57,544,000(i): AAA (sf)
  Class A-11-B, $57,544,000: AAA (sf)
  Class A-11-BI, $57,544,000(i): AAA (sf)
  Class A-12, $57,544,000: AAA (sf)
  Class A-13, $57,544,000: AAA (sf)
  Class A-14, $31,755,000: AAA (sf)
  Class A-15, $31,755,000: AAA (sf)
  Class A-16, $328,780,200: AAA (sf)
  Class A-17, $62,624,800: AAA (sf)
  Class A-X-1, $391,405,000(i): AAA (sf)
  Class A-X-2, $391,405,000(i): AAA (sf)
  Class A-X-3, $57,544,000(i): AAA (sf)
  Class A-X-4, $31,755,000(i): AAA (sf)
  Class B-1, $11,848,000: AA- (sf)
  Class B-1-A, $11,848,000: AA- (sf)
  Class B-1-X, $11,848,000(i): AA- (sf)
  Class B-2, $6,982,000: A- (sf)
  Class B-2-A, $6,982,000: A- (sf)
  Class B-2-X, $6,982,000(i): A- (sf)
  Class B-3, $5,924,000: BBB- (sf)
  Class B-4, $3,385,000: BB- (sf)
  Class B-5, $1,693,000: B- (sf)
  Class B-6, $1,904,606: Not rated
  Class A-R, not applicable: Not rated

  (i)Notional balance.



JP MORGAN 2021-INV3: S&P Assigns B (sf) Rating on Class B-5 Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage
Trust 2021-INV3's mortgage pass-through certificates.

The certificate issuance is an RMBS securitization backed by
first-lien, fixed-rate, fully amortizing investment property
mortgage loans secured by one- to four-family residential
properties, condominiums, and planned-unit developments to
primarily prime borrowers.

The ratings reflect:

-- The high-quality collateral in the pool,

-- The available credit enhancement,

-- The transaction's associated structural mechanics,

-- The representation and warranty framework for this
transaction,

-- The geographic concentration,

-- The experienced aggregator, and

-- The 100% due diligence results consistent with represented loan
characteristics.

  Ratings Assigned

  J.P. Morgan Mortgage Trust 2021-INV3

  Class A-1, $347,413,000: AAA (sf)
  Class A-2, $319,763,000: AAA (sf)
  Class A-3, $239,822,000: AAA (sf)
  Class A-4, $79,941,000: AAA (sf)
  Class A-5, $27,650,000: AAA (sf)
  Class A-6, $347,413,000: AAA (sf)
  Class A-X-1, $347,413,000(i): AAA (sf)
  Class B-1, $7,712,000: AA (sf)
  Class B-2, $8,088,000: A (sf)
  Class B-3, $5,455,000: BBB (sf)
  Class B-4, $3,009,000: BB (sf)
  Class B-5, $2,445,000: B (sf)
  Class B-6, $2,069,951: Not rated
  Class A-R, not applicable: Not rated

(i)Notional balance.



JPMBB COMMERCIAL 2015-C27: DBRS Cuts Class E Certs Rating to CCC
----------------------------------------------------------------
DBRS Limited downgraded the following ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2015-C27 issued by JPMBB
Commercial Mortgage Securities Trust 2015-C27:

-- Class X-D to BBB (low) (sf) from BBB (high) (sf)
-- Class D to BB (high) (sf) from BBB (sf)
-- Class E to CCC (sf) from B (sf)

DBRS Morningstar also confirmed the ratings on the following
classes:

-- Class A-3A1 at AAA (sf)
-- Class A-3A2 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class X-C at A (sf)
-- Class C at A (low) (sf)
-- Class EC at A (low) (sf)
-- Class F at CCC (sf)

DBRS Morningstar discontinued the ratings on classes X-E and X-FG
as their reference classes are rated CCC (sf). The trends for
Classes D and X-D, are Negative, while the trends for the remaining
classes are Stable, with the exception of Classes E and F, which do
not carry a trend. The rating downgrades reflect DBRS Morningstar's
concerns with the second-largest loan in the pool, The Branson at
Fifth (Prospectus ID#3, 11.8% of the pool), as well as the largest
loan in special servicing, The Outlet Shoppes of the Bluegrass
(Prospectus ID#6, 4.6% of the pool). Class F continues to have an
Interest in Arrears designation. Class E had accumulated
outstanding interest shortfalls of $153,625, which were repaid with
the May 2021 remittance upon the return of The Branson at Fifth
loan to the master servicer.

The Branson at Fifth, secured by a mixed-use multifamily and retail
property in Midtown Manhattan, transferred to special servicing in
July 2019 when the sponsor failed to remit a $2.0 million letter of
credit into the rollover reserve account as was stipulated in the
loan documents in the event that the sole retail tenant, Domenico
Vacca, vacated its space (which it did in mid 2019). The space
remains vacant to date. After a series of legal filings by both the
borrower and the tenant (which have been resolved), a loan
modification was agreed upon in January 2021 and the loan was
brought current as of the May 2021 remittance. Terms of the loan
modification include a reduction in note interest rate to 3.0%, an
$11.0 million guaranty that can decrease by $2.0 million per year
if the loan remains current, cash management with all excess cash
flow applied toward outstanding accrued interest, and a 50%
guarantee on any unpaid accrued interest at the loan's maturity in
February 2025.

The property received an updated appraisal in December 2020, which
valued the property at $37.8 million, representing a 68.2% decline
from its issuance value of $119.0 million. Based on the loan's
current trust balance of $73.0 million, the loan-to-value is now
over 100%. Despite the loan's return to the master servicer in
April 2021, the property's significant value decline from issuance
is concerning in advance of the loan's February 2025 maturity date,
especially given the pandemic-driven effects on New York retail.
Similar to its prior review, DBRS Morningstar analyzed this loan
with a liquidation scenario, resulting in an implied loss severity
in excess of 60.0%.

The largest loan in special servicing, The Outlet Shoppes of the
Bluegrass, is secured by a 374,683-square foot upscale outlet mall
in Simpsonville, Kentucky, approximately 26 miles east of
Louisville. The sponsor for the loan is a joint venture between CBL
Properties (CBL) and Horizon Group Properties. The loan briefly
transferred to special servicing at the onset of the pandemic in
April 2020 but no payment relief was provided and the loan
transferred back to the master servicer in July 2020. The loan
again transferred to special servicing in February 2021 after CBL
filed for bankruptcy. Despite the filing, the loan has remained
current and is making all payments as agreed. As of the YE2020
financials, the loan reported a debt service coverage ratio of 1.32
times (x) on a net cash flow (NCF) of $5.9 million, a decline of
20.2% from YE2019's NCF and a 27.7% decline from the issuer's
underwritten figure of $8.2 million. Occupancy has decreased to 85%
as of March 2021 from 98% at YE2019, primarily because of the
departure of the property's largest tenant, Saks Fifth Avenue (6.6%
of net rentable area (NRA)), in January 2020. The remaining tenancy
is quite granular with no tenant comprising more than 4% of NRA.
Due to the uncertainty and risks surrounding CBL's bankruptcy
filing, DBRS Morningstar opted to increase the loan's probability
of default in this analysis.

At issuance, the transaction consisted of 44 loans at an original
trust balance of $836.5 million. According to the July 2021
remittance, 36 loans remain in the transaction at a current trust
balance of $618.6 million. There are 17 loans, representing 49.2%
of the current pool balance, on the servicer's watchlist, and two
loans, representing 6.2% of the pool, in special servicing.

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


KREF 2021-FL2: DBRS Gives Prov. B(low) Rating on 3 Classes of Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by KREF 2021-FL2 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 F-E at BB (low) (sf)
-- Class F-X at BB (low) (sf)
-- Class G at B (low) (sf)
-- Class G-E at B (low) (sf)
-- Class G-X at B (low) (sf)

All trends are Stable.

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 20 floating-rate mortgage loans
secured by 29 mostly transitional properties with a cut-off balance
totaling $1.0 billion, excluding $260.5 million of remaining future
funding commitments and $1.8 billion of pari passu debt. One loan,
727 West Madison, representing 7.3% of the initial pool balance, is
contributing both senior and mezzanine loan components that will
both be held in the trust. The transaction is structured with a
24-month Reinvestment Period whereby the Issuer may acquire
Companion Participations in either the form of a mortgage loan, a
combination of a mortgage loan and a related mezzanine loan, or a
fully-funded pari passu participation. Companion Participations in
the form of a combination of a mortgage loan and related mezzanine
loan are designated for 727 West Madison (#1), Glenn Gardens (#14),
and Portofino Place (#16). In addition, the transaction is
structured with a Replenishment Period, which begins the first day
after the Reinvestment Period and ends on the earlier of the date
the Issuer acquired 10% of the cut-off balance after the
Reinvestment Period or the sixth payment date after the
Reinvestment Period. Any Companion Participation acquired during
either the Reinvestment or Replenishment Periods is subject to
Eligibility Criteria that, among other criteria, includes a no
downgrade rating agency confirmation (RAC) by DBRS Morningstar for
all new mortgage assets and funded Companion Participations
exceeding $5.0 million. The Issuer is not required to obtain RAC
for acquisitions of Companion Participations less than $5.0
million.

The loans are mostly secured by cash flowing assets, many of which
are in a period of transition with plans to stabilize and improve
the asset value. In total, 13 loans, representing 67.9% of the
pool, have remaining future funding participations totaling $260.5
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 debt service
payments were measured against the DBRS Morningstar As-Is Net Cash
Flow (NCF), 14 loans, comprising 70.1% of the pool, had a DBRS
Morningstar As-Is Debt Service Coverage Ratio (DSCR) below 1.00
times (x), a threshold indicative of elevated default risk.
However, the DBRS Morningstar Stabilized DSCRs for only three
loans, representing 16.9% 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
structural features in place are insufficient to support such
treatment. Furthermore, even with the structure provided, DBRS
Morningstar generally does not assume the assets to stabilize above
market levels.

Ten loans, representing a very high 47.4% of the pool, are in areas
with a DBRS Morningstar Market Rank of 7 or 8, which are generally
characterized as highly dense urbanized areas that benefit from
increased liquidity driven by consistently strong investor demand,
even during times of economic stress. Market Ranks 7 and 8 benefit
from lower default frequencies than less dense suburban, tertiary,
and rural markets. Urban markets represented in the deal include
Boston, Chicago, Minneapolis, New York City, Los Angeles,
Philadelphia, Seattle, and Washington, D.C.

Seven loans, representing 33.5% of the pool balance, have
collateral in metropolitan statistical area (MSA) Group 3, which is
the best-performing group in terms of historical commercial
mortgage-backed securities (CMBS) default rates among the top 25
MSAs. MSA Group 3 has a historical default rate of 17.2%, which is
nearly 10.8 percentage points lower than the overall CMBS
historical default rate of 28.0%.

The ongoing coronavirus pandemic continues to pose challenges and
risks to the commercial real estate sector, and the long-term
effects on the general economy and consumer sentiment are still
unclear. 13 loans, representing 62.9% of the initial pool balance,
were originated prior to the onset of the pandemic. All loans
include timely property performance reports and recently completed
third-party reports, including appraisals. Six loans, representing
35.4% of the pool, are secured by newly built or recently renovated
properties with relatively simple business plans, which primarily
involve the completion of an initial lease-up phase. The sponsors
behind these assets are using the loans as traditional bridge
financing, enabling them to secure more permanent financing once
the properties reach stabilized operations. Given the uncertainty
and elevated execution risk stemming from the coronavirus pandemic,
11 loans, representing 59.6% of the initial pool balance, are
structured with upfront interest and/or carry reserves, some of
which are expected to cover one year or more of interest
shortfalls. Additionally, seven loans, representing 37.1% of the
initial pool balance, are structured with springing interest and/or
carry reserves.

Based on the initial pool balances, the overall weighted-average
(WA) DBRS Morningstar As-Is DSCR of 0.80x and WA DBRS Morningstar
As-Is Loan-to-Value (LTV) of 78.4% 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 severity given default
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 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 does not
account 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 sponsor's business plan has been implemented.

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


NORTHWOODS CAPITAL 25: Moody's Gives (P)Ba3 Rating to Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by Northwoods Capital 25, Limited
(the "Issuer" or "Northwoods 25").

Moody's rating action is as follows:

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

US$44,500,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)

US$7,500,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Assigned (P)Aa2 (sf)

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

US$26,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

US$22,200,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)Ba3 (sf)

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

RATINGS RATIONALE

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

Northwoods 25 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 up to 10% of the portfolio may consist of
non senior secured loans. Moody's expect the portfolio to be
approximately 95% ramped as of the closing date.

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

In addition to the Rated Notes, the Issuer will issue Class Y 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: $400,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2890

Weighted Average Spread (WAS): 3.25%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


NORTHWOODS CAPITAL 25: Moody's Gives Ba3 Rating to $22.2MM E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Northwoods Capital 25, Limited (the "Issuer" or
"Northwoods 25").

Moody's rating action is as follows:

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

US$44,500,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

US$7,500,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Definitive Rating Assigned Aa2 (sf)

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

US$26,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Baa3 (sf)

US$22,200,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Definitive Rating Assigned Ba3 (sf)

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

Northwoods 25 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 up to 10% of the portfolio may consist of
non senior secured loans. The portfolio is approximately 95% ramped
as of the closing date.

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

In addition to the Rated Notes, the Issuer issued Class Y 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: $400,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2890

Weighted Average Spread (WAS): 3.25%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


OBX 2021-J2: DBRS Gives Prov. B Rating on Class B-5 Notes
---------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings to the
Mortgage-Backed Notes, Series 2021-J2 to be issued by OBX 2021-J2
Trust (OBX 2021-J2):

-- $325.1 million Class A-1 at AAA (sf)
-- $325.1 million Class A-2 at AAA (sf)
-- $325.1 million Class A-3 at AAA (sf)
-- $243.8 million Class A-4 at AAA (sf)
-- $243.8 million Class A-5 at AAA (sf)
-- $243.8 million Class A-6 at AAA (sf)
-- $81.3 million Class A-7 at AAA (sf)
-- $81.3 million Class A-8 at AAA (sf)
-- $81.3 million Class A-9 at AAA (sf)
-- $260.1 million Class A-10 at AAA (sf)
-- $260.1 million Class A-11 at AAA (sf)
-- $260.1 million Class A-12 at AAA (sf)
-- $65.0 million Class A-13 at AAA (sf)
-- $65.0 million Class A-14 at AAA (sf)
-- $65.0 million Class A-15 at AAA (sf)
-- $16.3 million Class A-16 at AAA (sf)
-- $16.3 million Class A-17 at AAA (sf)
-- $16.3 million Class A-18 at AAA (sf)
-- $44.0 million Class A-19 at AAA (sf)
-- $44.0 million Class A-20 at AAA (sf)
-- $44.0 million Class A-21 at AAA (sf)
-- $369.1 million Class A-22 at AAA (sf)
-- $369.1 million Class A-23 at AAA (sf)
-- $369.1 million Class A-24 at AAA (sf)
-- $369.1 million Class A-X-1 at AAA (sf)
-- $325.1 million Class A-X-2 at AAA (sf)
-- $325.1 million Class A-X-3 at AAA (sf)
-- $325.1 million Class A-X-4 at AAA (sf)
-- $243.8 million Class A-X-5 at AAA (sf)
-- $243.8 million Class A-X-6 at AAA (sf)
-- $243.8 million Class A-X-7 at AAA (sf)
-- $81.3 million Class A-X-8 at AAA (sf)
-- $81.3 million Class A-X-9 at AAA (sf)
-- $81.3 million Class A-X-10 at AAA (sf)
-- $260.1 million Class A-X-11 at AAA (sf)
-- $260.1 million Class A-X-12 at AAA (sf)
-- $260.1 million Class A-X-13 at AAA (sf)
-- $65.0 million Class A-X-14 at AAA (sf)
-- $65.0 million Class A-X-15 at AAA (sf)
-- $65.0 million Class A-X-16 at AAA (sf)
-- $16.3 million Class A-X-17 at AAA (sf)
-- $16.3 million Class A-X-18 at AAA (sf)
-- $16.3 million Class A-X-19 at AAA (sf)
-- $44.0 million Class A-X-20 at AAA (sf)
-- $44.0 million Class A-X-21 at AAA (sf)
-- $44.0 million Class A-X-22 at AAA (sf)
-- $369.1 million Class A-X-23 at AAA (sf)
-- $369.1 million Class A-X-24 at AAA (sf)
-- $369.1 million Class A-X-25 at AAA (sf)
-- $3.8 million Class B-1A at AA (sf)
-- $3.8 million Class B-X-1 at AA (sf)
-- $3.8 million Class B-1 at AA (sf)
-- $5.2 million Class B-2A at A (sf)
-- $5.2 million Class B-X-2 at A (sf)
-- $5.2 million Class B-2 at A (sf)
-- $1.5 million Class B-3 at BBB (sf)
-- $1.1 million Class B-4 at BB (sf)
-- $574.0 thousand Class B-5 at B (sf)

Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24,
A-X-25, B-X-1, and B-X-2 are interest-only notes. The class balance
represents notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12,
A-13, A-14, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-X-2, A-X-3,
A-X-4, A-X-5, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14,
A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, B-1, and B-2 are
exchangeable notes. These classes can be exchanged for combinations
of initial exchangeable notes as specified in the offering
documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, and A-18 are super senior
notes. These classes benefit from additional protection from senior
support notes (Classes A-19, A-20, and A-21) with respect to loss
allocation.

The AAA (sf) ratings on the Notes reflect 3.50% of credit
enhancement provided by subordinated notes. The AA (sf), A (sf),
BBB (sf), BB (sf), and B (sf) ratings reflect 2.50%, 1.15%, 0.75%,
0.45%, and 0.30% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien, fixed-rate, prime
residential mortgages funded by the issuance of the Notes. The
Notes are backed by 377 loans with a total principal balance of
$382,482,549 as of the Cut-Off Date (July 1, 2021).

The originators for the aggregate mortgage pool are Guaranteed
Rate, Inc. (27.6%), Guaranteed Rate Affinity, LLC (7.3%), and
Proper Rate, LLC (0.6%) (collectively known as Guaranteed Rate
Companies); Guild Mortgage Company LLC (Guild; 11.4%); PrimeLending
(10.7%); Commerce Home Mortgage, LLC (10.0%); and various other
originators, each comprising no more than 10% of the pool by
principal balance. On the Closing Date, the Seller, Onslow Bay
Financial LLC, will acquire the mortgage loans from Bank of
America, N.A. (BANA; rated AA (low) with a Stable trend and R-1
(middle) with a Stable trend by DBRS Morningstar).

Through bulk purchases, BANA generally acquired the mortgage loans
underwritten to

-- Its jumbo whole loan acquisition guidelines (98.55%), or
-- The related originator's guidelines (1.45%).

DBRS Morningstar conducted an operational risk assessment on BANA's
aggregator platform, as well as certain originators, and deemed
them acceptable.

NewRez LLC doing business as Shellpoint Mortgage Servicing will
service 100% of the mortgage loans, directly or through
subservicers. Wells Fargo Bank, N.A. (rated AA with a Negative
trend and R-1 (high) with a Negative trend by DBRS Morningstar)
will act as Master Servicer, Paying Agent, Note Registrar, and
Custodian. Wilmington Savings Fund Society, FSB will serve as
Indenture Trustee and Owner Trustee.

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

No loans in this transaction, as permitted by the Coronavirus Aid,
Relief, and Economic Security Act, signed into law on March 27,
2020, had been granted forbearance plans because the borrowers
reported financial hardship related to the Coronavirus Disease
(COVID-19) pandemic.

Coronavirus Pandemic Impact

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

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

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



OBX TRUST 2021-J2: Moody's Assigns B2 Rating to Class B-5 Certs
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
fifty-eight classes of residential mortgage-backed securities
(RMBS) issued by OBX 2021-J2 Trust. The ratings range from Aaa (sf)
to B2 (sf).

This transaction represents the second prime jumbo issuance by
Onslow Bay Financial LLC (the sponsor). The transaction includes
377 fixed rate, first lien mortgages with an aggregate loan balance
of approximately $382,482,549. The pool consists of 100% non
-conforming mortgage loans. The mortgage loans for this transaction
have been acquired by the sponsor and the seller, Onslow Bay
Financial LLC, from Bank of America, National Association (BANA).
BANA acquired the mortgage loans through its whole loan purchase
program from various originators. Approximately, 98.5% of the loans
in the pool were underwritten to the OBX 2021-J2 Trust acquisition
criteria, and the remaining 1.5% were underwritten to loanDepot's
guidelines. All the loans are designated as safe harbor qualified
mortgages (QM) and meet Appendix Q to the QM rules. Shellpoint
Mortgage Servicing (SMS) will service the loans and Wells Fargo
Bank, N.A. (Aa2) will be the master servicer. SMS will be
responsible for advancing principal and interest and other
corporate advances, with the master servicer backing up SMS'
advancing obligations if SMS cannot fulfill them.

Three third-party review (TPR) firms verified the accuracy of the
loan level information that Moody's received from the sponsor.
These firms conducted detailed credit, property valuation, data
accuracy and compliance reviews on 100% of the mortgage loans in
the collateral pool. The TPR results indicate that there are no
material compliance, credit, or data issues. One loan has a final
valuation grade of C because the original appraised value could not
be supported within a negative 10% variance by the TPR firm.
Moody's did not make any adjustments because this loan represents a
small portion of the overall pool and had strong credit
characteristics such as high credit score, low DTI and significant
liquid cash reserves.

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.

OBX 2021-J2 Trust has a shifting interest structure in which
subordinates will receive no unscheduled principal payment
(prepayment) during the first five years, which protects and
accelerates the pay-down of the senior classes and therefore
protects the senior classes from losses. The transaction also has a
senior subordination floor and a subordination lockout percentage,
which accelerates the pay-down of the senior and senior subordinate
classes if losses exceed certain thresholds.

The complete rating actions are as follows:

Issuer: OBX 2021-J2 Trust

Cl. A-1, Assigned Aaa (sf)

Cl. A-2, Assigned Aaa (sf)

Cl. A-3, Assigned Aaa (sf)

Cl. A-4, Assigned Aaa (sf)

Cl. A-5, Assigned Aaa (sf)

Cl. A-6, Assigned Aaa (sf)

Cl. A-7, Assigned Aaa (sf)

Cl. A-8, Assigned Aaa (sf)

Cl. A-9, Assigned Aaa (sf)

Cl. A-10, Assigned Aaa (sf)

Cl. A-11, Assigned Aaa (sf)

Cl. A-12, Assigned Aaa (sf)

Cl. A-13, Assigned Aaa (sf)

Cl. A-14, Assigned Aaa (sf)

Cl. A-15, Assigned Aaa (sf)

Cl. A-16, Assigned Aaa (sf)

Cl. A-17, Assigned Aaa (sf)

Cl. A-18, Assigned Aaa (sf)

Cl. A-19, Assigned Aa1 (sf)

Cl. A-20, Assigned Aa1 (sf)

Cl. A-21, Assigned Aa1 (sf)

Cl. A-22, Assigned Aaa (sf)

Cl. A-23, Assigned Aaa (sf)

Cl. A-24, 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 Aa1 (sf)

Cl. A-X-21*, Assigned Aa1 (sf)

Cl. A-X-22*, Assigned Aa1 (sf)

Cl. A-X-23*, Assigned Aaa (sf)

Cl. A-X-24*, Assigned Aaa (sf)

Cl. A-X-25*, 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 A3 (sf)

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

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

Cl. B-3, Assigned Baa3 (sf)

Cl. B-4, Assigned Ba2 (sf)

Cl. B-5, Assigned B2 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.24%
at the mean, 0.12% at the median, and reaches 2.37% at a stress
level consistent with Moody's Aaa ratings.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of consumer assets as the US economy
continues on the path toward normalization. Economic activity will
continue to strengthen in 2021 because of several factors,
including the rollout of vaccines, growing household consumption
and an accommodative central bank policy. However, specific sectors
and individual businesses will remain weakened by extended pandemic
related restrictions. Moody's regard the coronavirus outbreak as a
social risk under its ESG framework, given the substantial
implications for public health and safety.

Moody's increased its model-derived median expected losses by 10.0%
(6.0% for the mean) and Moody's Aaa losses by 2.5% to reflect the
likely performance deterioration resulting from a slowdown in US
economic activity in 2020 due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated loans, post-COVID underwriting takes
into account the impact of the pandemic on a borrower's ability to
repay the mortgage. For seasoned loans, as time passes, the
likelihood that borrowers who have continued to make payments
throughout the pandemic will now become non-cash flowing due to
COVID-19 continues to decline.

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

Collateral Description

Moody's assessed the collateral pool as of the cut-off date of July
1, 2021. OBX 2021-J2 Trust is a securitization of 377 prime
residential mortgage loans with an aggregate principal balance of
approximately $382,482,549. The pool comprises 377 30-year fixed
rate mortgages.

Overall, the credit quality of the mortgage loans backing this
transaction is similar to recently-issued prime jumbo transactions.
The WA FICO for the aggregate pool is 781 with a WA LTV of 62.5%
and WA CLTV of 62.7%. Approximately 12.2% (by loan balance) of the
pool has a LTV ratio greater than 75%. High LTV loans generally
have a higher probability of default and higher loss severity
compared to lower LTV loans. There is no loan in the pool having
LTV greater than 80%.

Exterior-only appraisals: In response to the COVID-19 national
emergency, many originators/aggregators have temporarily
transitioned to allowing exterior-only appraisals, instead of a
full interior and exterior inspection of the subject property, on
many mortgage transactions. There are 6 loans in the pool, 1.6% by
aggregate loan balance, that do not have a full appraisal that
includes an exterior and an interior inspection of the property.
Instead, these loans have an exterior-only appraisal. Moody's did
not make any adjustments to Moody's losses for such loans primarily
because of strong credit characteristics such as high FICO score,
low LTV and DTI ratios, and significant liquid cash reserves and
because such loans comprise a de minimis percentage of loan pool,
by loan balance. In addition, none of these borrowers have any
prior history of delinquency.

Loans with delinquency and forbearance history: As of the cut-off
date, no borrower under any mortgage loan is currently in an active
COVID-19 related forbearance plan. None of the borrowers have
previously entered into a COVID-19 related forbearance plan. In the
event that after the cut-off date a borrower enters into or
requests an active COVID-19 related forbearance plan, such loan
will remain in the mortgage pool and the servicer will be required
to make advances in respect of delinquent interest and principal
(as well as other servicing advances) on such mortgage loan during
the forbearance period (to the extent such advances are deemed
recoverable) and the loan will be considered delinquent for all
purposes under the transaction documents. There were six borrowers
reported with recent 30-day delinquency, which were due to borrower
confusion under servicing transfer.

Origination Quality and Underwriting Guidelines

There are 12 originators in the transaction. The largest
originators in the pool with more than 10% by loan balance are
Guaranteed Rate, Inc. (27.6%), Guild Mortgage Company LLC (11.4%),
PrimeLending (10.7%) and Commerce Home Mortgage, LLC (10.0%). The
seller, Onslow Bay Financial LLC, acquired the mortgage loans from
Bank of America, National Association (BANA). As of the cut-off
date, approximately 98.5% of the mortgage loans (by loan balance)
were acquired by BANA from various mortgage loan originators or
sellers through Bank of America whole loan purchase program, and
the remaining 1.5% were underwritten to loanDepot's guidelines.
These mortgage loans have principal balances in excess of the
requirements for purchase by Fannie Mae and Freddie Mac (i.e.100%
of the loans in the pool are prime jumbo loans) and were generally
acquired pursuant to the OBX 2021J2 Trust acquisition criteria. In
addition, approximately 1.5% of the mortgage loans (by loan
balance) were acquired by BANA but originated pursuant to the
guidelines of loanDepot. The OBX 2021-J2 Trust acquisition criteria
does not apply to the eligibility criteria, underwriting, or
origination or acquisition of these mortgage loans.

Moody's increased its base case and Aaa loss expectations for all
loans underwritten to the OBX 2021-J2 Trust acquisition criteria,
which include loans originated by Guaranteed Rate, Inc., Guild
Mortgage Company LLC, PrimeLending and Commerce Home Mortgage, LLC,
because Moody's do not have performance available for the jumbo
loans underwritten to OBX 2021-J2 Trust acquisition criteria and
securitized through OBX platform, and Moody's have been considering
such mortgage loans to have been acquired to slightly less
conservative prime jumbo underwriting standards. Moody's did not
make any adjustments to Moody's loss levels for loans originated by
loanDepot as these loans were underwritten to its own guidelines.
Moody's considered loanDepot's performance history and risk
management as adequate.

Servicing arrangement

Shellpoint Mortgage Servicing (SMS) will service all the mortgage
loans in the transaction. Wells Fargo Bank, N.A. (Wells Fargo) will
serve as the master servicer.

Shellpoint is generally obligated to fund monthly advances of cash
(to the extent such advances are deemed recoverable) and to make
interest payments to compensate in part for any shortfall in
interest payments due to prepayment of the mortgage loans. The
master servicer will monitor the performance of the servicer and
will be obligated to fund any required advance and interest
shortfall payments if a servicer fails in its obligation to do
so.As of the cut-off date, no borrower under any mortgage loan is
currently in an active COVID-19 related forbearance plan with the
servicer. None of the borrowers of the mortgage loans (by aggregate
loan balance as of the cut-off date) have previously entered into a
COVID-19 related forbearance plan with the servicer. In the event
that after the cut-off date a borrower enters into or requests an
active COVID-19 related forbearance plan, such mortgage loan will
remain in the mortgage pool and the servicer will be required to
make advances in respect of delinquent interest and principal (as
well as other servicing advances) on such mortgage loan during the
forbearance period (to the extent such advances are deemed
recoverable) and the mortgage loan will be considered delinquent
for all purposes under the transaction documents. At the end of the
forbearance period, as with any other modification, to the extent
the related borrower is not able to make a lump sum payment of the
forborne amount, the servicer may, subject to the servicing matrix,
offer the borrower a repayment plan, enter into a modification with
the borrower (including a modification to defer the forborne
amounts) or utilize any other loss mitigation option permitted
under the pooling and servicing agreement.

Wells Fargo provides oversight of the servicer. Moody's consider
the presence of a strong master servicer to be a mitigant for any
servicing disruptions. Moody's evaluation of Wells Fargo as a
master servicer takes into account the bank's strong reporting and
remittance procedures, servicer compliance and monitoring
capabilities and servicing stability. Wells Fargo's oversight
encompasses loan administration, default administration, compliance
and cash management.

Third Party Review

Three independent third party review (TPR) firms, Clayton Services
LLC (Clayton), Wipro Opus Risk Solutions, LLC (Opus), and
Consolidated Analytics, Inc. (Consolidated Analytics), reviewed
100% of the loans in this transaction for credit, regulatory
compliance, appraisal, and data integrity. The TPR results indicate
that the majority of reviewed loans were in compliance with
respective originators' underwriting guidelines, no material
compliance or data issues, and no appraisal defects.

For property valuation, the TPR firms identified all loans as
either A ,B or C level grades. There were 8 loans with B grades for
appraisal review and majority of these B grades were due to
exterior-only appraisals done instead of a full appraisal. There
was 1 loan with C grade because the original appraised value could
not be supported within a negative 10% variance by the TPR firm.
Moody's did not make any adjustments because this loan represents a
small portion of the overall pool and had strong credit
characteristics such as high credit score, low DTI and significant
liquid cash reserves.

For credit review, the TPR firms identified mostly A and B level
grades in its review, with no C or D level grades. The credit
exceptions had documented compensating factors such as high FICOs,
low LTVs, low DTIs, high reserves, and long stable employment
history.

For compliance review, the TPR firms identified mostly A and B
level grades in its review, with no C or D level grades. The
identified compliance exceptions were primarily related to
incorrect Right of Rescission form used and missing affiliated
business disclosures. Moody's did not make any adjustments to
Moody's credit enhancement due to regulatory compliance issues
because Moody's did not view the compliance exceptions as
material.

Representations and Warranties Framework

Each originator will provide comprehensive loan level reps and
warranties for their respective loans. BANA will assign each
originator's R&W to the seller, who will in turn assign to the
depositor, which will assign to the trust. To mitigate the
potential concerns regarding the originators' ability to meet their
respective R&W obligations, Onslow Bay Financial LLC (the seller)
will backstop the R&Ws for all originator's loans. The R&W
provider's obligation to backstop third party R&Ws will terminate 5
years after the closing date, subject to certain performance
conditions. The R&W provider will also provide the gap reps.
Moody's considered the R&W framework in Moody's analysis and found
it to be adequate. Moody's therefore did not make any adjustments
to Moody's losses based on the strength of the R&W framework.

The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give us a clear
indication that the loans do not breach the R&Ws the originators
have made and that the originators are unlikely to face any
material repurchase requests in the future. The loan-level R&Ws are
strong and, in general, either meet or exceed the baseline set of
credit-neutral R&Ws Moody's identified for US RMBS.

Among other considerations, the R&Ws address property valuation,
underwriting, fraud, data accuracy, regulatory compliance, the
presence of title and hazard insurance, the absence of material
property damage, and the enforceability of the mortgage.

In a continued effort to focus breach reviews on loans that are
more likely to contain origination defects that led to or
contributed to the delinquency of the loan, an additional carve out
has been in recent transactions Moody's have rated from other
issuers relating to the delinquency review trigger. Similarly, in
this transaction, exceptions exist for certain excluded disaster
mortgage loans that trip the delinquency trigger. These excluded
disaster loans include COVID-19 forbearance loans.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.25% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 1.25% of the cut-off pool
balance.

Other Considerations

In OBX 2021-J2 Trust, the controlling holder has the option to hire
at its own expense the independent reviewer upon the occurrence of
a review event. If there is no controlling holder (no single entity
holds a majority of the Class Principal Amount of the most
subordinate class of certificates outstanding), the trustee shall,
upon receipt of a direction of the certificate holders of more than
25% of the aggregate voting interest of all certificates and upon
receipt of the deposit, appoint an independent reviewer at a cost
to the trust. However, if the controlling holder does not hire the
independent reviewer, the holders of more than 50% of the aggregate
voting interests of all outstanding certificates may direct (at
their expense) the trustee to appoint an independent reviewer. In
this transaction, the controlling holder can be the depositor or a
seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, seller or Sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.

The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five business days in advance of the foreclosure
and the controlling holder has not objected to such action. If the
controlling holder objects, the servicer has to obtain three
appraisals from the appraisal firms as listed in the pooling and
servicing agreement. The cost of the appraisals is borne by the
controlling holder. The controlling holder will be required to
purchase such mortgage loan at a price equal to the highest of the
three appraisals plus accrued and unpaid interest on such mortgage
loan as of the purchase date. If the servicer cannot obtain three
appraisals there are alternate methods for determining the purchase
price. If the controlling holder fails to purchase the mortgage
loan within the time frame, the controlling holder forfeits any
foreclosure rights thereafter. Moody's consider this credit neutral
because a) the appraiser is chosen by the servicer from the
approved list of appraisers, b) the fair value of the property is
decided by the servicer, based on third party appraisals, and c)
the controlling holder will pay the fair price and accrued
interest.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


PALMER SQUARE 2021-3: Moody's Assigns Ba3 Rating to $10MM E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Palmer Square Loan Funding 2021-3, Ltd. (the
"Issuer" or "Palmer Square 2021-3").

Moody's rating action is as follows:

US$680,000,000 Class A-1 Senior Secured Floating Rate Notes due
2029, Assigned Aaa (sf)

US$120,000,000 Class A-2 Senior Secured Floating Rate Notes due
2029, Assigned Aa1 (sf)

US$60,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2029, Assigned A2 (sf)

US$35,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029, Assigned Baa2 (sf)

US$35,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2029, Assigned Ba2 (sf)

US$10,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2029, 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.

Palmer Square 2021-3 is a cash flow static CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. The portfolio is approximately 100% ramped
as of the closing date.

Palmer Square Capital Management LLC (the "Servicer") may engage in
disposition of the assets on behalf of the Issuer during the life
of the transaction. Reinvestment is not permitted and all sale and
unscheduled principal proceeds received will be used to amortize
the notes in sequential order.

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

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

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

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

Par amount: $1,000,000,000

Diversity Score: 84

Weighted Average Rating Factor (WARF): 2600

Weighted Average Spread (WAS): 3.26% (actual spread vector of the
portfolio)

Weighted Average Recovery Rate (WARR): 48.38%

Weighted Average Life (WAL): 5.2 years (actual amortization vector
of the portfolio)

Methodology Underlying the Rating Action:

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

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

The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change.


PROGRESS RESIDENTIAL 2021-SFR7: DBRS Gives B Rating on G Certs
--------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Single-Family Rental Pass-Through Certificates to be issued by
Progress Residential 2021-SFR7 Trust (PROG 2021-SFR7):

-- $129.0 million Class A at AAA (sf)
-- $40.4 million Class B at AA (high) (sf)
-- $19.2 million Class C at A (high) (sf)
-- $22.1 million Class D at A (low) (sf)
-- $35.6 million Class E-1 at BBB (sf)
-- $16.4 million Class E-2 at BBB (low) (sf)
-- $56.8 million Class F at BB (low) (sf)
-- $17.3 million Class G at B (sf)

The AAA (sf) rating on the Class A Certificates reflects 64.7% of
credit enhancement provided by subordinated notes in the pool. The
AA (high) (sf), A (high) (sf), A (low) (sf), BBB (sf), BBB (low)
(sf), BB (low) (sf), and B (sf) ratings reflect 53.7%, 48.4%,
42.4%, 32.6%, 28.2%, 12.6%, and 7.9% credit enhancement,
respectively.

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

PROG 2021-SFR7's 1,414 properties are in nine states, with the
largest concentration by broker price opinion value in Florida
(25.6%). The largest metropolitan statistical area (MSA) by value
is Phoenix (21.3%), followed by Atlanta (16.8%). The geographic
concentration dictates the home-price stresses applied to the
portfolio and the resulting market value decline (MVD). The MVD at
the AAA (sf) rating level for this deal is 57.6%. PROG 2021-SFR7
has properties from 15 MSAs, many of which experienced dramatic
home price index declines in the housing crisis of 2008.

DBRS Morningstar assigned the provisional ratings for each class of
certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses DBRS
Morningstar's single-family rental subordination model and is based
on DBRS Morningstar's published criteria. DBRS Morningstar
developed property-level stresses for the analysis of single-family
rental assets. DBRS Morningstar's analysis includes estimated
base-case net cash flows (NCFs) by evaluating the gross rent,
concession, vacancy, operating expenses, and capital expenditure
data. The DBRS Morningstar NCF analysis resulted in a minimum debt
service coverage ratio of higher than 1.0 times.

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



RCKT MORTGAGE 2021-3: Moody's Assigns B3 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 52
classes of residential mortgage-backed securities (RMBS) issued by
RCKT Mortgage Trust 2021-3 (RCKT 2021-3). The ratings range from
Aaa (sf) to B3 (sf).

RCKT 2021-3 is a securitization of prime jumbo mortgage loans
originated and serviced by Quicken Loans, LLC (Rocket Mortgage,
rated Ba1 with Positive outlook). The transaction is backed by 597
first-lien, fully amortizing, 30-year fixed-rate qualified mortgage
(QM) loans, with an aggregate unpaid principal balance (UPB) of
$557,429,263. The average stated principal balance is $933,717.

100% of the collateral pool comprises prime jumbo mortgage loans
underwritten to Quicken Loans' Jumbo Smart prime jumbo underwriting
standards. The underwriting incorporates the new QM rule that
replaces the strict 43% debt-to-income (DTI) ratio basis for the
general QM with an annual percentage rate (APR) limit, while still
requiring the consideration of the DTI ratio or residual income
(the new general QM rule).

The transaction is sponsored by Woodward Capital Management LLC, a
wholly owned subsidiary of RKT Holdings, LLC (RKT Holdings). Rocket
Companies, Inc. (NYSE: RKT), is the sole managing member and an
owner of equity interests in RKT Holdings. This will be the third
issuance from RCKT Mortgage Trust in 2021 and the fourth
transaction for which Quicken Loans, LLC (wholly owned subsidiary
of RKT Holdings) is the sole originator and servicer. There is no
master servicer in this transaction. Citibank, N.A. (Citibank,
rated Aa3) will be the securities administrator and Wilmington
Savings Fund Society, FSB will be the trustee.

Transaction credit strengths include the high credit quality of the
collateral pool, the strong third-party review (TPR) results for
credit and compliance, and the prescriptive and unambiguous
representations & warranties (R&W) framework. Transaction credit
weaknesses include weaker property valuation review and having no
master servicer to oversee the primary servicer, unlike typical
prime jumbo transactions Moody's have rated.

In this transaction, the Class A-21 coupon is indexed to SOFR.
However, based on the transaction's structure, the particular
choice of benchmark has no credit impact. First, interest payments
to the notes, including the floating rate notes, are subject to the
net WAC cap, which prevents the floating rate notes from incurring
interest shortfalls as a result of increases in the benchmark index
above the fixed rates at which the assets bear interest. Second,
the shifting-interest structure pays all interest generated on the
assets to the bonds and does not provide for any excess spread.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's also compared the
collateral pool to other prime jumbo securitizations and adjusted
Moody's expected losses based on qualitative attributes, including
the financial strength of the R&W provider and TPR results.

RCKT 2021-3 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: RCKT Mortgage Trust 2021-3

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-X-21*, Assigned Aaa (sf)

Cl. A-22, Assigned Aaa (sf)

Cl. A-23, Assigned Aaa (sf)

Cl. A-24, Assigned Aa1 (sf)

Cl. A-25, Assigned Aa1 (sf)

Cl. A-26, Assigned Aa1 (sf)

Cl. A-27, Assigned Aaa (sf)

Cl. A-28, Assigned Aa1 (sf)

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

Cl. A-X-13*, Assigned Aa1 (sf)

Cl. A-X-14*, 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 Ba3 (sf)

Cl. B-5, 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 0.38%
at the mean (0.21% at the median) and reaches 3.95% at a stress
level consistent with Moody's Aaa ratings.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of US RMBS as the US economy continues on
the path toward normalization. Economic activity will continue to
strengthen in 2021 because of several factors, including the
rollout of vaccines, growing household consumption and an
accommodative central bank policy. However, specific sectors and
individual businesses will remain weakened by extended pandemic
related restrictions.

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

Moody's increased its model-derived median expected losses by 10%
(6.31% for the mean) and Moody's Aaa loss by 2.5% to reflect the
likely performance deterioration resulting from the slowdown in US
economic activity due to the coronavirus outbreak. These
adjustments are lower than the 15% median expected loss and 5% Aaa
loss adjustments Moody's made on pools from deals issued after the
onset of the pandemic until February 2021. Moody's reduced
adjustments reflect the fact that the loan pool in this deal does
not contain any loans to borrowers who are not currently making
payments. For newly originated mortgage loans, post-COVID
underwriting takes into account the impact of the pandemic on a
borrower's ability to repay the mortgage. For seasoned mortgage
loans, as time passes, the likelihood that borrowers who have
continued to make payments throughout the pandemic will now become
non-cash flowing due to COVID-19 continues to decline.

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

Collateral Description

RCKT 2021-3 is a securitization of 597 first lien prime jumbo
mortgage loans with an unpaid principal balance of $557,429,263.
100% of the mortgage loans in the pool are underwritten to Quicken
Loans' prime jumbo guidelines. The average stated principal balance
is $933,717 and the weighted average (WA) current mortgage rate is
3.1%. The loans in this transaction have strong borrower
characteristics with a weighted average primary borrower FICO score
of 775 and a weighted-average original loan-to-value ratio (LTV) of
69.8%. The WA original debt-to-income (DTI) ratio is 33.5%. The
average borrower total monthly income is $26,038 with an average
$114,715 of reserves.

Approximately 49.6% of the mortgages are backed by properties in
California. The next largest states by geographic concentration in
the pool are Florida (8.0% by UPB). All other states each represent
5% or less by UPB. Approximately 59.4% of the pool is backed by
single family residential properties and 38.4% is backed by PUDs.
Approximately 44.3% of the mortgages (by UPB) were originated
through the retail channel, 53.3% of the mortgages (by UPB) were
originated through the broker channel and the remaining 2.4% were
originated through the correspondent channel. Loans originated
through different origination channels often perform differently.
Typically, loans originated through a broker or correspondent
channel do not perform as well as loans originated through a retail
channel, although performance will vary by originator.

As of the cut-off date, none of the borrowers of the mortgage loans
are currently subject to a COVID-19 forbearance plan or have
contacted the servicer regarding the same. In the event a borrower
enters into a COVID-19 related forbearance plan after the cut-off
date, such mortgage loan will remain in the pool.

Origination Quality

In this transaction, the loans originated by Quicken are originated
pursuant to the new general QM rule. To satisfy the new rule,
Quicken implemented its non-agency Jumbo Smart program for
applications on or after March 1, 2021. Under the program, the APR
on all loans will not exceed the average prime offer rate (APOR)
+1.5%, and income and asset documentation will be governed by the
following, designed to meet the verification safe harbor provisions
of the new QM Rule via a mix of the Fannie Mae Single Family
Selling Guide, the Freddie Mac Single-Family Seller/Servicer Guide,
and the applicable program overlays. Applicable program overlays
are in place for FICO, LTV, DTI, and reserves, among others in its
underwriting.

Servicing Arrangement

Moody's assess the overall servicing arrangement for this pool as
adequate, given the ability, scale and experience of Quicken Loans
as a servicer. However, compared to other prime jumbo transactions
which typically have a master servicer, servicer oversight for this
transaction is weaker. While third-party review of Quicken Loans'
servicing operations, performance and regulatory compliance will be
conducted at least annually by an independent accounting firm, the
government-sponsored entities (GSEs), the Consumer Financial
Protection Bureau (CFPB) and state regulators, such oversight lacks
the depth and frequency that a master servicer would typically
provide.

However, Moody's did not adjust its expected losses for the weaker
servicing arrangement due to the following reasons: (1) Quicken
Loans' relative financial strength, scale, franchise value,
experience and demonstrated ability as a servicer, (2) Citibank as
the securities administrator will be responsible for making
advances of delinquent interest and principal if Quicken Loans is
unable to do so and for reconciling monthly remittances of cash by
Quicken Loans, (3) the R&W framework is strong and includes
triggers for delinquency and modification, which ensures that
poorly performing mortgage loans will be reviewed by a third-party,
and (4) the mortgage pool is of high credit quality.

Servicer compensation will be a monthly fee based on the
outstanding principal amount of the mortgage loans serviced, of a
per annum rate equal to 25 basis points (0.25%).

Third-Party Review

An independent TPR firm, AMC Diligence, LLC (AMC), was engaged to
conduct due diligence for the credit, regulatory compliance,
property valuation, and data accuracy for approximately 72.4% of
the loans in the transaction.

The due diligence results confirm compliance with the originator's
UW guidelines for the vast majority of mortgage loans, no material
regulatory compliance issues, and no material property valuation
exceptions. However, weaknesses exist in the property valuation
review, where 269 non-conforming loans originated under Quicken
Loans' Jumbo Smart prime jumbo guidelines had a property valuation
review consisting of a Fannie Mae's Collateral Underwriter score
and no other third-party valuation product such as a Collateral
Desktop Analysis (CDA) and field review or second full appraisal.
Also, there are 165 loans in the pool that were not reviewed by the
due-diligence firm. As a result, Moody's applied an adjustment to
the collateral loss to these 434 loans since the sample size of
loans in the pool that were reviewed using a third-party valuation
product such as a CDA was insufficient.

Representations & Warranties

Moody's assessed RCKT 2021-3's R&W framework for this transaction
as adequate, consistent with that of other prime jumbo transactions
for which an independent reviewer is named at closing, the breach
review process is thorough, transparent and objective, and the
costs and manner of review are clearly outlined at issuance.
However, Moody's applied an adjustment to Moody's losses to account
for the risk that Quicken Loans may be unable to repurchase
defective mortgage loans in a stressed economic environment, given
that it is a non-bank entity with a monoline business (mortgage
origination and servicing) that is highly correlated with the
economy. However, Moody's tempered this adjustment by taking into
account Quicken Loans' relative financial strength and strong TPR
results which suggest a lower probability that poorly performing
mortgage loans will be found defective following review by the
independent reviewer.

Tail Risk & Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
balance declines, senior bonds are exposed to eroding credit
enhancement over time, and increased performance volatility as a
result. To mitigate this risk, the transaction provides for a
senior subordination floor and a subordination lock-out amount of
1.25% and 0.85% of the cut-off date pool balance, respectively. The
floors are consistent with the credit neutral floors for the
assigned ratings according to Moody's methodology.

Transaction Structure

The securitization has a shifting interest structure that benefits
from a senior 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 unscheduled principal
collections to the senior bond for a specified period and
increasing amounts of unscheduled principal collections to the
senior bond for a specified period and increasing amounts of
unscheduled principal collections to the subordinate bonds
thereafter, but only if loan performance satisfies delinquency and
loss tests. Realized losses are allocated reverse sequentially
among the subordinate and senior support certificates and on a
pro-rata basis among the super senior certificates.

Furthermore, similar to RCKT 2021-2, this transaction contains a
structural deal mechanism in which the servicer and the securities
administrator will not advance principal and interest (P&I) to
mortgage loans that are 120 days or more delinquent. Although this
feature lowers the risk of high advances that may negatively affect
the recoveries on liquidated loans, the reduction in interest
distribution amount is credit negative to the subordinate
certificates, because interest shortfalls resulting from
delinquencies from "Stop Advance Mortgage Loans" (SAML) is
allocated to the subordinate certificates (in reverse order of
distribution priority), then to the senior support certificates and
finally to the super-senior certificates. Once a SAML is
liquidated, the net recovery from that loan's liquidation is
included in available funds and thus follows the transaction's
priority of payment. In Moody's analysis, Moody's have considered
the additional interest shortfall that the certificates may incur
due to the transaction's stop-advance feature.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


READY CAPITAL 2019-6: DBRS Confirms B(low) Rating on Class G Certs
------------------------------------------------------------------
DBRS, Inc. confirmed all ratings on the following classes of
Commercial Mortgage Pass-Through Certificates issued by Ready
Capital Mortgage Trust 2019-6:

-- Class A Certificates at AAA (sf)
-- Class IO-A Certificates at AAA (sf)
-- Class B Certificates at AAA (sf)
-- Class IO-B/C Certificates at AA (sf)
-- Class C Certificates at AA (low) (sf)
-- Class D Certificates at A (low) (sf)
-- Class E Certificates at BBB (low) (sf)
-- Class F Certificates at BB (low) (sf)
-- Class G Certificates at B (low) (sf)

The trend for Class G was changed to Stable from Negative as the
number of specially serviced loans has decreased considerably in
recent months as forbearance requests were either executed or
withdrawn by the respective borrowers. All remaining trends are
Stable.

The rating confirmations reflect the overall stable performance of
the transaction. At issuance, the trust comprised 89 fixed- and
floating-rate mortgages secured by 110 stabilized and transitional
properties. The trust had an initial cut-off balance of $430.7
million, excluding $5.6 million of future funding commitments
related to five loans. Per the June 2021 remittance, there were 78
loans secured by 96 properties remaining in the trust, which
totaled $388.7 million, representing a 9.5% collateral reduction
since issuance. The pool contains a mix of stabilized properties
with short-term bridge financing, loans backing properties that are
in a period of transition with plans to stabilize and improve the
asset value, and long-term stabilized loans. Although the majority
of the loans are fixed rate, the loans backing transitional
properties have a hybrid interest-rate structure that features a
fixed rate for the loan portion held within the trust but a
floating rate for the future funding component outside of the
trust.

The loans are generally secured by traditional property types with
very limited exposure to hospitality properties (one loan; 3.7% of
the trust balance), and student housing properties (two loans; 2.8%
of the trust balance). The pool is also very granular as the 10
largest loans represent 46.8% of the trust balance. A considerable
portion of collateral properties are located in urban areas as
there are 24 loans, representing 48.3% of the pool balance, that
have DBRS Market Ranks of 5 or greater.

Per the June 2021 remittance report, there are three loans,
representing 2.7% of the trust balance, that have transferred to
the special servicer. The largest specially serviced loan, Broad
Street Crossing (Prospectus ID#19 – 1.4% of the trust balance) is
secured by a retail property in Mansfield, Texas and has been with
the special servicer because of a nonmonetary default event. The
cause of the default has since been resolved and the loan is
expected to transfer back to the master servicer. Glowzone
(Prospectus ID#44 – 0.7% of the pool balance) is a vacant
single-tenant retail building in Houston that became real estate
owned in June 2020. A hypothetical liquidation analysis was applied
to the loan based on the "dark" value from the issuance appraisal
of $4.1 million. DBRS Morningstar believes the stabilization of the
property could be prolonged as the subject is currently built-out
as a special purpose use as experiential retail and this product
typefaces specific re-leasing challenges caused by the Coronavirus
Disease (COVID-19) pandemic.

An additional 20 loans, representing 27.9% of the pool balance,
were on the servicer's watchlist as of June 2021. Most watchlist
loans were a result of the borrower indicating cash flow concerns
caused by the coronavirus pandemic. The probability of defaults for
the sampled loans were appropriately adjusted to account for the
increased risk. The largest watchlist loan, 1001 Ross (Prospectus
ID#2 – 6.4% of the trust balance), is secured by a mixed-use
property consisting of 204 multifamily units and 30,164 square feet
(sf) of ground level retail located in downtown Dallas. The
sponsor's business plan is to implement a $3.5 million capital
expenditure plan to modernize interior and exterior finishes, which
includes $2.4 million ($16,597 per unit) for apartment interiors.
CVS (38.0% of retail net rentable area) was the anchor retail
tenant at closing; however, it vacated upon its lease expiration in
January 2020. The loan was added to the servicer's watchlist in
March 2021 because of a decline in debt service coverage ratio
(DSCR) and loan payments remain current as of June 2021. The loan
reported an annualized T-3 ending March 31, 2021, net cash flow
(NCF) of $1.28 million (1.02 times (x) DSCR), compared with the
year-end (YE) 2020 NCF of $690,679 (0.55x DSCR) and
Issuer-underwritten NCF of $1.12 million. The December 2020 rent
roll showed the multifamily portion was 92.2% occupied with an
average rent of $1,328 per unit compared with the March 2020 rent
roll occupancy rate and average rent per unit of 70.6% and $1,276,
respectively. Per Q1 2021 Reis data, the average asking rent and
vacancy rate for the Central Dallas submarket were $2,246 per unit
and 8.4%, respectively. Similar vintage properties had an average
asking rent of $2,032 per unit and an average vacancy rate of 7.2%.
Reis projects the average rents to increase to $2,405 per unit and
for the vacancy rate to decrease to 7.5% by Q4 2022. Approximately
1,149 units of new inventory will be added in 2021 with an
additional 701 units delivered in 2022. The December 2020 rent roll
showed the retail portion was 42.9% occupied with an average rent
of $21.47 per sf (psf) compared with the March 2020 occupancy rate
and average rent of 38.9% and $19.48 psf, respectively. There have
been no material leasing updates provided regarding the former CVS
suite.

DBRS Morningstar is also closely monitoring the second largest
watchlist loan, 777 E 12th St (Prospectus ID#5 – 5.0% of the
trust balance), which is secured by a four-story mixed-use property
in the Fashion District of Los Angeles. The borrower originally
purchased the property in 1998 and converted the subject into its
current use in 2006. Ground-floor spaces are leased to tenants in
the wholesale-retail market with spaces generally ranging in size
from 700 sf to 2,000 sf. The loan was added to the servicer's
watchlist in October 2020 for a decline in occupancy rate and a
life safety issue that was discovered during the servicer's site
inspection. Per a collection report dated January 2020 through
August 2020, a majority of tenants did not make rent payments in
April, May, and June 2020; however loan payments remained current
through June 2021. The loan reported a YE2020 NCF of $1.12 million
(1.14x DSCR) compared with the YE2019 NCF of $1.70 million (1.73x
DSCR) and Issuer-underwritten NCF of $1.71 million. The January
2021 rent roll showed the property was 70.5% occupied with an
average rent of $55.13 psf, compared to the March 2020 occupancy
rate and average rent of 83.6% and $53.30 psf, respectively. The
largest tenants at the property include Pacific City Bank (18.8% of
NRA; lease expiration of December 2021), Che Ran Jung Moon (9.8% of
NRA), and Jea Whan You (5.6% of NRA). The tenant base primarily
operates on month-to-month leases, resulting in fluctuating
occupancy rates. The property's NCF was considerably lower in 2020
during the pandemic and the occupancy rate continued to decline
given the flexible lease terms. The largest tenant has an upcoming
lease expiration date in December 2021, which would further stress
the property performance should the tenant vacate. It should be
noted there is another bank branch location approximately one mile
north of the subject, which could be at risk of branch
consolidation.

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


REGIONAL MANAGEMENT 2021-2: DBRS Finalizes BB Rating on D Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following notes
issued by Regional Management Issuance Trust 2021-2:

-- $151,760,000 Class A at AA (sf)
-- $15,040,000 Class B at A (sf)
-- $16,130,000 Class C at BBB (sf)
-- $17,070,000 Class D at BB (sf)

The ratings are based on DBRS Morningstar's review of the following
analytical considerations:

-- DBRS Morningstar's projected losses include the assessment of
the impact of the Coronavirus Disease (COVID-19). While
considerable uncertainty remains with respect to the intensity and
duration of the shock, the DBRS Morningstar-projected cumulative
net loss (CNL) includes an assessment of the expected impact on
consumer behavior. The DBRS Morningstar CNL assumption is 11.50%.

-- The transaction assumptions consider DBRS Morningstar's set of
macroeconomic scenarios for select economies related to the
coronavirus, available in its commentary "Global Macroeconomic
Scenarios - June 2021 Update," published on June 18, 2021. DBRS
Morningstar initially published macroeconomic scenarios on April
16, 2020, that have been regularly updated. The scenarios were last
updated on June 18, 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 continued success in
containment during the second half of 2021, enabling the continued
relaxation of restrictions.

-- Transaction capital structure and form and sufficiency of
available credit enhancement.

-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve fund, and excess
spread. Credit enhancement levels are sufficient to support DBRS
Morningstar's stressed projected finance yield, principal payment
rate, and charge-off assumptions under various stress scenarios.

-- 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.

-- Regional Management Corp.'s (Regional) capabilities with regard
to originations, underwriting, and servicing.

-- DBRS Morningstar has performed an on-site operational review of
Regional and, as a result, considers the entity to be an acceptable
originator and servicer of unsecured personal loans with an
acceptable backup servicer.

-- Regional's senior management team has considerable experience
and a successful track record within the consumer loan industry.

-- Regional has remained consistently profitable since 2007.

-- In February 2018, Regional completed a system migration to
Nortridge Loan Management System, allowing for the implementation
of custom scorecards for all branches, which led to the ability to
implement a hybrid servicing model.

-- The credit quality of the collateral and performance of
Regional's consumer loan portfolio. DBRS Morningstar has used a
hybrid approach in analyzing the Regional portfolio that
incorporates elements of static pool analysis employed for assets,
such as consumer loans, and revolving asset analysis, employed for
assets such as credit card master trusts.

-- The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the nonconsolidation of
the special-purpose vehicle with Regional, that the trust has a
valid first-priority security interest in the assets, and the
consistency with the DBRS Morningstar "Legal Criteria for U.S.
Structured Finance."

-- Credit enhancement in the transaction consists of OC,
subordination, a reserve account, and excess spread. The initial
amount of OC is approximately 4.00% of the Initial Loan Pool. The
subordination in the transaction refers to the Class B Notes, Class
C Notes, and Class D Notes, which are subordinated to the Class A
Notes (collectively, the Notes). The reserve account is 1.00% of
the Initial Loan Pool and is funded at inception and nondeclining.
Initial Class A credit enhancement of 28.16% includes a reserve
account of 1.00%, OC of 4.00%, and subordination of 23.16%. Initial
Class B credit enhancement of 20.94% includes a reserve account of
1.00%, OC of 4.00%, and subordination of 15.94%. Initial Class C
credit enhancement of 13.19% includes a reserve account of 1.00%,
OC of 4.00%, and subordination of 8.19%. Initial Class D credit
enhancement of 5.00% includes a reserve account of 1.00% and OC of
4.00%.

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


SEQUOIA MORTGAGE 2019-CH3: Moody's Hikes Cl. B-4 Bonds to Ba3
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 77 tranches
from 10 RMBS transactions issued by Sequoia Mortgage Trust between
2015 and 2019.

The transactions are backed by pools of prime quality, fixed rate,
first-lien mortgage loans. The loans were originated by multiple
lenders and aggregated by Redwood Residential Acquisition
Corporation. CitiMortgage, Inc. is the master servicer of the loans
in Sequoia Mortgage Trust 2015-3, Sequoia Mortgage Trust 2017-CH1,
Sequoia Mortgage Trust 2017-CH2, Sequoia Mortgage Trust 2018-CH1,
Sequoia Mortgage Trust 2018-CH2, and Sequoia Mortgage Trust
2018-CH3. Nationstar Mortgage, LLC is the master servicer of the
loans in Sequoia Mortgage Trust 2018-CH4, Sequoia Mortgage Trust
2019-CH1, Sequoia Mortgage Trust 2019-CH2, and Sequoia Mortgage
Trust 2019-CH3. Cenlar FSB is the primary servicer of the loans in
Sequoia Mortgage Trust 2015-3. Shellpoint Mortgage Servicing is the
primary servicer of the loans in the Sequoia CH transactions. Other
servicers include First Republic Bank, HomeStreet Bank, and TIAA
FSB (EverBank).

The complete rating actions are as follows:

A List of Affected Credit Ratings is available at
https://bit.ly/2VpWJ3Q

Issuer: Sequoia Mortgage Trust 2015-3

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

Cl. B-3, Upgraded to Aa3 (sf); previously on Dec 14, 2017 Upgraded
to A2 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 27, 2020
Downgraded to Ba1 (sf)

Issuer: Sequoia Mortgage Trust 2017-CH1

Cl. B-1A, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa1 (sf)

Cl. B-1B, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa1 (sf)

Cl. B-2A, Upgraded to Aaa (sf); previously on Jul 12, 2018 Upgraded
to Aa2 (sf)

Cl. B-2B, Upgraded to Aaa (sf); previously on Jul 12, 2018 Upgraded
to Aa2 (sf)

Cl. B-3, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)

Cl. B-4, Upgraded to A1 (sf); previously on Jul 12, 2018 Upgraded
to A3 (sf)

Cl. B-5, Upgraded to Baa2 (sf); previously on Jul 12, 2018 Upgraded
to Ba1 (sf)

Issuer: Sequoia Mortgage Trust 2017-CH2

Cl. B-1A, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa1 (sf)

Cl. B-1B, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa1 (sf)

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

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

Cl. B-3, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)

Cl. B-4, Upgraded to A1 (sf); previously on May 13, 2019 Upgraded
to A3 (sf)

Cl. B-5, Upgraded to Baa3 (sf); previously on May 13, 2019 Upgraded
to Ba1 (sf)

Issuer: Sequoia Mortgage Trust 2018-CH1

Cl. B-1A, Upgraded to Aaa (sf); previously on Oct 8, 2018 Upgraded
to Aa2 (sf)

Cl. B-1B, Upgraded to Aaa (sf); previously on Oct 8, 2018 Upgraded
to Aa2 (sf)

Cl. B-2A, Upgraded to Aa1 (sf); previously on Oct 8, 2018 Upgraded
to Aa3 (sf)

Cl. B-2B, Upgraded to Aa1 (sf); previously on Oct 8, 2018 Upgraded
to Aa3 (sf)

Cl. B-3, Upgraded to Aa2 (sf); previously on Oct 30, 2019 Upgraded
to A1 (sf)

Cl. B-4, Upgraded to A2 (sf); previously on Oct 8, 2018 Upgraded to
Baa1 (sf)

Cl. B-5, Upgraded to Ba1 (sf); previously on Oct 8, 2018 Upgraded
to Ba2 (sf)

Issuer: Sequoia Mortgage Trust 2018-CH2

Cl. A-19, Upgraded to Aaa (sf); previously on May 24, 2018
Definitive Rating Assigned Aa1 (sf)

Cl. A-20, Upgraded to Aaa (sf); previously on May 24, 2018
Definitive Rating Assigned Aa1 (sf)

Cl. A-21, Upgraded to Aaa (sf); previously on May 24, 2018
Definitive Rating Assigned Aa1 (sf)

Cl. B-1A, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa2 (sf)

Cl. B-1B, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa2 (sf)

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

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

Cl. B-3, Upgraded to Aa2 (sf); previously on Oct 30, 2019 Upgraded
to A1 (sf)

Cl. B-4, Upgraded to A3 (sf); previously on Feb 13, 2019 Upgraded
to Baa2 (sf)

Cl. B-5, Upgraded to Ba1 (sf); previously on Feb 13, 2019 Upgraded
to Ba2 (sf)

Issuer: Sequoia Mortgage Trust 2018-CH3

Cl. A-19, Upgraded to Aaa (sf); previously on Jul 26, 2018
Definitive Rating Assigned Aa1 (sf)

Cl. A-20, Upgraded to Aaa (sf); previously on Jul 26, 2018
Definitive Rating Assigned Aa1 (sf)

Cl. A-21, Upgraded to Aaa (sf); previously on Jul 26, 2018
Definitive Rating Assigned Aa1 (sf)

Cl. B-1A, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa1 (sf)

Cl. B-1B, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa1 (sf)

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

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

Cl. B-3, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded
to Aa3 (sf)

Cl. B-4, Upgraded to A2 (sf); previously on Oct 30, 2019 Upgraded
to Baa1 (sf)

Cl. B-5, Upgraded to Baa3 (sf); previously on Jul 26, 2018
Definitive Rating Assigned Ba2 (sf)

Issuer: Sequoia Mortgage Trust 2018-CH4

Cl. B-1A, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa2 (sf)

Cl. B-1B, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded
to Aa2 (sf)

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

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

Cl. B-3, Upgraded to A2 (sf); previously on Sep 28, 2018 Definitive
Rating Assigned Baa1 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Sep 28, 2018
Definitive Rating Assigned Ba1 (sf)

Issuer: Sequoia Mortgage Trust 2019-CH1

Cl. A-19, Upgraded to Aaa (sf); previously on Feb 28, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-20, Upgraded to Aaa (sf); previously on Feb 28, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-21, Upgraded to Aaa (sf); previously on Feb 28, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. B-1A, Upgraded to Aaa (sf); previously on Feb 28, 2019
Definitive Rating Assigned Aa3 (sf)

Cl. B-1B, Upgraded to Aaa (sf); previously on Feb 28, 2019
Definitive Rating Assigned Aa3 (sf)

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

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

Cl. B-3, Upgraded to A3 (sf); previously on Feb 28, 2019 Definitive
Rating Assigned Baa2 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on Feb 28, 2019
Definitive Rating Assigned Ba3 (sf)

Issuer: Sequoia Mortgage Trust 2019-CH2

Cl. A-19, Upgraded to Aaa (sf); previously on Jul 23, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-20, Upgraded to Aaa (sf); previously on Jul 23, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-21, Upgraded to Aaa (sf); previously on Jul 23, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. B-1A, Upgraded to Aaa (sf); previously on Jul 23, 2019
Definitive Rating Assigned Aa3 (sf)

Cl. B-1B, Upgraded to Aaa (sf); previously on Jul 23, 2019
Definitive Rating Assigned Aa3 (sf)

Cl. B-2A, Upgraded to Aa2 (sf); previously on Feb 19, 2021 Upgraded
to A1 (sf)

Cl. B-2B, Upgraded to Aa2 (sf); previously on Feb 19, 2021 Upgraded
to A1 (sf)

Cl. B-3, Upgraded to Baa1 (sf); previously on Jul 23, 2019
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba2 (sf); previously on Jul 23, 2019
Definitive Rating Assigned B1 (sf)

Issuer: Sequoia Mortgage Trust 2019-CH3

Cl. A-19, Upgraded to Aaa (sf); previously on Sep 23, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-20, Upgraded to Aaa (sf); previously on Sep 23, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. A-21, Upgraded to Aaa (sf); previously on Sep 23, 2019
Definitive Rating Assigned Aa1 (sf)

Cl. B-1A, Upgraded to Aaa (sf); previously on Sep 23, 2019
Definitive Rating Assigned Aa3 (sf)

Cl. B-1B, Upgraded to Aaa (sf); previously on Sep 23, 2019
Definitive Rating Assigned Aa3 (sf)

Cl. B-2A, Upgraded to Aa2 (sf); previously on Feb 19, 2021 Upgraded
to A1 (sf)

Cl. B-2B, Upgraded to Aa2 (sf); previously on Feb 19, 2021 Upgraded
to A1 (sf)

Cl. B-3, Upgraded to Baa1 (sf); previously on Sep 23, 2019
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba3 (sf); previously on Sep 23, 2019
Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

The upgrade actions are primarily driven by the increased levels of
credit enhancement available to the bonds. Driven by the low
interest rate environment, these transactions have experienced high
prepayment rates over the last several months. The six-month
average CPR ranged between 46% and 64%. High prepayments have
benefited the bonds by increasing the paydown speed and building up
the credit enhancement.

In Moody's analysis Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's increased
its MILAN model-derived median expected losses by 15% and Moody's
Aaa losses by 5% to reflect the performance deterioration resulting
from a slowdown in US economic activity due to the COVID-19
outbreak. This loss increase was based on Moody's assessment of the
additional losses if 50% of such loans incur a deferral of the
missed payments or a modification to the loan terms.

Moody's identified loans granted payment relief based on a review
of loan level cashflows over the last few months. In Moody's
analysis, Moody's considered loans that: (1) were not liquidated
but took a loss in the reporting period (to capture loans with
monthly deferrals that were reported as current) or (2) have actual
balances that increased or were unchanged in the reporting period,
excluding interest-only loans and pay ahead loans, to be loans
under a payment relief program. Based on Moody's analysis, the
proportion of borrowers in these pools that have enrolled in
payment relief plans as of May 2021 ranged between 0.72% and
6.28%.

These transactions have shifting interest structures that are
generally protected against the risk of permanent interest
shortfalls as principal collections can be redirected to pay
interest. However, given the pervasive financial strains tied to
the pandemic, servicers have been making advances on
non-cash-flowing loans, sometimes resulting in interest shortfalls
due to insufficient funds in subsequent periods when such advances
are recouped. Moody's expect such interest shortfalls to be
reimbursed over the next several months.

These transactions also have a stop-advance feature, whereby the
servicer, or securities administrator, does not advance principal
and interest on loans that are 120 days or more delinquent.
Stop-advance features may lessen potential cash-flow disruptions
upon advance recoupment and offer greater transparency on actual
collections. However, this feature also causes a reduction in
interest payments to the bonds as principal collections or
liquidation proceeds cannot be used to pay interest and there is no
alternative source of liquidity to pay interest. In Moody's
analysis, Moody's considered the current levels of loans in payment
relief plans and the risk of interest shortfall to the affected
bonds. Given the seniority within the payment waterfall and the
current levels of delinquencies from 0% to 7.7%, the bonds in the
rating actions are not expected to incur interest shortfalls.

Moody's updated loss expectation on the pool incorporates, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicers.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans as the US
economy continues on the path toward normalization. Economic
activity will continue to strengthen in 2021 because of several
factors, including the rollout of vaccines, growing household
consumption and an accommodative central bank policy. However,
specific sectors and individual businesses will remain weakened by
extended pandemic related restrictions.

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

Principal Methodologies


The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.

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

Up

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

Down

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


SREIT TRUST 2021-FLWR: DBRS Finalizes B(low) Rating on Cl. F Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2021-FLWR issued by SREIT Trust 2021-FLWR (SREIT 2021-FLWR):

-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)

All trends are stable.

DBRS Morningstar discontinued and withdrew its ratings on the Class
X-CP and X-NCP interest-only (IO) certificates initially
contemplated in the offering documents, as they were removed from
the transaction.

The SREIT 2021-FLWR single-asset/single-borrower transaction is
collateralized by the borrower's fee-simple interest in 16 Class A
multifamily properties totaling 5,260 units across six states in
the southeastern United States. An affiliate of Starwood Real
Estate Income Trust (Starwood or the sponsor) is using loan
proceeds of $796.5 million ($151,426 per unit), along with borrower
cash equity of $387.5 million, to acquire the portfolio for
approximately $1.1 billion ($216,300 per unit). The sponsor is in
the process of acquiring one of the properties, Century at the
Ballpark, and the acquisition will likely be finalized after the
transaction's closing date. An earn-out escrow in the amount of
$41.09 million will be established at closing and will be released
to the sponsor once the acquisition of Century at the Ballpark has
been finalized. If the property is ultimately not acquired, then
the earn-out proceeds will be used to pay down the principal
balance. For the purposes of net cash flow (NCF), valuation, and
sizing analysis, DBRS Morningstar assumed that the sponsor
completed the acquisition of Century at Ballpark.

The properties generally exhibit high-quality finishes and
comprehensive amenities as they all were constructed between 2006
and 2017, and seven of the assets, totaling 2,432 units, were built
within the past five years. In addition to the high-quality
collateral, DBRS Morningstar generally views the markets contained
in the portfolio as highly desirable for multifamily development,
with strong growth potential and favorable population statistics. A
significant portion of the portfolio is in Texas and Florida,
representing 78.2% of the total units in the portfolio and 76.8% of
the total purchase price. Recent population data indicate these two
states have had the most success in attracting new residents. Both
Texas and Florida were two of the 10 fastest growing states between
2010 and 2020, according to census results. Texas saw a population
growth rate of 15.9% and Florida experienced a population growth
rate of 14.6% over that time period, both significantly higher than
the national population growth rate of 6.6%.

Although the portfolio is currently well occupied with a physical
occupancy rate of 95.9% as of April 27, 2021, rental collections
have not been as strong. Specifically, between May 2020 and April
2021, the portfolio achieved monthly collection rates between 95.6%
and 97.1%. Furthermore, the portfolio collected about 96.3% of
rental payments on average over the trailing 12 months (T-12) ended
April 30, 2021. These collection figures are generally above the
national averages provided by the National Multifamily Housing
Council, which reported collection rates ranging from 93.2% to
95.9% between January and May 2021. However, the subject collection
figures are still weaker than what newer Class A multifamily assets
are typically able to achieve. In addition, although the assets are
generally in high-growth markets, the DBRS Morningstar Market Ranks
associated with the individual assets are generally considered
weaker than more densely populated urban locations. Approximately
58.2% of the portfolio is in a DBRS Morningstar Market Rank of 3 or
4, which indicates a more suburban location and generally exhibits
higher historical probabilities of default within the conduit
universe. However, the cross-collateralized and geographically
diversified nature of the portfolio mitigates some of the market
risk.

The transaction benefits from experienced sponsorship in Starwood,
a private investment company with significant ownership and
management experience in commercial real estate around the world.
Founded in 1991, the firm has approximately $80 billion in assets
under management and has acquired more than $115 billion of real
estate assets, including properties within every major real estate
asset class. Starwood also has significant experience in the
multifamily space as the company and its affiliates own nearly 350
multifamily properties totaling approximately 88,000 units
nationwide. Furthermore, Starwood owns 265 properties totaling
72,000 units that are in the same markets or metropolitan
statistical areas (MSAs) as the properties contained within the
portfolio. The portfolio serving as collateral for the SREIT
2021-FLWR transaction was acquired through a public, nonlisted,
externally managed real estate investment trust that had
approximately $6.2 billion of assets under management as of March
31, 2021.

Compared with other property types, multifamily assets generally
benefit from staggered lease rollover and lower expense ratios.
While revenue is quick to decline in a downturn because of the
short-term nature of the leases, it is also quick to respond when
the market improves. During the Coronavirus Disease (COVID-19)
pandemic, multifamily properties have been much more resilient in
generating cash flow and collecting rent when compared with other
property types such as retail and office.

Loan proceeds and borrower contributed equity of $387.5 million
(34.1% of the total purchase price) are being used to acquire the
collateral in an arm's-length transaction, representing significant
skin in the game for the sponsor. DBRS Morningstar generally views
acquisition financings more favorably as the sponsors are generally
more committed to the collateral's success when they have
significant cash equity at stake.

In addition to being in high-population-growth markets, the assets
have also experienced strong year-over-year rent growth as the
properties have been successful at attracting and retaining tenants
while still raising rents. For instance, in Q1 2021, there were
1,193 leases signed including both new and renewal leases,
representing 22.7% of the total portfolio units. These leases were
signed at rental rates that were on average 3.6% higher than the
previous leases for the same units.

The properties securing the transaction are generally in strong,
high-growth markets. The population of the MSAs contained in the
portfolio on average grew at a rate more than double the growth of
the United States between 2010 and 2019. Approximately 78.2% of the
units are in Texas or Florida, which are two of the fastest growing
states in the U.S.

The portfolio allocated loan amount is not heavily concentrated on
one particular asset. The average allocated purchase price is 6.3%
across the portfolio, with only one property (Travesia) accounting
for more than 10% of the total purchase price. Furthermore, no
asset makes up more than 10% of the total portfolio's net operating
income over the T-12 ended March 31, 2021. As a result, a temporary
cash flow decline at one property will likely not result in a debt
service shortfall.

Although the portfolio was well occupied as of the date of this
report, the historical occupancy of the portfolio is slightly
weaker. The portfolio was approximately 90.6% occupied in January
2019 and approximately 92.8% occupied for F2019. If occupancy
reverts to levels experienced in 2019, revenue could decline and
lower the cash flows available to service the loan. Furthermore,
collections at the property for the T-12 ended April 30, 2021, were
approximately 96.3%, which adds additional economic loss to the
portfolio's revenue.

The loan has a partial pro rata/sequential-pay structure, which
allows for pro rata paydowns across the capital structure for the
first 20% of the unpaid principal balance. DBRS Morningstar
considers this structure to be credit negative, particularly at the
top of the capital stack. Under a partial pro rata structure,
deleveraging of the senior notes through the release of individual
properties occurs at a slower pace compared with a sequential-pay
structure. To account for this structure, DBRS Morningstar applied
a penalty to the transaction's loan-to-value (LTV) hurdles.

The borrower/sponsor/arranger can release individual properties
with customary debt yield and LTV tests. The prepayment premium for
the release of individual assets is 105.0% of the allocated loan
amount (aggregate prior releases must not exceed 15.0% of the
original principal balance) and 110.0% of the allocated loan amount
for the release of individual assets thereafter. Because these
release premiums are designed to reduce the risk of adverse
selection over time, DBRS Morningstar considers the release premium
to be weaker than a generally credit-neutral standard of 115.0%
and, as a result, applied a penalty to the transaction's capital
structure to account for the weak deleveraging premium.

The DBRS Morningstar LTV on the $796.5 million whole loan is
substantial at 120.6%. To account for the high leverage, DBRS
Morningstar reduced its LTV benchmark targets by 2.5% across the
capital structure. The high leverage point and the lack of
scheduled amortization pose potentially elevated refinance risk at
loan maturity. The DBRS Morningstar LTV on the last dollar of rated
debt is much lower at 98.5%.

The loan is full-term interest only (IO), providing no reduction in
the loan basis over the loan term. The lack of principal
amortization increases refinance risk at maturity. The DBRS
Morningstar NCF results in a strong total debt IO debt service
coverage ratio (DSCR) of approximately 3.07 times, providing a
significant amount of cash flow cushion in times of economic
turmoil. However, the interest rate on the debt is floating and
based on one-month Libor, which is at a historic low and could
increase in the future, plus a spread of 160 basis points. Any
marginal increase on the base rate will incrementally lower the
DSCR and cash flow cushion for the portfolio.

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


TRINITAS CLO VII: Moody's Ups Rating on Class D Notes From Ba1
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Trinitas CLO VII, Ltd.:

US$72,000,000 Class B Floating Rate Notes due 2031 (the "Class B
Notes"), Upgraded to Aa1 (sf); previously on December 22, 2017
Assigned Aa2 (sf)

US$34,800,000 Class C Deferrable Floating Rate Notes due 2031 (the
"Class C Notes"), Upgraded to A2 (sf); previously on June 15, 2020
Downgraded to A3 (sf)

US$34,200,000 Class D Deferrable Floating Rate Notes due 2031 (the
"Class D Notes"), Upgraded to Baa3 (sf); previously on June 15,
2020 Downgraded to Ba1 (sf)

Trinitas CLO VII, Ltd., issued in December 2017, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in July 2022.

RATINGS RATIONALE

These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
July 2022. In light of the reinvestment restrictions during the
amortization period which limit the ability of the manager to
effect significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to satisfy certain covenant
requirements. In particular, Moody's assumed that the deal will
benefit from lower WARF compared to the levels during the last
rating action date. Moody's modeled a WARF of 2945 compared to 3446
used during the last rating action date. Furthermore, the
transaction's reported collateral quality and OC ratio have been
stable since the last rating action date.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

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

Performing par and principal proceeds balance: 588,184,134

Defaulted par: $689,897

Diversity Score: 78

Weighted Average Rating Factor (WARF): 2945

Weighted Average Spread (WAS) (before accounting for LIBOR floors):
3.47%

Weighted Average Recovery Rate (WARR): 47.8%

Weighted Average Life (WAL): 5.24 years

In consideration of the current high uncertainties around the
global economy, and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge from Moody's
base case.

Methodology Used for the Rating Action

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

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

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


US AUTO 2021-1: Moody's Assigns (P)B3 Rating to 2 Tranches
----------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by U.S. Auto Funding Trust 2021-1 (USAF 2021-1).
This is the first auto loan transaction of the year and third in
total for U.S. Auto Finance, Inc. (unrated). The notes will be
backed by a pool of retail automobile loan contracts originated by
U.S. Auto Sales, Inc. (unrated), an affiliate of U.S. Auto Finance,
Inc.. USASF Servicing LLC (USASF), an affiliate of U.S. Auto
Finance, Inc., is the servicer for this transaction and U.S. Auto
Finance, Inc. is the administrator.

The complete rating actions are as follows:

Issuer: U.S. Auto Funding Trust 2021-1

Class A Notes, Assigned (P)A3 (sf)

Class B Notes, Assigned (P)Baa1 (sf)

Class C Notes, Assigned (P)Ba2 (sf)

Class D Notes, Assigned (P)B3 (sf)

Class E Notes, Assigned (P)B3 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, the experience and expertise of USASF and U.S. Auto
Finance, Inc. as the servicer and administrator respectively and
the presence of Wells Fargo Bank N.A. (Wells Fargo, Aa1(cr)) as the
backup servicer.

Moody's median cumulative net credit loss expectation for USAUT
2021-1 is 34%. Moody's based its cumulative net credit loss
expectation on an analysis of the quality of the underlying
collateral; managed portfolio performance; the historical credit
loss of similar collateral; the ability of USASF to perform the
servicing functions; and current expectations for the macroeconomic
environment during the life of the transaction.

At closing, the Class A notes, the Class B notes, the Class C
notes, the Class D and the Class E notes are expected to benefit
from 57.90%, 44.75%, 30.95%, 20.00% et 18.00% of hard credit
enhancement, respectively. Hard credit enhancement for the notes
consists of a combination of overcollateralization, a non-declining
reserve account and subordination, except for the Class E notes,
which do not benefit from subordination. The notes may also benefit
from excess spread.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
December 2020.

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

Up

Moody's could upgrade the notes if levels of credit enhancement are
higher than necessary to protect investors against current
expectations of portfolio losses. 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 vehicles securing an
obligor's promise of payment. Portfolio losses also depend greatly
on the US job market and the market for used vehicles. Other
reasons for better-than-expected performance include changes to
servicing practices that enhance collections or refinancing
opportunities that result in prepayments.

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 pool servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud.


UWM MORTGAGE 2021-INV1: Moody's Gives (P)B3 Rating to Cl. B5 Certs
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
thirty-one classes of residential mortgage-backed securities (RMBS)
issued by UWM Mortgage Trust 2021-INV1. The ratings range from
(P)Aaa (sf) to (P)B3 (sf).

UWM Mortgage Trust 2021-INV1 is a securitization of 1,208
first-lien investor agency eligible mortgage loans. All the loans
in the pool are originated by United Wholesale Mortgage, LLC (UWM -
Ba3 long-term corporate family and Ba3 senior unsecured bond
ratings, with stable outlook) in accordance with the underwriting
guidelines of Fannie Mae or Freddie Mac with additional credit
overlays. The transaction is backed by 1,192 30-year, 1 29-year, 9
25-year, 1 24-year, and 5 20-year fixed rate mortgage loans,
respectively, with an aggregate stated principal balance of
approximately $393,863,164. The average stated principal balance is
approximately $326,046 and the weighted average (WA) current
mortgage rate is 3.4%.

All of the personal- use loans are "qualified mortgages" under
Regulation Z as a result of the temporary provision allowing
qualified mortgage status for loans eligible for purchase,
guaranty, or insurance by Fannie Mae and Freddie Mac (and certain
other federal agencies). With respect to these mortgage loans, the
sponsor will represent that such mortgage loans are "qualified
mortgages" under Regulation Z. With the exception of personal- use
loans, all other mortgage loans in the pool are not subject to TILA
because each such mortgage loan is an extension of credit primarily
for a business purpose and is not a "covered transaction" as
defined in Section 1026.43(b)(1) of Regulation Z.

Cenlar FSB (Cenlar) will service all the mortgage loans in the
pool. Servicing compensation is subject to a step-up incentive fee
structure. UWM will be the servicing administrator and Nationstar
Mortgage LLC (Nationstar - B2 long-term issuer rating, with
positive outlook) will be the master servicer. UWM will be
responsible for principal and interest advances as well as other
servicing advances. The master servicer will be required to make
principal and interest advances if UWM is unable to do so.

A third-party review (TPR) firm conducted credit, data accuracy and
compliance reviews on 39.6% of the loans in the pool by loan count
and property valuation review on 100% of the loans in the pool. The
number of loans that went through a full due diligence review is
above Moody's credit-neutral sample size. Also, the TPR results
indicate that there are no material compliance, credit, or data
issues and no appraisal defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. Moody's expected loss for
this pool in a baseline scenario-mean is 0.76%, in a baseline
scenario-median is 0.50%, and reaches 6.18% 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-INV1

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. A-14, Assigned (P)Aa1 (sf)

Cl. A-15, Assigned (P)Aa1 (sf)

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

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

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

Cl. A-X-2*, Assigned (P)Aa1 (sf)

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

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

Cl. B1, Assigned (P)Aa3 (sf)

Cl. B2, Assigned (P)A3 (sf)

Cl. B3, Assigned (P)Baa3 (sf)

Cl. B4, Assigned (P)Ba3 (sf)

Cl. B5, Assigned (P)B3 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario is 0.76%
at the mean, 0.50% at the median, and reaches 6.18% at a stress
level consistent with Moody's Aaa ratings.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of RMBS as the US economy continues on the
path toward normalization. Economic activity will continue to
strengthen in 2021 because of several factors, including the
rollout of vaccines, growing household consumption and an
accommodative central bank policy. However, specific sectors and
individual businesses will remain weakened by extended pandemic
related restrictions.

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

Moody's increased its model-derived median expected losses by 10.0%
(7.37% 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 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-INV1 is a securitization of 1,208
first-lien investor 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 1,192
30-year, 1 29-year, 9 25-year, 1 24-year, and 5 20-year fixed rate
mortgage loans, respectively, with an aggregate stated principal
balance of approximately $393,863,164. The average stated principal
balance is approximately $326,046 and the weighted average (WA)
current mortgage rate is 3.4%. Borrowers of the mortgage loans
backing this transaction have strong credit profiles demonstrated
by strong credit scores and low combined loan-to-value (CLTV)
ratios. The weighted average primary borrower original FICO score
and original CLTV ratio of the pool is 774 and 65.3%, respectively.
The WA original debt-to income (DTI) ratio is 37.7%. Approximately,
19.2% (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 (47.4% by loan balance) are
backed by properties located in California. The next largest
geographic concentration is Arizona (5.8% by loan balance),
Colorado (5.5% by loan balance), Florida (5.5% by loan balance) and
Utah (5.2% by loan balance). All other states each represent 5% or
less by loan balance. Approximately 19.2% (by loan balance) of the
pool is backed by properties that are 2-to-4 unit residential
properties whereas loans backed by single family residential
properties represent 44.2% (by loan balance) of the pool.

Approximately 83.5% and 16.5% (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 Moody's review of its underwriting guidelines,
quality control processes, policies and procedures, and historical
performance relative to its peers. As a result, Moody's did not
make any adjustments to Moody's base case and Aaa stress loss
assumptions.

Servicing arrangement

Cenlar (the servicer) will service all the mortgage loans in the
transaction. UWM will serve as the servicing administrator and
Nationstar will serve as the master servicer. The servicing
administrator will be required to (i) make advances in respect of
delinquent interest and principal on the mortgage loans and (ii)
make certain servicing advances with respect to the preservation,
restoration, repair and protection of a mortgaged property,
including delinquent tax and insurance payments, unless the
servicer determines that such amounts would not be recoverable. The
master servicer will be obligated to fund any required monthly
advance if the servicing administrator fails in its obligation to
do so. Moody's consider the overall servicing arrangement for this
pool as adequate given the ability and experience of Cenlar as a
servicer and the presence of a master servicer, and as a result,
Moody's did not make any adjustments to Moody's base case and Aaa
stress loss assumptions.

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 on 39.6% of the
loans in the pool for credit, compliance, and data accuracy and
100% of the loans in the pool for property valuation. The number of
loans that went through a full due diligence review is above
Moody's calculated credit-neutral sample size. Also, there were
generally no material findings. The loans that had exceptions to
the originators' underwriting guidelines had significant
compensating factors that were documented. Moody's did not make any
adjustments to Moody's credit enhancement for TPR scope, sample
size and results.

Representations and Warranties Framework

UWM as the sponsor, makes the loan-level R&Ws for the mortgage
loans. The R&Ws cover most of the categories that Moody's
identified in Moody's methodology as credit neutral. Further, R&W
breaches are evaluated by an independent third party using a set of
objective criteria. The independent reviewer will perform detailed
reviews to determine whether any R&Ws were breached when any loan
becomes a severely delinquent mortgage loan, a delinquent modified
mortgage loan, or is liquidated at a loss. These reviews are
thorough in that the transaction documents set forth detailed tests
for each R&W that the independent reviewer will perform. However,
Moody's applied an adjustment to Moody's expected losses to account
for the risk that UWM may be unable to repurchase defective loans
in a stressed economic environment in which a substantial portion
of the loans breach the R&Ws, given that it is a non-bank entity
with a monoline business (mortgage origination and servicing) that
is highly correlated with the economy.

Transaction structure

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

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

Tail risk & subordination floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to eroding credit enhancement
over time and increased performance volatility, known as tail risk.
To mitigate this risk, the transaction provides for a senior
subordination floor of 0.95% which mitigates tail risk by
protecting the senior bonds from eroding credit enhancement over
time. Additionally, there is a subordination lock-out amount which
is 0.85% of the closing pool balance.

Moody's calculate the credit neutral floors for a given target
rating as shown in Moody's principal methodology. The senior
subordination floor and the subordinate floor of 0.95% and 0.85%,
respectively, are consistent with the credit neutral floors for the
assigned ratings.

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

Down

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

Up

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

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


VENTURE XXIII: Moody's Assigns Ba3 Rating to Class E-R2 Notes
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes issued by Venture XXIII CLO, Limited (the
"Issuer").

Moody's rating action is as follows:

US$3,450,000 Class X-R2 Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$202,000,000 Class A-R2 Senior Secured Floating Rate Notes Due
2034, Assigned Aaa (sf)

US$37,900,000 Class B-R2 Senior Secured Floating Rate Notes Due
2034, Assigned Aa2 (sf)

US$15,800,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate
Notes Due 2034, Assigned A2 (sf)

US$12,500,000 Class D-1-R2 Mezzanine Secured Deferrable Floating
Rate Notes Due 2034, Assigned Baa2 (sf)

US$9,556,000 Class D-2-R2 Junior Secured Deferrable Floating Rate
Notes Due 2034, Assigned Ba1 (sf)

US$11,644,000 Class E-R2 Junior Secured Deferrable Floating Rate
Notes Due 2034, Assigned Ba3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
90.0% of the portfolio must consist of senior secured loans and
eligible investments, and up to 10% of the portfolio may consist of
second lien loans, unsecured loans and permitted debt securities.

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

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

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

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

Performing par and principal proceeds balance: $315,027,570

Defaulted par: $1,740,051

Diversity Score: 85

Weighted Average Rating Factor (WARF): 2810

Weighted Average Spread (WAS): 3.55%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 47.00%

Weighted Average Life (WAL): 9.0 years

Methodology Underlying the Rating Action:

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

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

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


VERUS SECURITIZATION 2021-4: DBRS Gives Prov. B Rating on B2 Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgaged-Backed Notes, Series 2021-4 to be issued by Verus
Securitization Trust 2021-4:

-- $334.3 million Class A-1 at AAA (sf)
-- $30.1 million Class A-2 at AA (sf)
-- $47.4 million Class A-3 at A (low) (sf)
-- $22.4 million Class M-1 at BBB (low) (sf)
-- $14.9 million Class B-1 at BB (low) (sf)
-- $10.7 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 28.40% of
credit enhancement provided by subordinate notes. The AA (sf), A
(low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings
reflect 21.95%, 11.80%, 7.00%, 3.80%, and 1.50% of credit
enhancement, respectively.

This securitization is a portfolio of primarily fixed- and
adjustable-rate, expanded prime and nonprime, first-lien
residential mortgages funded by the issuance of the Notes. The
Notes are backed by 751 mortgage loans with a total principal
balance of $466,921,392 as of the Cut-Off Date (July 1, 2021).

The top originator for the mortgage pool is Calculated Risk
Analytics, LLC doing business as Excelerate Capital (Excelerate;
21.0%). The remaining originators each comprise less than 15.0% of
the mortgage loans. The Servicers of the loans are Shellpoint
Mortgage Servicing (88.7%), Fay Servicing, LLC (6.4%), and
Specialized Loan Servicing (SLS; 4.9%).

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's Ability-to-Repay (ATR) rules, they
were made to borrowers who generally do not qualify for agency,
government, or private-label non-agency prime jumbo products for
various reasons. In accordance with the Qualified Mortgage (QM)/ATR
rules, 65.1% of the loans are designated as non-QM, 1.2% are
designated as QM Safe Harbor, and 0.6% are designated as QM
Rebuttable Presumption. Approximately 33.2% of the loans are made
to investors for business purposes and hence are not subject to the
QM/ATR rules.

The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible vertical interest, representing
at least 5% of the Notes to satisfy the credit risk-retention
requirements under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder.

On or after the earlier of (1) the Payment Date occurring in July
2024 or (2) the date when the aggregate stated principal balance of
the mortgage loans is reduced to 30% of the Cut-Off Date balance,
the Administrator, at the Issuer's option, may redeem all of the
outstanding Notes at a price equal to the greater of (A) the class
balances of the related Notes plus accrued and unpaid interest,
including any cap carryover amounts and (B) the class balances of
the related Notes less than 90 days delinquent with accrued unpaid
interest plus fair market value of the loans 90 days or more
delinquent and real estate-owned properties. After such purchase,
the Depositor must complete a qualified liquidation, which requires
(1) a complete liquidation of assets within the Trust and (2) the
proceeds to be distributed to the appropriate holders of regular or
residual interests.

The P&I Advancing Party or Servicer (for 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 of
properties.

This transaction incorporates a sequential-pay cash flow structure
with a pro rata feature among the senior tranches. Principal
proceeds can be used to cover interest shortfalls on the Class A-1
and A-2 Certificates sequentially (IIPP) after a Trigger Event. For
more subordinated Notes, principal proceeds can be used to cover
interest shortfalls as the more senior Notes are paid in full.
Furthermore, excess spread can be used to cover realized losses and
prior period bond writedown amounts first before being allocated to
unpaid cap carryover amounts to Class A-1 down to Class B-2.

Approximately 21.2% of the loans were originated under a Property
Focused Investor Loan Debt Service Coverage Ratio (DSCR) program
and 5.9% were originated under a Property Focused Investor Loan
program. Both programs allow for property cash flow/rental income
to qualify borrowers for income.

Coronavirus Impact

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

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

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


VERUS SECURITIZATION 2021-4: S&P Assigns 'B-' Rating on B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Verus Securitization
Trust 2021-4's mortgage-backed notes.

The note issuance is an RMBS securitization backed by primarily
first-lien, fixed-rate, and adjustable-rate residential mortgage
loans, including mortgage loans with initial interest-only periods
and/or balloon terms. The loans are secured primarily by
single-family residences, planned unit developments, two- to
four-family residential properties, condominiums, co-operatives,
mixed-use properties, and manufactured housing residential
properties to both prime and nonprime borrowers. The pool has 751
loans backed by 778 properties, which are primarily non-qualified
mortgage/ability-to-repay (ATR) compliant and ATR-exempt loans.

S&P said, "Since we assigned preliminary ratings on July 22, 2021,
the sponsor, VMC Asset Pooler LLC, updated scheduled balances for
18 mortgage loans based on information received from the servicers,
which reduced the total pool balance to $466,726,960 from
466,921,392. Our loss coverage levels for the pool remained the
same. The note amounts of class A-1, A-2, A-3, M-1, B-1, B-2, and
B-3 were reduced proportionately such that the credit enhancement
for each class remained the same. The assigned ratings remain the
same as our preliminary ratings."

The ratings reflect S&P's view of:

-- The pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The transaction's geographic concentration;
-- The mortgage aggregator, Invictus Capital Partners; and
-- The impact the COVID-19 pandemic will likely have on the
performance of the mortgage borrowers in the pool and liquidity
available in the transaction.

  Ratings Assigned

  Verus Securitization Trust 2021-4

  Class A-1, $334,176,000: AAA (sf)
  Class A-2, $30,104,000: AA (sf)
  Class A-3, $47,373,000: A (sf)
  Class M-1, $22,403,000: BBB (sf)
  Class B-1, $14,935,000: BB (sf)
  Class B-2, $10,735,000: B- (sf)
  Class B-3, $7,000,960: Not rated
  Class A-IO-S, notional(i): Not rated
  Class XS, notional(i): Not rated
  Class DA: Not rated
  Class R: Not rated

(i)The notional amount equals the aggregate stated principal
balance of loans in the pool.



WELLFLEET CLO 2021-2: Moody's Assigns (P)Ba3 Rating to Cl. F Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by Wellfleet CLO 2021-2, Ltd. (the
"Issuer" or "Wellfleet CLO 2021-2").

Moody's rating action is as follows:

US$270,000,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

US$18,000,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

US$51,750,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aa2 (sf)

US$25,900,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)

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

US$21,400,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)Ba3 (sf)

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

RATINGS RATIONALE

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

Wellfleet CLO 2021-2 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans and up to 10% of the portfolio may consist
of second lien loans, senior unsecured loans, first-lien last out
loans and bonds. Moody's expect the portfolio to be approximately
70% ramped as of the closing date.

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

In addition to the Rated Notes, the Issuer 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: 65

Weighted Average Rating Factor (WARF): 2828

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 46.0%

Weighted Average Life (WAL): 9 years

Methodology Underlying the Rating Action:

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

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

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


WELLS FARGO 2016-C34: DBRS Confirms CCC Rating on 3 Classes
------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2016-C34 issued by Wells Fargo
Commercial Mortgage Trust 2016-C34 as follows:

-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-3FL at AAA (sf)
-- Class A-3FX at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (low) (sf)
-- Class B at A (high) (sf)
-- Class C at BBB (high) (sf)
-- Class D at B (high) (sf)
-- Class E at CCC (sf)
-- Class F at CCC (sf)
-- Class G at CCC (sf)

DBRS Morningstar withdrew the ratings on Classes X-E and X-FG as
they reference Classes E, F, and G, which carry a CCC (sf) rating.
The trends on all classes are Stable with the exception of Classes
B, C, D, and X-B, which have Negative trends. The ratings on
Classes E, F, and G do not carry trends.

The rating confirmations and continued Negative trends are
reflective of the elevated risks to the trust since issuance, which
are generally concentrated in two of six specially serviced top 10
loans in this transaction. The liquidation scenario for both of
these loans and two additional loans was maintained during this
review. Since the transaction's last review in February 2021, the
outlook for the liquidated loans has not deteriorated further;
however, DBRS Morningstar does recognize the persistent elevated
risk profile of those liquidated loans, the loans remaining in
special servicing, and the significant number of loans placed on
the servicer's watchlist for performance-related issues.

These loans include the largest loan in the pool, Regent Portfolio
(Prospectus ID#1; 10.3% of the pool balance), which is primarily
secured by a portfolio of medical office properties in New York and
Florida. The loan transferred to special servicing in June 2019 for
payment default and, as of the June 2021 remit, is two months past
its May 2021 maturity date. According to the servicer, no loan
extension has been granted at this time; however, the asset manager
is currently discussing a forbearance with modified terms to
include a quick path to title upon an event of default. The
portfolio is primarily owned by Dr. John Hajjar, a medical doctor
as well as the primary owner of the portfolio's largest tenant,
Sovereign Medical Services Inc. (SMS). At issuance, SMS was 70.0%
owned and controlled by Dr. Hajjar, and SMS guarantees the leases
of all its affiliates. As of the May 2021 rent roll, the reported
occupancy rate for the portfolio was 73.0%, a slight decline from
the 78.5% in March 2020 and significantly lower than the 90.0%
reported at issuance.

Since the loan's transfer to special servicing, one of the medical
office building properties located in Wayne, New Jersey, was sold.
The net proceeds of $11.3 million from the sale compare with the
property's issuance appraised value of $13.9 million and funds were
used to recover outstanding servicer advances and to pay past due
debt service payments. An updated appraisal has not been obtained
to date, but, given the difference between the sale proceeds and
the issuance valuation of the Wayne property, the as-is value of
the portfolio is likely well below the issuance figure. The
increased risks with the outstanding defaults and long-term stint
in special servicing suggest the prospects for a resolution without
a significant loss to the trust are unlikely. A loss severity in
excess of 25.0% was assumed as part of this review.

The other large specially serviced loan liquidated in this analysis
is the 200 Precision and 425 Privet Portfolio (Prospectus ID#6;
4.2% of the pool balance), which is real estate owned as of January
2021 and is secured by two mixed-use properties in Horsham,
Pennsylvania. This loan transferred to special servicing in
November 2019 following the loss of a major tenant, Teva
Pharmaceuticals, which previously occupied 48.7% of the portfolio's
combined net rentable area (NRA), as the tenant exercised its early
termination option. In addition, the collateral had lost its
second-largest tenant, Optium Finisar (25.8% of the portfolio NRA),
in 2018 and occupancy has been depressed since, with the servicer
reporting an occupancy rate of 51.3% at April 2021. Based on the
December 2020 appraisal, the collateral was valued at $21.3
million, which is a 45.5% decline from the issuance value of $39.1
million. DBRS Morningstar's analysis assumed a loss severity in
excess of 40.0%, based on the December 2020 appraisal figure.

Since the transaction was last reviewed in February 2021, one
additional loan, Storage Solutions Self Storage Portfolio
(Prospectus ID#9; 3.3% of the pool balance), has transferred to
special servicing because of a maturity default. The loan is
secured by a portfolio of four self-storage properties in Maine
totaling 1,925 units, of which 70.0% are not climate controlled.
The borrower is currently seeking a maturity extension to September
2021, in line with the anticipated sale closing date of the
portfolio. The subject portfolio is under contract to be sold as
part of a larger portfolio of more than 40 properties with an
allocated price point well in excess of the trust amount. Notably,
the loan is sponsored by two individuals, one of whom is Robert
Morgan, who has been indicted for conspiracy to commit wire fraud
and bank fraud in connection with a wide-ranging mortgage fraud
scheme. Although Robert Morgan has been indicted, it is DBRS
Morningstar's understanding that he has no direct oversight in the
operations of the subject portfolio. This loan was not liquidated
from the pool; however, DBRS Morningstar does recognize some
increased risk but expects a positive resolution in the near to
medium term with the anticipated sale.

In addition to the above-mentioned loans, two loans in special
servicing are secured by hotel properties that were negatively
affected by the Coronavirus Disease (COVID-19) pandemic. With the
June 2021 remittance, loans representing 30.2% of the pool balance
are in special servicing. There is also a high concentration of
loans backed by mixed-use and retail properties in the transaction,
representing 31.9% and 30.7% of the pool balance, respectively.

According to the June 2021 remit, one loan is fully defeased,
representing 0.7% of the pool balance, and 23 loans are on the
servicer's watchlist, representing 31.4% of the pool balance. The
watchlisted loans are being monitored for various reasons;
primarily for low debt-service coverage ratios, low occupancy
rates, and servicing trigger events.

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



[*] DBRS Reviews 336 Classes from 33 U.S. RMBS Transactions
-----------------------------------------------------------
DBRS, Inc. reviewed 336 classes from 33 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 336 classes
reviewed, DBRS Morningstar confirmed 304 ratings, upgraded 26
ratings, downgraded five ratings, and discontinued one rating.

The Affected Rating is Available at https://bit.ly/3yp4cyx

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 the bonds' principal loss amount or the transactions'
negative trend in loss activity. The discontinuation reflects full
repayment of principal to bondholders.

The pools backing the reviewed RMBS transactions consist of -Prime,
Alt-A, Option-Adjustable-Rate-Mortgage, Scratch and Dent,
Second-Lien, Reperforming, and Subprime 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.

-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes,
Series 2004-4, Class M-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-8, Class 7-A-1-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-8, Class 7-A-1-2

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-8, Class 7-A-2

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-8, Class 7-A-3-2

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-8, Class 7-A-4

-- C-BASS 2004-CB4 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2004-CB4, Class M-1

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 1-A-1

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 2-A-1

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 3-A-1

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 3-A-4

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 3-A-5

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 4-A-1

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 4-A-2

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 5-A-1

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 5-A-3

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 6-A-2

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 6-A-3

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 6-A-5

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 6-A-6

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 6-A-7

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 11-A-2

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class 11-A-3

-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through
Certificates, Series 2005-A3, Class III-B-2

-- MASTR Adjustable Rate Mortgages Trust 2007-3, Mortgage
Pass-Through Certificates, Series 2007-3, Class 2-2A3

-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan
Asset-Backed Notes, Series 2005-2, Class AF-4

-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan
Asset-Backed Notes, Series 2005-2, Class AF-5

-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan
Asset-Backed Notes, Series 2005-2, Class AF-6

-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8,
Mortgage Pass-Through Certificates, Series 2004-8, Class 2-A1

-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8,
Mortgage Pass-Through Certificates, Series 2004-8, Class 2-A2

-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8,
Mortgage Pass-Through Certificates, Series 2004-8, Class 5-A6

-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8,
Mortgage Pass-Through Certificates, Series 2004-8, Class B1-X

-- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates,
Series 2008-1, Class A-1

-- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates,
Series 2008-1, Class A-2

-- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates,
Series 2008-1, Class A-3

-- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates,
Series 2008-1, Class A-4

-- TBW Mortgage-Backed Trust 2007-2, Mortgage-Backed Pass-Through
Certificates, Series 2007-2, Class A-4-B

-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust,
Home Equity Asset-Backed Certificates, Series 2004-2, Class AI-8

-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust,
Home Equity Asset-Backed Certificates, Series 2004-2, Class AI-9

-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust,
Home Equity Asset-Backed Certificates, Series 2004-2, Class M-2

-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust,
Home Equity Asset-Backed Certificates, Series 2004-2, Class M-3

-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust,
Home Equity Asset-Backed Certificates, Series 2004-2, Class M-4

-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust,
Home Equity Asset-Backed Certificates, Series 2004-2, Class M-5

-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust,
Home Equity Asset-Backed Certificates, Series 2004-2, Class M-6

-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust,
Home Equity Asset-Backed Certificates, Series 2004-2, Class M-7

-- RESI Finance Limited Partnership 2003-D & RESI Finance DE
Corporation 2003-D, Real Estate Synthetic Investment Securities,
Series 2003-D, Class A5 Risk Band

-- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE
Corporation 2003-CB1, Real Estate Synthetic Investment Securities,
Series 2003-CB1, Class A5 Risk Band

-- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE
Corporation 2003-CB1, Real Estate Synthetic Investment Notes,
Series 2003-CB1, Class B1 Risk Band

-- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE
Corporation 2003-CB1, Real Estate Synthetic Investment Notes,
Series 2003-CB1, Class B2 Risk Band

-- RESI Finance Limited Partnership 2004-A & RESI Finance DE
Corporation 2004-A, Real Estate Synthetic Investment Securities,
Series 2004-A, Class A5 Risk Band

-- RESI Finance Limited Partnership 2004-A & RESI Finance DE
Corporation 2004-A, Real Estate Synthetic Investment Notes, Series
2004-A, Class B1 Risk Band

-- RESI Finance Limited Partnership 2004-B & RESI Finance DE
Corporation 2004-B, Real Estate Synthetic Investment Securities,
Series 2004-B, Class A5 Risk Band

-- RESI Finance Limited Partnership 2004-B & RESI Finance DE
Corporation 2004-B, Real Estate Synthetic Investment Notes, Series
2004-B, Class B1 Risk Band

-- RESI Finance Limited Partnership 2004-C & RESI Finance DE
Corporation 2004-C, Real Estate Synthetic Investment Securities,
Series 2004-C, Class A5 Risk Band

-- RESI Finance Limited Partnership 2004-C & RESI Finance DE
Corporation 2004-C, Real Estate Synthetic Investment Notes, Series
2004-C, Class B1 Risk Band

-- RESI Finance Limited Partnership 2005-A & RESI Finance DE
Corporation 2005-A, Real Estate Synthetic Investment Securities,
Series 2005-A, Class A5 Risk Band

-- RESI Finance Limited Partnership 2005-B & RESI Finance DE
Corporation 2005-B, Real Estate Synthetic Investment Securities,
Series 2005-B, Class A5 Risk Band

-- RESI Finance Limited Partnership 2003-A & RESI Finance DE
Corporation 2003-A, Real Estate Synthetic Investment Notes, Series
2003-A, Class B1 Risk Band

-- RESI Finance Limited Partnership 2003-A & RESI Finance DE
Corporation 2003-A, Real Estate Synthetic Investment Notes, Series
2003-A, Class B2 Risk Band

-- RESI Finance Limited Partnership 2003-B & RESI Finance DE
Corporation 2003-B, Real Estate Synthetic Investment Securities,
Series 2003-B, Class A5 Risk Band

-- RESI Finance Limited Partnership 2003-B & RESI Finance DE
Corporation 2003-B, Real Estate Synthetic Investment Notes, Series
2003-B, Class B1 Risk Band

-- RESI Finance Limited Partnership 2003-B & RESI Finance DE
Corporation 2003-B, Real Estate Synthetic Investment Notes, Series
2003-B, Class B2 Risk Band

-- RESI Finance Limited Partnership 2003-C & RESI Finance DE
Corporation 2003-C, Real Estate Synthetic Investment Securities,
Series 2003-C, Class A5 Risk Band

-- RESI Finance Limited Partnership 2003-C & RESI Finance DE
Corporation 2003-C, Real Estate Synthetic Investment Notes, Series
2003-C, Class B1 Risk Band

CORONAVIRUS IMPACT

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

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

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.



[*] Moody's Hikes 54 Tranches From 9 RMBS Deals Issued 2016-2020
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 54 tranches
from nine RMBS transactions issued between 2016 and 2020.

The complete rating actions are as follows:

Issuer: Chase Home Lending Mortgage Trust 2019-ATR1

Cl. B-1, Upgraded to Aaa (sf); previously on Feb 10, 2020 Upgraded
to Aa1 (sf)

Cl. B-2, Upgraded to Aa2 (sf); previously on Feb 10, 2020 Upgraded
to Aa3 (sf)

Cl. B-3, Upgraded to A1 (sf); previously on Feb 10, 2020 Upgraded
to A3 (sf)

Issuer: Citigroup Mortgage Loan Trust Inc. 2020-EXP1

Cl. A-1-B, Upgraded to Aaa (sf); previously on Jun 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-2, Upgraded to Aa1 (sf); previously on Jun 30, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. A-3, Upgraded to Aa3 (sf); previously on Jun 30, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-1, Upgraded to Baa2 (sf); previously on Jun 30, 2020
Definitive Rating Assigned Ba2 (sf)

Cl. B-2, Upgraded to Ba3 (sf); previously on Jun 30, 2020
Definitive Rating Assigned B2 (sf)

Cl. M-1, Upgraded to A3 (sf); previously on Jun 30, 2020 Definitive
Rating Assigned Baa3 (sf)

Issuer: Flagstar Mortgage Trust 2019-1INV

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

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

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

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

Cl. B-3, Upgraded to A1 (sf); previously on Oct 30, 2019 Definitive
Rating Assigned Baa1 (sf)

Cl. B-4, Upgraded to Baa2 (sf); previously on Oct 30, 2019
Definitive Rating Assigned Ba1 (sf)

Cl. B-5, Upgraded to Ba2 (sf); previously on Oct 30, 2019
Definitive Rating Assigned B1 (sf)

Issuer: J.P. Morgan Mortgage Trust 2016-2

Cl. A-M, Upgraded to Aaa (sf); previously on Dec 6, 2017 Upgraded
to Aa1 (sf)

Cl. 1-A-2, Upgraded to Aaa (sf); previously on Dec 6, 2017 Upgraded
to Aa1 (sf)

Cl. 2-A-2, Upgraded to Aaa (sf); previously on Dec 6, 2017 Upgraded
to Aa1 (sf)

Issuer: J.P. Morgan Mortgage Trust 2016-5

Cl. A-M, Upgraded to Aaa (sf); previously on Apr 24, 2018 Upgraded
to Aa1 (sf)

Cl. 1-A-2, Upgraded to Aaa (sf); previously on Apr 24, 2018
Upgraded to Aa1 (sf)

Cl. 2-A-2, Upgraded to Aaa (sf); previously on Apr 24, 2018
Upgraded to Aa1 (sf)

Issuer: J.P. Morgan Mortgage Trust 2017-5

Cl. A-2, Upgraded to Aaa (sf); previously on Aug 31, 2018 Upgraded
to Aa1 (sf)

Issuer: J.P. Morgan Mortgage Trust 2020-INV1

Cl. A-14, Upgraded to Aaa (sf); previously on Feb 28, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Feb 28, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Feb 28, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-1-A, Upgraded to Aa1 (sf); previously on Feb 28, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 28, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-2-A, Upgraded to Aa3 (sf); previously on Feb 28, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-3, Upgraded to Baa1 (sf); previously on Feb 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. B-3-A, Upgraded to Baa1 (sf); previously on Feb 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on Feb 28, 2020
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to B1 (sf); previously on Feb 28, 2020 Definitive
Rating Assigned B3 (sf)

Cl. B-5-Y, Upgraded to B1 (sf); previously on Feb 28, 2020
Definitive Rating Assigned B3 (sf)

Issuer: J.P. Morgan Mortgage Trust 2020-LTV1

Cl. A-14, Upgraded to Aaa (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-1-A, Upgraded to Aa1 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-2-A, Upgraded to Aa3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned A3 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Jan 30, 2020 Definitive
Rating Assigned Baa3 (sf)

Cl. B-3-A, Upgraded to A3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned B3 (sf)

Cl. B-5-Y, Upgraded to Ba3 (sf); previously on Jan 30, 2020
Definitive Rating Assigned B3 (sf)

Issuer: OBX 2020-INV1 Trust

Cl. A-14, Upgraded to Aaa (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. A-21, Upgraded to Aaa (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-1A, Upgraded to Aa1 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Jan 30, 2020 Definitive
Rating Assigned A2 (sf)

Cl. B-2A, Upgraded to A1 (sf); previously on Jan 30, 2020
Definitive Rating Assigned A2 (sf)

Cl. B-3, Upgraded to Baa1 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Baa2 (sf)

Cl. B-3A, Upgraded to Baa1 (sf); previously on Jan 30, 2020
Definitive Rating Assigned Baa2 (sf)

RATINGS RATIONALE

The upgrade actions are primarily driven by the increased levels of
credit enhancement available to the bonds. Driven by the low
interest rate environment, these transactions have experienced high
prepayment rates over the last several months. The six-month
average CPR rates ranged between 30% to 60%. High prepayments have
benefited the bonds by increasing the paydown speed and building up
the credit enhancement.

In Moody's analysis Moody's considered the additional risk posed by
borrowers enrolled in payment relief programs. Moody's increased
its MILAN model-derived median expected losses by 15% and Moody's
Aaa losses by 5% to reflect the performance deterioration resulting
from a slowdown in US economic activity due to the COVID-19
outbreak. This loss increase was based on Moody's assessment of the
additional losses if 50% of such loans incur a deferral of the
missed payments or a modification to the loan terms.

Moody's identified loans granted payment relief based on a review
of loan level cashflows over the last few months. In Moody's
analysis, Moody's considered loans that: (1) were not liquidated
but took a loss in the reporting period (to capture loans with
monthly deferrals that were reported as current) or (2) have actual
balances that increased or were unchanged in the reporting period,
excluding interest-only loans and pay ahead loans, to be loans
under a payment relief program. Based on Moody's analysis, the
proportion of borrowers in these pools that have enrolled in
payment relief plans as of May 2021 ranged between 1.47% and
10.77%.

Other than Citigroup Mortgage Loan Trust Inc. 2020-EXP1 (CMLTI
2020-EXP1), these transactions have shifting interest structures
that are generally protected against the risk of permanent interest
shortfalls as principal collections can be redirected to pay
interest. However, given the pervasive financial strains tied to
the pandemic, servicers have been making advances on
non-cash-flowing loans, sometimes resulting in interest shortfalls
due to insufficient funds in subsequent periods when such advances
are recouped. Moody's expect such interest shortfalls to be
reimbursed over the next several months.

CMLTI 2020-EXP1 features a sequential payment structure with an
interest reserve account that will be fully funded at closing by
the sponsor. This interest reserve account can be used to pay
bondholders in the event delinquent loans and the lack of P&I
advancing to cover their payments causes interest shortfalls. In
addition, the excess spread in this transaction can be used to
absorb losses before any excess is released to the sponsor, while
in typical prime and expanded prime structures the excess spread is
absorbed by the interest-only tranches. The combination of the
reserve account and the excess spread substantially mitigate the
risk of shortfalls. As of June 2021, the interest reserve account
is fully funded up to its target of three months of interest
distributions.

Moody's updated loss expectation on the pool incorporates, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicers.

The action reflects the coronavirus pandemic's residual impact on
the ongoing performance of residential mortgage loans as the US
economy continues on the path toward normalization. Economic
activity will continue to strengthen in 2021 because of several
factors, including the rollout of vaccines, growing household
consumption and an accommodative central bank policy. However,
specific sectors and individual businesses will remain weakened by
extended pandemic related restrictions.

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

Principal Methodologies

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.

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

Up

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

Down

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


                            *********

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