Bank 2019-Bnk24

Presale: BANK 2019-BNK24

December 5, 2019

(Editor's Note: Since we published this presale on Dec. 5, 2019, Blue Point's credit enhancement levels were updated in PRIMARY CREDIT ANALYST Appendix II. The total/weighted average in the same table was also updated to reflect these changes.) Cathy Saint Louis New York Preliminary Ratings + 1 (212) 438 4642 cathy.saintlouis @spglobal.com Class(i) Preliminary rating(ii) Preliminary amount ($) CE (%) SECONDARY CONTACT A-1 AAA (sf) 16,763,000 30.000 Natalka H Chevance A-SB AAA (sf) 26,123,000 30.000 New York A-2 AAA (sf) TBD(iii) 30.000 (1) 212-438-1236

A-3 AAA (sf) TBD(iii) 30.000 natalka.chevance @spglobal.com X-A AAA (sf) 815,237,000(iv) N/A

X-B NR 221,278,000(iv) N/A

A-S AA+ (sf) 125,197,000 19.250

B NR 49,496,000 15.000

C NR 46,585,000 11.000

X-D(v) NR 53,864,000(iv) N/A

X-F(v) NR 24,749,000(iv) N/A

X-G(v) NR 11,646,000(iv) N/A

X-H(v) NR 37,850,589(iv) N/A

D(v) NR 30,572,000 8.375

E(v) NR 23,292,000 6.375

F(v) NR 24,749,000 4.250

G(v) NR 11,646,000 3.250

H(v) NR 37,850,589 0.000

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Preliminary Ratings (cont.)

Class(i) Preliminary rating(ii) Preliminary amount ($) CE (%)

RR Interest(vi) NR 61,296,031 N/A

Note: This presale report is based on information as of Dec. 5, 2019. The ratings shown are preliminary. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Accordingly, the preliminary ratings should not be construed as evidence of final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. (i)The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii)Approximate, subject to a permitted variance of plus or minus 5.0%. (iii)The final balances of the class A-2 and A-3 certificates will be determined at final pricing. The aggregate initial certificate balance of the class A-2 and A-3 certificates is expected to be approximately $772.351 million, subject to a variance of plus or minus 5.0%. The class A-2 certificates are expected to have a balance between $250.0 million and $375.0 million, and the A-3 certificates are expected to have a balance between $397.351 million and $522.351 million. (iv)Notional balance. The notional amount of the class X-A certificates will be equal to the aggregate certificate balance of the class A-1, A-SB, A-2, and A-3 certificates. The notional amount of the class X-B certificates will be equal to the aggregate certificate balance of the class A-S, B, and C certificates. The notional amount of the class X-D certificates will be equal to the aggregate certificate balance of the class D and E certificates. The notional amount of the class X-F, X-G, and X-H certificates will be equal to the aggregate certificate balance of the class F, G, and H certificates, respectively. (v)Non-offered certificates. (vi) Non-offered eligible vertical interest. CE--Credit enhancement. NR--Not rated. TBD--To be determined. N/A--Not applicable.

Profile

Expected closing Dec. 19, 2019. date

Collateral Seventy-one commercial mortgage loans with an aggregate principal balance of $1.226 billion ($1.036 billion of offered certificates), secured by the fee and leasehold interests in 104 properties across 19 states.

S&P Global Ratings 87.7% (based on S&P Global Ratings' NCF and weighted average capitalization rate of 7.53%). pooled trust LTV

S&P Global Ratings 2.83x (based on S&P Global Ratings' NCF and the actual debt service payable on the mortgage loans). pooled trust DSC

S&P Global Ratings 11.46% (based on S&P Global Ratings' NCF and the loan balances for the mortgage loans). pooled trust debt yield

Payment structure The transaction is structured to comply with risk retention requirements by way of an eligible vertical residual interest, which includes the class RR interest. The RR interest class provides credit support only to the limited extent that it is allocated a portion of any losses incurred on the underlying mortgage loans. These losses are allocated between the RR interest and the certificates, pro rata, according to their respective percentage allocation entitlements. The total required credit risk retention percentage for this transaction is 5.0%. On each distribution date, interest accrued for each class of certificates at the applicable pass-through rate will be distributed in the following priority, if funds are available: to the class A-1, A-SB, A-2, A-3, X-A, X-B, X-D, X-F, X-G, and X-H certificates, pro rata, based on their respective entitlements to interest for that distribution date, and then to the class A-S, then B, then C, then D, then E, then F, then G, and then H certificates until interest payable to each class is paid in full. Principal payments on the certificates will be distributed to the class A-SB certificates until the balance is reduced to the planned principal balance for that distribution date, and then sequentially to the class A-1, A-2, A-3, A-SB, A-S, B, C, D, E, F, G, and H certificates until each class' balance is reduced to zero. If the class A-S through H certificates' total balance has been reduced to zero, principal payments on the certificates will be distributed to the class A-1, A-2, A-SB, and A-3 certificates, pro rata, based on each class' certificate balance. Losses will be allocated to each class of certificates in reverse alphabetical order starting with the class H certificates through and including the class A-S certificates, and then to the class A-1, A-SB, A-2, and A-3 certificates, pro rata, based on each class' certificate balance. The class X-A certificates' notional amount will be equal to the aggregate certificate balance of the class A-1, A-SB, A-2, and A-3 certificates. The class X-B certificates' notional amount will be equal to the aggregate certificate balance of the class A-S, B, and C certificates. The class X-D certificates' notional amount will be equal to the aggregate certificate balance of the class D and E certificates. The class X-F, X-G, and X-H certificates' notional amount will be equal to the aggregate certificate balance of the class F, G, and H certificates, respectively.

Depositor Banc of America Merrill Lynch Commercial Mortgage Inc.

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Profile (cont.)

Mortgage loan Bank of America N.A.; Morgan Stanley Mortgage Capital Holdings LLC; Wells Fargo Bank N.A.; and sellers National Cooperative Bank N.A.

Master servicer Wells Fargo Bank N.A. and National Cooperative Bank N.A. (for the 32 loans it originated).

Special servicer Midland Loan Services, a Division of PNC Bank N.A. and National Cooperative Bank N.A. (for the 32 loans it originated).

Trustee Wilmington Trust N.A.

Certificate Wells Fargo Bank N.A. administrator

Operating advisor Park Bridge Lender Services LLC. and asset representations reviewer

Risk retention Bank of America N.A. consultation party

LTV--Loan-to-value ratio, which is based on S&P Global Ratings' values. DSC--Debt service coverage. NCF--Net cash flow.

Rationale

The preliminary ratings assigned to BANK 2019-BNK24's commercial mortgage pass-through certificates reflect the credit support provided by the transaction's structure, our view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. S&P Global Ratings determined that the collateral pool has, on a weighted average basis, debt service coverage (DSC) of 2.83x and beginning and ending loan-to-value (LTV) ratios of 87.7% and 85.7%, respectively, based on our values.

The chart shows an overview of the transaction's structure, cash flows, and other considerations.

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Strengths

The transaction exhibits the following strengths:

- The transaction has a strong weighted average S&P Global Ratings' DSC of 2.83x based on actual debt service and, for the partial-term interest-only loans, the debt service due when the interest-only period expires. Nevertheless, the prevailing low interest rate environment influences this DSC, and any increase in interest rates could affect the loans' ability to refinance at maturity. Our DSCs for the pool, excluding the cooperative (co-op) loans, range from 1.13x to 4.43x.

- The pool is somewhat geographically diverse, with 104 properties spread across 19 states. The largest concentration is in New York (49 properties, 49.3% of the pooled trust balance), followed by California (11 properties, 15.8%), and Texas (11 properties, 9.0%). No other state

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accounts for more than 6.0% of the pooled trust balance.

- The transaction has a strong concentration of properties in primary markets, specifically within relatively strong metropolitan statistical areas (MSAs), including New York, Los Angeles, and Washington, D.C. Generally, primary markets have exhibited lower default and loss rates relative to secondary and tertiary markets. Of the pooled trust balance, 74.1% is located in primary markets (as defined by S&P Global Ratings) and 22.6% is in secondary markets. The remaining properties (3.3%) are located in tertiary markets.

- The loan pool has a relatively diverse mix of property types. Of the pooled trust balance, 33.7% is backed by office properties, 27.0% by multifamily properties, 15.3% by lodging properties, 8.6% by co-op properties, 6.3% by retail properties, 5.3% by mixed-use properties, 2.0% by industrial properties, and 1.8% by self-storage properties.

- Eleven loans (27.0% of the pooled trust balance), including three (18.2%) of the top 10 loans in the pool, are secured by multifamily properties. In general, we believe multifamily properties are inherently more stable than other commercial property types because of the essential need for housing and a lower expense ratio relative to other property types. However, the high supply growth rate in recent years in the U.S. could potentially constrain additional growth in rental rates.

- All of the loans in the pool, aside from the co-op loans originated by National Cooperative Bank N.A., have borrowers that are structured as special-purpose entities (SPEs). In addition, 17 loans (representing 73.4% of the pooled trust balance) have borrowers that are structured with at least one independent director, and 16 loans (72.8%), have borrowers that provided the lenders with nonconsolidation opinions, including all of the top 10 loans. However, the borrower's nonconsolidation opinion for the DoubleTree New Orleans (6.0%) does not address the borrower's required post-1031 exchange structure, which is the structure that will be in place for the majority of the loan term. We requested, and did not receive, the draft nonconsolidation opinion that would address the post-1031 exchange structure. Hence, we reduced our LTV recovery threshold at each rating category for this loan.

- Aside from the co-op loans originated by National Cooperative Bank N.A. and two additional loans, 37 of the loans (90.5%) have some form of lockbox: 11 loans (50.4%) are structured with a hard lockbox, 22 loans (27.6%) with springing lockboxes, and four loans (12.5%) have soft lockboxes. Four loans (17.4%) have in-place cash management. Thirty-three loans (73.0%) are structured with springing cash management. Two loans (0.7%) have no cash management and no lockbox provisions.

- Seventeen loans (34.6% of the pooled trust balance) represent acquisition or acquisition/recapitalization financing. Although some of these loans have limited operating data due to their recent acquisition, the loans benefit from the recent equity contribution by their sponsors. The weighted average LTV ratio for these loans, based on the appraiser's "as is" value, was 44.1%, reflecting average equity contribution of 55.9% for these loans.

- Seven loans (23.1% of the pooled trust balance) are secured by multiple properties, ranging from two to 11 properties, which may lessen their net cash flow (NCF) volatility. However, some of these portfolio loans include properties located within the same city or state, which limits their geographic diversification. Additionally, six of the loans (19.4%) allow for property releases, subject to various conditions, which may reduce the diversity benefit from these loans.

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Risk Considerations

We considered these risks when analyzing this transaction:

- The transaction has moderately high leverage, with a weighted average LTV ratio of 87.7% based on S&P Global Ratings' values. The LTV was one of the primary factors in S&P Global Ratings' derivation of credit enhancement levels for this transaction.

- The transaction has a moderate level of diversity by loan balance, with an effective loan count (as measured by the Herfindahl Index) of 23.1. The 10 largest loans represent 59.3% of the pooled trust balance. More diversified transactions can be less susceptible to volatility in default and loss rates due to their reduced exposure to loan-related event risk, such as lease rollover, tenant bankruptcy, or changes in local market conditions. The effective loan count was one of the key factors in our derivation of credit enhancement for this transaction.

- Thirty loans (75.2% of the pooled trust balance) are interest-only for their entire loan terms, including nine of the top 10 loans (54.2%). The interest-only loans have a high weighted average S&P Global Ratings LTV ratio of 90.3%, and nine loans (26.5%) have LTV ratios over 100%. Seven loans (11.2%) have a partial interest-only period, including one of the top 10 loans (Austin Marriott Portfolio; 5.1%), and 34 loans in the pool (13.7%) are structured as amortizing loans. The transaction is scheduled to amortize 4.0% through maturity. S&P Global Ratings considered loan amortization characteristics when assigning credit enhancement levels to the individual loans and the transaction, and we made an additional pool-level adjustment to our credit enhancement levels to account for the high concentration of full-term interest-only loans.

- The loan pool has relatively high exposure to office collateral (33.7% of the pooled trust balance). Of the pooled trust balance, 24.6% is backed by central business district (CBD) office properties, and 9.1% is backed by suburban office properties, which generally exhibit higher default and loss rates relative to CBD office properties.

- Five loans (15.3% of the pooled trust balance) are secured by lodging assets. S&P Global Ratings considers lodging properties among the riskiest property types because their pricing structure changes daily, they have a significant underlying operating business, and they have a higher expense ratio relative to other property types. Additionally, the lodging properties in this transaction have a high S&P Global Ratings weighted average LTV ratio of 104.6%. We visited five lodging properties (5.1% of the pooled trust balance), all from the Austin Marriott Portfolio.

- Fourteen properties (8.2% of the pooled trust balance) are leased to a single tenant. The largest of these is Park Tower at Transbay (4.1%), a newly constructed class-A, pre-certified Leadership in Energy and Environmental Design (LEED) Gold, 43-story office building, located in downtown San Francisco, which is 100% leased to Facebook Inc. through February 2033 (269,814 sq. ft.) and February 2034 (486,100 sq. ft.). The other 13 properties account for 4.1% of the pool balance and, like the largest loan, five additional properties (2.2%) have lease terms which extend beyond their loan's maturity.

- Six loans (6.3% of the pooled trust balance) are secured by retail assets. The U.S. retail sector has been facing numerous challenges over the past several years given the continued growth of e-commerce, increasing consumer price sensitivity due to stagnating wage growth, and changing consumer tastes. These trends have resulted in declining sales, store closures, and smaller average store sizes for many national retailers. However, brick-and-mortar retail stores in well-situated class-A malls and within shopping centers, as well as freestanding properties that are located in infill locations near major transportation nodes and in areas with strong

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demographic profiles, continue to prosper. Low supply growth in recent years may help keep vacancy levels at their currently low levels and boost rent growth. One of the six retail loans (0.4% of the pooled trust balance) is secured by a property located in a tertiary location and two of the loans are considered unanchored retail loans (0.7%).

- Seven loans (26.3% of the pooled trust balance) do not have warm-body carve-out guarantors. In our view, this limitation generally lessens the disincentive provided by a typical nonrecourse carve-out related to "bad boy" acts or voluntary bankruptcy.

- Seven loans in the pool (38.4% of the pooled trust balance) have a pari passu component. Not including co-op loans, two loans (16.3%) have subordinate companion notes (these were securitized in separate stand-alone transactions), one loan (2.0%) has subordinate secured debt in the form of a B-note, and one loan (6.0%) has unsecured debt. In addition, two loans (9.1%) permit the borrower to incur future mezzanine debt.

- The transaction documents include provisions for the transaction parties to seek rating agency confirmation (RAC) that certain actions will not result in a downgrade or withdrawal of the then-current ratings on the securities. The definition of RAC in the transaction documents includes an option for the transaction parties to deem their RAC request satisfied if, after having delivered a RAC request, the transaction parties have not received a response to the request within a certain period of time. We believe it is possible for a situation to arise where an action subject to an RAC request would cause us to downgrade the securities according to our ratings methodology, even though an RAC request is deemed to be satisfied pursuant to this option.

Pool Characteristics

Collateral description

The pool contains 71 loans that are secured by first-mortgage liens on the fee and leasehold interests in 104 properties. The top five and 10 loan concentrations represent 36.8% and 59.3% of the pooled trust balance, respectively. (See table 10 for a detailed description of the 10 largest loans in the pool.)

Property type distribution

The top two property types in the pool are office assets, which account for 33.7% of the pooled trust balance, and multifamily assets, which account for 27.0% (see table 1).

Table 1

Property Type Composition

No. of Pooled trust % of pooled Weighted average S&P Weighted average S&P Type(i) loans balance (mil. $) trust balance Global Ratings' LTV (%) Global Ratings' DSC (x)

Office 10 413.3 33.7 93.7 2.22

Multifamily 11 330.7 27.0 85.6 2.29

Lodging 5 187.5 15.3 104.6 1.99

Co-op 31 105.5 8.6 20.8 9.62

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Table 1

Property Type Composition (cont.)

No. of Pooled trust % of pooled Weighted average S&P Weighted average S&P Type(i) loans balance (mil. $) trust balance Global Ratings' LTV (%) Global Ratings' DSC (x)

Mixed-use 4 64.5 5.3 107.9 1.62

Retail anchored 3 64.0 5.2 100.9 1.86

Industrial 1 25.1 2.0 62.6 4.43

Self-storage 3 22.3 1.8 102.8 2.24

Retail unanchored 2 8.4 0.7 105.7 1.28

Single tenant – 1 4.6 0.4 104.3 1.96 non-IG

Total/weighted 71 1,225.9 100.0 87.7 2.83 Average

(i)Based on S&P Global Ratings' classification. LTV--Loan-to-value. DSC--Debt service coverage. IG--Investment grade.

Geographic distribution

The pool consists of properties that are located in 19 states. Of these properties, 74.1% (by pooled trust balance) are located in three states: New York, California, and Texas. The top five states represent 85.6% of the pooled trust balance.

As part of our property analysis, we classify the MSA in which each property is located as primary, secondary, or tertiary. Generally, primary markets have higher barriers to entry than secondary and tertiary markets. The nature of each market type affects capitalization rates and valuation dynamics, and can influence the timing and amount of liquidation proceeds if a mortgage loan is foreclosed. (See table 2 for the pool's distribution by state and market type.)

Table 2

Geographic Concentrations

Market type (%)

State Pooled trust balance (mil. $) No. of properties Primary Secondary Tertiary

New York 604.1 49 100.0 - -

California 193.5 11 92.7 7.3 -

Texas 110.8 11 41.5 56.2 2.3

Louisiana 74.0 1 - 100.0 -

Maryland 66.8 2 100.0 - -

Nevada 40.5 2 - 100.0 -

Pennsylvania 30.9 8 - 62.2 37.8

Florida 24.4 2 - 90.2 9.8

Oklahoma 18.7 3 - 70.1 29.9

Illinois 13.6 2 42.1 57.9 -

Other States - 9 48.6 13 12.1 50.0 37.9

Total 1225.9 104 74.1 22.6 3.3

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Borrower concentration

The largest borrower sponsors in the pool are Mitsui Fudosan America Inc. (Mitsui); The Related Companies L.P. (Related); OP Olympic Capital Corp (U.S.) Inc. (one loan; 8.2% of the pooled trust balance); Tishman Speyer Crown Equities 2007 LLC (one loan; 8.2%); and Isaac Chetrit, Eli Chetrit, Raizada Vaid, Jacob Aini (one loan; 8.2%).

Two groups of loans have related borrower-sponsors:

- Joseph Daneshgar is the sponsor for Diplomat Apartments and Yarmouth Apartments, which account for 2.4% of the pooled trust balance combined; and

- David Israeli is the sponsor for 325-329 Third Avenue and 3800 Broadway, which account for 3.0% of the pooled trust balance combined.

Single-tenant properties

There are 14 properties in five loans (8.2% of the pooled trust balance) that are backed by properties that are leased to a single tenant. The largest of these is Park Tower at Transbay (4.1%), a newly constructed class-A, pre-certified LEED Gold, 43-story office building, located in downtown San Francisco, which is 100% leased to Facebook Inc. through February 2033 (269,814 sq. ft.) and February 2034 (486,100 sq. ft.). The other 13 properties account for 4.1% of the pooled trust balance and, like the largest loan, five additional properties (2.2%) have lease terms that exceed the loan's maturity date, while the remainder of the properties have leases that expire before the loan matures (see table 3).

Table 3

Single-Tenant Properties

Tenant S&P Global Ratings' credit Pooled trust % of pooled Lease expiration Property Tenant rating balance (mil. $) trust balance date

Park Tower at Facebook Inc. NR 50.0 4.1 2/28/2033 Transbay

Blue Point Blue Point Brewing A-(i) 16.7 1.4 6/8/2032 Company

Aston Center Giant NR 4.9 0.4 11/30/2025

Walgreens Franklin Walgreens BBB 4.6 0.4 10/31/2086

1800 Union Airpark Procter & Gamble AA- 4.3 0.4 10/31/2024 Boulevard

4237-4255 Anson Amazon AA- 3.3 0.3 4/30/2021 Boulevard

5000 Commerce Amazon AA- 3.2 0.3 9/30/2027 Way

5142 & 5148 North SKF USA NR 2.8 0.2 10/31/2038 Hanley Road

945 Monument Subaru of America NR 2.3 0.2 5/31/2024 Drive Distribution

2801 Airwest Whirlpool Corp. BBB 2.0 0.2 1/31/2024 Boulevard

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Table 3

Single-Tenant Properties (cont.)

Tenant S&P Global Ratings' credit Pooled trust % of pooled Lease expiration Property Tenant rating balance (mil. $) trust balance date

20 Logistics Cummins Inc. A+ 1.9 0.2 10/31/2021 Boulevard

5500 Southeast The Toro Co. BBB 1.5 0.1 10/31/2034 Delaware Avenue

16101 Queens Court La-Z-Boy Inc. NR 1.4 0.1 1/31/2031

5 Logistics Drive Transamerica Auto NR 0.9 0.1 3/31/2025 Parts

Total 99.9 8.2

(i)The lease is guaranteed by Anheuser-Busch LLC, the North American consolidated subsidiary of Belgium-based parent company Anheuser-Busch InBev, which is rated "A-/Stable" by S&P Global Ratings. NR--Not rated.

Loan Characteristics

Loan type, origination date, term, and amortization

All of the loans in the pool pay a fixed interest rate and were originated between April 2019 and November 2019. The weighted average loan interest rate is 3.54%.

The original loan terms range from 114 to 120 months, with a weighted average original loan term of 119.9 months. The weighted average remaining loan term is 119.2 months.

Thirty loans (75.2% of the pooled trust balance) are interest-only, of which, one loan (4.1%) is interest-only followed by an anticipated repayment date (ARD), and seven (11.2%) are structured with partial interest-only periods followed by a 360-month amortization schedule. The partial interest-only loans have initial interest-only periods ranging from 24 to 60 months. There are 34 amortizing balloon loans (13.7%) and they amortize on a 240- to 480-month schedule. S&P Global Ratings adjusted its analysis to reflect the various amortization terms and loan structures (see table 4).

Table 4

Loan Amortization

% of pool S&P Global Ratings' S&P Global Ratings' weighted average Loan type No. of loans balance DSC (x) LTV ratio (x)

Interest only(i) 30 75.2 2.55 90.3

Partial interest only 7 11.2 1.50 105.4

Amortizing balloon 34 13.7 5.47 58.8

Fully amortizing ------

(i)Includes an interest-only loan, which changes to an ARD loan. LTV--Loan to value. ARD--Anticipated repayment date.

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Subordinated debt

Not including co-op loans, seven loans in the pool (38.4% of the pooled trust balance) have a pari passu component, two loans (16.3%) have subordinate companion notes (these were securitized in separate stand-alone transactions), one loan (2.0%) has subordinate secured debt in the form of a B-note, and one loan (6.0%) has unsecured debt. In addition, two loans (9.1%) permit the borrower to incur future mezzanine debt (see table 5).

Twenty-three of the co-op loans (6.6%), originated by National Cooperative Bank, have existing lines of credit debt ranging from $100,000 to $1.0 million, and they can incur future unsecured or secured debt, subject to lender consent if they exceed a certain threshold, ranging from $50,000 to $500,000.

Table 5

Loans With Existing Additional Debt(i)

Pooled trust % of pooled Pari passu Junior B-note Unsecured balance (mil. trust debt (mil. trust note balance /Mezzanine Total debt Property $) balance $) (mil. $) (mil. $) balance (mil. $) (mil. $)

55 Hudson 100.0 8.2 845.0 300.0 - - 1,245.0 Yards

Jackson Park 100.0 8.2 450.0 450.0 - - 1,000.0

1412 Broadway 100.0 8.2 110.0 - - - 210.0

DoubleTree 74.0 6.0 - - - 0.8 74.8 New Orleans

The Parklawn 65.4 5.3 196.2 - - - 261.6 Building

Park Tower at 50.0 4.1 500.0 - - - 550.0 Transbay

Giant Anchored 30.0 2.4 67.0 - - - 97.0 Portfolio

ILPT Industrial 25.1 2.0 189.3 - 135.6 - 350.0 Portfolio

(i)Excludes the lines of credit for National Cooperative Bank N.A. loans ranging from $100,000 to $1.0 million.

Cross-collateralized and portfolio loans

Seven loans (23.1% of the pooled trust balance) are secured by portfolios with multiple properties. The three largest are Bronx Multifamily Portfolio II (6.3%; nine multifamily properties), Austin Marriott Portfolio (5.1%; five lodging properties), and West LA Multifamily Portfolio (3.7%; three multifamily properties). There are no cross-collateralized and cross-defaulted loans in the pool.

Third-Party Review

We reviewed appraisal, environmental, engineering, and seismic reports on the properties we analyzed, where applicable. All of these reports were completed within the past 12 months (see table 6).

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Eleven properties (15.8% of the pooled trust balance) are located in seismic zone 4. The loan with the highest overall probable maximum loss (PML) of 19% is Diplomat Park Apartments (1.7%). The remaining properties in seismic zone 4 had PMLs of 18% or lower, and none of the properties are required to carry earthquake insurance.

Table 6

Third-Party Review

Third-party reports No. of properties % of pooled trust balance

Appraisal review within the past 12 months 104 100.0

Environmental review within the past 12 months 103 99.8

Engineering review within the past 12 months 104 100.0

Seismic review for properties in zones 3 or 4 11 15.8

Structural Review

We reviewed structural matters that we believe are relevant to our analysis, as well as the major transaction documents, including the prospectus, pooling and servicing agreement, and other relevant documents and opinions, to understand the transaction's mechanics and its consistency with applicable criteria. We also conducted a focused structural review of the 10 largest loans in the pool. We note the structural matters, if any, that we factored into our analyses of these loans in the Top 10 Loans section below.

S&P Global Ratings' Credit Evaluation

Our analysis of the pool included the following:

- We derived an S&P Global Ratings NCF for 24 of the 71 loans in the pool (81.3% of the pooled trust balance). For the remaining loans, we extrapolated NCF haircuts according to property type and selected capitalization rates for each property. We excluded certain outlier loans from our extrapolation calculation. (See Appendix I for S&P Global Ratings' NCF variance applied to each loan in the transaction.)

- We conducted site inspections for fourteen properties across six loans (37.6% of the pooled trust balance).

- We analyzed the property-level operating statements, rent rolls, and third-party appraisal, environmental, engineering, and, if applicable, seismic reports, for each loan that we reviewed in the pool.

- We reviewed structural matters that we considered relevant to the analysis of the loans and the transaction, and we performed a loan-level structural analysis for the 10 largest loans in the pool.

S&P Global Ratings' NCF variance

S&P Global Ratings' property-level cash flow analysis derives what it believes to be a property's long-term sustainable NCF. In our analysis, we considered issuer-provided projections, historical and projected operating statements, third-party appraisal reports, relevant market data, and

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assessments of the various properties' competitive positions. On a pool-wide basis, our weighted average NCF was 13.9% lower than the issuer's underwritten NCF. (See Appendix I for S&P Global Ratings' NCF variance for each loan.)

S&P Global Ratings' DSC

We calculated the pool's 2.83x DSC using the respective loans' contract interest rate and the S&P Global Ratings NCF (see table 7).

Table 7

S&P Global Ratings' DSC Range

DSC range (x) No. of loans Loan balance (mil. $) % of pooled trust balance

Less than 1.00 - - -

1.00–1.10 - - -

1.10–1.20 1 16.7 1.4

1.20–1.30 1 5.9 0.5

1.30–1.40 3 44.9 3.7

1.40–1.50 3 12.3 1.0

1.50–1.60 3 42.8 3.5

1.60–1.70 4 272.5 22.2

1.70–1.80 3 39.9 3.3

1.80–1.90 1 45.8 3.7

1.90–2.00 4 63.9 5.2

Greater than 2.00 48 681.2 55.6

DSC--Debt service coverage.

S&P Global Ratings' LTV

Based on our analysis, S&P Global Ratings' weighted average beginning LTV ratio is 87.7% and its ending LTV ratio is 85.7%, which reflects the 7.53% weighted average S&P Global Ratings capitalization rate (see table 8).

Table 8

S&P Global Ratings' LTV Ratios

LTV ratio range (%) No. of loans Loan balance (mil. $) % of pooled trust balance

Less than 50 31 105.5 8.6

50–55 - - -

55–60 1 100.0 8.2

60–65 2 28.2 2.3

65–70 - - -

70–75 1 50.0 4.1

75–80 1 100.0 8.2

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Table 8

S&P Global Ratings' LTV Ratios (cont.)

LTV ratio range (%) No. of loans Loan balance (mil. $) % of pooled trust balance

80–85 3 44.5 3.6

85–90 2 22.9 1.9

90–95 9 162.8 13.3

95–100 5 120.9 9.9

100–105 6 110.7 9.0

105–110 5 212.8 17.4

Greater than 110 5 167.5 13.7

LTV--Loan to value.

S&P Global Ratings' credit assessment by property type

Table 9 summarizes S&P Global Ratings' NCF and valuation assessment by property type.

Table 9

Cash Flow Analysis And Valuation

S&P Global S&P Global % of pooled S&P Global S&P Global Ratings' weighted Ratings' value trust Ratings' DSC % NCF Ratings' cap average LTV ratio per unit/sq. ft. Property type balance (x)(i) diff.(ii) rate (%) (%) ($)

Office 33.7 2.22 (16.1) 7.17 93.7 522

Multifamily 27.0 2.29 (11.0) 6.72 85.6 297,462

Lodging 15.3 1.99 (20.4) 9.74 104.6 155,634

Co-op 8.6 9.62 (5.0) 7.00 20.8 283,353

Mixed-use 5.3 1.62 (13.0) 7.52 107.9 207,889

Retail anchored 5.2 1.86 (12.5) 8.05 100.9 145

Industrial 2.0 4.43 (12.3) 7.53 62.6 42

Self-storage 1.8 2.24 (13.3) 8.35 102.8 75

Retail unanchored 0.7 1.28 (12.9) 8.32 105.7 221

Single tenant - non 0.4 1.96 (12.9) 8.25 104.3 301 IG

Total/weighted 100.0 2.83 (13.9) 7.53 87.7 - average

(i)Calculated based on S&P Global Ratings' NCF and the fixed loan interest rate. (ii)The difference between S&P Global Ratings' estimated NCF and the underwriter's estimated NCF as a percentage of the underwriter's estimated NCF. DSC--Debt service coverage. NCF--Net cash flow. LTV--Loan to value. IG--Investment grade.

S&P Global Ratings' credit assessment of the top 10 loans

Table 10 summarizes S&P Global Ratings' NCF and valuation assessment of the top 10 loans. We

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provide individual analyses of these loans in the Top 10 Loans section below.

Table 10

Top 10 Loans

S&P Global % of pooled S&P Global S&P Global S&P Global Ratings' value Property trust Ratings' trust % NCF Ratings' cap Ratings' LTV per unit/sq. ft. Property type balance DSC (x)(i) diff.(ii) rate (%) (%) ($)

55 Hudson Yards Office 8.2 2.69 (24.1) 6.25 75.0 880

Jackson Park Multifamily 8.2 3.29 (15.9) 6.25 57.6 510,339

1412 Broadway Office 8.2 1.61 (16.3) 7.00 121.0 412

Bronx Multifamily Multifamily 6.3 1.67 (9.7) 7.00 106.5 137,404 Portfolio II

DoubleTree New Lodging 6.0 2.49 (19.4) 9.25 95.7 210,695 Orleans

The Parklawn Office 5.3 2.33 (13.2) 7.50 90.3 226 Building

Austin Marriott Lodging 5.1 1.69 (25.3) 9.88 107.7 96,065 Portfolio

Galleria 57 Office 4.2 2.19 (10.3) 7.67 103.9 279

Park Tower at Office 4.1 2.56 (12.6) 7.00 71.7 1,004 Transbay

West LA Multifamily 3.7 1.89 (3.1) 6.25 94.0 507,705 Multifamily Portfolio

Total/weighted - 59.3 2.28 (15.9) 7.32 91.6 - average

Table 11 summarizes S&P Global Ratings' NCF and valuation assessment of loans 11-20. For these loans, our weighted average NCF is 12.3% lower than the issuer's underwritten NCF. S&P Global Ratings' weighted average beginning LTV ratio is 99.2% for these loans, and we calculated a 2.09x DSC using the respective loans' contract interest rates and S&P Global Ratings' NCF.

Factors that contributed to NCF variances, or high S&P Global Ratings' LTV ratios are outlined in table 11. (See Appendix I for S&P Global Ratings' NCF variance, LTV ratio, and DSC ratio for all of the loans in the transaction.)

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Table 11

Loans 11-20

S&P S&P S&P Global % of Global Global S&P Ratings' NCF variance/high pooled Ratings' Ratings' Global value per S&P Global Property trust trust DSC % NCF cap rate Ratings' unit/sq. Ratings' LTV Property type balance (x)(i) diff.(ii) (%) LTV (%) ft. ($) drivers

Hampton Inn & Lodging 2.7 1.70 (13.8) 10.00 115.0 176,370 RevPAR Suites - John Wayne Airport

Giant Anchored Retail 2.4 1.36 (10.3) 8.25 107.3 165 Vacancy, Portfolio anchored management fees, TI/LC

Baytown Multifamily 2.4 1.99 (12.6) 7.75 107.7 56,875 Vacancy, collection Multifamily loss and Portfolio concessions, capex

Hualapai Retail 2.1 2.41 (14.6) 7.75 95.9 108 GPR, vacancy, Commons anchored expense reimbursements, management fees

ILPT Industrial Industrial 2.0 4.43 (12.3) 7.53 62.6 42 Vacancy, OPEX Portfolio ratio, capex

One Palm Multifamily 1.8 1.99 (12.4) 7.00 84.1 189,560 Management fees, Apartments ground rent

Diplomat Park Multifamily 1.7 2.26 (7.3) 7.00 89.8 188,625 Management fees, Apartments capex

325-329 Third Mixed-use 1.6 1.74 (8.0) 7.33 104.6 429,066 Vacancy Avenue

Blue Point Mixed-use 1.4 1.13 (21.7) 7.50 103.7 224 GPR, TI/LC

3800 Broadway Mixed-use 1.3 1.57 (10.2) 7.45 120.0 296,275 Vacancy, management fee, capex

Total/weighted - 19.5 2.09 (12.3) 7.90 99.2 - N/A average

(i)Calculated based on S&P Global Ratings' NCF and the fixed loan interest rate. (ii)The difference between S&P Global Ratings' estimated NCF and the underwriter's estimated NCF as a percentage of the underwriter's estimated NCF only. For pari passu loans, S&P Global Ratings' DSC and LTV are based on the trust and pari passu balance. DSC--Debt service coverage. NCF--Net cash flow. LTV--Loan to value. Capex--Capital expenditure. OPEX--Operating expense ratio. TI/LC--Tenant improvements and leasing commissions. RevPAR--Revenue per available room. GPR—Gross potential rent.

Loan-level credit enhancement

We used each loan's S&P Global Ratings DSC and LTV to calculate its respective stand-alone credit enhancement (SCE) and diversified credit enhancement (DCE) at the various rating categories. These calculations included adjustments to reflect the various loans' amortization terms and the presence of any subordinated additional debt. (See Appendix II for a list of each loan's SCE and DCE.)

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Pool diversity

Overall transaction credit enhancement levels at each rating category are directly affected by the loan pool's diversity, a function of the transaction's effective loan count. The effective loan count, which is measured by the Herfindahl-Hirschman Index, accounts for the relative size of the loans in the pool by normalizing a transaction's loan count to account for unevenly sized loans. This transaction has an effective loan count of 23.1, which we consider is moderately diversified, resulting in a concentration coefficient of 57.7%.

We also considered the loan pool's geographic makeup in our overall transaction-level analysis. This loan pool is somewhat geographically diverse and is located primarily within primary markets (74.1%) and secondary markets (22.6%).

Transaction-level credit enhancement

We establish transaction-level credit enhancement levels using the concentration coefficient (a function of a pool's effective loan count) to interpolate between the weighted average SCE and DCE at each rating category, subject to applicable floors and any adjustment for overall transaction-level considerations.

In our opinion, this transaction's high percentage of full-term interest-only loans warranted an additional negative qualitative adjustment beyond that produced from our loan-level analysis and model results.

Scenario Analysis

We performed several 'AAA' stress scenario analyses to determine how sensitive the certificates are to a downgrade over the loan term.

Effect of declining NCF

A decline in NCF may constrain cash flows available for debt service. A decline in cash flows may occur due to falling rental rates and occupancy levels, changes to operating expenses, or other factors that may decrease a property's net income. To analyze the effect of a decline in cash flows on our ratings, we have developed scenarios whereby the NCF from the portfolio decreases by 10%-40% from our current cash flow, which is 13.9% lower than the issuer's underwritten NCF. (See table 12 for the potential effect on S&P Global Ratings' 'AAA' rating under these scenarios, holding constant S&P Global Ratings' overall capitalization rate of 7.53%.)

Table 12

Effect Of Declining NCF On S&P Global Ratings

Decline in S&P Global Ratings' NCF (%) 0 -10 -20 -30 -40

Potential 'AAA' rating migration AAA A+ BB- CCC CCC-

NCF--Net cash flow.

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Top 10 Loans

1. 55 Hudson Yards

Table 13

Credit Profile

Loan no. 1 Property type Office

Loan name 55 Hudson Yards Subproperty type CBD

Pooled trust loan 100,000,000 Property sq. ft./no. of units 1,431,212 balance ($)

% of total pooled trust 8.2 Year built/renovated 2018 balance (%)

City New York Sponsor Mitsui Fudosan America Inc.; The Related Companies L.P.; and OP Olympic Capital Corp (U.S.) Inc.

State NY S&P Global Ratings' amortization Interest only category

S&P Global Ratings' Primary S&P Global Ratings' amortization (2.50) market type adjustment (%)

S&P Global Ratings' 8,040,000(i) S&P Global Ratings' subordinate N/A NCF ($) debt category

S&P Global Ratings' (24.09) S&P Global Ratings' subordinate N/A NCF variance (%) debt adjustment

S&P Global Ratings' 6.25 S&P Global Ratings' LTV (%) 75.0(ii) cap rate (%)

S&P Global Ratings' 133.3(i) S&P Global Ratings' DSC (x) 2.69(ii) value (mil. $)

S&P Global Ratings' (47.5) 'AAA' SCE (%) 40.0 value variance (%)

S&P Global Ratings' 880 'AAA' DCE (%) 8.0 value per sq. ft./unit ($)

(i)Pari passu adjusted. (ii)The loan is pari passu; LTV and DSC calculated based on the $845.00 million pari passu companion loan and the $100.00 million pooled trust loan balance (collectively, the senior loan component). CBD--Central business district. NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. N/A--Not applicable.

Strengths and concerns

The loan exhibits the following strengths:

- The senior loan component has low leverage, with an S&P Global Ratings' LTV ratio of 75.0%, based on our valuation. The LTV ratio based on the appraiser's "as-is" valuation is 39.4%. Our estimate of long-term sustainable value is 47.5% lower than the appraiser's "as-is" valuation.

- The senior loan component has a strong DSC of 2.69x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 24.1% lower than the issuer's NCF.

- The loan is secured by a newly constructed, 51-story, 1.4 million-sq.-ft., class-A,

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trophy-quality, office tower located within the Hudson Yards Development in Manhattan, N.Y. The property was completed in 2018 and recently achieved LEED Gold certification. The property is located on a full city block at 11th Avenue between 33rd and 34th Streets, directly adjacent to the no. 7 subway station at 34th Street. Additionally, the property is prominently located within Hudson Yards with access to the various neighborhood amenities, including the Shops & Restaurants at Hudson Yards, the Vessel, The Shed, the High Line, and other retail options and attractions.

- The property offers several amenities to prospective office users, such as a destination dispatch elevator system, biometric access within the office lobby, floor-to-ceiling glass windows, column-free space allowing tenants to maximize the expansive floor plates, a terrace that wraps around the 10th floor overlooking the new Hudson Park and Boulevard, and private terraces throughout the office component that were constructed for tenants upon request.

- The property is located in a primary market, within the Penn Station submarket of New York City, according to CBRE Econometrics (CBRE-EA). As of third-quarter 2019, the class-A office submarket availability rate was 10.2%, with an average gross rental rate of $79.70 per sq. ft. Per CoStar, the Penn Plaza/Garment District submarket exhibited a 10.5% vacancy rate for four- to five-star office properties and an average rent of $83.02 per sq. ft. The appraiser classifies the submarket as the Far West Side submarket of Manhattan, with an availability rate of 12.2% and an average rental rate of $108.47 per sq. ft. The property is 97.3% leased. We assumed an 8.0% vacancy rate in our analysis to factor in market conditions.

- The loan benefits from the property's location within the Hudson Yards development, one of the largest private real estate development projects in U.S. history. Upon completion, Hudson Yards is expected to include more than 18 million sq. ft. of commercial and residential space, along with more than 100 shops, a collection of restaurants, approximately 4,000 residences, affordable housing, The Shed, 14 acres of public open space, a 750-seat public school, and the Equinox Hotel with 212 guestrooms.

- The property is 97.3% leased to 21 unique tenants across the finance, technology, law, consulting, and healthcare industries. The property is expected to experience limited roll during the loan term, as the tenant roster has a weighted average remaining lease term of approximately 13.7 years. The largest tenants are Point72 Asset Management (Point72; 23.2% of the net rentable area (NRA); 21.1% of base rent as calculated by S&P Global Ratings), Milbank LLP (20.1%; 17.3%), Cooley LLP (10.2%; 10.8 %), Boies, Schiller & Flexner (7.7%; 6.6%) and Third Point Management (6.2%; 8.3%).

- The property benefits from the joint venture sponsorship of Related; OP Olympic Capital Group U.S. Inc., an affiliate of Oxford; and Mitsui. Related, founded in 1972, is a privately owned real estate firm in the U.S. that owns and manages a portfolio of assets valued at over $60 billion, including the 28-acre Hudson Yard neighborhood development on Manhattan's West Side. Oxford Properties Group, comprising of Oxford and its affiliates, is the real estate investment arm of OMERS, one of Canada's largest pension plans. OMERS, established in 1962, is the defined benefit pension plan for Ontario's municipal employees. Oxford Properties Group comprising of Oxford and its affiliates, manages over $58 billion of office, retail, industrial, hotel, and multifamily assets across the globe. Mitsui is the U.S. subsidiary of Japan's largest real estate company, Mitsui Fudosan Co. Ltd., a company with approximately $60 billion in assets.

- We visited the property on Oct. 10, 2019, accompanied by representatives of the sponsors and found the property warranted its class-A trophy designation. We toured the major tenant floors, including Point72, Milbank LLP, and Cooley LLP. While tenants have reportedly spent a considerable amount of money in the buildout of their space in addition to their tenant

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improvement (TI) allowance, the Point72 spaces were particularly impressive. Point72 invested a significant amount ($218 per sq. ft., in addition to the $90 per sq. ft. TI allowance), providing visual technology global screens, tickers, and new visual media. The tenant also benefits from a private outdoor terrace on the 10th floor with tables and benches. Overall, the property has two major lobby entrances and provides excellent views of the surrounding area, including the Hudson River and Hudson Park.

- The loan is structured with a hard lockbox and springing cash management, which allows the borrower to control funds until a loan event of default (EOD) or a debt yield of 6.00% is breached. At that point, the borrower will be required to maintain monthly tax, insurance escrows, replacement reserves, and TI/LC (tenant improvement and leasing commission) deposits. The remaining cash flow will be held as additional collateral for the loan. During a cash management event, all excess cash flow will be deposited into a lender-controlled account. The loan is also structured with an upfront TI/LC reserve of $49.7 million and $11.5 million for outstanding landlord obligations relating to office free rent.

The loan exhibits the following concerns and mitigating factors:

- The $100.0 million pooled trust loan, along with the $845.0 million pari passu portion held outside the trust, represents a total $945.0 million senior loan component of a $1.245 billion whole loan. The remaining $300.0 million junior non-trust note is held outside the trust and is the controlling piece of the whole loan, and increases our LTV ratio to 98.84% from 75.00%.

- The loan is interest-only for its entire 10-year term. We reduced our LTV recovery thresholds at each rating category to account for the higher refinancing risk at loan maturity compared to an amortizing loan.

- Based on the current rent roll--tenants pay an average of $96.50 per sq. ft. in base rent, including reimbursements and direct-billed utilities--the gross rent equates to $102.21 per sq. ft., as calculated by S&P Global Ratings. In our view, this is a full rent, considering comparable leases in Hudson Yards and across similar trophy-quality properties in Manhattan. Therefore, we did not include any future real estate tax reimbursements in our derivation of long-term sustainable NCF for the property.

- While the Point72 lease (332,283 sq. ft.; 21.1% of gross rent as calculated by S&P Global Ratings), ends in April 2034, upon the 10th anniversary of the initial rent commencement date, the tenant has a one-time option to terminate either some or all of its lease, subject to a 15-month notice period and the payment of a fee of the unamortized portion of allowances, commissions, and free rent with respect to the terminated premises. Additionally, Point72 has signed a sublease for the entire third floor (31,246 sq. ft.) space it leases to Elite World Group LLC. It has an expected sublease commencement date of February 2020, a five-year term and an annual rate of $90.00 per sq. ft. Point72 also subleases 11,844 sq. ft. of its space to Light Sky Macro LP, with a sublease expiration of August 2029 at a rate of $99.00 per sq. ft. As noted above, Point72 spent a considerable amount of money in the buildout of their space in addition to their TI allowance. Nevertheless, we assumed an 8.0% vacancy rate in our analysis to factor in the potential for additional vacancy.

- The property is subject to a payment in-lieu of taxes (PILOT) program with the New York City Industrial Development Agency. The PILOT payment is currently based on a transitional assessed value, which is considered significantly below market levels. The PILOT payment during the first four years is equal to 70.3% of the taxable assessed value; in years five through 15, the payment is based on 103.0% of the prior year's PILOT; and in years 16 through 20, the PILOT is based on the greater of 103.0% of the prior year's PILOT, and 76.3% of the assessed value in year 16, 82.2% in year 17, 88.1% in year 18, 94.1% in year 19, and 100% in year 20. We

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assumed the fully assessed real estate taxes in our derivation of long-term NCF and added back the net present value of the savings over the PILOT's remaining term to our value. It is also important to note that the tax savings are a "wasting asset" whose present value will decline with each passing year. If rental income does not increase, or if other expenses increase or capitalization rates increase in such a way as to offset the loss of yearly tax savings, our overall value will continue to decline.

- Prior to this transaction, the property was unencumbered by debt. This transaction returns approximately $1.14 billion (91.3% of the financing) of equity to the sponsors. The sponsors' cost basis is $1.3 billion. Related is the original developer of the property and responsible for $25 billion of investment in Hudson Yards.

- The loan does not have any entity named as a carve-out guarantor. In our view, this limitation generally lessens the disincentive provided by a full nonrecourse carve-out related to "bad boy" acts or voluntary bankruptcy.

- During alterations to the property, the loan documents leave to the servicer's discretion the decision whether to require collateral for alterations whose cost exceeds a certain threshold. Additionally, this collateral, if required, may not be rated by S&P Global Ratings. This structure potentially exposes the transaction to risks associated with additional leverage beyond a de minimis amount and potential additional liens, such as mechanic's liens, some of which may have priority over the mortgage lien.

2. Jackson Park

Table 14

Credit Profile

Loan no. 2 Property type Multifamily

Loan name Jackson Park Subproperty type High-rise

Pooled trust loan balance 100,000,000 Property sq. ft./no. of units 1,871 ($)

% of total pooled trust 8.2 Year built 2018 balance (%)

City Long Island City Sponsors Tishman Speyer Crown Equities 2007 LLC

State NY S&P Global Ratings' amortization Interest only category

S&P Global Ratings' market Primary S&P Global Ratings' amortization (2.50) type adjustment (%)

S&P Global Ratings' NCF ($) 10,850,000(i) S&P Global Ratings' subordinate N/A debt category

S&P Global Ratings' NCF (15.95) S&P Global Ratings' subordinate N/A variance (%) debt adjustment

S&P Global Ratings' cap 6.25 S&P Global Ratings' LTV (%) 57.6(ii) rate (%)

S&P Global Ratings' value 173.6(i) S&P Global Ratings' DSC (x) 3.29(ii) (mil. $)

S&P Global Ratings' value (40.3) 'AAA' SCE (%) 17.5 variance (%)

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Table 14

Credit Profile (cont.)

S&P Global Ratings' value 510,339 'AAA' DCE (%) 2.8 per sq. ft./unit ($)

(i)Pari passu adjusted. (ii)The loan is pari passu; LTV and DSC are calculated based on the $450.0 million pari passu companion loan and the $100.0 million pooled trust loan balance (collectively, the senior loan component). NCF--Net cash flow. LTV--Loan to value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. N/A--Not applicable.

Strengths and concerns

The loan exhibits the following strengths:

- The senior loan component has low leverage, with an S&P Global Ratings' LTV ratio of 57.6%, based on our valuation. Our estimate of long-term sustainable value is 40.3% lower than the appraiser's "as-is" valuation.

- The senior loan component has a strong DSC of 3.29x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 15.9% lower than the issuer's NCF.

- The loan is secured by the borrower's fee interest in three newly constructed, class-A multifamily towers, ranging from 43 stories to 54 stories, located in the Long Island City neighborhood of Queens in New York City. The property consists of 1,871 residential units, approximately 10,399 sq. ft. of retail space, as well as an amenities building, and a parking garage with spaces for approximately 130 cars.

- The property's amenity package is superior compared to other luxury residential properties in the Long Island City neighborhood. The amenities include a full-time door attendant, a fitness center, a roof deck, an indoor lap pool, a full-size basketball court, a squash court, a party lounge, a children's playroom in each building, and a private park shared among all three buildings containing a grilling area, a dog run, a virtual golf simulator, and sitting areas. The apartment units feature top-of-the-line finishes and include an in-unit washer/dryer, white desert oak flooring, solar shades, LED lighting, a key fob entry system, resident-controlled heating and air conditioning, outlets with integrated USB ports, and Amazon Alexa Smart Home Technology.

- The property is located in a desirable residential neighborhood in one of the most densely populated areas in the country and within walking distance of public transportation. The property is adjacent to the Queens Plaza subway station and is within walking distance of the Queensboro Plaza subway station, both of which provide a short commute to Midtown Manhattan. The property has an aggregate land value of $263.2 million, without giving any credit to the income-producing improvements, which is a strong reflection of the desirable location of the property.

- The residential portion of the property was 96.1% occupied as of the September 2019 rent roll, which is in line with the local market average for this property type and quality. The Queens County apartment submarket has shown little volatility since 2004, with vacancy rates ranging from 1.3% to 4.2%; and as of the second quarter of 2019, the rate was 2.9%, according to CBRE-EA. The property's residential units had a weighted average rent of approximately $3,922 per unit compared to the CBRE submarket rent of $3,040 per unit as of the second quarter of 2019.

- The property is located in a primary market (as defined by S&P Global Ratings). The New York

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area is the largest apartment market that CBRE-EA tracks. Generally, property values in primary markets are less volatile than those in secondary and tertiary markets.

- In general, we believe multifamily properties are inherently more stable than other commercial property types because of the essential need for housing and the lower expense ratio relative to other property types. However, the high supply growth rate in recent years in the U.S. could potentially limit additional growth in rental rates.

- The property benefits from Tishman Speyer's experienced sponsorship. Tishman is a private real estate company, which owns, develops, and manages commercial real estate properties around the world. Its global portfolio is currently comprised of 112 assets with a gross asset value of approximately $50 billion. Tishman Speyer is actively developing several residential and office properties in the New York area, including 11 Hoyt, The Wheeler, and "The Spiral" located in Hudson Yards.

- S&P Global Ratings toured the property on Sept. 10, 2019, accompanied by representatives of the sponsor. We found the property to be in good condition and well-maintained with high-quality finishes. Considering the property's location, condition, and quality, we view the property as a class-A multifamily asset. We noted a sizable student concentration at the property, but the students do not attend any one particular school. In August 2019, approximately 237 units vacated and did not renew; however, the property was able to lease 214 units, which we believe reflects the student tenancy at the property. The amenities building was comparable to a high-end fitness center and seemed to be well-utilized. The sponsor mentioned that an amenity fee was being added to all new leases for use of the facility, and the new tenants have not complained.

The loan exhibits the following concerns and mitigating factors:

- The $100.0 million pooled trust loan, along with the $450.0 million pari passu portion held outside the trust, represents a total $550.0 million senior loan component of a $1.0 billion whole loan. The remaining $450.0 million junior non-trust note is held outside the trust and is the controlling piece of the whole loan and increases our LTV ratio to 104.7% from 57.6%.

- The loan permits future additional debt in the form of a mezzanine financing in an amount not to exceed the lesser of (a) $200.0 million; or (b) an amount, when added to the outstanding principal balance of the mortgage loan, should not exceed 95.0% of the closing LTV, a DSC that is not less than 105.0% of the closing DSC, and a debt yield that is not less than 105.0% of the closing debt yield. The mezzanine loan should also be coterminous with the mortgage loan and RAC is required. We applied a negative LTV threshold adjustment at each rating level to account for this risk.

- The loan is interest-only for its entire 10-year term. Compared with an amortizing loan, an interest-only loan bears a higher refinance risk because of the higher loan balance at maturity. We accounted for this lack of amortization by using lower LTV recovery thresholds at each rating category.

- The loan proceeds will repay the existing construction loan of $640.0 million and return approximately $357.0 million of equity to the sponsor (35.7% of the total mortgage loan balance). However, the sponsor developed the property and currently has approximately $600.0 million of equity remaining in the property, based on the $1.6 billion "as-is" appraised value.

- The property has a limited operating history because it opened in November 2017. However, the property has seen strong demand and leasing momentum and was 96.1% occupied as of the September 2019 rent roll.

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- The submarket has a high number of multifamily properties under construction and vacancy rates in the submarket are expected to increase over the next few years as construction is completed. However, the appraiser noted that absorption in the submarket has kept pace with construction over the past five years. Also, the submarket is within one of the growing segments in New York City, which has seen steady increases in new developments. Residents moving from Manhattan to the outer boroughs have also contributed to the increase in demand in the submarket.

- The property has a 15-year tax abatement program which ends in July 2034. We accounted for this abatement by assuming the current unabated tax in our analysis and added the abatement's discounted net present value, estimated at $166.3 million (17.4% of S&P Global Ratings' sustainable value), to our value.

- Although the SPE borrower is structured with a nonconsolidation opinion and two independent directors, the independent directors can be removed without cause with five business days' notice.

- The loan is structured with a soft lockbox for residential tenants and springing cash management. In the event of a default, or if the debt service coverage ratio (DSCR) falls below 1.25x, all excess cash flow will be held by the lender as additional collateral for the loan.

3. 1412 Broadway

Table 15

Credit Profile

Loan no. 3 Property type Office

Loan name 1412 Broadway Subproperty type CBD

Pooled trust loan balance 100,000,000 Property sq. ft./no. of units 421,396 ($)

% of total pooled trust 8.2 Year built/renovated 1926/2014 balance (%)

City New York Sponsors Isaac Chetrit; Eli Chetrit; Raizada Vaid; Jacob Aini

State NY S&P Global Ratings' amortization Interest only category

S&P Global Ratings' Primary S&P Global Ratings' amortization (2.50) market type adjustment (%)

S&P Global Ratings' NCF 5,880,000(i) S&P Global Ratings' subordinate debt N/A ($) category

S&P Global Ratings' NCF (16.4) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap 7.00 S&P Global Ratings' LTV (%) 121.0 rate (%)

S&P Global Ratings' value 82.7(i) S&P Global Ratings' DSC (x) 1.61 (mil. $)

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Table 15

Credit Profile (cont.)

S&P Global Ratings' value (51.8) 'AAA' SCE (%) 62.8 variance (%)

S&P Global Ratings' value 412 'AAA' DCE (%) 35.0 per sq. ft./unit ($)

(i)Pari passu adjusted. The loan is pari passu; LTV and DSC are calculated based on the $110.0 million pari passu companion loan and the $100.0 million pooled trust loan balance (collectively, the whole loan). NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. CBD--Central business district.

Strengths and concerns

The loan exhibits the following strengths:

- The loan is secured by the fee-simple interest in a 24-story, 421,396-sq.-ft. class-B office building in the Times Square submarket of Manhattan, N.Y. The building is located on the northeast corner of West 39th Street and Broadway, with over 100 ft. of frontage along Broadway, two blocks south of Times Square. The property is located near Bryant Park and is near Penn Station and the Port Authority Bus Terminal, which provide excellent access for commuters. The property was developed in 1929 and underwent a $14.0 million ($33.22 per sq. ft.) renovation between 2007 and 2012.

- The loan benefits from its primary market location within the Times Square area of Manhattan. According to CoStar, the property is located in the Penn Plaza/Garment office submarket. As of third-quarter 2019, the two- to four-star office submarket exhibited a direct vacancy rate and availability rate of 9.0% and 13.4%, respectively, and an average gross rental rate of $59.65 per sq. ft. According to CBRE-EA, as of third-quarter 2019, the Penn Station class-B office submarket exhibited a vacancy rate of 6.4% and gross rental rate of $87.31 per sq. ft. The property's in-place average gross rent for the office space is $58.77 per sq. ft., approximately 1.4% and 25.0% below the CoStar and CBRE-EA market rents, respectively. The Penn Plaza/Garment retail submarket reported a 1.4% vacancy rate and rental rate of $109.15 per sq. ft. as of the third-quarter 2019, according to CoStar. We assumed a weighted average vacancy rate of 14.5%, comprised of a 10.0% vacancy rate on the office income and the 40.3% in-place vacancy on the retail income in our derivation of long-term sustainable NCF for the property.

- The property is 94.6% occupied as of the November 2019 rent roll, and is leased to a diverse tenant roster consisting of 53 unique tenants. The office portion of the collateral (96.3% of NRA; 84.0% of gross rent) is 95.6% occupied, as calculated by S&P Global Ratings. The retail portion (3.7%; 16.0%) is 59.7% occupied per the November 2019 rent roll. Historically, the property has been well-occupied, averaging 95.0% occupancy since 2014. Similarly, the property's net operating income (NOI) has been strong, increasing to $16.3 million as of the trailing-12-month (TTM) period ending June 2019 from $13.7 million as of year-end 2017. S&P Global Ratings' long-term sustainable NCF of $11.6 million is approximately 16.4% lower than the issuer's underwritten NCF.

- Prior to the sponsor's 2014 acquisition, the property underwent a $14.0 million ($33.22 per sq. ft.) capital improvement program from 2007 to 2012, which included window replacement, installation of a new curtain wall and cooling tower, elevator modernization, electrical vault and distribution upgrades, sidewalk replacement, and lobby and common area upgrades. According to the engineering report, only $4,500 worth of immediate repairs were identified, primarily

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relating to code violations stemming from failure to file inspection reports relating to the façade, elevators, and sprinkler system. The engineer recommended $0.08 per sq. ft. per year for ongoing capital reserves. S&P Global Ratings assumed $0.39 per sq. ft. per year in our estimate of long-term sustainable NCF.

- The loan is structured with a hard lockbox and springing cash management. A cash management trigger will commence upon an event of default, or if the NOI debt yield falls below 6.5% for two consecutive quarters. The loan is structured with upfront reserves for taxes, insurance, and tenant rollover. At closing, the sponsor funded a $2.0 million general TI/LC reserve for future leasing.

- We visited the property on Nov. 13, 2019, and found the property warranted its class-B designation. During the tour, we found the lobby to be well-maintained and inviting. The office spaces were primarily leased to tenants who operate in the garment industry. The largest tenant at the property, Kasper Group, has both office and showroom space on its floors. The rooftop bar was closed during our tour; however, we were able to walk through the bar area and outdoor terrace, which both showed very well and appear to be well-positioned in the vibrant Times Square nightlife district. The retail spaces are well-positioned along Broadway and 39th street. The two vacant retail units are located along Broadway, adjacent to the building's entrance, which should bode well for their leasing prospects.

The loan exhibits the following concerns and mitigating factors:

- The whole loan has high leverage, with an S&P Global Ratings' LTV ratio of 121.0% based on our valuation and the whole loan balance. The LTV ratio based on the appraiser's "as-is" valuation is 58.3%. Our estimate of long-term sustainable value is 51.8% lower than the appraiser's "as-is" valuation.

- The property faces considerable tenant rollover, with 89.1% of the leased NRA and 85.9% of the in-place rent, as calculated by S&P Global Ratings, expiring during the 10-year loan term. The years with the highest roll are 2020, 2021, 2022, 2024, and 2025, during which leases representing approximately 17%, 24%, 10% and 19%, respectively, of the total in-place rents (as calculated by S&P Global Ratings) expire. This rollover risk is mitigated by the property's diverse tenancy, which contains approximately 53 unique tenants. Also, the loan is structured with a $2.0 million ($4.75 per sq. ft.) upfront reserve for future leasing at the property, which equates to $4.75 per sq. ft. on the total NRA, and $25.07 per sq. ft. on the NRA scheduled to rollover in 2020.

- Two tenants at the property are currently subleasing their space from Escada, the sublessor. Kasper Group (18.4% of NRA, 17.4% of base rent) currently occupies floors five, six, and eight on a direct lease with the borrower for $56.65 per sq. ft., and occupies the entire ninth floor on a sublease from Escada expiring in September 2020 for $42.93 per sq. ft. Kahn Lucas Lancaster (4.2%, 2.9%) is operating on a sublease for the entire 10th floor at $39.98 per sq. ft., which expires in September 2020. The in-place weighted average direct lease rental rate for the office space at the property is $50.96 per sq. ft., as calculated by S&P Global Ratings, which is roughly 25.0% greater than the weighted average sublease rental rate. This rollover risk is potentially mitigated by the below-market rents.

- One tenant at the property has an early termination right, Outerstuff Ltd. (52,805 sq. ft., 10.1% of gross rent). Outerstuff currently occupies space on the 18th, 19th, and 20th floors of the

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building through April 1, 2022. They have a one-time right to terminate their lease for 16,809 sq. ft. on the 20th floor (4.0% of NRA), providing they submit a 12-month written notice and payment of a termination fee (the amount of this fee was not provided). Overstuff also has one five-year renewal option remaining. According to the appraiser, the average market rent for the 20th floor space is $58.00 per sq. ft., and Overstuff currently pays $57.63 per sq. ft. for the space.

- The mortgage loan will refinance $145.3 million of mortgage debt, fund $4.2 million in reserves (including a $2.0 million upfront TI/LC reserve), cover closing costs, and repatriate $53.7 million of equity (25.6% of total financing) to the sponsor. The sponsor acquired the property in 2014 for $250.0 million ($593.00 per sq. ft.). At closing, the sponsor will have approximately $50.0 million of cash equity remaining.

- The Workville tenant (28,374 sq. ft., 6.2% of base rent, $60.56 per sq. ft.) is a co-working space provider leasing the entire 21st floor of the building. Workville has operated at the property since 2015 and is an affiliate of the borrower. The Workville lease runs through January 2026 at $60.56 per sq. ft. During our site tour, we viewed the Workville space, which showed very well. It has a variety of offerings, from phone booths to conference rooms, as well as an outdoor terrace. Although the Workville space was very busy during the time of our visit, we marked the borrower-affiliated tenant's rent down to $53.00 per sq. ft., which is in-line with the average in-place rent across the office space, according to S&P Global Ratings.

- A portion of the collateral has been operating under two temporary certificates of occupancy (TCO). However, these have expired, and the property is currently operating under the most recently issued permanent certificate of occupancy (PCO), which does not contemplate certain retail uses on the ground/cellar level and certain uses of the 4-story penthouse, including the rooftop bar. The borrower has represented that the TCO uses may continue pending the issuance of a new TCO/PCO; however, the borrower may be liable for fines in the amount of $2,000 for every 75 days that the property does not have a new TCO or PCO. The borrower has agreed in the loan documents (1) to cause the TCO to be renewed within 60 days of origination (subject to automatic extension for successive 30-day periods so long as the borrower is using commercially reasonable and diligent efforts to satisfy the requirements for renewal of the TCO and no material adverse effect has occurred or is reasonably likely to occur as a result of the failure of the property to have a TCO), (2) to maintain the TCO at all times until a new PCO is obtained, and (3) to use commercially reasonable and diligent efforts to satisfy the requirements for obtaining a new PCO.

- The borrower appears to have three outstanding mechanic's liens. Specifically, (1) a mechanic's lien filed on or about March 9, 2017, by Creer Construction Ltd. against Chetrit, the borrower, in the original amount of $273,356, (2) a mechanic's lien filed on or about Nov. 22, 2017 (as extended on Nov. 21, 2018), by Metro Builders and Restoration LLC against Chetrit, the borrower, in the original amount of $8,000, and (3) a mechanic's lien filed on or about Nov. 22, 2017 (as extended on Nov. 21, 2018), by Metro Builders and Restoration LLC against Chetrit, the borrower, in the original amount of $15,000. The amounts outstanding on these liens are not stated. The borrower states in the recycled SPE representations that is not involved in any pending or threatened litigation, but it does have outstanding litigation: 1412 Broadway Rooftop LLC v. Creer Construction Ltd. The details of the litigation are not stated, other than that the borrower does not expect that it will have a material adverse effect.

- Although the SPE borrower is structured with a nonconsolidation opinion and one independent director, the borrower's independent director can be removed without cause with two business days' notice.

- During alterations to the property, the loan agreement does not require that all collateral

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posted by the borrower be rated by S&P Global Ratings. This structure potentially exposes the transaction to risks associated with additional leverage beyond a de minimis amount and potential additional liens, such as mechanic's liens--some of which may have priority over the mortgage lien.

- The borrowers are structured as three tenant-in-common investments. If multiple TIC borrowers for a loan declare bankruptcy, it may delay the liquidation and recovery timeframe, and result in higher losses to the loan. However, the tenant-in-common agreement is subordinate to the loan agreement and the tenants in common have waived their rights to partition, which decreases the risk of serial bankruptcy filings or litigation among these borrowers.

4. Bronx Multifamily Portfolio II

Table 16

Credit Profile

Loan no. 4 Property type Multifamily

Loan name Bronx Multifamily Subproperty type Mid-rise Portfolio II

Pooled trust loan balance ($) 77,000,000 Property sq. ft./no. of units 526

% of total pooled trust balance 6.3 Year built/renovated Various (%)

City Bronx Sponsor Ryan Morgan

State NY S&P Global Ratings' amortization Interest only category

S&P Global Ratings' market type Primary S&P Global Ratings' amortization (2.50) adjustment (%)

S&P Global Ratings' NCF ($) 4,940,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF variance (9.68) S&P Global Ratings' subordinate debt N/A (%) adjustment

S&P Global Ratings' cap rate (%) 7.00 S&P Global Ratings' LTV (%) 106.5

S&P Global Ratings' value (mil. $) 72.3 S&P Global Ratings' DSC (x) 1.67

S&P Global Ratings' value (36.5) 'AAA' SCE (%) 55.4 variance (%)

S&P Global Ratings' value per sq. 137,404 'AAA' DCE (%) 24.5 ft./unit ($)

NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. N/A--Not applicable.

Strengths and concerns

The loan exhibits the following strengths:

- The pooled trust loan is secured by the fee-simple interest in a class B/B- multifamily portfolio of nine rent-stabilized multifamily properties totaling 526 units and 17 ground floor commercial units located in the Bronx, N.Y. The nine properties were built between 1915 and 1941 and are

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located in the Bronx neighborhoods of Bedford Park, Fordham, Mount Hope, East Concourse, Course Village, and Kingsbridge Heights. The properties are easily accessible via public transit and are all located within a mile of the 4, B, and D MTA subway lines, with nearby stops at Kingsbridge Road station, Bedford Park station, and Tremont Avenue station, among others.

- The 17 commercial units are spread across four of the nine properties and are 100.0% occupied. The commercial tenants are small, local businesses such as ethnic restaurants, barber shops, beauty salons, and tax centers, as well as two community-oriented facilities (a church and a medical office) and other retail typical of the neighborhood. Commercial rents comprise less than 10.0% of effective gross income and are no more than 7.3% below local market comparables, according to Cushman and Wakefield.

- As of November 2019, the multifamily and commercial portion were 99.8% and 100.0% occupied, respectively. Further, since 2014, the portfolio has exhibited strong historical occupancy in excess of 99.0% and average year-over-year NOI growth of 3.1%.

- The portfolio is located in a primary market. The properties are located within the Bronx County submarket of New York City according to Cushman & Wakefield, which had a vacancy rate of 3.8%, with average asking rents of $1,384 per unit per month as of second-quarter 2019. This is in-line with the average in-place rent of $1,382 per unit per month across the portfolio. We underwrote vacancy at 5.0% in line with our criteria.

- The loan proceeds will refinance approximately $76.3 million of mortgage debt, fund $243,696 in reserves, and cover closing costs of $1.9 million. In addition, the borrower contributed approximately $1.4 million (1.8% of total costs) to facilitate this refinancing. The sponsor acquired the properties between 1984 and 2015. Since 2011, the sponsor has spent approximately $1.4 million ($2,654 per unit) on capital expenditures.

- The loan benefits from experienced sponsorship. Ryan Morgan, one of the principals of The Morgan Group, is the sponsor and non-recourse carve-out guarantor. The Morgan Group is a real estate company that has a current portfolio of over 4,500 units in 75 buildings, with an average occupancy of over 99.0%.

- We visited five of the nine properties on Nov. 21, 2019, and found the buildings to be in overall good condition, with lobbies and common spaces well-maintained. We also toured one-bedroom, two-bedroom, and three-bedroom apartments. All were very spacious, with older fixtures, and home to long-time residents, which is typical of class B/B- properties of this vintage in the Bronx.

The loan exhibits the following concerns and mitigating factors:

- The pooled trust loan has high leverage, with an S&P Global Ratings' LTV ratio of 106.5%, based on our valuation. The LTV ratio based on the appraiser's "as-is" valuation is 67.7%. Our estimate of long-term sustainable value is 36.5% lower than the appraiser's "as-is" valuation.

- In June 2019, the New York State Senate and Assembly passed, via the Housing Stability and Tenant Protection Act of 2019, significant reforms to the existing New York State laws governing rent regulation. These reforms significantly limit a landlord's ability to increase rents through deregulation or through amortization of capital expenditures. In our view, the new law could potentially result in a decline in profitability across properties that have high exposures to rent control and/or rent-stabilized units, as expenses may escalate at a faster rate when

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compared to the landlord's ability to raise. We have considered this risk in our long-term sustainable NCF for the portfolio.

- Seven of the nine properties benefit from either a J-51 exemption and/or abatement program. In addition, one of the properties is awaiting approval of an application for a J-51 abatement program and an application to increase rent under a major capital improvement (MCI) program. Under the J-51 program, the tax exemption benefit temporarily exempts a property from the increase in assessed value, which would otherwise occur as a result of significant renovation work. The abatement portion of the program reduces the existing taxes by a percentage of the certified reasonable costs of the work performed, as determined by the New York City Department of Finance. The MCI program allows landlords to increase rents (subject to certain limits) paid by rent-stabilized tenants to recoup renovation and rehabilitation costs. Fifty-nine units at the subject are leased to tenants who pay a portion of their rent using Section 8 vouchers.

- The tax abatements terminate at various periods in the future, ranging from June 2024 to June 2046. We accounted for the abatements and exemptions by assuming the fully unabated tax expense in our analysis and adding the present value of the tax savings, estimated at $3.8 million, to our S&P Global Ratings' value. The present value of the tax savings as calculated by S&P Global Ratings represents approximately 5.2% of our total value. It is also important to note that the tax savings are a "wasting asset" whose present value will decline with each passing year. If rental income does not increase, or if other expenses increase or capitalization rates increase in such a way as to offset the loss of yearly tax savings, our overall value will continue to decline.

- The loan permits individual properties to be released following a sale, subject to a release premium equal to no less than 110.0% of the allocated loan amount or 100.0% of the allocated loan amount subject to new appraisals, and minimum LTV and debt yield tests on the remaining collateral. All releases are subject to a debt yield test, such that the debt yield following the release must be greater of (a) the debt yield as of the closing date or (b) the debt yield immediately prior to such release.

- The loan is structured with a soft, springing lockbox and springing cash management. During a cash sweep event, all excess cash flow will be deposited into a lender-controlled account. However, a cash sweep event only occurs upon an event of default. Additionally, the loan is structured with ongoing reserves for taxes, insurance, and capital expenditures.

- Although the SPE borrower is structured with a nonconsolidation opinion and one independent director, the independent director can be removed without cause with two business days' notice.

- Although the borrower must provide the lender with quarterly and annual financial statements, they are not required to be audited. We believe audited financial statements are more conclusive and reliable than unaudited statements.

- During alterations to the property, the loan agreement does not require that all collateral posted by the borrower be rated by S&P Global Ratings. This structure potentially exposes the transaction to risks associated with additional leverage beyond a de minimis amount and potential additional liens, such as mechanic's liens, some of which may have priority over the mortgage lien.

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5. DoubleTree New Orleans

Table 17

Credit Profile

Loan no. 5 Property type Lodging

Loan name DoubleTree New Subproperty type Full service Orleans

Pooled trust loan balance ($) 74,000,000 Property sq. ft./no. of units 367

% of total pooled trust balance 6.0 Year built 1977 (%)

City New Orleans Sponsor Allan V. Rose

State LA S&P Global Ratings' amortization Interest only category

S&P Global Ratings' market Secondary S&P Global Ratings' amortization (2.50) type adjustment (%)

S&P Global Ratings' NCF ($) 7,150,000 S&P Global Ratings' subordinate debt Unsecured Debt (S&P LTV category >= 90%)

S&P Global Ratings' NCF (19.42) S&P Global Ratings' subordinate debt (2.50) variance (%) adjustment

S&P Global Ratings' cap rate 9.25 S&P Global Ratings' LTV (%) 95.7 (%)

S&P Global Ratings' value (mil. 77.3 S&P Global Ratings' DSC (x) 2.49 $)

S&P Global Ratings' value (36.6) 'AAA' SCE (%) 70.7 variance (%)

S&P Global Ratings' value per 210,695 'AAA' DCE (%) 18.1 sq. ft./unit ($)

NCF--Net cash flow. LTV--Loan to value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement.

Strengths and concerns

The transaction exhibits the following strengths:

- The pooled trust loan has a high DSC of 2.49x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 19.4% lower than the issuer's NCF.

- The loan is secured by the fee interest in the 367-guestroom, 17-story, full-service DoubleTree by Hilton hotel located in downtown New Orleans on lower Canal Street. The property was built in 1977 and offers 16,803 sq. ft. of meeting space, an outdoor pool, a fitness center, business center, one restaurant, and a coffee lounge. The property is in close proximity to nearby attractions such as Harrah's Casino (adjacent), the French Quarter (1.0 mile), Canal Place Mall (0.2 miles), the Audubon Aquarium (0.3 miles), and is about one mile from the Mercedes-Benz Superdome/Smoothie King Center.

- The property benefits from its affiliation with the nationally recognized Doubletree by Hilton brand, which, besides name recognition, enables the hotel to benefit from Hilton's brand-wide marketing campaigns, reservation system, and frequent-stay program. The property will enter

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into a new franchise agreement through December 2042 with Hilton upon the hotel's acquisition and will be managed by Dimension Development Two LLC, which manages 60 hotels.

- The $74.0 million loan, along with the borrower's equity contribution of $47.8 million, will be used to acquire the property for a purchase price of $118.0 million, fund reserves of $3.3 million, and pay closing costs of $0.5 million. The loan's sponsor and guarantor is Allan V. Rose, the owner and CEO of AVR Realty, a privately held real estate development and management company founded 45 years ago. The company holds a diversified portfolio of commercial, hotel, and residential properties located throughout the U.S., including 23 hotels in nine states. Allan V. Rose reported a net worth and liquidity of $2.0 billion and $419 million, respectively, as of December 2018.

- The property was renovated by the previous owner from March 2016 to February 2017 for $15.5 million. Of this amount, $10.5 million was spent on the guestrooms and bathrooms ($28,610 per guestroom), and about $2.0 million was spent to upgrade the lobby and ground floor. Upon the acquisition, the sponsor will invest $2.7 million ($7,259 per guestroom) to complete a brand-mandated property improvement plan (PIP) by May 2021. These upgrades will be mainly for mechanical upgrades, renovations of the corridors, elevators, and exterior, and conversion of 217 tubs to showers. There is a $2.7 million upfront reserve for the PIP. The borrower is also planning to spend $1.0 million to upgrade the bar and restaurant, and convert the presidential suite into three guestrooms; however, this work is not brand mandated.

- The property has exhibited increasing performance over the past several years. Revenue per available room (RevPAR) has increased in each year since 2016--by 33.1% in 2017 post renovation, 10.8% in 2018, and 2.4% in the TTM period ended September 2019 to $145.51. The portfolio's NOI also increased in each year to $10.3 million in the TTM ended September 2019 from $5.1 million in 2016, $8.6 million in 2017, and $9.9 million in 2018.

- The hotel had a RevPAR penetration rate--which measures the RevPAR of the hotel relative to its competitors, with 100% indicating parity with competitors--of 116.7% as of the TTM period ended September 2019. This increased from 106.4% in the TTM period ended September 2018, and 95.7% in the TTM period ended September 2017, mainly from the positive impact of the renovations in 2016 and 2017. There are eight other hotels in the competitive set, including the Wyndham New Orleans French Quarter, Westin Canal Place, Embassy Suites New Orleans, Hilton Garden Inn Convention Center, Renaissance Pere Marquette, Marriott New Orleans Convention Center, Hilton St. Charles, and Loews New Orleans.

- The loan is structured with a hard lockbox (with respect to credit card receipts) and springing cash management that springs upon an event of default, termination of the franchise agreement, or if the debt yield falls below 8.75%. There are ongoing monthly escrows for real estate taxes, insurance (unless a blanket policy is in place), and furniture, fixtures, and equipment.

This loan exhibits the following concerns and mitigating factors:

- The pooled trust loan is highly leveraged, with an S&P Global Ratings' LTV ratio of 95.7% based on our valuation of the property. The LTV ratio based on the appraiser's "as-is" valuation is 60.7%. Our estimate of long-term sustainable value is 36.6% lower than the appraiser's "as-is" valuation.

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- According to the appraiser, nine new hotels are planned or under construction in New Orleans, but only four of these are expected to compete with the Doubletree and only to a limited degree of 10%-20%. These hotels include Virgin Hotel (225 guestrooms; March 2020 opening), Canopy by Hilton (176 guestrooms, June 2020), MOXY New Orleans (96 guestrooms, June 2022), and Higgins Hotel Curio Collection (230 guestrooms, October 2019). Although these hotels will not be included in the hotel's competitive set or be fully competitive, the delivery of new hotels will increase competition in the overall market. We assumed a RevPAR of $138.86 in our analysis, which is 4.6% below the TTM September 2019 level, and our NOI of $8.3 million is 19.4% below the TTM level.

- In connection with entering into the franchise agreement, the borrower assumed a development incentive note made by the previous owners payable to the franchisor for $950,000 for general hotel operating expenses. The borrower is not obligated to repay the money to the franchisor during the term of the franchise agreement; however, upon a termination of the franchise agreement for any reason (other than an event of default by the franchisor) prior to the expiration of the term, the borrower must pay the franchisor the key money less $35,452 for each full fiscal year after the agreement was in effect prior to the termination. The current amount the borrower would be obligated to repay the franchisor upon a termination of the agreement, if termination were to occur today, is $779,938. The loan documents include a loss recourse carve-out for the repayment of the key money (if required by the franchisor).

- The borrowers are structured as two tenants in common. If multiple tenant-in-common borrowers for a loan declare bankruptcy, it may delay the liquidation and recovery timeframe, and result in higher losses to the loan. However, the tenant-in-common agreement is subordinate to the loan agreement, and the guarantors have ownership interests in each tenant in common and have waived their rights to partition, which decreases the risk of serial bankruptcy filings or litigation among these borrowers.

6. The Parklawn Building

Table 18

Credit Profile

Loan no. 6 Property type Office

Loan name Parklawn Building Subproperty type Suburban

Pooled trust loan balance ($) 65,400,000 Property sq. ft./no. of units 1,283,646

% of total pooled trust 5.3 Year built/renovated 1970/2015 balance (%)

City Rockville Sponsor Boyd Watterson Asset Management

State MD S&P Global Ratings' amortization Interest only category

S&P Global Ratings' market Primary S&P Global Ratings' amortization (2.50) type adjustment (%)

S&P Global Ratings' NCF ($) 5,250,000(i) S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (13.2) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

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Table 18

Credit Profile (cont.)

S&P Global Ratings' cap rate 7.50 S&P Global Ratings' LTV (%) 90.3(ii) (%)

S&P Global Ratings' value 72.5(i) S&P Global Ratings' DSC (x) 2.33(ii) (mil. $)

S&P Global Ratings' value (33.5) 'AAA' SCE (%) 53.5 variance (%)

S&P Global Ratings' value per 226 'AAA' DCE (%) 12.7 sq. ft./unit ($)

(i)Pari passu adjusted. (ii)The loan is pari passu; LTV and DSC calculated based on the $196.2 million pari passu companion loan and the $65.4 million pooled trust loan balance (collectively, the whole loan). NCF--Net cash flow. LTV--Loan to value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. N/A--Not applicable.

Strengths and concerns

The loan exhibits the following strengths:

- The whole loan has a strong DSC of 2.33x, calculated using the loan's fixed interest rate and S&P Global Ratings' NCF for the property, which is 13.2% lower than the issuer's NCF.

- The loan is secured by the fee interest in a LEED Platinum and Energy Star rated suburban office building located in Rockville, Md., approximately 10 miles north of Washington, D.C. The property is 72.9% leased and solely occupied by the U.S. Government Services Administration (GSA; 'AA+') for U.S. Health and Human Services (HSS). The improvements were originally built in 1969 and are well-located in close proximity to the Twinbrook transit station, which provides service on the Washington, D.C., Metro Red Line. In 2015, the building underwent a $300 million ($320 per sq. ft.) renovation, 55.0% of which was paid for by the tenant.

- The property serves as the headquarters for four separate agencies under HSS: Health Resources and Services Administration, Healthcare Research and Quality, Indian Health Service, and Substance Abuse and Mental Health Services Administration. The recent renovations allow the agency to host international symposiums and major training events on-site. The GSA does not have any termination options under its lease.

- The borrower contributed approximately $183.6 million of equity (41.2% of the total cost basis) to facilitate the subject property's acquisition.

- The property is located in a primary market. Generally, property values in primary markets are less volatile than in secondary and tertiary markets. The loan benefits from the experience of Boyd Watterson Asset Management (Boyd) and Union Bancaire Privee as sponsors. Boyd, an independent investment advisor, has over $8.8 billion in assets under management (AUM). The real estate group within Boyd was formed in 2009 and manages over $3.2 billion of gross real estate assets, including office, retail, multifamily, industrial, hotel, and other properties throughout the U.S. It currently has three separate funds, all focused on acquiring and managing properties leased to federal and state government agencies. Union Bancaire Privee is a private bank and wealth management firm based in Switzerland.

- The loan is structured with a hard lockbox and in-place cash management, and there is an NCF sweep if an event of default occurs, borrower bankruptcy, if the DSCR falls below 1.55x, if the tenant's credit rating falls below 'BBB-', failure to renew lease (July 31, 2027, renewal notice date), failure to occupy at least 50% of the NRA, lease termination, or lease default. Also, the

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loan requires ongoing reserves for taxes and insurance.

- We visited the property on Oct. 3, 2018, and noted that it is well-located near other government contractors and agencies. The buildings presented well, with state-of-the-art systems and sustainability features, as well as an attractive 14-story atrium. The property features a plethora of amenities such as a one-acre park with a fountain, an outdoor plaza, café tables and seating, an on-site bank, a convenience store, a fitness center, ample parking, and a direct trail to the nearby 1,700-acre Rock Creek Park. The facility is "Level IV" secured, which is the second-highest rating for U.S. government buildings.

The loan exhibits the following concerns and mitigating factors:

- The whole loan has high leverage, with an S&P Global Ratings' LTV ratio of 90.3% based on our valuation and the whole loan balance. The LTV ratio based on the appraiser's "as-is" valuation is 60.0%. Our estimate of long-term sustainable value is 33.5% lower than the appraiser's "as-is" valuation.

- The property exhibits tenant concentration risk. The GSA is the sole tenant under a lease that expires eight months after loan maturity. The lease has one 10-year renewal option with a three-year notice period. The loan is structured with a cash flow sweep should the tenant decide not to renew, which, if triggered, could capture approximately $25.6 million ($19.11 per sq. ft.) by loan maturity. We applied a 10% vacancy factor to account for this risk.

- According to CBRE-EA, the North Bethesda/Potomac submarket vacancy was 17.8% as of third-quarter 2019, and the building is currently only 72.9% occupied. However, the tenants have shown commitment to the building. The HSS has occupied the property for over 40 years and invested $167.0 million ($175 per sq. ft.) into the $300.0 million renovation of its space, and renewed its lease through 2030 as part of a regional consolidation. Approximately 4,500 employees now work at this location.

- The property benefits from economic incentive remittances totaling approximately $1.3 million annually through an agreement with Montgomery County ('AAA'). These payments are subject to certain use and occupancy thresholds and expire in October 2031. Given that they are transferable to the lender under a potential foreclosure scenario but terminate after 2031, we gave credit by adding the present value of this income stream discounted at our capitalization rate of 7.5%. This resulted in an add to value of $10.1 million or approximately 3.7% of the S&P Global Ratings' value.

- Although the loan is structured with ongoing reserves for taxes and insurance, reserves for replacements and TI/LCs are waived.

- The borrower may establish a condominium regime acceptable to the lender in order to release a portion of the non-income-producing, fully vacant Wing C at 100% of its allocated loan amount, which is lower than the 125% we typically look for. However, any release is subject to debt yield, DSCR, and LTV tests that, at a minimum, preserve the leverage level at closing or immediately preceding the release.

- Although the SPE borrower is structured with a nonconsolidation opinion and two independent directors, the opinion is unreasonably qualified with respect to the fact that the guarantor has guaranteed the full recourse aspect of the loan. We accounted for this risk by applying a negative LTV threshold adjustment across the capital structure.

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- The loan does not have a warm body carve-out guarantor. In our view, this limitation generally lessens the disincentive provided by a full nonrecourse carve-out related to "bad boy" acts or voluntary bankruptcy.

- Although the SPE borrower is structured with a nonconsolidation opinion and two independent directors, the independent directors can be removed without cause with 30 days' notice.

7. Austin Marriott Portfolio

Table 19

Credit Profile

Loan no. 7 Property type Lodging

Loan name Austin Marriott Subproperty type Various Portfolio

Pooled trust loan balance ($) 62,300,000 Property sq. ft./no. of units 602

% of total pooled trust balance 5.1 Year built Various (%)

City Austin Sponsor JRK Property Holdings

State TX S&P Global Ratings' amortization Partial interest only category

S&P Global Ratings' market type Secondary S&P Global Ratings' amortization (1.25) adjustment (%)

S&P Global Ratings' NCF ($) 5,720,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF variance (25.34) S&P Global Ratings' subordinate debt N/A (%) adjustment

S&P Global Ratings' cap rate (%) 9.88 S&P Global Ratings' LTV (%) 107.7

S&P Global Ratings' value (mil. $) 57.8 S&P Global Ratings' DSC (x) 1.69

S&P Global Ratings' value (44.6) 'AAA' SCE (%) 68.7 variance (%)

S&P Global Ratings' value per sq. 96,065 'AAA' DCE (%) 29.9 ft./unit ($)

NCF--Net cash flow. LTV--Loan to value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. N/A--Not applicable.

Strengths and concerns

The transaction exhibits the following strengths:

- The pooled trust loan is secured by the fee-simple interest in a lodging portfolio comprised of

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five adjacent hotels with 602 guestrooms in Austin, Texas. The hotels were built between 1995 and 2001; three are limited service, one is extended stay, and one is full service. The hotels are located in south Austin, approximately four miles from downtown Austin along Interstate-35 and seven miles from Austin Bergstrom International Airport. The hotels offer a shuttle to the airport and downtown.

- The five hotels benefit from their affiliation with the nationally recognized Marriott brand, as the portfolio includes the Marriott Austin South (211 guestrooms), Courtyard Austin South (110), Residence Inn Austin South (66), Fairfield Inn Austin South (63), and SpringHill Suites Austin South (152). In addition to name recognition, the brand affiliation enables the hotels to benefit from Marriott's brand-wide reservation system and national marketing campaigns. Upon acquisition, the hotels will be subject to new 15-year franchise agreements with Marriott. The properties are managed by Interstate Hotels & Resorts.

- The $62.3 million loan, along with the borrower's equity contribution of $27.7 million, will be used to acquire the portfolio for a purchase price of $65.0 million, fund the PIP reserve ($24.0 million), and pay closing costs ($1.0 million). The sponsor, JRK Property Holdings, is headquartered in Los Angeles and specializes in the ownership, management, leasing, and redevelopment of mainly multifamily and lodging properties. The firm was founded in 1991 and has $6 billion in invested capital across its portfolio, which includes 32,000 multifamily units and three hotels. The borrower has disclosed two affiliated foreclosures during the economic downturn.

- All five hotels in the portfolio had a RevPAR penetration rate--which measures the RevPAR of the hotel relative to its competitors, with 100% indicating parity with competitors--exceeding 100% as of the TTM period ended May 2019. The penetration rates for all of the hotels have exceeded 100% for the past three years and have generally remained stable.

- The properties are located in Austin, which has experienced very strong population growth and unemployment rates well below national and state levels over the last several years. Austin was deemed the "best place to live in the U.S." three years in a row through 2019 by U.S. News and World Report. The market has been bolstered by the technology industry, which has established a major presence in the area. The city also benefits from a variety of attractions that drive tourism to the area, including the South by Southwest and Austin City Limits events. The concentration of technology-related companies, above-average population growth, and expansion in housing, transportation, and distribution will help foster growth over the next several years.

- The loan is structured with a hard lockbox and springing cash management that springs if the DSC falls below 1.35x. There are also ongoing monthly escrows for real estate taxes, insurance (unless under a blanket policy), and furniture, fixtures, and equipment.

This loan exhibits the following concerns and mitigating factors:

- The pooled trust loan is highly leveraged, with an S&P Global Ratings' LTV ratio of 107.7% based on our valuation of the portfolio. The LTV ratio based on the appraiser's "as-is" valuation is 84.7% and 59.7% based on the "as stabilized" valuation. Our estimate of long-term sustainable value is 25.3% lower than the appraiser's "as-is" valuation and 44.6% lower than the appraiser's "as stabilized" valuation.

- The loan is interest-only for the first 60 months of its 10-year term, with amortization based on a 30-year schedule thereafter. We reduced our LTV recovery thresholds at each rating category to account for the higher refinancing risk at maturity compared with a fully amortizing loan.

- The portfolio has exhibited declining performance over the past several years. Since 2015,

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RevPAR declined in each of 2016, 2017, and 2018, declining to $101.85 in 2018 from $117.62 in 2015, a 13.4% decline. RevPAR rebounded somewhat by 3.2% in the TTM period ended September 2019 to $105.08. The portfolio's NOI also decreased in 2016, 2017, and 2018 to $8.3 million in 2018 from $11.2 million in 2015, a 25.9% decline. NOI then increased by 5.8% in the TTM ended September 2019 to $8.8 million.

- The properties are dated and in need of upgrade since the properties have not had a significant renovation since their original construction between 1995 and 2000. All of the hotels received "Red" scores on their most recent franchise inspection reports and, based on our site visits, all of the properties are dated and in need of a soft and hard goods renovation in order to remain competitive. Concurrent with the acquisition, the properties will undergo property improvement plans totaling $24.0 million ($36,794 per guestroom), over the next 2.5 years. There is an upfront reserve for $24.0 million to fund the PIPs. The sponsor worked with Marriott to establish the PIPs, and Marriott will halt its red-zone process while the renovations are completed.

- Hotel supply has significantly increased within Austin in recent years. Nine new hotels were built in the submarket since 2016. Also, according to the appraiser, four new hotels recently opened or are under construction in the area of the subject's hotels: Candlewood Suites Austin Airport opened in July 2019 (89 guestrooms), Aloft Austin Airport opened in November 2019 (136 guestrooms), Tru by Hilton Austin Airport will open in December 2019 (91 guestrooms), and TownePlace Suites Austin South is expected to open in February 2020 (103 guestrooms). Furthermore, an additional 937 guestrooms within eight limited-service and extended-stay hotels are in the development pipeline, with an estimated opening between 2020 and 2021. The delivery of new hotels in the limited-service and extended-stay segment will increase competition in an already crowded sector. Furthermore, given the size of the pipeline, we expect that RevPAR growth will slow or decline for the next several years. Although the properties will undergo substantial renovations, the new supply is significant and therefore we used a RevPAR of $93.86 in our analysis, which is 10.7% lower than the TTM ended September 2019 figure, and our NCF is 23.8% lower than the TTM ended September 2019.

- The properties in the portfolio can be released upon sale to a third party, subject to a release price equal to 125% of the allocated loan amount and subject to RAC. The Marriott Austin and Springhill Austin properties can only be concurrently released. Additionally, the debt yield for the remaining properties must not be less than the greater of the debt yield prior to release and 12.29%, and the LTV cannot be greater than the LTV prior to release and 59.7%.

8. Galleria 57

Table 20

Credit Profile

Loan no. 8 Property type Office

Loan name Galleria 57 Subproperty type CBD

Pooled trust loan balance ($) 52,000,000 Property sq. ft./no. of units 179,562

% of total pooled trust balance (%) 4.2 Year built/renovated 1975

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Table 20

Credit Profile (cont.)

City New York Sponsor Joseph Moinian

State N.Y. S&P Global Ratings' amortization category Interest only

S&P Global Ratings' market type Primary S&P Global Ratings' amortization adjustment (2.50) (%)

S&P Global Ratings' NCF ($) 4,000,000 S&P Global Ratings' subordinate debt category N/A

S&P Global Ratings' NCF variance (%) (10.30) S&P Global Ratings' subordinate debt N/A adjustment

S&P Global Ratings' cap rate (%) 7.67 S&P Global Ratings' LTV (%) 103.9

S&P Global Ratings' value (mil. $) 50.0 S&P Global Ratings' DSC (x) 2.19

S&P Global Ratings' value variance (%) (63.5) 'AAA' SCE (%) 56.7

S&P Global Ratings' value per sq. 279 'AAA' DCE (%) 16.0 ft./unit ($)

NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. CBD--Central business district. N/A--Not applicable.

Strengths and concerns

The loan exhibits the following strengths:

- The pooled trust loan has a strong DSC of 2.19x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 10.3% lower than the issuer's NCF.

- The loan is secured by the fee-simple interest in the commercial condominium component (179,562 sq. ft., including parking facility) of Galleria 57, a 57-story mixed-use property located in Manhattan, N.Y., in close proximity to Central Park. The property benefits from a prime location on East 57th Street between Park and Lexington Avenues. The subject is proximate to five MTA subway lines and is located four blocks west of the Ed Koch Queensboro Bridge. The collateral for the loan includes a 16-story office/retail condominium inclusive of floors 1-16, and a three-story subgrade parking garage within the building (the non-collateral portion of the Galleria 57 Tower contains 253 residential condominium units).

- The sponsor has created a consistent theme of tenants with a health and wellness focus at the property, creating a critical mass and density for the client base. The tenant roster includes an assortment of physician's offices, medical laboratory and testing facilities, as well as wellness-focused tenants such as physical therapists, a pilates studio, yoga instructors, and homeopathic treatment centers.

- The collateral has a somewhat diverse rent roll and staggered rollover risk during the loan term, as leases representing 55.6% of the NRA and 57.5% of the gross rent expire during the 10-year term. The property is currently leased to 28 unique tenants. During the loan term, the highest rollover occurs in 2022, when 21.3% of the NRA and 19.5% of the in-place gross rent expire. The top three tenants occupy 41.9% of the NRA and generate 36.8% of the in-place gross rent. Outside of the top three tenants, no single tenant accounts for more than 5.8% of the in-place gross rent. We believe the relative granularity of the rent roll are credit positive for the loan.

- The property is located in a primary market, within the East Side submarket of New York City according to CBRE-EA. The submarket had a vacancy rate of 7.3%, with gross asking rents of

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$67.75 per sq. ft., as of third-quarter 2019.

- The mortgage loan benefits from the Moinian Group's experienced sponsorship. The sponsor develops, owns, and operates properties across every asset category, including office, hotel, retail, residential condominiums and rental apartments. Founded in 1982, the Moinian Group is currently holding a portfolio in excess of 20 million sq. ft. across major cities including New York, Chicago, Dallas, and Los Angeles. Recent transactions include SKY, 3 Columbus Circle, 3 Hudson Boulevard, and the W Hotel Downtown.

- The loan is structured with a hard lockbox and springing cash management. A cash sweep event occurs upon a loan event of default, or the debt yield falls below 7.0% (tested quarterly), or a material tenant sweep (tied to Spa Castle Premier 57). There are also ongoing reserves for taxes, insurance, TI/LC, and capital expenditures.

The loan exhibits the following concerns and mitigating factors:

- The pooled trust loan has high leverage with an S&P Global Ratings' LTV ratio of 103.9%, based on our valuation of the property. The LTV ratio based on the appraiser's "as-is" valuation is 38.0%. Our estimate of long-term sustainable value is 63.5% lower than the appraiser's "as-is" valuation. We applied a 7.67% capitalization rate to our analysis to capture the specialized use of the property.

- The property's current 15.0% physical vacancy rate is well above the 7.3% East Side submarket vacancy rate, as reported by CBRE-EA. However, the subject has historically maintained strong occupancy that has been above 92% in each year since 2013. A sponsor-affiliated tenant that was in occupancy since 2003 vacated the entirety of the 10th and 11th floors (25,000 sq. ft.) upon expiration of its lease in 2018. The contract rent was for the sponsor-affiliated tenant was $56 per sq. ft., compared to the appraiser's estimated market rent of $74 per sq. ft. As a result, the sponsor elected to vacate the space upon expiration to pursue higher rents with a third-party tenant. Since the recapture of the space, the sponsor demolished and white-boxed the 10th and 11th floors. The 11th floor has been leased to Generation Next Fertility, who will relocate from the fifth floor. The 10th floor is being marketed for lease. In our analysis, we assumed the actual in-place average rent of $62.62 per sq. ft. for the vacant office units. At closing, the lender reserved approximately $1.7 million to fund any immediate general TI/LCs at the property.

- We visited the property on Sept. 5, 2019, and found the property's accessibility to be very good. In our view, the improvements are in good condition overall for a 1974 vintage property. We consider the collateral to be a class-B, mixed-use property that is somewhat specialized within the health and wellness industry, with Spa Castle Premier 57 as the anchor tenant. Spa Castle comprises 19.8% of the gross rent and 22.4% of the NRA (as calculated by S&P Global Ratings), with a lease through October 2034, five years beyond the loan term. Spa Castle Premier 57 offers a full-service spa including hydrotherapy pools, a water lounge, sauna, relaxation lounges, an aqua bar, café bistro, and a variety of body treatments. While the high quality the SPA's premises is undeniable, the specialized nature of the spaces and large exposure to the health and wellness industry may limit the repositioning of the asset toward more conventional spaces. We factored this risk in our analysis by applying an 8.0% capitalization rate to this tenant's rental income.

- The mortgage loan is a refinancing and the loan proceeds were used to refinance the existing

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debt, fund any upfront reserves (including an upfront general TI/LC reserve of $1.7 million), and cover closing costs. The refinancing did not return any equity to the sponsor. It is reportedly estimated that the sponsor will have approximately $30.0 million still invested in the property post-close of the financing. The sponsor acquired the property in 2003.

- The property is part of a condominium structure in which the borrower does not hold a majority interest. The management and operation of a condominium is generally controlled by a condominium board representing the owners of the individual condominium units, subject to the terms of the related condominium rules or by-laws. Since the borrower does not have control over decisions made by the related board of managers or directors, this could adversely affect the management and operation of the property. While the Galleria 57 borrower does not have the voting power to affirmatively control the owners association, it does have voting power to block any material amendments.

9. Park Tower At Transbay

Table 21

Credit Profile

Loan no. 9 Property type Office

Loan name Park Tower at Transbay Subproperty type CBD

Pooled trust loan balance ($) 50,000,000 Property sq. ft./no. of units 764,659

% of total pooled trust balance 4.1 Year built 2018 (%)

City San Francisco Sponsor MetLife Inc.

State Calif. S&P Global Ratings' amortization Interest-only category

S&P Global Ratings' market Primary S&P Global Ratings' amortization (2.50) type adjustment (%)

S&P Global Ratings' NCF ($) 4,470,000(i) S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (12.6) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate 7.00 S&P Global Ratings' LTV (%) 71.7(ii) (%)

S&P Global Ratings' value (mil. 69.8(i) S&P Global Ratings' DSC (x) 2.56(ii) $)

S&P Global Ratings' value (31.5) 'AAA' SCE (%) 37.2 variance (%)

S&P Global Ratings' value per 1,004 'AAA' DCE (%) 7.1 sq. ft./unit ($)

(i)Pari passu adjusted. (ii)The loan is pari passu; LTV and DSC calculated based on the $500.0 million pari passu companion loan and the $50.0 million pooled trust loan balance (collectively, the whole loan). NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. CBD--Central business district. N/A--Not applicable.

Strengths and concerns

The loan exhibits the following strengths:

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- The whole loan has low leverage, with an S&P Global Ratings' LTV ratio of 71.7% based on our valuation and the whole loan balance. The LTV ratio based on the appraiser's "as-is" valuation is 49.1%. Our estimate of long-term sustainable value is 31.5% lower than the appraiser's "as-is" valuation.

- The whole loan has a strong DSC ratio of 2.56x, calculated using the loan's fixed interest rate and S&P Global Ratings' NCF for the property, which is 12.6% lower than the issuer's NCF.

- The loan is secured by the fee-simple interest in a newly constructed 43-story class-A office building in San Francisco, consisting of 755,914 sq. ft. of office space and 8,745 sq. ft. of ground-floor retail. The property is located in downtown San Francisco, near the Transbay Terminal development, and was built to a LEED Gold pre-certified standard.

- Located centrally in San Francisco's Transbay District, the property's amenities include 14 sky decks, two landscaped terraces, and a ground-level park. The property also features state-of-the-art building systems, voluminous open ceilings, floor-to-ceiling glass windows, flexible floor plates, and a stunning three-story lobby. The property is situated across the street from the Transbay Terminal and within four blocks of every major transit system in San Francisco that provides access to the rest of the Bay Area.

- The property was built for a total cost of approximately $754 million by a strong joint venture partnership consisting of MetLife (95.0%), The John Buck Co. (2.5%), and Golub & Co. (2.5%). Approximately $550 million of sponsor equity (72.9% of the $754.0 million total cost) was used to facilitate the property's acquisition. The property was formerly a state-owned parcel used for ramps leading to the old Transbay Terminal, which was revitalized and is situated across the street from the property.

- Facebook occupies the entire office component of the property on a triple-net basis for 15 years. However, the leased premises are divided into three phases with differing terms and maturities. Each of the three leased phases commenced in March 2019: Phase I (floors 2-13; 35.3% of the NRA, $61.80 per sq. ft.), Phase II (floors 13-25; 31.3% of the NRA, $66.00 per sq. ft.), and Phase III (floors 26-43; 32.3% of the NRA, $72.00 per sq. ft.). Facebook has taken occupancy of Phase I, with Phase II and III occupancy expected by September 2020.

- Facebook is paying above-market gross rents according to CBRE-EA, which concludes a gross rent for the building of $77.93 per sq. ft. This is lower than the in-place average gross rent of $104.54 per sq. ft. However, given the recent build, the appraiser concluded gross rents of $110 to $115, which is higher than the property's current gross rents. The leases are structured with annual rent increases of 3.0% and have two eight-year renewal options at 100% of fair market rent.

- The loan benefits from an $80.2 million ($105 per sq. ft.) upfront reserve for future TI/LCs negotiated at lease signing, with a large portion of the package earmarked to build a three-floor staircase connecting floors 25 through 28. Additionally, Facebook is anticipated to spend $300 to $350 per sq. ft. to build out their space. Facebook expects to take occupancy from October 2019 through September 2020.

- The property is located in the South Financial District submarket, which, according to CoStar's second-quarter 2019 report, was one of the best-performing major CBD submarkets in the U.S. during the current business cycle. The submarket's vacancy for second-quarter 2019 stood at 5.6% compared with the 6.1% overall vacancy rate for San Francisco. However, the submarket does have a large amount of space available for sublease with an overall availability rate of 9.7%. Also, the appraisal concluded a lower market vacancy of 3.1% due to the new build that included only a small competitor set of 550 Howard Street (1.1 million sq. ft., 100% occupied by Salesforce), 88 Bluxome Street (1.0 million sq. ft., mostly occupied by Pinterest), and 181

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Fremont Street (432,000 sq. ft.; 100% occupied by Facebook).

- The loan agreement provides for a hard in-place lockbox with springing cash management. A cash sweep event will occur upon an event of default; upon a borrower bankruptcy; if Facebook terminates, defaults, or gives notice of lease termination; upon a failure to repay the loan in full by the ARD date; if the debt yield falls below 7.0% for two consecutive quarters; or if a replacement tenant that occupies more than 50% of the Facebook space goes dark.

The loan exhibits the following concerns and mitigating factors:

- The loan is interest-only for its entire 10-year ARD, meaning there will be no scheduled amortization during the loan term. We reduced our LTV recovery thresholds at each rating category to account for the higher refinancing risk at maturity compared to an amortizing loan.

- The loan is subject to single-tenant risk because all of the NRA is leased to Facebook, which means any deterioration in the tenants' operating businesses or their decision not to extend their lease could result in 100% vacancy at the property. However, the Transbay District is one of the largest and most established office hubs in the world, with Salesforce, Amazon, Google, and a variety of international firms asking for more capacity. The state-of-the-art building should be attractive in the event that the property needs to be re-tenanted.

- Facebook recently executed its lease at the property, and while it has taken possession and commenced paying rent, it was still building out its space at the time of our site visit on Aug. 15, 2019. The sponsor indicated that Facebook will be moving in and taking occupancy in multiple phases from October 2019 through September 2020. Although the loan has a 10-year ARD, the actual final maturity date is in August 2034, which is nearly coterminous with Facebook's lease expiration of February 2034. However, if the loan is not repaid before its ARD, there is an NCF sweep to amortize the mortgage loan. Based on the loan seller's projections of the property's cash flows, the mortgage loan would amortize down to $34.4 million or a 30.7% LTV, based on the appraised value, and a 44.8% LTV loan, based on S&P Global Ratings' value.

- The loan does not have a carve-out guarantor. In our view, this limitation generally lessens the disincentive provided by a full nonrecourse carve-out related to "bad boy" acts or voluntary bankruptcy.

- Although the SPE borrower is structured with a nonconsolidation opinion and two independent directors, the independent directors can be removed without cause with five business days' notice.

- The loan documents permit transfers of direct and indirect equity interests in the borrower, including control of borrower, to unspecified qualified third parties without standard disincentive structures such as transfer fees or a limitation on the total number of such transfers during the term of the loan. In our view, this structure exposes the property to a higher potential for upheaval associated with change of ownership while negating benefits that stem from the strength of the sponsor and otherwise having affiliated parties involved in the transaction.

10. West LA Multifamily Portfolio

Table 22

Credit Profile

Loan no. 10 Property type Multifamily

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Table 22

Credit Profile (cont.)

Loan name West LA Multifamily Subproperty type Mid-rise Portfolio

Pooled trust loan balance ($) 45,800,000 Property sq. ft./no. of units 96

% of total pooled trust balance 3.7 Year built/renovated 2008 and 2009 (%)

City Los Angeles Sponsor Wiseman Residential

State CA S&P Global Ratings' amortization Interest only category

S&P Global Ratings' market Primary S&P Global Ratings' amortization (2.50) type adjustment (%)

S&P Global Ratings' NCF ($) 3,090,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (3.09) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate 6.25 S&P Global Ratings' LTV (%) 94.0 (%)

S&P Global Ratings' value (mil. 48.7 S&P Global Ratings' DSC (x) 1.89 $)

S&P Global Ratings' value (34.8) 'AAA' SCE (%) 49.5 variance (%)

S&P Global Ratings' value per 507,705 'AAA' DCE (%) 14.2 sq. ft./unit ($)

NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. N/A--Not applicable.

Strengths and concerns

The loan exhibits the following strengths:

- The pooled trust loan has a moderately strong DSC ratio of 1.89x, calculated using the loan's fixed interest rate and S&P Global Ratings' NCF for the portfolio, which is 3.1% lower than the issuer's NCF.

- The loan is secured by the fee-simple interest in a class A-/B+ multifamily portfolio, comprising three mid-rise properties, totaling 96-units located in Los Angeles. The three properties are Edinburgh Courtyard, Armacost Colony, and Sherbourne Hall, located in Beverly Hills, West Hollywood, and Beverly Hills, respectively. The properties were constructed by the sponsor between 2008 and 2009. The unit sizes range from 1,095 to 1,766 sq. ft., with an average of 1,381 sq. ft. Building amenities include nine-foot ceilings, quartz countertops in the kitchens and bathrooms, stainless steel appliances, stackable washers and dryers, engineered wood flooring and a 24-hour centralized security system.

- As of November 2019, the portfolio's properties are 100% occupied. Since 2010, the portfolio's average in-place occupancy has been strong at 98.4%. In addition, over the last five years, NCF for the portfolio has risen by 10.0% to $3.4 million in 2018 from $3.0 million in 2015.

- The portfolio is located in a primary market. According to research by the McKinsey Global

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Institute, California ranks 49th out 50 states for housing units per capita. This housing shortage has led to strong demand and rising rents. Two of the properties in the portfolio are located in the Beverly Hills submarket and one property is located in the West LA/Westwood/Brentwood submarket. According to CBRE-EA, the Beverly Hills submarket had a 2.6% vacancy rate, while the West LA/Westwood/Brentwood submarket had a 3.7% vacancy rate as of third-quarter 2019. S&P Global Ratings assumed a long-term sustainable vacancy rate of 5.0% in our analysis.

- According to CBRE-EA, average rent for multifamily units in Beverly Hills is $3,474 per unit, while the average in-place rent of the subject properties located in Beverly Hills is slightly lower at $3,445 per unit. Average rent for multifamily units in the LA/Westwood/Brentwood submarket is $4,153 per unit, versus $4,484 for the subject property located in the LA/Westwood/Brentwood area.

- The loan benefits from the experienced sponsorship of Wiseman Residential, a residential developer and manager with a current portfolio of 55 multifamily properties totaling 1,740 units, and has a development pipeline of 855 multifamily and condominium units under development in the Los Angeles area. The non-recourse carve-out guarantors are Issac Cohenzad, founder of Wiseman Residential, whom maintains a net worth in excess of $670.0 million, and The Cohenzad Revocable Family Trust.

The loan exhibits the following concerns and mitigating factors:

- The pooled trust loan has high leverage, with an S&P Global Ratings' LTV ratio of 94.0%, based on our valuation of the property. The LTV ratio based on the appraiser's "as-is" valuation is 61.2%. Our estimate of long-term sustainable value is 34.8% lower than the appraiser's "as-is" valuation.

- Five of the units in the portfolio are subject to an affordable housing covenant, in which the borrower is required, for a period of 30 years from the date of the certificate of occupancy (2008), to lease such units to low-income tenants at a rental rate that may not exceed 15% of the area's net median income.

- The mortgage loan is a refinancing and the loan proceeds returned approximately $21.7 million (47.4% of the financing) of equity to the sponsor. Based on the sponsor's cost basis of $38.9 million, no cash equity will remain in the portfolio at closing. The sponsor developed the properties in 2008 and 2009, and has recently renovated 27 units in Edinburgh Courtyard and Armacost Colony for $165,000 ($6,111 per unit).

- The loan is structured with a soft, springing lockbox and springing cash management. During a cash sweep event, all excess cash flow will be deposited into a lender-controlled account. However, a cash sweep event only occurs upon an event of default or if DSC falls below 1.10x on a TTM basis. Additionally, the loan is structured with ongoing reserves for taxes and capital expenditures.

- Although the SPE borrower is structured with a nonconsolidation opinion and one independent director, the independent director of the borrower can be removed without cause with five business days' notice.

- Although the borrower must provide the lender with quarterly and annual financial statements, they are not required to be audited. We believe audited financial statements are more

www.standardandpoors.com December 5, 2019 45

conclusive and reliable than unaudited statements.

Related Criteria

- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation And Special-Purpose Entity Criteria, May 15, 2019

- General Criteria: U.S. Government Support In Structured Finance And Public Finance Ratings, Dec. 7, 2014

- Criteria | Structured Finance | CMBS: Insurance Criteria For U.S. And Canadian CMBS Transactions, June 13, 2013

- General Criteria: Methodology And Assumptions: Assigning Ratings To Bonds In The U.S. Based On Escrowed Collateral, Nov. 30, 2012

- Criteria | Structured Finance | CMBS: CMBS Global Property Evaluation Methodology, Sept. 5, 2012

- Criteria | Structured Finance | CMBS: Rating Methodology And Assumptions For U.S. And Canadian CMBS, Sept. 5, 2012

- Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012

- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012

- Criteria | Structured Finance | CMBS: Assessing Borrower-Level Special-Purpose Entities In U.S. CMBS Pools: Methodology And Assumptions, Nov. 16, 2010

- Criteria | Structured Finance | General: Global Methodology For Rating Interest-Only Securities, April 15, 2010

- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009

Related Research

- Global Structured Finance Outlook 2019: Securitization Continues To Be Energized With Potential $1 Trillion In Volume Expected Again, Jan. 7, 2019

- Application Of CMBS Global Property Evaluation Methodology In U.S. And Canadian Transactions, Sept. 5, 2012

- U.S. And Canadian CMBS Diversity Adjustment Factor Matrices, Sept. 5, 2012

In addition to the criteria specific to this type of security (listed above), the following criteria articles, which are generally applicable to all ratings, may have affected this rating action: "Counterparty Risk Framework: Methodology And Assumptions," March 8, 2019; "Post-Default Ratings Methodology: When Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?," March 23, 2015; "Global Framework For Assessing Operational Risk In Structured Finance Transactions," Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace Periods, Guarantees, And Use of 'D' And 'SD' Ratings," Oct. 24, 2013; "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012; "Methodology: Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch And

www.standardandpoors.com December 5, 2019 46

Outlooks," Sept. 14, 2009.

Appendices

Our property evaluation results and loan-level credit enhancement for the full pool appear in Appendices I and II below.

The loan-level credit enhancement levels shown in Appendix II include the SCE and DCE for each loan at various rating categories. The SCE assumes the loan is part of an undiversified stand-alone transaction, while the DCE assumes the loan is part of a well-diversified transaction with an effective loan count of at least 30. To arrive at the transaction credit enhancement levels, we calculated the weighted average SCE and weighted average DCE at each rating category, and used the transaction's effective loan count of 23.1 to ascertain the final transaction credit enhancement level at each rating category relative to the upper and lower ranges established by the weighted average SCE and DCE. These final transaction credit enhancement levels are subject to applicable floors, including a 1% floor at the 'B' rating category, and any adjustment for overall transaction-level considerations. In our opinion, this transaction's high percentage of full-term interest-only loans warranted an additional negative qualitative adjustment beyond that produced from our loan-level analysis and model results.

Appendix I

S&P Global Ratings' Property Evaluation Results(i)

S&P S&P Global Global Loan Ratings' NCF Cap Ratings' Value Property Market balance % of NCF variance rate value variance LTV DSC Property name type type (mil. $) pool (mil. $) (%) (%) (mil. $) (%) (%) (x)

55 Hudson OF P 100.000 8.2 8.036 (24.1) 6.25 133.286 (47.5) 75.0 2.69 Yards

Jackson Park MF P 100.000 8.2 10.851 (15.9) 6.25 173.608 (40.3) 57.6 3.29

1412 Broadway OF P 100.000 8.2 5.881 (16.3) 7.00 82.659 (51.8) 121.0 1.61

Bronx MF Var 77.000 6.3 4.935 (9.7) 7.00 72.275 (36.5) 106.5 1.67 Multifamily Portfolio II

DoubleTree LO S 74.000 6.0 7.153 (19.4) 9.25 77.325 (36.6) 95.7 2.49 New Orleans

The Parklawn OF P 65.400 5.3 5.246 (13.2) 7.50 72.454 (33.5) 90.3 2.33 Building

Austin Marriott LO S 62.300 5.1 5.716 (25.3) 9.88 57.831 (44.6) 107.7 1.69 Portfolio

Galleria 57 OF P 52.000 4.2 4.004 (10.3) 7.67 50.044 (63.5) 103.9 2.19

Park Tower at OF P 50.000 4.1 4.473 (12.6) 7.00 69.760 (31.5) 71.7 2.56 Transbay

West LA MF Var 45.800 3.7 3.093 (3.1) 6.25 48.740 (34.8) 94.0 1.89 Multifamily Portfolio

Hampton Inn & LO P 33.250 2.7 3.053 (13.8) 10.00 28.925 (38.2) 115.0 1.70 Suites - John Wayne Airport

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Appendix I

S&P Global Ratings' Property Evaluation Results(i) (cont.)

Giant Anchored RT Var 30.000 2.4 2.307 (10.3) 8.25 27.961 (30.7) 107.3 1.36 Portfolio

Baytown MF Var 29.475 2.4 2.120 (12.6) 7.75 27.357 (30.4) 107.7 1.99 Multifamily Portfolio

Hualapai RT S 26.120 2.1 2.221 (14.6) 7.75 27.236 (40.8) 95.9 2.41 Commons

ILPT Industrial IN Var 25.080 2.0 2.990 (12.3) 7.53 40.053 (37.4) 62.6 4.43 Portfolio

One Palm MF S 22.000 1.8 1.787 (12.4) 7.00 26.159 (36.5) 84.1 1.99 Apartments

Diplomat Park MF P 20.500 1.7 1.620 (7.3) 7.00 22.824 (40.3) 89.8 2.26 Apartments

325-329 Third MU P 20.200 1.6 1.415 (8.0) 7.33 19.308 (36.0) 104.6 1.74 Avenue

Blue Point MU P 16.725 1.4 1.079 (21.7) 7.50 16.129 (27.7) 103.7 1.13

3800 Broadway MU P 16.000 1.3 1.000 (10.2) 7.45 13.332 (46.6) 120.0 1.57

700 Shore Road MF P 15.000 1.2 2.659 (5) 7.00 37.987 (51.5) 39.5 3.38 Waters Edge Inc.

2200 Paseo OF S 14.394 1.2 1.301 (13.1) 8.50 15.300 (20.4) 94.1 1.59 Verde

Vacaville & SS Var 14.073 1.1 1.092 (10.7) 8.36 13.062 (40.3) 107.7 2.23 Cordelia Self Storage

Haven at MF P 14.000 1.1 0.969 (9.8) 6.50 14.906 (29.0) 93.9 1.71 Highland Knolls

Stanford Bridge OF P 13.500 1.1 1.326 (13.1) 8.25 16.075 (28.6) 84.0 2.95

Hilton Garden LO T 12.383 1.0 1.119 (19.5) 10.50 10.660 (43.3) 116.2 1.55 Inn Boise Eagle

Gerard Owners MF P 11.980 1.0 8.704 (5) 7.00 124.337 (50.0) 9.6 13.91 Corp.

Huntington MU P 11.600 0.9 0.900 (13.3) 8.00 11.247 (39.4) 103.1 2.17 Park Plaza

2650 Camino OF P 9.300 0.8 0.799 (13.1) 8.50 9.398 (35.2) 99.0 1.36 Del Rio

Yarmouth MF P 9.000 0.7 0.684 (9.8) 6.25 10.936 (37.1) 82.3 2.17 Apartments

Collinsville RT S 7.870 0.6 0.695 (13.7) 8.25 8.423 (30.6) 93.4 1.91 Crossing

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Appendix I

S&P Global Ratings' Property Evaluation Results(i) (cont.)

Woodside MF S 7.315 0.6 0.605 (9.8) 7.75 7.806 (25.3) 93.7 1.46 Village Apartments

Totowa RT P 5.880 0.5 0.440 (12.9) 8.25 5.329 (32.0) 110.4 1.20 Shoppes

US Storage SS S 5.800 0.5 0.495 (19.0) 8.25 6.005 (36.8) 96.6 2.36 Centers - OK

Woodland OF P 5.720 0.5 0.596 (13.1) 10.00 5.963 (23.6) 95.9 1.78 Court Office Center Finley Road

Holiday Inn LO T 5.587 0.5 0.623 (19.5) 11.25 5.541 (30.7) 100.8 1.38 Suites Enid

29-45 Tenants' MF P 5.095 0.4 2.534 (5) 7.00 36.196 (81.6) 14.1 11.40 Corp.

Edgebrook MF P 4.690 0.4 2.333 (5) 7.00 33.323 (18.9) 14.1 8.80 Cooperative Inc.

Walgreens RT T 4.550 0.4 0.360 (12.9) 8.25 4.363 (37.7) 104.3 1.96 Franklin

315 West 23rd MF P 4.500 0.4 2.716 (5) 7.00 38.800 (67.7) 11.6 17.06 Street Owners Corp.

Sunnybrook MF P 4.500 0.4 1.707 (5) 7.00 24.388 (44.3) 18.5 8.38 Gardens Owners Inc.

Crestwood MF P 4.250 0.3 0.821 (5) 7.00 11.723 (48.0) 36.3 4.33 Apartment Owners Corp.

The Pavilion MF P 4.000 0.3 1.077 (5) 7.00 15.392 (37.2) 26.0 5.83 Owners Corp.

Park and 76th MF P 3.600 0.3 4.206 (5) 7.00 60.088 (86.3) 6.0 32.92 St. Inc.

25 Plaza MF P 3.500 0.3 1.288 (5) 7.00 18.396 (69.8) 19.0 7.04 Tenants Corp.

2156 Cruger MF P 3.497 0.3 0.710 (5) 7.00 10.145 (33.9) 34.5 4.42 Avenue Apartment Corp. F/K/A C.Q. Realty Inc.

3616 Henry MF P 3.494 0.3 2.000 (5) 7.00 28.574 (43.0) 12.2 11.03 Hudson Pkway Owners Corp.

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Appendix I

S&P Global Ratings' Property Evaluation Results(i) (cont.)

245-55 Bronx MF P 3.250 0.3 0.834 (5) 7.00 11.919 (14.3) 27.3 5.68 River Owners Inc.

1080 MF P 3.145 0.3 0.356 (13.6) 7.00 5.082 (29.0) 61.9 2.14 Warburton Corp.

4012 & 4016 OF S 3.000 0.2 0.297 (13.1) 9.25 3.213 (28.6) 93.4 2.70 Raintree Road

Thwaites MF P 2.750 0.2 1.582 (5) 7.00 22.600 (3.8) 12.2 10.40 Terrace House Owners Corp.

4315 Webster MF P 2.750 0.2 0.857 (5) 7.00 12.250 (14.6) 22.4 6.73 Owners Inc.

71-36 Owners MF P 2.700 0.2 1.037 (5) 7.00 14.815 (52.9) 18.2 7.33 Corp.

110-150 Draper MF P 2.646 0.2 1.363 (5) 7.00 19.472 (27.9) 13.6 9.91 Owners Corp.

Park Harbor RT P 2.514 0.2 0.226 (12.9) 8.50 2.654 (27.1) 94.7 1.44 Retail Center

The Colonial MF P 2.500 0.2 0.642 (5) 7.00 9.174 (8.5) 27.3 5.83 House Tenant Corp.

Pelham Manor MF P 2.500 0.2 0.601 (5) 7.00 8.587 (25.7) 29.1 7.02 Owners Inc.

South Fork MF T 2.500 0.2 0.215 (9.8) 7.75 2.773 (26.5) 90.2 1.48 Apartments

Callaway Self SS T 2.400 0.2 0.230 (14.8) 8.50 2.710 (41.7) 88.6 2.04 Storage

East Rock MF P 2.350 0.2 0.772 (5) 7.00 11.026 (29.8) 21.3 6.21 Tenants Corp.

66-92 Tenants MF P 2.300 0.2 0.651 (5) 7.00 9.300 (46.9) 24.7 5.36 Ltd.

300 West 17th MF P 2.147 0.2 0.877 (5) 7.00 12.531 (43.0) 17.1 7.73 Street Housing Development Fund Corp.

Hastings House MF P 1.797 0.1 1.162 (5) 7.00 16.604 (48.7) 10.8 12.40 Tenants Corp.

10015 Owners MF P 1.597 0.1 0.831 (5) 7.00 11.865 (48.9) 13.5 9.98 Corp.

128 Willow MF P 1.400 0.1 1.205 (5) 7.00 17.211 (67.6) 8.1 16.27 Apartments Corp.

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Appendix I

S&P Global Ratings' Property Evaluation Results(i) (cont.)

130 Centre MF P 1.350 0.1 0.262 (5) 7.00 3.741 (25.2) 36.1 5.26 Avenue Apartments Inc.

8 West 13th MF P 1.300 0.1 0.908 (5) 7.00 12.969 (68.1) 10.0 12.96 Street Tenants Corp.

184 Columbia MF P 1.098 0.1 0.857 (5) 7.00 12.240 (67.8) 9.0 14.84 Heights Inc.

Shuttleworth MF P 1.000 0.1 1.997 (5) 7.00 28.533 (55.4) 3.5 38.05 Artists Ltd.

Linden Heights MF P 1.000 0.1 0.557 (5) 7.00 7.955 (60.0) 12.6 10.31 Association Inc.

429 Clinton MF P 1.000 0.1 0.463 (5) 7.00 6.609 (67.5) 15.1 8.79 Avenue Inc.

Total/weighted - - 1,225.921 100.0 140.521 (13.9) 7.53 - (40.3) 87.7 2.83 average

(i)Loan balances, NCFs, and values refer to the trust portion of contributed loan (i.e., the pari passu amount). NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. IN--Industrial. LO--Lodging. MF--Multifamily. MU--Mixed use. OF--Office. RT--Retail. SS--Self-storage. P--Primary. S--Secondary. T--Tertiary. VAR--Various.

Appendix II

S&P Global Ratings' Loan-Level Credit Enhancement Levels(i)

'AAA' 'AA'

Property name Loan balance ($) 'AAA' DF 'BBB' DF SCE DCE SCE DCE

55 Hudson Yards 100,000,000 19.9 15.6 40.0 8.0 30.0 5.5

Jackson Park 100,000,000 16.2 12.7 17.5 2.8 2.8 0.3

1412 Broadway 100,000,000 55.8 44.4 62.8 35.0 56.6 29.4

Bronx Multifamily Portfolio II 77,000,000 44.2 35.0 55.4 24.5 47.4 19.5

DoubleTree New Orleans 74,000,000 25.6 20.2 70.7 18.1 61.9 14.6

The Parklawn Building 65,400,000 23.8 18.7 53.5 12.7 45.2 10.0

Austin Marriott Portfolio 62,300,000 43.6 34.5 68.7 29.9 60.8 24.6

Galleria 57 52,000,000 28.2 22.2 56.7 16.0 49.5 12.9

Park Tower at Transbay 50,000,000 19.2 15.1 37.2 7.1 26.8 4.7

West LA Multifamily Portfolio 45,800,000 28.8 22.7 49.5 14.2 40.4 10.7

Hampton Inn & Suites - John Wayne 33,250,000 46.7 37.0 71.3 33.3 63.9 27.8 Airport

Giant Anchored Portfolio 30,000,000 64.4 51.4 56.9 36.6 49.9 29.9

Baytown Multifamily Portfolio 29,475,000 29.9 23.6 57.8 17.3 49.9 16.0

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Appendix II

S&P Global Ratings' Loan-Level Credit Enhancement Levels(i) (cont.)

'AAA' 'AA'

Property name Loan balance ($) 'AAA' DF 'BBB' DF SCE DCE SCE DCE

Hualapai Commons 26,120,000 25.6 20.2 53.1 13.6 45.3 10.7

ILPT Industrial Portfolio 25,080,000 17.2 13.5 36.1 6.2 24.1 3.8

One Palm Apartments 22,000,000 22.5 17.7 45.9 10.3 35.8 7.4

Diplomat Park Apartments 20,500,000 23.8 18.7 51.6 12.3 42.1 9.3

325-329 Third Avenue 20,200,000 39.6 31.3 60.8 24.1 53.6 19.7

Blue Point 16,725,000 81.6 65.6 55.4 45.2 48.2 36.6

3800 Broadway 16,000,000 57.9 46.1 62.5 36.2 56.3 30.4

700 Shore Road Waters Edge Inc. 15,000,000 12.9 10.1 - - - -

2200 Paseo Verde 14,393,959 42.0 33.2 49.5 20.8 41.5 16.2

Vacaville & Cordelia Self Storage 14,072,500 29.5 23.3 58.2 17.2 51.3 14.1

Haven at Highland Knolls 14,000,000 36.1 28.5 49.4 17.9 40.4 13.5

Stanford Bridge 13,500,000 22.2 17.4 46.4 10.3 37.5 7.7

Hilton Garden Inn Boise Eagle 12,382,631 56.7 45.1 69.9 39.6 62.6 32.9

Gerard Owners Corp. 11,980,241 12.3 9.6 - - - -

Huntington Park Plaza 11,600,000 27.8 21.9 56.4 15.7 49.1 12.7

2650 Camino Del Rio 9,300,000 58.9 46.9 53.3 31.4 45.7 25.0

Yarmouth Apartments 9,000,000 21.7 17.0 42.3 9.2 32.0 6.4

Collinsville Crossing 7,870,000 27.7 21.8 51.8 14.4 43.8 11.3

Woodside Village Apartments 7,315,000 49.3 39.1 48.0 23.6 38.9 17.7

Totowa Shoppes 5,880,468 80.2 64.5 58.1 46.6 51.3 38.4

US Storage Centers - OK 5,800,000 25.9 20.4 53.4 13.8 45.6 11.0

Woodland Court Office Center Finley 5,720,000 33.9 26.7 51.8 17.5 44.0 13.8 Road

Holiday Inn Suites Enid 5,586,688 58.8 46.9 64.3 37.8 55.9 30.5

29-45 Tenants' Corp. 5,094,610 12.3 9.6 - - - -

Edgebrook Cooperative Inc. 4,690,253 12.3 9.6 - - - -

Walgreens Franklin 4,550,000 29.6 23.4 56.8 16.8 49.7 13.7

315 West 23rd Street Owners Corp. 4,500,000 12.3 9.6 - - - -

Sunnybrook Gardens Owners Inc. 4,500,000 12.3 9.6 - - - -

Crestwood Apartment Owners Corp. 4,250,000 12.4 9.7 - - - -

The Pavilion Owners Corp. 4,000,000 12.3 9.6 - - - -

Park and 76th St. Inc. 3,600,000 12.3 9.6 - - - -

25 Plaza Tenants Corp. 3,500,000 12.3 9.6 - - - -

2156 Cruger Avenue Apartment Corp. 3,496,584 12.3 9.6 - - - - F/K/A C.Q. Realty Inc.

3616 Henry Hudson Pkway Owners 3,494,187 12.3 9.6 - - - - Corp.

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Appendix II

S&P Global Ratings' Loan-Level Credit Enhancement Levels(i) (cont.)

'AAA' 'AA'

Property name Loan balance ($) 'AAA' DF 'BBB' DF SCE DCE SCE DCE

245-55 Bronx River Owners Inc. 3,250,000 12.3 9.6 - - - -

1080 Warburton Corp. 3,144,894 17.0 13.4 25.7 4.4 11.9 1.4

4012 & 4016 Raintree Road 3,000,000 24.7 19.4 51.8 12.8 43.8 10.0

Thwaites Terrace House Owners Corp. 2,750,000 12.3 9.6 - - - -

4315 Webster Owners Inc. 2,750,000 12.3 9.6 - - - -

71-36 Owners Corp. 2,700,000 12.3 9.6 - - - -

110-150 Draper Owners Corp. 2,645,606 12.3 9.6 - - - -

Park Harbor Retail Center 2,513,894 51.1 40.6 49.8 25.5 41.9 19.9

The Colonial House Tenant Corp. 2,500,000 12.3 9.6 - - - -

Pelham Manor Owners Inc. 2,500,000 12.3 9.6 - - - -

South Fork Apartments 2,500,000 45.9 36.4 44.5 20.5 35.1 14.9

Callaway Self Storage 2,400,000 23.6 18.5 49.2 11.6 40.7 8.9

East Rock Tenants Corp. 2,350,000 12.3 9.6 - - - -

66-92 Tenants Ltd. 2,300,000 12.3 9.6 - - - -

300 West 17th Street Housing 2,146,515 12.3 9.6 - - - - Development Fund Corp.

Hastings House Tenants Corp. 1,797,031 12.3 9.6 - - - -

10015 Owners Corp. 1,597,356 12.3 9.6 - - - -

128 Willow Apartments Corp. 1,400,000 12.3 9.6 - - - -

130 Centre Avenue Apartments Inc. 1,350,000 12.4 9.7 - - - -

8 West 13th Street Tenants Corp. 1,300,000 12.3 9.6 - - - -

184 Columbia Heights Inc. 1,098,204 12.3 9.6 - - - -

Shuttleworth Artists Ltd. 1,000,000 12.3 9.6 - - - -

Linden Heights Association Inc. 1,000,000 12.3 9.6 - - - -

429 Clinton Avenue Inc. 1,000,000 12.3 9.6 - - - -

Total/weighted average 1,225,920,620 32.0 25.3 47.2 17.2 39.1 13.7

(i)Loan balances, net cash flows, and values refer to the trust portion of contributed loan (i.e., the pari passu amount). (ii)DF--Diversity adjustment factor. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. CE--Credit enhancement.

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Standard & Poor’s | Research | December 5, 2019 54 2361251