CF 2019-CF3 Mortgage Trust

Presale: CF 2019-CF3 Mortgage Trust

December 3, 2019

PRIMARY CREDIT ANALYST

Preliminary Ratings Andy A White, CFA Centennial Class(i) Preliminary rating Preliminary amount ($)(ii) Credit enhancement (%) (1) 303-721-4890 A-1 AAA (sf) 15,390,000 30.000 andy.white @spglobal.com A-2 AAA (sf) 58,585,000 30.000 SECONDARY CONTACT A-SB AAA (sf) 21,534,000 30.000 Della Cheung A-3 AAA (sf) TBD(iii) 30.000 New York A-4 AAA (sf) TBD(iii) 30.000 (1) 212-438-3691 della.cheung X-A(iv) AAA (sf) 537,303,000 N/A @spglobal.com X-B(iv) A- (sf) 146,800,000 N/A

A-S AAA (sf) 84,434,000 19.000

B AA (sf) 31,663,000 14.875

C A- (sf) 30,703,000 10.875

X-D(iv)(v) NR 34,541,000 N/A

D(v) BBB- (sf) 19,189,000 8.375

E(v) NR 15,352,000 6.375

F-RR(v) NR 7,675,000 5.375

G-RR(v) NR 7,676,000 4.375

H-RR(v) NR 8,635,000 3.250

J-RR(v) NR 24,947,113 0.000

VRR Interest(vi) NR 21,551,091 N/A

Note: This presale report is based on information as of Dec. 3, 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%. (iii)The final balances of the class A-3 and A-4 certificates will be determined at final pricing. The certificates, in aggregate, are expected to have a total balance of $441.794 million, subject to a variance of plus or minus 5%. The class A-3 certificates are expected to have a balance between $75.0 million and $220.0 million, and the A-4 certificates are expected to have a balance between $221.794 million and $366.794 million. (iv)Notional amount. (v)Non-offered certificates. (vi)Non-offered eligible vertical interest retained by KeyBank N.A. as the retaining sponsor. NR--Not rated. TBD--To be determined. N/A--Not applicable.

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Profile

Expected closing Dec 17, 2019. date

Collateral Forty-eight commercial mortgage loans with an aggregate principal balance of $789.128 million ($684.103 million of offered certificates), secured by the fee and leasehold interests in 67 properties across 19 states and the District of Columbia.

S&P Global Ratings 88.1% (based on S&P Global Ratings' NCF and weighted average capitalization rate of 7.55%). pooled trust LTV

S&P Global Ratings 2.37x (based on S&P Global Ratings' NCF and the actual debt service payable on the mortgage loans). pooled trust DSC

S&P Global Ratings 9.31% (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 and horizontal residual interest, which includes the class F-RR, G-RR, H-RR, and J-RR certificates. The VRR interest 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 VRR 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-2, A-SB, A-3, A-4, X-A, X-B, and X-D 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-RR, then G-RR, then H-RR, and then J-RR 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-SB, A-3, A-4, A-S, B, C, D, E, F-RR, G-RR, H-RR, and J-RR certificates until each class' balance is reduced to zero. If the class A-S through J-RR 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, A-3, and A-4 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 J-RR certificates through and including the class A-S certificates, and then to the class A-1, A-2, A-SB, A-3, and A-4 certificates, pro rata, based on each class' certificate balance. The class X-A certificates' notional amount will equal to the aggregate certificate balances of the class A-1, A-2, A-SB, A-3, and A-4 certificates. The class X-B certificates' notional amount will equal to the aggregate certificate balances of the class A-S, B, and C certificates. The class X-D certificates' notional amount will equal to the aggregate certificate balances of the class D and E certificates.

Depositor CCRE Commercial Mortgage Securities, L.P.

Mortgage loan Cantor Commercial Real Estate Lending L.P., Starwood Mortgage Capital LLC, and KeyBank National sellers and sponsors Association.

Master servicer Midland Loan Services, a Division of PNC Bank National Association.

Special servicer Midland Loan Services, a Division of PNC Bank National Association.

Trustee and Wells Fargo Bank N.A. certificate administrator

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

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

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Rationale

The preliminary ratings assigned to the CF 2019-CF3 Mortgage Trust'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 2.37x and beginning and ending loan-to-value (LTV) ratios of 88.1% and 83.9%, respectively, based on our values.

Transaction Overview

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

Chart 1

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Strengths

The transaction exhibits the following strengths:

- The transaction has a strong weighted average S&P Global Ratings' DSC of 2.37x based on actual debt service and, for the partial-term interest-only loans, the debt service due when the interest-only period expires. However, the prevailing low interest rate environment influences this DSC, as well as the senior and junior loan components structure of some of the larger loans. Any increase in interest rates could affect the loans' ability to refinance at maturity. Our DSCs for the pool range from 1.25x-11.74x.

- The pool is geographically diverse, with 67 properties spread across 19 states and the District of Columbia. The largest concentration is in California (10 properties, 19.7% of the pooled trust balance), followed by New York (14 properties, 14.7%) and Maryland (two properties, 10.9%). No other state accounts for more than 8.1% 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, Washington D.C., and Los Angeles. Of the pooled trust balance, 71.7% is located in primary markets (as defined by S&P Global Ratings) and 20.1% in secondary markets. The remaining properties (8.2%) are located in tertiary markets.

- The loan pool has a relatively diverse mix of property types. Of the pooled trust balance, 34.6% are backed by office properties, 27.2% by multifamily and manufactured housing properties, 10.4% by retail properties, 9.5% by industrial properties, 6.7% by mixed-use properties, 6.1% by lodging properties, and 5.5% by self-storage on a loan basis as classified by S&P Global Ratings.

- The transaction has a moderate amount of diversity by loan balance, with an effective loan count (as measured by the Herfindahl Index) of 28.4. The 10 largest loans represent 47.8% 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.

- All of the loans in the pool have borrowers that are structured as special-purpose entities (SPEs). Fifteen loans (62.5%) provided lenders with nonconsolidation opinions, including all of the top 10 loans. Seventeen loans (65.9%) have borrowers that are structured with at least one independent director.

- Thirty-nine of the loans (86.4% of the pooled trust balance) have some form of lockbox: 15 loans (51.4%) are structured with a hard lockbox; and 24 loans (35.0%) have springing lockboxes, of which nine (13.4%) have springing hard lockboxes, four (7.1%) have springing soft lockboxes, one (3.3%) has a soft springing hard lockbox, and 10 (11.2%) have springing lockboxes. Nine loans (13.6%) have no lockbox provisions. Six loans (21.9%) have in-place cash management, 34 loans (65.4%) are structured with springing cash management, and eight loans (12.7%) have no cash management.

- Fifteen loans (22.9% 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 56.5%, reflecting average equity contribution of 43.5% for these loans.

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- Six loans (13.8% of the pooled trust balance) are secured by multiple properties, ranging from two to seven 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, three of the loans (7.3%) allow for property releases, subject to various conditions, which may reduce the diversity benefit from these loans.

Risk Considerations

We considered these risks when analyzing this transaction:

- The transaction has moderately high leverage, with a weighted average LTV ratio of 88.1% 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.

- Twenty-six loans (73.0% of the pooled trust balance) are interest-only for their entire loan terms, including all of the top 10 loans (47.8%). The interest-only loans have a weighted average S&P Global Ratings LTV ratio of 85.6%, and nine loans (23.8%) have LTV ratios over 100%. Nine loans (10.6%) have a partial interest-only period, and 13 loans in the pool (16.4%) are structured as amortizing loans. The transaction is scheduled to amortize 5.0% through maturity. S&P Global Ratings considered loan amortization characteristics when assigning credit enhancement levels to the individual loans and the transaction.

- Five loans (10.4% 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 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 five retail loans (1.1% of the pooled trust balance) is secured by a property located in a tertiary location, and six properties securing three loans are considered unanchored retail loans (3.0%).

- One loan, the AVR Renaissance Atlanta Airport Gateway (6.1% of the pooled trust balance), is secured by a lodging asset. 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 AVR Renaissance Atlanta Airport Gateway loan has a high S&P Global Ratings' LTV ratio of 107.1%.

- Thirteen properties (8.3% by allocated loan balance) securing eight loans (13.9% of the pooled trust balance) are leased to a single tenant. The largest of these is 2450 Business Park (1.9%), a 156,390-sq.-ft. Vista (in San Diego county), Calif. manufacturing industrial property, which is 100% leased to Applied Membranes Inc. through Oct. 31, 2031. The other 12 properties account for 6.4% of the allocated loan balance and, with the exception of the FedEx Ground loan, have lease terms that expire after their loan terms. For the FedEx Ground loan (1.0%), FedEx leased 100% of the space until Sept. 30, 2029, while the interest-only loan matures on Nov. 1, 2029.

- Eleven loans (27.6% 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.

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- Nine loans in the pool (36.5% of the pooled trust balance) have a pari passu component; four loans–-Century Plaza Towers, 225 Bush, 180 Water, and 3 Columbus Circle (16.3% in aggregate)-—in addition to senior pari passu components, have junior loan components (which were securitized in separate stand-alone transactions); and one loan (180 Water, 3.2%) has mezzanine debt. In addition, six loans, including 180 Water (21.7%), permit the borrower to incur additional future mezzanine debt or subordinate loan.

- 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 a RAC request would cause us to downgrade the securities according to our ratings methodology, even though a RAC request is deemed to be satisfied pursuant to this option.

Pool Characteristics

Collateral description

The pool contains 48 loans that are secured by first-mortgage liens on the fee and leasehold interests in 67 properties. The top five and 10 loan concentrations represent 30.7% and 47.8% 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 34.6% of the pooled trust balance, and multifamily, which accounts for 24.5% (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 10 265.5 33.6 83.9 2.51

Multifamily 11 193.3 24.5 83.5 2.28

Industrial 6 75.2 9.5 99.8 1.81

Mixed-use 2 52.8 6.7 108.5 1.77

Lodging 1 48.0 6.1 107.1 2.22

Retail anchored 2 44.2 5.6 83.7 2.67

Self-storage 6 43.2 5.5 64.5 3.25

Retail unanchored 3 23.8 3.0 103.1 1.55

Retail single-tenant 2 14.3 1.8 94.6 2.12

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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)

Manufactured 2 11.8 1.5 106.5 1.30 housing

Medical office 1 7.2 0.9 103.4 1.44

Co-op 1 6.0 0.8 12.0 11.75

Student housing 1 3.8 0.5 99.3 1.42

Total/weighted 48 789.1 100.0 88.1 2.37 average

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

Geographic distribution

The pool consists of properties that are located in 19 states and the District of Columbia. Of these properties, 45.3% (by pooled trust balance) are located in three states: California, New York, and Maryland. The top five states represent 60.7% 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

California 155.8 10 78.5 16.1 5.4

New York 115.8 14 93.1 - 6.9

Maryland 85.8 2 70.9 29.1 -

Texas 63.7 3 100.0 - -

Washington 57.5 2 100.0 - -

Georgia 57.4 2 100.0 - -

Indiana 37.5 5 - 72.4 27.6

District of Columbia 36.7 7 100.0 - -

Florida 33.1 5 79.1 13.5 7.4

Minnesota 32.1 2 - 93.5 6.5

Other states - 10 113.7 15 29.5 41.0 29.5

Total 789.1 67 71.7 20.1 8.2

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Borrower concentration

The largest borrower sponsors in the pool are Boyd Watterson Asset Management (one loan; 7.7% of the pooled trust balance) and SPF JVP LLC and Luminance Acquisition Venture LLC (one loan; 6.3%).

Single-tenant properties

There are 13 properties (8.3% by allocated loan balance) in eight loans (13.9% of pooled trust balance) that are leased to a single tenant. Of these properties, 12 (7.3% by allocated loan balance) have lease terms that exceed the loan maturity date, while the remaining property has a lease that expires right before the loan matures. Details of the eight loans are listed below (see table 3).

Table 3

Single-Tenant Properties By Loan

% of allocated Pooled % of loan amount Tenant S&P trust pooled with single Loan Lease Global Ratings' balance trust tenant maturity expiration Loan Tenant(s) credit rating(s) (mil. $) balance exposure date date(s)

DC Mixed Use Daikaya NR 33.8 4.3 0.3 12/6/2029 5/31/2032 Portfolio VI Izakaya (Tonari)

Bushwick Metro NR 19.0 2.4 0.8 9/6/2029 6/30/2049 Avenue International Portfolio Church Inc.

2450 Applied NR 15.0 1.9 1.9 12/1/2029 10/31/2031 Business Park Membranes Inc.

Pretium Pretium NR; NR 13.6 1.7 1.7 11/1/2029 6/30/2039 Industrial Packaging DBA Portfolio Olcott Plastics; Starplex

Walmart Walmart Real AA/Stable/A-1+ 8.6 1.1 1.1 12/1/2029 9/14/2031 Supercenter Estate Lancaster Business Trust

FedEx Ground FedEx BBB/Stable/A-2 8.0 1.0 1.0 11/1/2029 9/30/2029

30610 East Material NR 6.6 0.8 0.8 11/1/2024 10/31/2034 Broadway Sciences Corporation

Dollar Dollar General BBB/Stable/A-2 5.6 0.7 0.7 12/6/2029 Various General (4/30/2033, Portfolio 8/31/2034, 10/31/2034, 11/30/2034)

Total N/A N/A 110.2 13.9 8.3 N/A N/A

NR--Not rated. N/A--Not applicable.

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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 March 2019 and November 2019. The weighted average loan interest rate is 3.64%.

The original loan terms range from 60 to 120 months, with a weighted average original loan term of 115.3. The weighted average remaining loan term is 114.4.

Twenty-six loans (73.0% of the pooled trust balance) are interest-only for the entire term, and nine (10.6%) 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 12 to 60 months. Thirteen loans (16.4%) have no interest-only periods and amortize on a 360-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 (%)

Interest only (IO) 26 73.0 2.56 85.6

Partial IO 9 10.6 1.41 99.3

Amortizing balloon 13 16.4 2.14 92.0

Fully amortizing - - - -

DSC--Debt service coverage. LTV--Loan to value.

Subordinated debt

Nine loans in the pool (36.5% of the pooled trust balance) have a pari passu component; four loans–-Century Plaza Towers, 225 Bush, 180 Water, and 3 Columbus Circle (16.3% in aggregate)--in addition to senior pari passu components, have junior loan components (which were securitized in separate stand-alone transactions); and one loan (180 Water, 3.2%) has mezzanine debt. In addition, six loans, including 180 Water (21.7%), permit the borrower to incur future mezzanine debt or subordinate loan (see table 5).

Table 5

Loans With Existing Additional Debt

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

Parklawn 60.8 7.7 200.8 - - - 261.6 Building

Century Plaza 50.0 6.3 850.0 300.0 - - 1,200.0 Towers

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Table 5

Loans With Existing Additional Debt (cont.)

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

Wells Fargo 30.0 3.8 50.0 - - - 80.0 Place

225 Bush 28.6 3.6 175.0 146.4 - - 350.0

180 Water 25.0 3.2 112.5 127.5 - 100.0 365.0

3 Columbus 25.0 3.2 465.0 105.0 - - 595.0 Circle

Park Central 25.0 3.2 35.0 - - - 60.0 Tower

Airport Square 25.0 3.2 5.0 - - - 30.0

Bushwick 19.0 2.4 111.0 - - - 130.0 Avenue Portfolio

Cross-collateralized and portfolio loans

Six loans (13.8% of the pooled trust balance) are secured by portfolios with multiple properties. They include DC Mixed Use Portfolio VI (4.3%; three mixed use and four unanchored retail properties in Washington D.C. and Manassas, Va.), Gold Brooklyn Multifamily Portfolio (3.1%; six mid-rise multifamily properties in Brooklyn, N.Y.), Bushwick Avenue Portfolio (2.4%; two mid-rise multifamily properties and one mixed-use property in Brooklyn, N.Y.), Pretium Industrial Portfolio (1.7%; two industrial-flex properties in St. Charles, Ill. and Cleveland, Tenn.), Bond Street 21 (1.5%; two unanchored retail properties in Clarksville, Ind. and Alcoa, Tenn.), and Dollar General Portfolio (0.7%; five single-tenant retail properties in Fla., S.C., and Ind.). 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).

Thirteen loans (28.0% of the pooled trust balance) are secured by properties located in seismic zones 3 or 4. The loan with the highest overall probable maximum loss (PML) of 19% is 225 Bush (3.6%). The remaining properties in seismic zones 3 or 4 had PMLs of 18% or lower. While earthquake insurance is not required, we noted that five loans (16.3%) 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 67 100.0

Environmental review within the past 12 months 67 100.0

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Table 6

Third-Party Review (cont.)

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

Engineering review within the past 12 months 67 100.0

Seismic review for properties in zones 3 or 4 13 28.0

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 27 of the 48 loans in the pool (81.9% 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 fifteen properties across 11 loans (41.0% 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 as well as loans with a total balance (trust amount plus pari passu amounts) of $20.0 million or higher.

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 assessments of the various properties' competitive positions. On a pool-wide basis, our weighted average NCF was 11.6% lower than the issuer's underwritten NCF. (See Appendix I for S&P Global Ratings' NCF variance for each loan.)

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S&P Global Ratings' DSC

We calculated the pool's 2.37x 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

< 1.00 - - -

1.00–1.10 - - -

1.10–1.20 - - -

1.20–1.30 4 44.5 5.7

1.30–1.40 7 55.4 7.0

1.40–1.50 5 72.7 9.2

1.50–1.60 4 37.9 4.8

1.60–1.70 1 24.8 3.1

1.70–1.80 2 34.1 4.3

1.80–1.90 2 31.8 4.0

1.90–2.00 1 33.8 4.3

Greater than 2.00 22 454.1 57.6

DSC--Debt service coverage.

S&P Global Ratings' LTV

Based on our analysis, S&P Global Ratings' weighted average beginning LTV ratio is 88.1% and its ending LTV ratio is 83.9%, which reflects the 7.55% 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 4 22.4 2.8

50-55 - - -

55–60 2 26.5 3.4

60–65 3 100.0 12.7

65-70 3 43.7 5.6

70–75 2 61.8 7.8

75–80 - - -

80–85 1 22.0 2.8

85–90 2 12.8 1.6

90–95 4 90.9 11.5

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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

95–100 10 126.9 16.1

100–105 7 125.3 15.9

105–110 5 86.3 10.9

Greater than 110 5 70.5 8.9

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

Office 33.6 2.51 (12.8) 7.51 83.9 366

Multifamily 24.5 2.28 (7.6) 6.90 83.5 205,666

Industrial 9.5 1.81 (18.2) 7.89 99.8 81

Mixed-use 6.7 1.77 (12.1) 7.33 108.5 432

Lodging 6.1 2.22 (22.9) 9.25 107.1 219,643

Retail anchored 5.6 2.67 (6.5) 7.25 83.7 651

Self-storage 5.5 3.25 (7.1) 8.04 64.5 166

Retail unanchored 3.0 1.55 (7.3) 7.98 103.1 444

Retail single tenant 1.8 2.12 (7.2) 8.02 94.6 77

Manufactured 1.5 1.30 (12.3) 8.04 106.5 24,894 housing

Medical office 0.9 1.44 (13.3) 9.00 103.4 204

Co-op 0.8 11.75 (8.3) 7.00 12.0 1,044,758

Student housing 0.5 1.42 (8.3) 8.00 99.3 104,910

Total/weighted 100.0 2.37 (11.6) 7.55 88.1 - average

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

Parklawn Building Office 7.7 2.33 (13.2) 7.50 90.3 226

Century Plaza Office 6.3 3.77 (7.9) 6.75 63.3 592 Towers

Meridian Pointe Multifamily 6.3 2.97 (5.3) 6.75 70.9 150,029 Apartments

AVR Renaissance Lodging 6.1 2.22 (22.9) 9.25 107.1 219,643 Atlanta Airport Gateway

DC Mixed Use Mixed-use 4.3 1.90 (10.5) 7.50 104.3 493 Portfolio VI

Wells Fargo Place Office 3.8 2.47 (15.4) 8.00 95.4 130

225 Bush Office 3.6 3.28 (14.9) 7.25 66.0 532

1824 Alton Road Retail 3.3 1.76 (7.2) 7.25 100.5 817 anchored

180 Water Multifamily 3.2 2.89 (8.0) 6.28 62.7 382,488

3 Columbus Circle Office 3.2 2.44 (16.2) 6.36 61.5 1,057

Total/weighted - 47.8 2.64 (12.2) 7.37 83.1 - average

Table 11 summarizes S&P Global Ratings' NCF and valuation assessment of loans 11-20. For these loans, our weighted average NCF is 12.2% lower than the issuer's underwritten NCF. S&P Global Ratings' weighted average beginning LTV ratio is 97.4% for these loans, and we calculated a 1.82x 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 over 90.0% 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 NCF % of Global Global S&P Ratings' variance/high pooled Ratings' Ratings' Global value per S&P Global Property trust trust DSC % NCF cap rate Ratings' unit/sq. ft. Ratings' LTV Property type balance (x)(i) diff.(ii) (%) LTV (%) ($) drivers

Park Central Office 3.2 1.42 (8.3) 7.75 95.4 94 GPR grossed-up Tower at in-place rents, vacancy, utilities, MGMT fee, and capex.

Airport Square Office 3.2 1.40 (17.1) 9.25 114.7 112 GPR grossed-up at in-place rents, vacancy, TI/LC, and capex.

Gold Brooklyn Multifamily 3.1 1.67 (3.9) 6.87 100.7 523,964 Vacancy, MGMT Multifamily fee, and capex. Portfolio

Dominion Multifamily 2.8 2.29 (9.6) 6.75 83.4 110,861 Vacancy, MGMT Apartments fee, and capex.

55 Talmadge Industrial 2.5 1.34 (26.4) 8.00 105.3 70 GPR marked to market rents, vacancy, MGMT fee, TI/LC, and capex.

The Block Multifamily 2.5 1.25 (8.6) 7.25 99.6 123,233 Vacancy, MGMT Apartments fee, opex, capex, and TI/LC.

Bushwick Mixed-use 2.4 1.54 (14.9) 7.02 116.2 322 Vacancy, opex, Avenue Portfolio TI/LC, and capex.

Westlake Village Retail 2.3 4.00 (5.5) 7.25 59.3 409 Vacancy, MGMT Marketplace anchored fee, and TI/LC.

Summervale Multifamily 2.1 1.85 (14.0) 7.00 99.6 54,260 Vacancy, Apartments concessions, bad debt, MGMT fee, and capex.

2450 Business Industrial 1.9 1.87 (15.9) 7.75 92.8 103 GPR, vacancy, TIs, Park and capex.

Total/weighted - 26.0 1.82 (12.2) 7.52 97.4 - 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. GPR--Gross potential rent. Capex--Capital expenditure. MGMT–-Management fee. Opex-–Operating expenses. TI/LC--Tenant improvements and leasing commissions. TIs--Tenant improvements.

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

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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.)

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 28.4, which we consider to be well diversified, resulting in a concentration coefficient of 71.0%.

We also considered the loan pool's geographic makeup in our overall transaction-level analysis. This loan pool is geographically diverse and is located primarily within primary markets (71.7%) and secondary markets (20.1%).

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 (73.0% of the pooled trust balance) 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 11.6% 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 7.55%.)

Table 12

Effect Of Declining NCF On S&P Global Ratings

Decline in S&P Global Ratings' NCF (%) 0.00 (10.00) (20.00) (30.00) (40.00)

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

NCF--Net cash flow.

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Top 10 Loans

1. The Parklawn Building

Table 13

Credit Profile

Loan no. 1 Property type Office

Loan name Parklawn Building Subproperty type Suburban

Pooled trust loan balance ($) 60,800,000 Property sq. ft./no. of units 1,283,646

% of total pooled trust 7.7 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 ($) 4,880,000(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

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

S&P Global Ratings' value 67.4(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 $200.8 million pari passu companion loan and the $60.8 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 Leadership In Energy And Environmental Design (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.

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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. 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 debt service coverage ratio (DSCR) falls below 1.55x, if the credit rating on the tenant falls below 'BBB-', failure to renew lease (July 31, 2027, renewal notice date), failure to occupy at least 50% of the net rentable area (NRA), lease termination, or lease default. Also, the loan requires ongoing reserves for taxes and insurance.

- We visited the property on Oct. 3, 2019, and noted that it is well-located nearby 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, 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 loan is interest only for its entire 10-year term. We accounted for the higher refinance risk resulting in higher credit enhancement levels for the loan.

- 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

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have shown commitment to the building. The HSS has occupied the property for over 40 years, 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 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 cap 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.

- The loan allows for a partial release of the non-income producing fully vacant Wing C at 100% of its allocated loan amount (ALA), 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 non-consolidation 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.

- 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 non-consolidation opinion and two independent directors, the independent directors can be removed without cause with 30 days' notice.

- 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.

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

2. Century Plaza Towers

Table 14

Credit Profile

Loan no. 2 Property type Office

Loan name Century Plaza Towers Subproperty type CBD

Pooled trust loan balance 50,000,000 Property sq. ft./no. of units 2,401,641 ($)

% of total pooled trust 6.3 Year built/renovated 1975/2015 balance (%)

City Los Angeles Sponsors SPF JVP LLC; Luminance Acquisition Venture LLC

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Table 14

Credit Profile (cont.)

State Calif. 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 5,750,000(i) S&P Global Ratings' subordinate N/A ($) debt category

S&P Global Ratings' NCF (7.9) S&P Global Ratings' subordinate N/A variance (%) debt adjustment

S&P Global Ratings' cap 6.75 S&P Global Ratings' LTV (%)(ii) 63.3 rate (%)

S&P Global Ratings' value 78.9(i) S&P Global Ratings' DSC (x)(ii) 3.77 (mil. $)

S&P Global Ratings' value (38.3) 'AAA' SCE (%) 29.0 variance (%)

S&P Global Ratings' value 592 'AAA' DCE (%) 5.0 per sq. ft./unit ($)

(i) Pari passu adjusted. (ii)The trust loan is pari passu. LTV and DSC are calculated based on the $50.0 million trust loan and $850.0 million pari passu companion loan (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. CBD--Central business district. N/A--Not applicable.

Strengths and concerns

The loan exhibits the following strengths:

- The $50.0 million trust loan represents a senior pari passu portion within a larger $1.2 billion whole loan, secured by two 44-story, class A office towers, totaling 2.4 million sq. ft. located in the Century City submarket of Los Angeles. Century City is a master-planned commercial, retail, and residential community with state-of-the-art office buildings, the Westfield Century City Shopping Center, high-end restaurants, apartments, and hotels.

- The office buildings were constructed in 1975 and had approximately $87.0 million ($35.80 per sq. ft.) in renovations from 2006 through 2013, with $32.0 million ($13.17 per sq. ft.) in 2008 alone. Since 2014, an additional $47.9 million of capital has been invested in the buildings to update the restrooms, multitenant corridors, and elevator lobbies, and to create a new tenant-only fitness center. The buildings have above-average finishes and are in excellent condition. They are also LEED gold-certified. The buildings are part of the larger Century Park, a 14-acre complex that includes 2000 Avenue of the Stars (not part of the collateral), a four-acre central park, restaurants, and a six-level subterranean paid-parking garage with 6,566 spaces.

- The senior loan component has low leverage with a 63.3% LTV ratio, based on S&P Global Ratings' valuation. The LTV based on the appraiser's valuation is 39.1%. Our estimate of the collateral's long-term sustainable value is 38.3% lower than the appraiser's "as-is" valuation.

- The $50.0 million pooled trust loan, along with the $850.0 million pari passu portion held outside the trust (of which, $525.0 million is held in CPTS 2019-CPT Mortgage Trust, a U.S. CMBS transaction), represents a total $900.0 million senior loan component of a $1.2 billion whole loan. The remaining $300.0 million subordinate non-trust note is held in CPTS 2019-CPT Mortgage Trust and is the controlling piece of the whole loan, and increases our LTV ratio to

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84.5% from 63.3%.

- The senior loan component has a strong DSC of 3.77x, calculated using its fixed interest rate and S&P Global Ratings' NCF for the property, which is 7.9% lower than the issuer's NCF.

- The property was 92.8% occupied as of September 2019, as calculated by S&P Global Ratings, versus 79.2% at the time of the prior securitization of the asset in 2014. Both the property and its submarket have experienced strong demand growth since then. CBRE-EA's Century City submarket class A vacancy rate stands at 4.2% as of third-quarter 2019, continuing the downward trend begun in 2012. Along with Beverly Hills and Santa Monica, Calif., Century City has been one of the top three performing markets in the greater Los Angeles area. The property has benefited from the substantial capital improvements invested over the past several years. Market rents, as detailed by CBRE-EA, have increased approximately 13% since 2014, while the weighted average in-place rents at the property have increased more than 50% for the same period. We utilized an 8.00% vacancy rate in our derivation of NCF for the property.

- The property is 92.8% leased, as calculated by S&P Global Ratings, to more than 120 distinct tenants across approximately 1.2 million sq. ft. of office space in the North Tower, approximately 1.2 million sq. ft. of office space in the South Tower, and approximately 39,500 sq. ft. of ground floor retail space. The property is home to several law firms that hold an American Lawyer's Am Law 100 ranking, a measure of the 100-largest law firms in the U.S. by financial performance. We believe the granularity of the rent roll and the presence of strong credit tenants are a significant credit positive for the loan.

- The largest tenants include Bank of America ('A-'; 5.2% of NRA, 5.2% of the total in-place rents, and $60.92 gross rents per sq. ft. as calculated by S&P Global Ratings), Manatt Phelps & Phillips (Am Law No. 105; 4.8% of NRA, 4.9% of total in-place rents, and $62.26 gross rents per sq. ft.), JPMorgan Chase Bank N.A. ('A+'; 4.1% of NRA, 4.1% of total in-place rents and $61.69 gross rents per sq. ft.), Kirkland & Ellis (AM Law No. 1; 3.6% of NRA, 4.0% of total in-place rents, and $68.79 gross rents per sq. ft.), and Greenberg Glusker (3.5% of NRA, 3.9% of total in-place rents, and $68.51 gross rents per sq. ft.). We included the present value of future rent steps for 14 investment-grade tenants in our valuation, increasing it by approximately 1.1%.

- We toured the subject on Oct. 10, 2019, accompanied by representatives of the sponsor. Both towers present very well, and warrant their class-A designations. The open area outside the towers is used by tenants of both towers as well as the adjacent 2000 Avenue of the Stars building (not part of the collateral), which had yet to be constructed during the last securitization of the asset. The outdoor area hosts weekly concerts and offers numerous food options to the tenant base. The parking area has a valet option, and provides a system designed to show what spaces are available upon entry. We toured many tenant suites, and they were of typical class-A buildout and offered panoramic views of the surrounding area. The 19,000-sq.-ft. fitness center is nearing completion and showed very well. It is available for the tenants to use at a fee of $40 a month, and offers extensive cardio, weights, sauna, yoga/Zumba classes, as well as shower areas.

- The loan benefits from experienced sponsors, J.P. Morgan Asset Management (JPMAM) and Hines Interests L.P. JPMAM is a premier real estate and infrastructure investment manager that manages various asset classes from real estate to hedge funds. As of June 2019, JPMAM had $2.2 trillion in total assets under management, $66 billion of which were real estate assets. Hines is a privately owned, international real estate firm that builds, acquires, and manages properties in over 214 cities in 24 countries and has approximately $120.6 billion of assets under management.

- The property has earthquake insurance in place even though the PML, which is the direct

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economic loss expressed as a percentage of building replacement cost, for a 475-year average return period is 18%. However, the property is located in California, which has a greater risk of seismic events.

The risks we considered for this transaction include:

- The loan is interest only for its entire 10-year term, and there will be no scheduled amortization during the loan term. We accounted for this lack of amortization by applying a negative LTV threshold adjustment across the capital structure.

- The loan is a refinancing, and the loan proceeds returned approximately $272.9 million (22.7% of the financing) of equity to the sponsor. However, the property has seen impressive gains in NCF due to management's ability to drive rent increases, coupled with declining vacancy at both the property and submarket levels.

- The property faces considerable tenant rollover risk, with 65.8% of the leased NRA and 66.6% 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 2021, 2024, and 2025, during which leases representing approximately 12.9%, 9.8%, and 10.7%, 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 120 different tenants as of the September 2019 rent roll, with the largest tenant, Bank of America, accounting for only 5.2% of total NRA, or 5.2% of total in-place rents, as calculated by S&P Global Ratings.

- While the borrower has successfully leased the property to a 92.8% occupancy rate and achieved weighted average in-place base rents of approximately $60 per sq. ft., as calculated by S&P Global Ratings, it had to offer large tenant concessions for tenant buildout and free rent to maintain current and attract new tenants. The tenant packages vary by type of tenant and length of lease, but we deemed them substantial and considered these increased tenanting costs in our selection of vacancy rate and consideration of total capital items.

- The borrower has the right, subject to certain LTV and DSC ratio thresholds, to convert the windowless, top two floors of each tower into unoccupiable space in accordance with all applicable legal requirements, following a release payment of $30,000,000. Most of this space is vacant or serves as lower-rent storage space for tenants within the building. As the LTV of the loan declines under both appraiser and S&P Global Ratings' values, we made no adjustment for this ability.

- The loan allows for the borrower to obtain secondary financing in the form of future mezzanine debt if any of the following conditions, among others, are met: the combined LTV is equal to or less than 52.1% or, if a partial prepayment of the loan has occurred in connection with a conversion, 51.1%; the aggregate DSC ratio is equal to or greater than 3.12x or, if a partial prepayment of the loan has occurred in connection with a conversion, 3.18x; the debt yield is equal to or greater than 9.5% or a partial prepayment of the loan has occurred in connection with a conversion, 9.7%; the mezzanine loan is coterminous with the mortgage loan; or an intercreditor agreement is required. Due to the various thresholds, we made no adjustment for this future ability.

- The loan is structured with a hard lockbox and springing cash management that allows the borrower to control funds until there is an event of default or if the debt yield falls below 5.0% for two consecutive quarters. Only during this trigger period will ongoing reserves for taxes, insurance, capital expenditures, and tenant improvement/leasing commission (TI/LC) costs be swept.

- JPMAM has owned the property since 1997, and the property may be subject to a significant tax

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reassessment if it is sold. Our value accounts for the potential reassessment and increase in real estate taxes related to California Proposition 13, and is approximately 8.3% lower as a result.

- The loan does not have a nonrecourse carve-out guarantor for certain "bad boy" acts, such as fraud, gross negligence, or violating the loan's SPE covenants. Also, since the loan is nonrecourse, repayment is not guaranteed by the sponsor.

3. Meridian Pointe Apartments

Table 15

Credit Profile

Loan no. 3 Property type Multifamily

Loan name Meridian Pointe Subproperty type Garden Apartments

Pooled trust loan balance ($) 49,975,000 Property sq. ft./no. of units 470

% of total pooled trust 6.3 Year built/renovated 1990/2008 balance (%)

City Puyallup Sponsor Farrell Property Investments LLC

State WA 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 ($) 4,760,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (5.30) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate 6.75 S&P Global Ratings' LTV (%) 70.9 (%)

S&P Global Ratings' value 70.5 S&P Global Ratings' DSC (x) 2.97 (mil. $)

S&P Global Ratings' value (34.0) 'AAA' SCE (%) 44.3 variance (%)

S&P Global Ratings' value per 150,029 'AAA' DCE (%) 8.4 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 is secured by the fee simple interest in a 470-unit garden style multifamily apartment complex located in Puyallup, Wash. and is within close proximity to major thoroughfares, including State Route 161, which provides access to Tacoma, Wash. (10 miles northwest) and Seattle (30 miles north). The property is situated two miles north of

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downtown Puyallup and four miles south of Edgewood, Wash. The property's amenities include indoor and outdoor swimming pools, a basketball court, business center, a clubhouse, a theatre, controlled access, 24-hour fitness center, community lounge, a playground, and a spa. The apartment complex comprises 25 three-story buildings across a 23.4-acre site and was originally developed by the sponsor in 1990 and was last renovated between 2006 and 2008.

- The loan has low leverage, with an S&P Global Ratings' LTV ratio of 70.5%, based on our valuation. The LTV ratio based on the appraiser's valuation is 46.8%. Our estimate of long-term sustainable value is 34.0% lower than the appraiser's valuation.

- The loan has a strong DSC of 2.97x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 5.3% lower than the issuer's NCF.

- The property is located in a primary market. Primary markets generally have higher barriers to entry than secondary and tertiary markets. The property is located within Seattle's East submarket according to CBRE-EA, which had a vacancy rate of 3.3%, with asking rents of $1,438 per unit as of third-quarter 2019.

- The property has experienced strong rental growth, with the in-place rent per unit increasing 31.3% to $1,345 per unit as of trailing 12 months (TTM) ending September 2019, from $1,025 per unit in 2015. However, most of the increase is likely due to the strong submarket, with submarket rents per unit increasing in a similar fashion (28.9%) to $1,438 per unit as of the third-quarter 2019 CBRE-EA report from $1,116 per unit in 2015. Also, the property has reported low vacancy rates ranging between 2.2% and 5.0% in the last 11 years (2009-TTM September 2019), averaging 96.4%.

- The loan benefits from long-term local sponsorship in Farrell Property Investments, a family owned real estate development company with over 30 years of real estate experience in the Seattle area, and has rehabilitated five multifamily communities totaling nearly 1,400 units, and constructed six new multifamily properties representing nearly 700 units. The guarantor is comprised of three family trusts with an estimated net worth and liquidity of $111 million and $1.7 million, respectively. The sponsor developed the property in 1990, and last renovated it in 2008 for $7.6 million ($16,170 per unit), which included security gate installations, new roofs, new appliances, carpeting, and converting a racquetball court into a movie theatre amenity.

The loan exhibits the following concerns and mitigating factors:

- The loan is interest only for its entire 10-year term, meaning there will be no scheduled amortization during the loan term. We accounted for this risk by reducing the LTV recovery thresholds at each rating category.

- The loan is a refinancing and returns approximately $19.4 million of equity (38.8% of the loan balance). Generally, we believe that borrowers with cash equity in the transaction are less willing to walk away in the event of default. However, since the property was last renovated in 2008, the sponsor intends to use approximately $15.0 million ($32,000/unit) of the cash-out proceeds to renovate the property, which include interior renovations of all 470 units, new roofs, windows, and siding. However, since the planned improvements will not be escrowed upfront, in our analysis, we underwrote to in place rents and gave no credit to potential upside from these upgrades.

- Although the SPE borrower is structured with a non-consolidation opinion and one independent director, the independent director can be removed without cause with 15 calendar days' notice.

- 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

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voluntary bankruptcy.

- 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.

- The loan is structured without a lockbox or cash management. We view this as a concern because we typically expect to see at a minimum a springing lockbox and cash management based on pre-defined credit triggers to ensure the property-generated revenues are appropriately managed during a time of distress. We accounted for this structural deficiency by reducing the LTV recovery thresholds at each rating category.

- The nonconsolidation opinion expressly carves out the "Guarantor's Alteration Work Completion Obligation." Given this feature, there is material consolidation risk for this loan. We accounted for this deficiency by reducing the LTV recover thresholds at each rating category.

4. AVR Renaissance Atlanta Airport Gateway

Table 16

Credit Profile

Loan no. 4 Property type Lodging

Loan name AVR Renaissance Atlanta Airport Subproperty type Full service Gateway

Pooled trust loan balance ($) 48,000,000 Property sq. ft./no. of units 204

% of total pooled trust balance 6.1 Year built 2017 (%)

City Atlanta Sponsor Allan V. Rose

State GA 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 ($) 3,950,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (22.9) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate 9.25 S&P Global Ratings' LTV ratio (%) 107.1 (%)

S&P Global Ratings' value (mil. 44.8 S&P Global Ratings' DSC (x) 2.22 $)

S&P Global Ratings' value (44.0) 'AAA' SCE (%) 69.7 variance (%)

S&P Global Ratings' value per 219,643 'AAA' DCE (%) 20.3 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.

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Strengths and concerns

This loan exhibits the following strengths:

- The pooled trust loan has a strong DSC of 2.22x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 22.9% lower than the issuer's NCF.

- The loan is secured by the fee simple interest in a seven-story, 204-guestroom, full-service Renaissance-flagged hotel in Atlanta, Ga. The property opened in May 2017 and is located within the College Park Gateway Center, a 28.8-acre master planned parcel owned by College Park Business and Industrial Development Authority (BIDA), which consists of the Georgia International Convention Center, a BMW training facility, an arena, a class-A office building, and three hotels including the subject property. The College Park Gateway Center is accessible by the ATL SkyTrain which links directly to the Hartsfield-Jackson Atlanta Airport in 10 minutes. Hotel amenities include the three-meal Hickory & Southern Table and Bar restaurant, a club lounge, lobby sundry shop, 5,961 sq. ft. of meeting space, a fitness center, a business center, and a 175-space parking garage.

- The property benefits from its affiliation with the nationally recognized Renaissance hotel brand and is operated under a management agreement with Renaissance Hotel Management Co. LLC, a subsidiary of Marriott International Inc. (Marriott) through Dec. 31, 2044, with two 10-year renewal options remaining. Marriott ('BBB/Stable/A-2') is a publicly traded lodging company with more than 7,000 lodging properties in 131 countries. In addition to name recognition, the brand affiliation enables the hotel to benefit from the Marriott national brand-wide reservation system, marketing campaigns, and frequent-stay program.

- The hotel had a reported revenue per available room (RevPAR) penetration rate--which measures the hotel's RevPAR relative to its competitors, with 100% indicating parity with competitors--of 154.5% and 160.0% for 2018 and TTM ending September 2019, respectively. This is in relation to the Smith Travel Research's (STR's) competitive set which includes six full-service hotels in the airport submarket: Crowne Plaza Atlanta Airport, Westin Atlanta Airport, Hilton Atlanta Airport, Embassy Suites by Hilton Atlanta Airport, Hyatt Place Atlanta Airport North, and Hotel Indigo Atlanta Airport-College Park.

- RevPAR at the hotel has increased 7.4% to $162.61 for the TTM ending August 2019 from year-end 2018. However, part of this increase is attributed to Atlanta hosting Super Bowl LIII in February 2019, which generated demands not likely to be replicated in 2020. The hotel's top corporate accounts for 2019 includes Dyanamics Corp., Ernst & Young LLP, Delta Airlines, IBM, Deloitte, Chick-Fil-A Inc., Accenture, PwC, and General Electric.

- The loan benefits from Alan V. Rose's experienced sponsorship. While the borrower is BIDA, the borrower guarantor, College Park Gateway Hotel Three LLC, has sole and exclusive right to operate the property pursuant to a 50-year occupancy agreement, specifically, the Parcel Design, Development and Operating Agreement (PDDO Agreement) that expires in 2064 between the borrower, guarantor, and BIDA. Pursuant to the PDDO Agreement, the borrower guarantor has rights to the property similar to leasehold interest rights. The borrower sponsor guarantor is Mr. Rose, who is the owner and CEO of AVR Realty, a privately held real estate development and management company that has built, acquired and developed more that 30 million sq. ft. of commercial real estate and currently owns 23 hospitality properties with over 5,000 guestrooms. The borrower sponsor guarantor has a reported net worth of $1.8 billion and liquidity of $313.7 million.

- The loan is structured with a hard lockbox and springing cash management. Cash management

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and full excess cash flow sweep is required upon an event of default, if the DSC falls below 1.60x for two consecutive quarters, bankruptcy action of the borrower, carve-out guarantor or property manager, or the earlier of 12 months before the expiration of Marriott management agreement or notice to terminate Marriott management agreement.

- We visited the property on Nov. 7, 2019, and found it well positioned, easily accessible from the airport and was only 10 minutes from the airport by train. We noted that the train continues past the hotel and on to the rental car center, making it convenient for those flying into Atlanta. We toured the property with the general manager and viewed several hotel rooms, the common areas, meeting spaces, the pool, and the fitness center. The interiors presented very well, and while it opened in May 2017, the property appeared in new condition.

This loan exhibits the following concerns and mitigating factors:

- The pooled trust loan has high leverage, with a 107.1% S&P Global Ratings' LTV ratio based on our valuation. The LTV ratio based on the appraiser's "as-is" valuation is 60.0%. Our long-term sustainable value estimate is 44.8% lower than the appraiser's valuation.

- The loan is interest-only for its entire 10-year term, meaning there will be no scheduled amortization during the loan term. We accounted for this by applying a negative LTV adjustment across the capital structure.

- Since the property opened in May 2017, there is limited operating history. The property reported over 100% RevPAR penetration in the last two years, and we underwrote to a RevPAR near the 2018 reported figure.

- The appraiser noted five hotels that were proposed, under construction, or recently opened in the Atlanta Airport area. Three of these hotels were considered to be 25%-50% competitive with the subject property: the AC Hotel Atlanta Airport Gateway (222 guestrooms) opening in December 2019, and the Sheraton Atlanta Airport (350 guestrooms) and Hilton Airport (541 guestrooms), both of which are slated to open in 2022. The other two new hotels, Home2 Suites and Radisson, are not anticipated to compete directly with the subject but will most likely affect the overall Atlanta Airport hotel market. To account for this risk, we underwrote to a RevPar of $151.30, which is 7.0% lower than the RevPar reported as of the TTM ending August 2019.

- The loan proceeds will be used to refinance existing $ 40.3 million debt, pay $6.8 million in closing costs, and return $960,000 (2.0% of the financing) in equity. We believe that sponsors who have made recent and significant equity contributions to a property are more likely to support them through a downturn than those who have little or no equity left. However, the borrower sponsor, Mr. Rose, acquired the land in 2013 for $320,000 and completed development of the property in May 2017 for $53.8 million.

- The borrower sponsor's interest in the property is through a PDDO Agreement entered into with BIDA in 2015, which closely resembles a ground lease structure. The 50-year PDDO Agreement gives the borrower guarantor the exclusive right to develop and operate the property and an option to purchase the fee simple interest in the property any time after 2045 at the purchase price equal to the sum of all outstanding financings and 15% of the then current market value of the land. The borrower guarantor is not allowed to transfer its interest in the PDDO Agreement during the first five years of the term (until September 2020). The loan is structured with BIDA as the borrower and as collateral, BIDA granted the lender a first-priority lien in its fee simple interest in the property and issued a bond in the principal amount of the loan. The borrower guarantor has guaranteed BIDA's payment and performance under the loan and as collateral, the borrower guarantor pledged its security interest and assigned to lender all of its

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rights and interests in the PDDO Agreement and the related bonds.

- The property is tax exempt from both real estate and personal property taxes as long as BIDA owns the fee simple interest in the property. In lieu of taxes, the borrower guarantor is obligated to make certain rental payments to BIDA comprised of (i) the monthly DSC payments under the loan; (ii) fixed annual land rent totaling $194,444; (iii) additional rent based on a schedule provided in the PDDO Agreement; and (iv) administrative rent equal to 1/8 of 1.0% of the outstanding principal balance of the loan. In relation to these rental payments to BIDA, the issuer underwrote $769,289 in other expenses. Since the borrower sponsor's interest is like a leasehold interest in the property, we treated the rental payments to BIDA as ground lease expenses, underwrote to year 2039 expenses (totaling $1.2 million) and added the present value of the additional and administrative rents savings, estimated at $4.6 million, to our value.

- Although the borrower must provide the lender with quarterly and annual financial statements, they are not required to be audited unless the Marriott Management Agreement is no longer in effect. We believe audited financial statements are more conclusive and reliable than unaudited statements.

- Although the SPE borrower is structured with a non-consolidation opinion and one independent director, the independent director can be removed without cause with 15 days' notice.

- S&P Global Ratings considers lodging properties to be among the riskiest property types because of the daily nature of the pricing structure, a significant operating-cost component, and a high expense ratio relative to other property types. We accounted for this when assessing the underlying property and the mortgage loan.

5. DC Mixed Use Portfolio VI

Table 17

Credit Profile

Loan no. 5 Property type Mixed use

Loan name DC Mixed Use Subproperty type Various Portfolio VI

Pooled trust loan balance ($) 33,845,500 Property sq. ft./no. of units 65,789

% of total pooled trust 4.3 Year built/renovated Various balance (%)

City Various Sponsor Norman Jemal

State VR 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 ($) 2,420,000 S&P Global Ratings' subordinate Unsecured debt (S&P Global debt category Ratings' LTV >= 90%)

S&P Global Ratings' NCF (10.5) S&P Global Ratings' subordinate (2.50) variance (%) debt adjustment

S&P Global Ratings' cap rate 7.50 S&P Global Ratings' LTV (%) 104.3 (%)

S&P Global Ratings' value 32.5 S&P Global Ratings' DSC (x) 1.90 (mil. $)

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Table 17

Credit Profile (cont.)

S&P Global Ratings' value (39.3) 'AAA' SCE (%) 59.2 variance (%)

S&P Global Ratings' value 493 'AAA' DCE (%) 18.9 per 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 is secured by the fee simple interests in a seven cross-collateralized-property portfolio that offer a mix of retail (51,239 sq. ft., 77.9% of NRA), office (10,936 sq. ft., 16.6%), and multifamily (3,614 sq. ft., 5.5%). The properties were built between 1850 and 2001, and four of the properties were renovated between 1990 and 2011. Six of the properties totaling 57,789 sq. ft. (87.8%) are located in Washington, D.C. (mainly in the Washington D.C. East End and CBD submarkets), and the remaining property is in Manassas, Va.

- The loan has a moderately high DSC of 1.90x calculated using the loan's fixed interest rate and our in-place NCF for the portfolio, which is 10.5% lower than the issuer's NCF.

- The property is well occupied: as of the October 2019 rent rolls, the property was 93.7% occupied (excluding month-to-month tenants) by 21 tenants. The weighted average remaining lease term for the in-place tenants is approximately 13.7 years.

- The portfolio is located in a primary market. Primary markets generally have higher barriers to entry than secondary and tertiary markets. According to CoStar, a majority of the portfolio's retail component (60.9% of the total NRA) is performing well within strong submarkets. The retail component is located within the East End and CBD submarkets, which have vacancy rates of 4.9% and 5.1%, respectively, as of second-quarter 2019. The reported 10-year average vacancy rates were 5.6% and 5.7%, respectively, and the five-year vacancy rates were 5.1% and 5.2%, compared to the in-place vacancy rate of 2.4%, according to the October 2019 rent rolls. Also, the average gross asking rent for each submarket are $50.79 per sq. ft. and $50.87 per sq. ft. compared to the in-place gross rent of $50.23 per sq. ft.

- The loan agreement provides for a hard lockbox with springing cash management, and before a cash trap period, all excess cash is required to be returned to the sponsor. During a cash trap period, which includes an event of default or DSC falling below 1.60x for two consecutive calendar quarters, all excess cash flow is required to be retained by the lender and held as additional security for the loan.

- The loan benefits from long-term local experienced sponsor, Norman Jemal. Mr. Jemal, who has a reported net worth and liquidity of $627.1 million and $14.9 million, respectively, is the principal and senior vice president of Douglas Development Corp., which has a portfolio in excess of 10.0 million leasable sq. ft. primarily in the Washington D.C. area.

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 104.3%, based

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on our valuation. The LTV ratio based on the appraiser's valuation is 63.3%. Our estimate of long-term sustainable value is 39.3% lower than the appraiser's valuation.

- The loan is interest-only for its entire 10-year term, meaning there will be no scheduled amortization during the loan term. We accounted for this risk by reducing the LTV recovery thresholds at each rating category.

- The property faces considerable tenant rollover risk during the loan term, with 86.9% of the leased NRA and 88.3% of in-place gross rents, as calculated by S&P Global Ratings, expiring during the loan term; there is elevated rollover in 2021 and 2029 (19.5% and 26.9% of the NRA and 15.7% and 31.3% of the in-place gross rents, respectively). We applied an 8.0% weighted average vacancy factor and a higher capitalization rate to account for this risk. The borrowers are also required to fund a rollover reserve at $5,181 per month, subject to a $200,000 cap, if the properties are not less than 88.0% occupied, the debt yield is not less than 7.0%, and no cash trap period is continuing.

- The retail component (77.9% of NRA), which is 97.6% leased as of the October 2019 rent rolls and makes up 77.4% of the in place base rent, as calculated by S&P Global Ratings, comprises nontraditional retail tenants: four restaurants (21,848 sq. ft. total); one night club (8,200 sq. ft.); one bar/lounge (2,289 sq. ft.); and six retail tenant spaces (18,902 sq. ft. total, of which 1,225 sq. ft. is vacant). However, the properties are in infill locations and reported stable occupancy since 2011, averaging 93.3%.

- The borrowers may obtain the release of one or more properties and defease a portion of the loan equal to the adjusted release amount, which is equal to 100% of the ALA plus (i) 15% of the ALA if the aggregate defeased ALAs equal to or less than 33% of the original loan balance; (ii) 25% of ALA if the aggregate defeased ALAs are between 33% and 66% of the original loan balance; or (iii) 30% of ALA if the aggregate defeased ALAs are greater than 66% of the original loan balance.

- The loan is a refinancing, and the loan proceeds returned approximately $10.4 million (30.8% of the current loan balance). Generally, we believe that borrowers with cash equity in the transaction are less willing to walk away in the event of a default. However, the sponsor acquired the properties between 1989 and 2008. In addition, the loan proceeds refinanced a $22.0 million loan in the CFCRE 2011-C2 securitization.

- The October 2019 phase I environmental report identified a recognized environmental condition at the 707 6th Street NW property, which was previously operated by a printing company. In lieu of a phase II, the sponsor purchased an environmental insurance policy with a 13-year term. The premium for the environmental insurance policy has been paid in full.

- Although the SPE borrower is structured with a non-consolidation opinion and one independent director, the independent director can be removed without cause with the 15 days' notice.

6. Wells Fargo Place

Table 18

Credit Profile

Loan no. 6 Property type Office

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Table 18

Credit Profile (cont.)

Loan name Wells Fargo Place Subproperty type CBD

Pooled trust loan balance 30,000,000 Property sq. ft./no. of units 646,459 ($)

% of total pooled trust 3.8 Year built 1986 balance (%)

City St. Paul Sponsors H. Bradford Inglesby; Tyler J. Duncan

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

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

S&P Global Ratings' NCF 2,550,000(i) S&P Global Ratings' subordinate Unsecured debt (S&P Global ($) debt category Ratings' LTV >= 90%)

S&P Global Ratings' NCF (15.4) S&P Global Ratings' subordinate (2.50) variance (%) debt adjustment (%)

S&P Global Ratings' cap 8.00 S&P Global Ratings' LTV (%) 95.4(ii) rate (%)

S&P Global Ratings' value 31.5(i) S&P Global Ratings' DSC (x) 2.47(ii) (mil. $)

S&P Global Ratings' value (32.9) AAA SCE (%) 55.4 variance (%)

S&P Global Ratings' value 130 AAA DCE (%) 14.0 per sq. ft./unit ($)

(i)Pari passu adjusted. (ii)The trust loan is pari passu. LTV and DSC are calculated based on the $80.0 million whole loan balance (the $30.0 million trust loan plus the $50.0 million pari passu portion) (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:

- The whole loan has a strong DSC of 2.47x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 15.4% lower than the issuer's NCF.

- The loan is secured by the fee simple interest in Wells Fargo Place, a 646,459-sq.-ft. office building, built in 1986 and located in St. Paul, Minn. The property benefits from a moderately diverse tenant rooster. Per rent roll dated October 2019, the property was 85.0% occupied by 30 unique tenants. The five largest tenants are Minnesota State Colleges and Universities (90,513 sq. ft., or 14.0% of NRA); AgriBank (86,298 sq. ft., or 13.3% of NRA); the IRS (56,144 sq. ft., or 8.7% of NRA); Wells Fargo Bank (43,402 sq. ft., or 6.7% of NRA); and Larson King (39,876 sq. ft., or 6.2% of NRA).

- The loan benefits from a $4.0 million upfront reserve for future TI/LCs. In addition, if Minnesota State Colleges and Universities, AgriBank, IRS, or a replacement tenant defaults under its lease, goes dark, fails to occupy certain portion of its leased space, given notice to vacate or terminate its lease, and among other items, an excess cash flow sweep will be triggered until the TI/LC reserve balance reaches at minimum, $5.5 million.

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- The loan benefits from Crescent Investment Group's experienced sponsorship. The group was established in 2012 as a strategic venture with a global alternative asset management firm with more than $70 billion of assets under management. The group is managed by senior partners with combined portfolio investment experience that includes the acquisition of 10.0 million sq. ft. of property valued in excess of $1.0 billion and representing $450 million of equity investment.

The loan exhibits the following concerns and mitigating factors:

- The whole loan balance has high leverage, with an S&P Global Ratings' LTV ratio of 95.4%, based on our valuation and the whole loan balance. Our estimate of long-term sustainable value is 32.9% lower than the appraiser's "as-is" valuation.

- The loan is interest only for its entire 10-year term. We accounted for the lack of amortization by applying a negative LTV threshold adjustment across the capital structure.

- The property was previously securitized in 2007 (CSMC 2007-C1) with a whole loan balance of $90,000,000 on a 10-year interest-only basis. The loan was transferred to special servicing in May 2016 for maturity default due to the previous owner's inability to obtain refinancing as there were a number of month-to-month leases and near-term expirations. The prior owner was able to get a $25.0 million equity recapitalization from Crescent Investment Group (current borrower), along with a $72.0 million bridge loan from KKR to pay off the debt in full in January 2018. The current whole loan is $10 million less than the loan amount in 2007.

- The property faces considerable tenant rollover risk during the loan term, with 95.6% of the leased NRA expiring during the loan term. Additionally, the lease rollover is front loaded as two of the top five tenants, Minnesota State Colleges and Universities (14.0%) and the IRS (8.7%), have leases expiring in 2022 and 2021, respectively. However, the loan is structured with a $4.0 million upfront TI/LC reserve. We accounted for this risk by applying a 17.5% vacancy rate and higher capitalization rate of 8.00%.

- Per CBRE-EA, the subject is located in the St. Paul submarket, and the office vacancy rate was 25.7% as of second-quarter 2019. However, the property has maintained a stable occupancy since 2009 averaging 88.7%. As of October 2019, the subject was 85.0% occupied. However, we note that even though the subject has shown higher occupancy than the submarket, it is located in a weak market with CBRE-EA forecasting an increase in vacancy over the next five years. To address this risk, we have employed a higher vacancy assumption.

- The borrowers are structured as four tenants-in-common (TICs). 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 TIC agreement is subordinate to the loan agreement, and the guarantors have ownership interests in each TIC and have waived their rights to partition, which decreases the risk of serial bankruptcy filings or litigation among these borrowers.

7. 225 Bush

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Table 19

Credit Profile

Loan no. 7 Property type Office

Loan name(i) 225 Bush Subproperty type CBD

Pooled trust loan balance ($) 28,600,000 Property sq. ft./no. of units 579,987

% of total pooled trust balance 3.6 Year built 1922 (%)

City San Francisco Sponsor Kylli Inc.

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

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

S&P Global Ratings' NCF ($) 3,140,000(i) S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (14.9) S&P Global Ratings' subordinate debt N/A variance (%) adjustment (%)

S&P Global Ratings' cap rate (%) 7.25 S&P Global Ratings' LTV (%)(ii) 66.0

S&P Global Ratings' value (mil. $) 43.3(i) S&P Global Ratings' DSC (x)(ii) 3.28

S&P Global Ratings' value (47.6) AAA SCE (%) 31.8 variance (%)

S&P Global Ratings' value per sq. 532 AAA DCE (%) 5.7 ft./unit ($)

(i)Pari passu adjusted. (ii)The loan is pari passu. LTV and DSC are calculated based on the $175.0 6 million pari passu companion loan and the $28.6 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. CBD--Central business district. DCE--Diversified credit enhancement. N/A--Not applicable.

Strengths and concerns

The transaction exhibits the following strengths:

- The loan is secured by the fee-simple interest in 225 Bush, a 22-story, 579,987-sq.-ft. historic class A office building in San Francisco's downtown financial district, one block from Market Street. The building, which includes 21,309 sq. ft. of ground floor retail space with Target occupying 20,677 sq. ft., was developed by John D. Rockefeller in 1922 as the headquarters for Standard Oil and expanded in 1955. Over $40.0 million has been invested in the property since 2010, which included renovating the property's two lobbies and façade, constructing a fitness center on the 13th floor, upgrading the building systems, and building out tenant spaces. The building is well-situated, and it is located two blocks from the Montgomery BART station and walking distance from the Transbay Terminal and multiple MUNI bus lines.

- The senior loan component has low leverage with an S&P Global Ratings' LTV ratio of 66.0%, based on our valuation and the $203.6 million senior notes balances. Our long-term sustainable value estimate is 47.6% lower than the appraiser' valuation, a variance driven primarily by the cap rate and capital items.

- The senior note has a strong DSC of 3.28x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 14.9% lower than the issuer's NCF.

- The building is located in a primary market. According to CBRE-EA, the office property is located within the Financial District submarket, which had a reported 3.4% vacancy rate and a

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gross asking rent of $78.38 per sq. ft. for class A office as of third-quarter 2019. 225 Bush was 97.8% occupied based on the September 2019 rent roll, and it had an average base rent of approximately $74.12 per sq. ft. and gross rent of $81.18 per sq. ft. for the office space, as calculated by S&P Global Ratings.

- The loan benefits from an experienced, well-capitalized, sponsor, Kylli Inc. The sponsor acquired the property in 2014 and has invested over $28.0 million since acquisition on building system upgrades and tenant improvements, bringing its total cost basis in the building to approximately $378.0 million ($652 per sq. ft.). Kylli Inc. is a wholly owned subsidiary of Genzon Investment Group Co. Ltd., which is a privately held full service investment company headquartered in Shenzhen, China. The sponsor's assets in the U.S. total over $1.0 billion.

- The loan is structured with a hard lockbox and springing cash management that allow the borrower to access funds prior to a trigger event (which includes an event of default under the loan documents or DSC falling below 1.55x on the whole loan for any calendar quarter). Following a trigger event, funds are deposited into a lender-controlled account.

- We visited the building on Oct. 10, 2019, and found it to be high quality and well-located, as it was situated very close to the local and regional transit options (BART and MUNI). We noted that since the building was constructed in two phases, it has two lobbies (east and west). The east elevators open to every floor that have common areas while the west elevators open directly to tenant suites for those tenants that occupy full floor suites. The largest tenant, Twitch Interactive Inc. (14.5% of NRA, with lease expiring Aug. 18, 2021), is headquartered at 350 Bush and uses the subject for spillover demand. We also walked the lobby area of the Benefit Cosmetics LLC space (61,917 sq. ft., or 10.7% of NRA, with average rent of $35.90 per sq. ft.), noting its prime location on the top two floors of the building. The tenant's space has an internal staircase, good views, and two outdoor patios totaling about 2,000 sq. ft. Benefit Cosmetics LLC has given notice that it will vacate upon its August 31, 2020 lease expiration, and the property representative noted that it will begin to market the space this winter. We also observed that the building attracts smaller tech firms that prefer shorter lease terms, and two flexible workspace providers (Knotel and Breather Products US Inc.) leased approximately 7.1% of the NRA.

The loan exhibits the following concerns and mitigating factors:

- The senior note represents a $28.6 million portion of a larger $350.0 million whole loan. Of the whole loan balance, $175.0 million is pari passu with the $28.6 million pool trust balance, and the remaining $146.4 million is subordinate notes that support loan-specific rake bonds in Benchmark 2019-B14 Mortgage Trust, a U.S. CMBS transaction. Including the subordinate rake bonds, our LTV ratio increases to 113.5% from 66.0%.

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

- The whole loan is a refinancing, and the loan proceeds returned approximately $96.4 million (27.5% of the financing) of equity to the sponsor. The sponsor has a total cost basis of approximately $378.0 million. The property was last securitized in GS Mortgage Securities Trust 2016-GS4. The building experienced low average occupancy between 2010 and 2014, after one of its major tenants vacated nine floors in 2010. Through its repositioning, the property now attracts more diverse, creative office tenants, but we note that average lease terms have shortened, compared with more traditional office leases. Excluding the Benefit Cosmetics space, 67.3% of the NRA roll (representing 79.6% of the in-place gross rent as calculated by S&P Global Ratings) during the loan term. The rollover is concentrated in three years: 2021 (24.4% of NRA; 22.3% of in-place gross rent), 2022 (15.9% of NRA; 18.2% of in-place gross rent)

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and 2024 (16.3% of NRA; 17.8% of in-place gross rent). The loan is structured with ongoing TI/LC reserves of $96,665 per month, capped at $3.5 million. We applied a 10.0% vacancy rate in our analysis, partly due to the rollover and shortened lease terms.

- Insurance costs have increased dramatically at the property. According to the Aug. 13, 2019, Seismic Risk Assessment report, the property's probable maximum loss (PML) is 19.0%. The borrower has obtained earthquake insurance (not a requirement in the past), which increased its insurance expense to approximately $1.4 million from approximately $197,500 for the TTM ended August 2019. Based on its review of tenant lease, the loan seller believes that the large increase in insurance costs will be almost fully recoverable. We note that most of the insurance cost recovery will come from Target, with reimbursement income of approximately $25.82 per sq. ft. Our underwritten gross rent for Target was $91.07 per sq. ft., compared to a market rent of $70.00 per sq. ft., according to the appraiser.

- 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 additional liens, such as mechanic's liens, some of which may have priority over the mortgage lien.

8. 1824 Alton Road

Table 20

Credit Profile

Loan no. 8 Property type Retail

Loan name 1824 Alton Road Subproperty type Anchored

Pooled trust loan balance ($) 26,150,000 Property sq. ft./no. of units 31,841

% of total pooled trust balance 3.3 Year built 2018 (%)

City Miami Beach Sponsors Martin G. Berger; Michael G. Klinger

State FL 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 ($) 1,870,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (7.2) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate (%) 7.25 S&P Global Ratings' LTV (%) 100.5

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Table 20

Credit Profile (cont.)

S&P Global Ratings' value (mil. 26.0 S&P Global Ratings' DSC (x) 1.76 $)

S&P Global Ratings' value (39.5) 'AAA' SCE (%) 55.2 variance (%)

S&P Global Ratings' value per 817 'AAA' DCE (%) 20.1 sq. ft./unit ($)

NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. 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 newly constructed (2018) two-story, 31,841-sq.-ft. urban retail center, located along Alton Road and two blocks north of Lincoln Road Mall in Miami Beach, Fla., nine miles northeast of the Miami CBD. The collateral also includes a three-level parking garage with 127 spaces.

- The loan has a moderately high DSC of 1.76x calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 7.2% lower than the issuer's NCF.

- The property is well occupied: as of the October 2019 rent roll, the property was 94.3% occupied by three tenants. The weighted average remaining lease term for the in-place tenants is 11.5 years as calculated by S&P Global Ratings. Also, Citibank ('A+/Stable/A-1'; 15.9% of NRA and 25.8% of the gross in-place rent as calculated by S&P Global Ratings) and Starbucks ('BBB+/Stable/A-2'; 7.0% of the NRA and 7.6% of the gross in-place rent) have investment-grade ratings.

- The property is located in a primary market. Primary markets generally have higher barriers to entry than secondary and tertiary markets. The property is located within the Miami Beach submarket according to CBRE-EA, which had a vacancy rate of 4.7%, with average gross asking rents of $65.22 per sq. ft. as of third-quarter 2019. The average in-place base rent at the property is $68.71 per sq. ft. as calculated by S&P Global Ratings.

- The loan benefits from Michael G. Klinger and Martin G. Berger's experienced sponsorship. The sponsors have over 23 years of real estate experience and are co-managing partners of Saber Real Estate Advisor, which specializes in ground up development, private equity, structured finance, workouts and development, primarily in retail in key gateway markets. As of August and October 2019, the sponsors reported an aggregate net worth of $49.0 million and liquidity of $9.6 million. The sponsors developed the property in 2018 for a total cost of over $29.6 million.

- The loan is a refinancing and the loan proceeds together with sponsor equity of $1.7 million will be used to payoff a $25.1 million existing loan, fund $0.9 million of upfront reserves and cover $1.9 million of closing costs.

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 100.5%, based on our valuation. The LTV ratio based on the appraiser's valuation is 60.8%. Our estimate of

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long-term sustainable value is 39.5% lower than the appraiser's valuation.

- In addition to the pooled trust loan, the borrower can obtain additional mezzanine debt, provided certain performance thresholds are met, such as (i) aggregate DSCR is not less than 1.81x; (ii) the aggregate LTV does not exceed 60.8%; and (iii) the aggregate debt yield is not less than 7.35%. The borrower's ability to incur additional subordinated debt exposes the pooled trust loan to a higher default risk. Since the LTV is currently 60.8% based on the "as-is" appraised value and the property's performance would need to improve in order to incur additional debt, we did not apply any negative LTV threshold adjustments to the capital structure for this feature.

- The property's tenancy is concentrated with only three tenants comprising 94.3% of NRA. While Michaels encompasses 22,717 sq. ft. (71.3% of NRA and 65.0% of the gross in-place rent as calculated by S&P Global Ratings) and is non-investment grade rated ('BB-/Negative'), the other two tenants are investment grade rated. The earliest lease expiration is in September 2028 (Citibank), while Starbucks expires in February 2030 and Michaels in February 2031. The borrower is required to deposit $1,991 per month into a TI/LC reserve account for the first 60 months of the loan term and then $2,654 per month thereafter.

- The property was built in 2018, and therefore has a limited operating history to support in-place revenue and expense assumptions. However, as of October 2019, the property was 94.3% occupied. In addition, we reviewed the appraisal report and analyzed the rent and expense comparable data that supported the appraiser's assumptions. Starbucks has a termination option in the 60th month of its lease term if prior TTM sales are below $1.5 million. If the tenant decides to leave, it will need to pay termination fees of $156,870.

- The Oct. 18, 2019, Phase I environmental report has identified a REC related to soil and groundwater contamination, associated with the property's prior use as a gas filling station until 2015. The sponsor's redevelopment of the site, which began in 2015, included removing contaminated soils and groundwater and installing monitoring wells. An environmental consultant recommended additional groundwater testing and quarterly sampling in order to achieve a no further action designation by the related regulatory agency. The estimated cost is between $15,000 and $20,000, and the borrower deposited $20,000 into an environmental reserve account at origination.

- The loan is structured with a soft lockbox and springing cash management, which allows the borrower to control funds until an event of default has occurred; DSCR based on the TTM period is less than 1.40x until the DSCR based on the TTM period is at least 1.50x for two consecutive calendar quarters; or Michaels or a replacement tenant defaults, terminate or give notice to terminate, vacate or give notice to vacate, goes dark or fails to occupy 10% or more of its leased space, files for bankruptcy, or sublets 25% or more of its leased space during the last 24 months of the loan term.

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9. 180 Water

Table 21

Credit Profile

Loan no. 9 Property type Multifamily

Loan name(i) 180 Water Subproperty type High rise

Pooled trust loan balance 25,000,000 Property sq. ft./no. of units 573 ($)

% of total pooled trust 3.2 Year built/renovated 1971/2017 balance (%)

City New York Sponsor Nathan Berman

State N.Y. 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 2,500,000(i) S&P Global Ratings' subordinate debt Unsecured debt (S&P Global ($) category Ratings' LTV >= 90%)

S&P Global Ratings' NCF (8.0) S&P Global Ratings' subordinate debt (2.50) variance (%) adjustment

S&P Global Ratings' cap 6.28 S&P Global Ratings' LTV (%)(ii) 62.7 rate (%)

S&P Global Ratings' value 39.8(i) S&P Global Ratings' DSC (x)(ii) 2.89 (mil. $)

S&P Global Ratings' value (51.5) 'AAA' SCE (%) 28.3 variance (%)

S&P Global Ratings' value 382,488 'AAA' DCE (%) 4.9 per sq. ft./unit ($)

(i)Pari passu adjusted. (ii)The trust loan is pari passu. LTV and DSC are calculated based on the $112.5 million pari passu companion loan and the $25.0 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 $25.0 million pooled trust loan, along with the $112.5 million pari passu portion held outside the trust, represents a total $137.5 million senior loan component of a $265.0 million whole loan. The remaining $127.5 million junior non-trust note is held outside the trust and increases our LTV ratio to 120.9% from 62.7%. The whole loan is secured by the fee-simple interest in 180 Water Street a 573 (market-rent) unit, high-rise class A, residential property with 13,773 sq. ft. of grade-level and basement retail space and 17,184 sq. ft. of amenity space. The property is located in the Financial District of Manhattan, N.Y. The building was constructed in 1971 as an office building and converted into a mixed-use multifamily building following extensive renovations completed in 2017.

- The senior loan component has low leverage, with an S&P Global Ratings' LTV ratio of 62.7%, based on our valuation. The LTV ratio, based on the appraiser's as-is valuation, is 30.5%. Our

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estimate of long-term sustainable value is 51.5% lower than the appraiser's as-is valuation.

- The senior loan component has a strong DSC of 2.89x, calculated using the senior loan component's fixed interest rate and our in-place NCF for the property, which is 8.0% lower than the issuer's NCF.

- The property is located in a primary market. Primary markets generally have higher barriers to entry than secondary and tertiary markets. The property is located within the West Village/Downtown submarket of New York according to CBRE-EA, which had a vacancy rate of 2.3% and average monthly rent of $4,234 per unit as of second-quarter 2019. As of Oct. 17, 2019, the property was 97.0% leased with a weighted average monthly rent of $4,283 per unit. We applied a 5.0% vacancy factor to the residential spaces in our analysis.

- The property was originally constructed in 1971 as an office building, but it was converted to mixed-use multifamily from office use in 2017. Conversion works included the installation of new mechanical systems, HVAC, elevators, and façade work. The property now contains 573 market-rate, good quality, residential units. Each unit features high-end finishes, eight- to 11-ft. ceilings, and in-unit washer/dryers. Amenity spaces include a rooftop pool, a landscaped and furnished rooftop terrace, a fitness facility, personal storage and bike storage units, 24-hour doorman, on-site valet, and on-site concierge. All units feature stacked washer/dryers. The borrower is currently constructing an additional mezzanine space between the grade level and the second floor that will include seven additional apartments when completed next year. The construction and lease-up of the additional mezzanine units is estimated to add approximately $0.4 million to net cash flow. At loan closing, the borrower reserved approximately $1.8 million into a conversion holdback reserve for the completion of the seven residential units. We did not give any credit to additional incomes from these seven apartments.

- We visited the property on Oct. 15, 2019, accompanied by representatives of the sponsor and found the subject very modern and in excellent condition. The property is well located with easy access to public transportation. The pool deck benefits from having unobstructed views. Each unit features a full stainless steel appliance package, white lacquer cabinetry, and stone countertops. Bathrooms have tile flooring, custom vanities, medicine cabinets, and high-end fixtures. The additional mezzanine space that will include seven additional apartments were still under construction. According to the sponsor, one-month rent is offered free for a 13-month lease. We, therefore, applied rental concession in our analysis to factor the concession in our analysis.

- Proceeds from the whole loan and mezzanine loan, along with $22.4 million of sponsor additional equity, will be used to refinance $378.4 million of existing debt, fund required reserves under the financing, and pay closing costs.

- The whole loan is structured with a hard lockbox and in-place cash management. A cash flow sweep will occur if an event of default occurs under the mortgage and/or mezzanine loan, if the DSC falls below 2.21x (whole loan), or if the aggregate DSC falls below 1.15x (whole loan and mezzanine debt). There are also ongoing reserves for taxes, insurance, and capital expenditures.

- The mortgage loan benefits from Nathan Berman's sponsorship. Nathan Berman is an experienced developer who has successfully renovated and constructed 14 other former office buildings into residential apartments and condos.

The loan exhibits the following concerns and mitigating factors:

- In addition to the whole loan, there is a $100.0 million mezzanine loan. The whole loan and mezzanine loan have a combined S&P Global Ratings' LTV ratio of 166.5%. The comparably

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weaker credit metrics for the combined debt exposes the trust loan to a higher default risk. We, therefore, applied a negative LTV threshold adjustment at each rating level to account for this risk.

- The trust loan is interest-only for its entire five-year term, and there will be no scheduled amortization during the loan 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 applying a negative LTV threshold adjustment across the capital structure.

- Only 4,246 sq. ft. out of the commercial 13,773 sq. ft. space are let to Dunkin Donuts (not rated) and Citibank N.A. (A+/Stable/A-1), reflecting a 30.8% occupancy rate on the commercial space, as calculated by S&P Global Ratings. Both tenants signed a 10-year lease ending in 2029. The other commercial spaces were still under construction when we toured the asset. We, therefore, assumed the in-place commercial incomes and gave no credit to additional incomes in our analysis.

- 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 additional liens, such as mechanic's liens, some of which may have priority over the mortgage lien.

- The borrower deposited $1.2 million at closing and will deposit an additional $0.2 million on Nov. 6, 2019, to cover six months of carrying costs and debt service. These funds will be used to cover shortfalls in carrying costs and debt service until the property is fully stabilized.

10. 3 Columbus Circle

Table 22

Credit Profile

Loan no. 10 Property type Office

Loan name 3 Columbus Circle Subproperty type CBD

Pooled trust loan balance ($) 25,000,000 Property sq. ft./no. of units 753,713

% of total pooled trust balance 3.2 Year built 1927 (%)

City New York Sponsor Joseph Moinian

State N.Y. 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 ($) 2,420,000(i) S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (16.2) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate (%) 6.36 S&P Global Ratings' LTV (%) 61.5 (ii)

S&P Global Ratings' value (mil. 40.6(i) S&P Global Ratings' DSC (x) 2.44 (ii) $)

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Table 22

Credit Profile (cont.)

S&P Global Ratings' value (26.2) 'AAA' SCE (%) 26.8 variance (%)

S&P Global Ratings' value per 1,057 'AAA' DCE (%) 4.6 sq. ft./unit ($)

(i)Pari passu adjusted. (ii)The trust loan is pari passu. LTV and DSC are calculated based on the $25.0 million trust loan and $465.0 million pari passu companion loan (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. CBD--Central business district. N/A--Not applicable.

Strengths and concerns

The loan exhibits the following strengths:

- The senior loan component has low leverage with a 61.5% LTV ratio, based on S&P Global Ratings' valuation. Our estimate of long-term sustainable value is 26.2% lower than the appraiser's "as-is" valuation.

- The property, known as 3 Columbus Circle, is a 26-story, mixed-use, class-A building totaling 753,713 sq. ft. located in Midtown Manhattan's West Side office submarket. Located on Broadway between West 57th and 58th streets, the property is adjacent to Columbus Circle and Central Park, one of the most visited tourist areas in Manhattan. In addition to having direct access to various subway lines, the location also provides views of Central Park.

- The property was 97.2% occupied as of Jan. 1, 2019 by a combination of office and retail tenants (72.0% are rated investment grade) under long-term leases with a weighted average remaining term of 12.7 years. There are 32 office tenants, accounting for 85.6% of the NRA and 69.0% of the base rent as calculated by S&P Global Ratings. Tenants include Young & Rubicam Inc. (Y&R; whose parent is WPP PLC, 'BBB/Negative'; 49.8% NRA; 37.9% of base rent); Emerge 212 3CC LLC (whose parent is SL Green Realty Corp., 'BBB-/Stable'; 7.6% NRA; 4.4% of base rent); and Trustees of Columbia University ('AAA/Stable'; 1.9% NRA; 1.6% of base rent). In addition, three retail tenants (all of whom are rated investment grade) account for 9.9% of the NRA and 28.6% of base rent as calculated by S&P Global Ratings. These retail tenants include Nordstrom Inc. (Nordstrom; 'BBB/Stable'; 6.2% NRA; 18.5% of base rent); CVS Caremark Pharmacy (CVS; whose parent is CVS Health Corp., 'BBB/Stable'; 2.8% NRA; 5.7% of base rent); and Chase Bank ('A+/Stable'; 0.9% NRA; 4.4% of base rent). Of note, as part of this financing, Y&R sold its office condominium interest (28.4% of NRA) in the property to the sponsor for $215.6 million ($1,006 per sq. ft.). In conjunction, Y&R entered into a 14-year lease for its formerly owned space at a base rent of $76 per sq. ft. The sponsor now has a 100% ownership interest in the property through its affiliates.

- The property has benefited from $82.5 million ($109.44 per sq. ft.) in base-building capital improvements and $18.5 million ($24.58 per sq. ft.) in tenant improvements since 2011. These included the installation of a $44.0 million glass curtain wall system/facade, which completely encases the original 1928 brick construction; lobby expansion and renovations, which widened the property's existing entrance on Broadway and replaced the existing lobby walls with 12-ft. white glass walls; and new floor-to-ceiling windows and fully redesigned restrooms for the retail tenanted spaces.

- We toured the property on Feb. 14, 2019, with the property manager and representatives. We walked a sampling of the major tenant floors, including Y&R, Emerge 212 3CC LLC, Nordstrom,

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and Versace USA Inc. The building's higher floors provide excellent views of the surrounding area, including Columbus Circle and Central Park, and the massive amount of construction currently taking place at Hudson Yards. Nordstrom's retail space felt large and "department store-like." Its lease covers three levels, including the second, ground, and sub-grade levels, which are all connected by interior stairs and elevators. The building merits its class-A designation due in part to its condition, the amount of relatively recent capital expenditures, and the high-quality condition of tenant spaces and rents being paid.

- The whole loan is structured with a hard lockbox and in-place cash management. During a cash sweep event, all excess funds after the payment of debt service, reserves, and operating expenses, will be swept into a lender-controlled account. A cash sweep shall occur if there's an event of default; the DSC falls below 1.30x for a quarter; the property manager files for bankruptcy; or Y&R vacates or gives notice of its intent to go dark on 85.0% or more of its space; defaults under its lease beyond any notice and cure period; or gives notice of intent to surrender, cancel, or terminate its lease, becomes insolvent, or files for bankruptcy.

The loan exhibits the following concerns and mitigating factors:

- The $25.0 million pooled trust loan is a pari passu senior note and, together with the remaining pari passu senior non-trust companion notes, represents a total $490.0 million senior note balance of the $595.0 million whole loan. The remaining $105.0 million subordinate notes (which support loan specific certificates in the Benchmark 2019-B10 transaction) are held outside of the trust and are the controlling piece of the whole loan, which increases our LTV ratio to 74.7% from 61.5%.

- 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 interest-only loan structure.

- According to the appraiser, the retail component within the property pays above market rents ($261.80 per sq. ft. versus market rent of $115.58 according to CoStar) and, although only comprised 9.9% of NRA, it accounts for 28.6% of base rent. Moreover, there has been a softening of the retail market within Manhattan, and the appraiser concluded that it is unlikely that the retail spaces would be signed at the current rents once the leases roll to market. This is somewhat mitigated by the investment-grade ratings on the three retail tenants and by their long-term leases. Nordstrom's space at the property opened in April 2018 and is its first men's flagship store, with plans to open its women's flagship store across the street in late 2019. Its lease at the property does not expire until July 2040 and has no termination options.

- The Midtown office market is in the midst of a major development/construction phase, including the Hudson Yards project, which has increased competition and offers a new alternative for tenants that may be looking to lease space. Despite these headwinds, the property's West Side submarket has been one of the strongest in Midtown, as evidenced by the class-A vacancy rate of 6.9% as of the fourth-quarter 2018. The property has also benefited from recent leasing, as evidenced by the execution of 10 new leases in the last 12 months that account for approximately 10.0% of NRA at a weighted average base rent of $74.91 per sq. ft. We assumed a vacancy rate of 5.8%, which was based on a blended vacancy rate of 5.0% for investment-grade-rated tenants with long-term leases and 7.0% for the remainder of the property. The property was 97.2% occupied as of Jan. 1, 2019.

- The borrowers are structured as TICs. If multiple TIC borrowers for a loan declare bankruptcy, it may delay the liquidation and recovery period and result in higher losses to the transaction. However, the TIC agreement is subordinate to the loan agreement; the guarantors have ownership interest in the TIC and have waived their right to partition, which decreases the risk of serial bankruptcy filings or litigation among these borrowers.

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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 Outlooks," Sept. 14, 2009.

www.standardandpoors.com December 3, 2019 43

Appendices

Our property evaluation results and loan-level credit enhancement for the full pool appear in Appendices 1 and 2 below.

The loan-level credit enhancement levels shown in Appendix 2 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 28.4 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.

Appendix I

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

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

Parklawn Building OF P 60.800 7.7 4.877 (13.2) 7.50 67.358 (33.5) 90.3 2.33

Century Plaza OF P 50.000 6.3 5.745 (7.9) 6.75 78.933 (38.3) 63.3 3.77 Towers

Meridian Pointe MF P 49.975 6.3 4.760 (5.3) 6.75 70.514 (34.0) 70.9 2.97 Apartments

AVR Renaissance LO P 48.000 6.1 3.950 (22.9) 9.25 44.807 (44.0) 107.1 2.22 Atlanta Airport Gateway

DC Mixed Use MU Var 33.846 4.3 2.420 (10.5) 7.50 32.464 (39.3) 104.3 1.90 Portfolio VI

Wells Fargo Place OF S 30.000 3.8 2.554 (15.4) 8.00 31.453 (32.9) 95.4 2.47

225 Bush OF P 28.600 3.6 3.140 (14.9) 7.25 43.318 (47.6) 66.0 3.28

1824 Alton Road RT P 26.150 3.3 1.865 (7.2) 7.25 26.020 (39.5) 100.5 1.76

180 Water MF P 25.000 3.2 2.502 (8.0) 6.28 39.848 (51.5) 62.7 2.89

3 Columbus Circle OF P 25.000 3.2 2.420 (16.2) 6.36 40.644 (26.2) 61.5 2.44

Park Central Tower OF P 25.000 3.2 2.032 (8.3) 7.75 26.217 (39.3) 95.4 1.42

Airport Square OF S 24.965 3.2 2.056 (17.1) 9.25 21.774 (41.2) 114.7 1.40

Gold Brooklyn MF Var 24.800 3.1 1.691 (3.9) 6.87 24.626 (37.8) 100.7 1.67 Multifamily Portfolio

Dominion MF P 22.000 2.8 1.781 (9.6) 6.75 26.385 (35.6) 83.4 2.29 Apartments

55 Talmadge IN P 20.000 2.5 1.520 (26.4) 8.00 18.999 (45.6) 105.3 1.34

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Appendix I

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

The Block MF S 20.000 2.5 1.456 (8.6) 7.25 20.087 (35.2) 99.6 1.25 Apartments

Bushwick Avenue MU P 19.000 2.4 1.099 (14.9) 7.02 16.352 (44.1) 116.2 1.54 Portfolio

Westlake Village RT S 18.000 2.3 2.275 (5.5) 7.25 30.344 (33.3) 59.3 4.00 Marketplace

Summervale MF P 16.750 2.1 1.177 (14.0) 7.00 16.821 (34.8) 99.6 1.85 Apartments

2450 Business IN P 15.000 1.9 1.252 (15.9) 7.75 16.159 (43.7) 92.8 1.87 Park

Pretium Industrial IN Var 13.598 1.7 1.054 (16.7) 7.84 13.440 (37.0) 101.2 2.08 Portfolio

Kensington Place MF S 12.300 1.6 0.960 (8.2) 7.75 12.393 (25.3) 99.2 1.39 Townhomes

Sunset Business IN S 11.965 1.5 0.850 (16.7) 8.00 10.628 (44.1) 112.6 1.27 Center

Storage Outlet - SS P 11.800 1.5 1.492 (8.5) 8.00 16.798 (37.3) 70.2 2.38 Bellflower

Bond Street 21 RT Var 11.700 1.5 0.938 (7.3) 8.21 11.422 (29.9) 102.4 1.42

Shel Mar Estates MH T 9.700 1.2 0.719 (12.3) 8.00 8.985 (35.0) 108.0 1.28

4800 North Point OF P 9.400 1.2 0.799 (13.3) 8.00 9.991 (33.8) 94.1 1.57 Parkway

Castalia at OF S 8.765 1.1 0.707 (13.3) 8.00 8.844 (36.4) 99.1 2.17 Meadowmont

Walmart RT T 8.650 1.1 0.775 (7.2) 7.75 10.000 (41.9) 86.5 2.64 Supercenter Lancaster

Marina del Sol MF T 8.500 1.1 1.201 (8.2) 8.00 15.008 (34.2) 56.6 4.15

545 & 547 West RT P 8.000 1.0 0.539 (7.2) 7.50 7.188 (45.5) 111.3 1.71 20th Street

Auto Mall Parkway SS P 8.000 1.0 0.618 (7.8) 8.00 7.733 (40.8) 103.5 2.06 Self Storage

FedEx Ground IN T 8.000 1.0 0.903 (7.9) 7.75 11.656 (42.6) 68.6 3.51

Security Self SS P 7.500 1.0 1.552 (6.4) 8.00 19.403 (41.6) 38.7 6.09 Storage

Westmoreland OF T 7.248 0.9 0.631 (13.3) 9.00 7.011 (37.1) 103.4 1.44 Medical Center

Storage Outlet - SS S 7.075 0.9 0.922 (5.0) 8.25 10.659 (40.8) 66.4 2.45 Chino

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Appendix I

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

30610 East IN S 6.630 0.8 0.481 (16.7) 8.00 6.015 (41.1) 110.2 1.39 Broadway

895 West End MF P 5.989 0.8 3.510 (8.2) 7.00 50.148 (47.8) 11.9 11.75 Avenue

Townhomes on the MF T 5.692 0.7 0.429 (8.2) 7.00 6.133 (31.9) 92.8 1.32 Green

Dollar General RT Var 5.650 0.7 0.446 (7.2) 8.44 5.281 (36.4) 107.0 1.33 Portfolio

3825 Georgia MF P 5.400 0.7 0.351 (8.2) 6.25 5.613 (40.4) 96.2 1.59 Apartments

Storage Outlet - SS P 4.875 0.6 1.059 (6.6) 8.00 13.234 (25.7) 36.8 4.17 South Gate

Gramercy RT S 4.116 0.5 0.380 (7.2) 8.25 4.610 (27.4) 89.3 1.59 Commons

Storage Outlet - SS P 4.000 0.5 0.654 (6.6) 8.00 8.169 (31.9) 49.0 3.13 South El Monte

ULofts MF T 3.750 0.5 0.302 (8.2) 8.00 3.780 (30.1) 99.2 1.42

The Sterling OF S 3.000 0.4 0.237 (13.3) 8.50 2.788 (39.9) 107.6 1.35 Building

Market Villas MF S 2.840 0.4 0.217 (8.2) 7.50 2.894 (31.1) 98.1 1.26

Shafer Terrace MH T 2.100 0.3 0.174 (12.3) 8.25 2.106 (32.1) 99.7 1.39 MHP

Total/weighted - - 789.128 100.0 73.472 (11.6) 7.55 - (38.0) 88.1 2.37 average

(i)Loan balances, net cash flows, and values refer to the trust portion of contributed loan (i.e., the pari passu amount). All LTVs, DSCRs, debt yields, haircuts, and values refer to those generated by S&P Global Ratings, unless otherwise indicated. NCF--Loan to value. LTV--Loan-to-value. DSC--Debt service coverage.IN--Industrial. LO--Lodging. MF--Multifamily. 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' 'A' 'BBB'

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

Parklawn Building 60,800,000 23.8 18.7 53.5 12.7 45.2 10.0 36.9 7.5 28.5 5.4

Century Plaza Towers 50,000,000 17.2 13.5 29.0 5.0 17.1 2.4 5.3 0.7 - -

Meridian Pointe 49,975,000 19.0 14.9 44.3 8.4 32.3 5.6 20.3 3.3 9.0 1.3 Apartments

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Appendix II

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

'AAA' 'AA' 'A' 'BBB'

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

AVR Renaissance Atlanta 48,000,000 29.2 23.0 69.7 20.3 61.7 16.7 53.8 13.7 46.3 13.7 Airport Gateway

DC Mixed Use Portfolio VI 33,845,500 32.0 25.2 59.2 18.9 52.0 15.5 44.8 13.7 37.7 13.7

Wells Fargo Place 30,000,000 25.3 19.9 55.4 14.0 47.6 11.2 39.7 8.6 31.9 6.3

225 Bush 28,600,000 17.9 14.0 31.8 5.7 20.5 3.3 9.1 1.4 - -

1824 Alton Road 26,150,000 36.4 28.8 55.2 20.1 47.8 16.1 40.3 12.6 32.8 9.4

180 Water 25,000,000 17.2 13.5 28.3 4.9 14.7 1.8 1.2 0.2 - -

3 Columbus Circle 25,000,000 17.0 13.4 26.8 4.6 14.6 1.9 2.5 0.4 - -

Park Central Tower 25,000,000 52.4 41.6 51.5 27.0 43.6 21.2 35.8 16.2 27.9 11.6

Airport Square 24,965,246 67.1 53.6 58.6 39.3 52.0 32.5 45.5 26.4 38.9 20.9

Gold Brooklyn Multifamily 24,800,000 41.2 32.6 52.8 21.8 44.4 16.9 36.0 12.8 28.0 9.1 Portfolio

Dominion Apartments 22,000,000 21.9 17.2 43.0 9.4 32.8 6.6 22.6 4.3 13.0 2.2

55 Talmadge 20,000,000 64.5 51.5 56.8 36.6 49.7 29.8 42.5 23.8 35.4 18.2

The Block Apartments 20,000,000 67.9 54.3 53.8 36.5 45.3 28.5 36.7 21.6 28.7 15.6

Bushwick Avenue Portfolio 19,000,000 57.4 45.7 61.8 35.5 55.3 29.6 48.9 24.2 42.4 20.9

Westlake Village 18,000,000 16.4 12.9 24.1 4.0 11.5 1.3 - - - - Marketplace

Summervale Apartments 16,750,000 32.5 25.6 52.3 17.0 43.8 13.2 35.2 9.8 27.2 7.1

2450 Business Park 15,000,000 29.2 23.0 51.5 15.0 43.4 11.7 35.4 8.9 27.3 6.3

Pretium Industrial 13,598,000 27.2 21.4 55.5 15.1 48.1 12.2 40.7 9.5 33.3 8.6 Portfolio

Kensington Place 12,300,000 56.8 45.2 50.9 28.9 42.3 22.3 33.8 16.6 25.7 11.6 Townhomes

Sunset Business Center 11,965,050 76.4 61.4 57.8 44.2 51.1 36.5 44.5 29.5 37.8 23.2

Storage Outlet - Bellflower 11,800,000 18.7 14.7 32.4 6.1 21.7 3.7 11.0 1.8 0.3 0.1

Bond Street 21 11,700,000 56.7 45.1 54.8 31.1 47.5 25.0 40.2 19.7 32.9 14.8

Shel Mar Estates 9,700,000 71.6 57.3 54.8 39.2 47.0 31.2 39.1 24.3 31.7 18.2

4800 North Point Parkway 9,400,000 43.0 34.1 50.8 21.9 42.9 17.1 34.9 12.9 26.9 9.2

Castalia at Meadowmont 8,764,885 26.5 20.9 54.6 14.5 47.0 11.6 39.5 9.0 31.9 6.7

Walmart Supercenter 8,650,000 23.0 18.1 48.0 11.0 39.3 8.4 30.6 6.0 22.0 4.0 Lancaster

Marina del Sol 8,500,000 16.0 12.6 16.1 2.6 1.1 0.2 - - - -

545 & 547 West 20th 8,000,000 44.0 34.9 59.6 26.2 52.8 21.7 46.1 17.5 39.4 16.9 Street

Auto Mall Parkway Self 8,000,000 27.8 21.9 56.5 15.7 49.3 12.7 42.0 10.6 34.8 10.6 Storage

FedEx Ground 8,000,000 18.5 14.5 34.4 6.4 23.5 4.0 12.6 2.0 1.7 0.2

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Appendix II

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

'AAA' 'AA' 'A' 'BBB'

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

Security Self Storage 7,500,000 12.9 10.1 ------

Westmoreland Medical 7,247,500 55.9 44.5 55.3 30.9 48.0 25.0 40.7 19.7 33.5 14.9 Center

Storage Outlet - Chino 7,075,000 17.9 14.0 28.4 5.1 17.1 2.6 5.8 0.9 - -

30610 East Broadway 6,630,000 64.2 51.3 59.2 38.0 52.4 31.3 45.6 25.3 38.8 19.9

895 West End Avenue 5,989,481 12.3 9.6 ------

Townhomes on the Green 5,691,773 57.8 46.0 46.1 26.7 37.0 19.8 27.8 13.9 19.2 8.8

Dollar General Portfolio 5,650,000 66.7 53.4 55.6 37.1 48.6 30.2 41.6 24.0 34.6 18.4

3825 Georgia Apartments 5,400,000 43.0 34.0 50.6 21.8 41.8 16.6 33.0 12.2 24.6 8.4

Storage Outlet - South 4,875,000 12.6 9.9 ------Gate

Gramercy Commons 4,115,770 39.6 31.3 46.8 18.5 38.4 14.1 30.0 10.2 21.6 6.8

Storage Outlet - South El 4,000,000 14.5 11.4 3.0 0.4 ------Monte

ULofts 3,750,000 54.8 43.6 50.9 27.9 42.3 21.5 33.7 16.0 25.7 11.2

The Sterling Building 3,000,000 65.9 52.7 55.9 36.8 48.9 30.0 41.9 23.9 34.9 18.4

Market Villas 2,840,000 65.6 52.5 50.3 33.0 41.7 25.4 33.0 18.8 24.9 13.0

Shafer Terrace MHP 2,100,000 57.5 45.8 51.1 29.4 42.6 22.7 34.1 16.9 26.0 11.9

Total/weighted 789,128,204 33.8 26.7 47.1 17.4 38.2 13.5 29.5 10.2 22.4 7.9 average

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

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