CIM Retail Portfolio Trust 2021-RETL

Presale: CIM Retail Portfolio Trust 2021-RETL

July 20, 2021

PRIMARY CREDIT ANALYST

Preliminary Ratings Robertfritz Mcfaddeniii New York LTV ratio Market value decline Debt yield 212-438-0353 Class Preliminary rating(i) Preliminary amount ($) (%) (%)(ii) (%)(iii) robert.mcfadden A AAA (sf) 282,600,000 37.0 75.0 22.9 @spglobal.com

A-1(iv) AAA (sf) 75,000,000 47.0 68.3 18.1 SECONDARY CONTACT

X-CP BBB- (sf) 420,600,000(v) N/A N/A N/A Samson Joy New York X-EXT BBB- (sf) 560,800,000(v) N/A N/A N/A + 1 (212) 438 3107 B AA- (sf) 76,100,000 57.0 61.6 14.9 samson.joy @spglobal.com C A- (sf) 57,100,000 64.5 56.5 13.2

D BBB- (sf) 70,000,000 73.7 50.3 11.5

E NR (sf) 32,200,000 77.9 47.5 10.9

F NR (sf) 24,000,000 81.1 45.3 10.5

HRR(v) NR 33,000,000 85.4 42.4 9.9

Note: This presale report is based on information as of July 20, 2021. The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Reflects the approximate decline in the $1.129 billion appraised as-is value of the portfolio that would be necessary to experience a principal loss at the given rating level. (iii)Based on S&P Global Ratings' NCF and the mortgage balance. (iv)Approximate, subject to a variance of plus or minus 5%. The certificate balance of the class A-1 certificates may be decreased or such class may not be issued as a separate class altogether. Any decrease in the certificate balance of the class A-1 certificates will result in a corresponding increase in the certificate balance of the Class A certificates. If the class A-1 certificates are not issued, references to the direct sale certificates will refer to a portion of the class A certificates. (v)Notional balance. The notional amount of the class X-CP certificates will be equal to the aggregate portion balances of the A-2 portion ($211.95 mil.), the A-1-2 portion ($56.25 mil.), the B-2 portion ($57.08 mil.), the C-2 portion ($42.83 mil.) and the D-2 portion ($52.50 mil.). The notional amount of the class X-EXT certificates will equal the aggregate certificate balance of the class A, B, C, and D certificates. (v)Non-offered horizontal risk retention certificates. LTV--Loan-to-value, based on S&P Global Ratings' values. NCF--Net cash flow. HRR--Horizontal risk retention. N/A--Not applicable. NR--Not rated.

Profile

Expected closing date Aug. 9, 2021.

Loan A two-year, floating-rate interest-only commercial mortgage loan totaling $650.0 million with three one-year extension options.

Collateral Cross-collateralized and cross-defaulted first mortgage or deed of trust liens on the borrowers' fee simple interests in 111 multi- and single-tenanted retail properties, one office property, and one industrial property located across 27 states.

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© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimer 2691608 on the last page. Presale: CIM Retail Portfolio Trust 2021-RETL

Profile (cont.)

Payment structure The transaction is structured to comply with risk retention requirements by way of an eligible horizontal residual interest, the class HRR certificates. The total required credit risk retention percentage for this transaction is 5.0%. Principal payments will be made sequentially, first to the class A and A-1 certificates pro rata, then to the class B, then C, then D, then E, then F, and then HRR certificates. Interest payments will be made first to the class A, A-1, X-CP, and X-EXT certificates, pro rata, based on the interest due, and then to the class B, C, D, E, F, and HRR certificates. Realized losses are allocated in reverse sequential order, starting with the class HRR certificates. Voluntary prepayments up to the first 25.0% of the loan balance will be applied on a pro

Depositor J.P. Morgan Chase Commercial Mortgage Securities Corp.

Mortgage loan seller JPMorgan Chase Bank N.A. and German American Capital Corporation.

Borrowers One hundred and fourteen bankruptcy remote special-purpose entities that are indirectly or wholly owned and controlled by CIM Group LLC.

Servicer and special KeyBank N.A.

Trustee Wells Fargo Bank N.A.

Certificate Wells Fargo Bank N.A. administrator

Rationale

The preliminary ratings assigned to CIM Retail Portfolio Trust 2021-RETL's commercial mortgage pass-through certificates reflect S&P Global Ratings' view of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. We determined that the trust loan has a beginning and ending loan-to-value (LTV) ratio of 85.4%, based on S&P Global Ratings' value.

Environmental, Social, And Governance (ESG)

Our rating analysis considers a transaction's potential exposure to ESG credit factors. For CMBS, we view the exposure to environmental credit factors as above average, to social credit factors as average, and to governance credit factors as average (see "ESG Industry Report Card: Commercial Mortgage-Backed Securities," published March 31, 2021). The sector's above average exposure to environmental credit factors reflect environmental risks, such as physical climate and pollution. These risks can have serious and material effects on the value of the underlying commercial real estate backing the rated certificates--especially since CMBS pools are generally more concentrated than other highly diversified asset classes in structured finance.

The transaction's exposure to environmental credit factors is in line with our sector benchmark, in our view. Our analysis of the underlying real estate we examined in the loan pool included a review of third-party appraisals and environmental site, property condition, and seismic risk assessments (when located in a high-hazard earthquake zone). We also reviewed the underlying loan documentation or a sample of the largest loans in the loan pool in conduit transactions. In particular, we looked at the property insurance requirements, the loan covenants requiring borrowers to maintain the real estate in good condition and appropriately address any exposure to environmental conditions, and any other available loan features we deemed relevant (e.g., environmental indemnity, third-party environmental guarantee, and specific cash reserve). We also reviewed the disclosed exceptions to the seller's representations and warranties to identify any other significant unmitigated environmental credit factors present in the smaller loans, if

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applicable.

Our review concluded that environmental credit factors are not key rating drivers in this transaction because these risks were adequately addressed. While the progressive decarbonization of the real estate sector by 2050 is expected to influence market values over time, we believe our current approach to evaluating stressed long-term recovery values indirectly accounts for the potential materialization of that pricing differentiation over the expected life of the transaction. In addition, our analysis does not give credit to any future actions that landlords and tenants may take to reduce their carbon footprint to support a healthier environment and preserve property value. As a result, we have not separately identified this as a material ESG credit factor in our analysis.

The transaction's exposure to social and governance credit factors is in line with our sector benchmark, in our view.

Strengths

The transaction has the following strengths:

- The mortgage loan has a moderately high debt service coverage ratio (DSCR) of 1.59x, calculated using the loan's 2.75% spread, the current weighted average LIBOR cap of 3.50%, and S&P Global Ratings' net cash flow (NCF) for the property, which is 9.0% lower than the issuer's NCF. The loan's actual DSCR, based on current LIBOR of 0.10%, the 2.75% spread, and S&P Global Ratings' NCF, is 3.49x. This figure rises to 3.78x under the issuer's NCF.

- The loan is secured by first-mortgage liens on the borrower's fee simple interests in 113 properties: 50 anchored shopping centers (63.0% by allocated loan amount [ALA]), 61 single-tenant retail properties (34.7%), and one office (2.2%), and one industrial property (0.1%), both of which are single tenanted. The properties are located across the U.S. in 27 states and 85 separate markets, and the three largest geographic concentrations are in Ohio (eight properties; 8.9% by ALA), Illinois (seven; 8.9%), and Texas (eight; 8.5%). The properties have an average age of 20 years and were built between 1982 and 2015. They are uniformly rated as "Good" or "Good to Fair" by site inspection engineers.

- The portfolio properties are mainly power centers anchored or shadow anchored by national retailers such as T.J. Maxx ('A'), Marshalls ('A'), Home Depot ('A'), Lowe's ('BBB+'), Best Buy ('BBB+'), Ross Dress for Less ('BBB+'), and Kohl's ('BBB-') as well as mass merchants such as Walmart ('AA') and Target ('A'), many of which are rated investment-grade by S&P Global Ratings. The three largest tenants in the portfolio are LA Fitness (4.2% of NRA; 7.3% of in-place gross rent; September 2033 expiration at the latest), PetSmart (B/Stable/--; 4.0%; 5.3%; September 2032), and Lowe's (BBB+/Stable/A-2; 7.4%; 4.3%; June 2028).

- The portfolio comprises 8.46 million sq. ft. and is 88.2% occupied as of June 2021 (as calculated by S&P Global Ratings), featuring a diverse, granular roster of 507 tenants (260 unique tenants) with property concentrations in power centers (39.7% of net rentable area [NRA}), big box stores (15.1%), and grocery stores/grocery-anchored centers (8.1%). Many of these tenants were considered essential businesses during the pandemic-related closures and were able to remain open.

- The weighted average contractual in-place base rent of $12.50 per sq. ft. is 6.9% below the appraiser's weighted average market base rent of $13.43 per sq. ft. across the portfolio. On a property basis, the delta between the contractual rent and market rent varied from 1.3% above market rent to 37.4% below each property's respective market rent. The two properties with the greatest variance to market rent are Lowe's--Covington, La. (1.12% by ALA), whose contractual

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in-place base rent of $4.72 per sq. ft. is 75.1% below the appraiser's concluded market base rent of $18.99 per sq. ft., and Westover Market (0.43% by ALA), whose contractual in-place base rent of $5.07 per sq. ft. is 74.0% below the appraiser's concluded market rent of $19.52. The below-market rents are likely due to the small, big box retail tenant base; Lowe's is a single tenant property, and Westover Market is comprised of only a Ross Dress For Less and Target store.

- The loan benefits from the experienced sponsorship of CIM Group (CIM), a Los Angeles-based commercial real estate owner, operator, developer, and lender with more than $29.3 billion in assets under management, nine corporate offices, and more than 1,000 employees. The company was founded in 1994 and has a presence in over 135 mostly urban submarkets across North America. CIM acquired the Portfolio by way of its acquisition of non-traded REIT Cole Capital in 2018.

- The portfolio performed reliably during the pandemic due to its exposure to essential businesses; 49.3% of NRA remained open throughout. Rent collections were resilient and averaged 91.3% over a 12-month period ending in March 2021. According to the sponsor, no rent relief arrangements will extend beyond December 2021, and by January 2023, all deferred rent will have been repaid.

- The mortgage loan is structured with a hard in-place lockbox and springing cash management, as determined by S&P Global Ratings, which allows the borrower to control funds until an event of default has occurred, a new mezzanine loan event of default has occurred, a debt yield ratio of 9% during the initial loan term or the first extension and debt yield ratio of 10% during the second and third extensions is breached for one quarter, or a bankruptcy action of borrower or manager occurs. At that point, the borrower will be required to maintain monthly tax and insurance escrows, replacement reserves, and tenant improvement/leasing commission deposits. During a cash sweep event, all excess cash flow will be deposited into a lender-controlled account.

Risk Considerations

We considered the following risks for this transaction:

- The mortgage loan has moderately high leverage with an S&P Global Ratings' LTV ratio of 85.4%. The LTV ratio based on the appraiser's as-is valuation of $1.129 billion is 57.6%. Our estimate of long-term sustainable value is 32.6% lower than the appraiser's valuation, with the variance primarily driven by our 16.0% vacancy rate assumption and our 8.50% capitalization rate.

- The trust loan is interest-only for its entire five-year fully extended 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. To account for this lack of amortization, we applied negative LTV threshold adjustments across the capital structure.

- The transaction is concentrated by property type, with one loan secured by 113 properties, of which 111 are retail properties. 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, shopping centers, and freestanding properties in infill locations near major transportation

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nodes and 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. We considered all of the properties to be anchored by national tenants. Furthermore, the mortgaged portfolio occupancy averaged 94.1% from 2018 to 2020. However, we used a 16.0% vacancy assumption in our analysis and an 8.50% capitalization rate to derive our sustainable value.

- The loan permits the release of one or more of the properties provided no event of default, subject to a release price of 110% of the ALA for such individual property. Releases are subject to a debt yield test whereby the debt yield for the remaining properties must be equal to or greater than the greater of the 12.9% closing debt yield and the debt yield for all properties immediately prior to such release, or the borrower can prepay a portion of the loan to achieve a required debt yield.

- The transaction's structure permits principal prepayments up to 25% of the original principal balance ($162.5 million) to be distributed to the principal balance certificates on a pro rata and pari passu basis, as long as no mortgage loan event of default exists. As a result, subordinate classes of principal balance certificates may be repaid a portion of their principal before the more senior classes are paid in full. This pro rata distribution provides less protection to the senior classes against losses associated with a delinquent and defaulted mortgage loan relative to a sequential-pay structure. S&P Global Ratings evaluated this payment structure and stress-tested the parcels using adverse selection scenarios; however, the debt yield hurdle precludes releases that would result in credit deterioration.

- The majority of the properties (99 properties; 92.5% of NRA; 83.2% of ALA) are located in secondary and tertiary markets. We believe these markets to have fewer barriers to entry and command lower rents; therefore we usually apply higher capitalization rates to properties in such markets. We accounted for this risk with our overall capitalization rate of 8.50%.

- The transaction's loan bears interest at a floating rate indexed to one-month LIBOR. Increases in LIBOR will raise the amount of interest payable on the underlying loan, decreasing the loan's DSCR. However, the loan has a comparably short term (24 months plus three one-year extensions), which somewhat mitigates the risk of rising interest rates. The loan requires the interest rate cap agreement be no greater than 3.5% (the strike price). In connection with an extension, the borrower must enter into a replacement interest rate cap agreement with a LIBOR strike price plus the spread that is equal to or less than the strike price. The interest rate cap agreement supports 'AAA' ratings under our counterparty criteria. Therefore, we did not apply any additional interest rate stress.

- The portfolio is subject to rollover risk with leases representing 16.0% of the square footage and 20.8% of the in-place gross rent (as calculated by S&P Global Ratings) expiring during the initial two-year loan term. In addition, 202 leases representing 42.1% of the NRA and 42.5% of the in-place gross rent expire in years three through five. The tenants have been in place for an average of 9.8 years and have a weighted average remaining lease term of 5.9 years. We accounted for this risk utilizing a 16.0% vacancy and an 8.50% capitalization rate.

- Eight tenants (2.4% of NRA) which are currently dark, likely to vacate, and/or bankrupt were underwritten as vacant. Six (2.2%) are currently paying rent. Three of these tenants are large anchor tenants and have caused overall vacancy at their respective properties to escalate by more than 40.0%. We accounted for this increased vacancy in our vacancy rate of 16.0%.

- Sixty-three (61 retail centers, one office building, and one industrial building) of the 113 properties (37.0% by ALA) are subject to tenant concentration risk because they are occupied by a single tenant. This risk is partially mitigated because the loan is secured by a portfolio of

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113 properties leased to more than 260 unique tenants. Also, 34 of these single-tenant properties (20.7%) are 100% leased to investment-grade rated tenants as calculated by S&P Global Ratings. These tenants have demonstrated commitment to their respective spaces with an average tenancy of 15 years. Nevertheless, we accounted for the single-tenant nature of the properties by applying a minimum of a 10% vacancy on all single-tenant properties and an overall weighted average vacancy factor of 16.0% to the portfolio, compared to its actual vacancy of 11.2% as of June 2021.

- 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.

- 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.

Collateral Characteristics

Collateral description

The portfolio properties are cross collateralized and located in 27 states across 85 distinct metropolitan statistical areas (MSA). The three largest geographic concentrations are in Ohio (eight properties; 8.9% by ALA), Illinois (seven; 8.9%), and Texas (eight; 8.5%).

As part of our analysis, we classify the MSA where each property is located as primary, secondary, or tertiary. The nature of each market type affects capitalization rates and valuation dynamics, and it can influence the timing and amount of liquidation proceeds if a mortgage loan is foreclosed. The majority of the properties are located in tertiary (68 properties; 55.0% by ALA) and secondary markets (31, 28.2% by ALA. Of the remaining properties in the portfolio, only 14 properties accounting for 16.8% of ALA are located in primary markets (see tables 1 and 2).

Table 1

Top 10 Properties By ALA

ALA Market Appraised Property name City State Sq. ft. (%) Year built type Credit anchors value ($)

The Center at Sturbridge MA 230,615 3.1 1999-2005 Tertiary Stop & Shop 35,250,000 Hobbs Brook

Lafayette Lafayette IN 381,670 3.0 1995 Tertiary Marshalls, TJ Maxx 34,200,000 Pavilion

Almeda Houston TX 223,223 2.6 2005-2012 Primary Marshalls, Ross 29,300,000 Crossing Dress for Less, Walmart (Shadow)

Beaver Creek Beavercreek OH 284,322 2.5 1995-2013 Secondary HomeGoods 28,250,000 Shopping Center

Crosspoint Hagerstown MD 170,121 2.5 2000 Tertiary Ross Dress for Less, 28,200,000 Shopping DSW, Kohl's (Shadow) Center

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Table 1

Top 10 Properties By ALA (cont.)

ALA Market Appraised Property name City State Sq. ft. (%) Year built type Credit anchors value ($)

Rolling Acres Lady Lake FL 189,132 2.5 2005 Tertiary TJ Maxx, Ross Dress 27,700,000 for Less

Southwest Springfield IL 367,974 2.3 1991 Tertiary Ross Dress for Less, 26,300,000 Plaza DSW, Best Buy

Siemens Milford OH 221,215 2.2 1991 Secondary Siemens 25,000,000

Shops at Abilene TX 175,642 2.2 2004 Tertiary TJ Maxx, Ross Dress 24,400,000 Abilene for Less

Shoppes at Stroudsburg PA 140,910 2.0 2007 Secondary Best Buy 23,100,100 Stroud

Total -- -- 2,384,824 25.0 ------281,700,000

ALA--Allocated loan amount.

The properties are broken down into three large types: anchored retail shopping centers (50 properties, 63.0% by ALA), single-tenant retail (61, 34.7%), and other, which consists of one industrial and one office property (two, 2.3%). On the property sub-type level, anchored properties consist of power centers (26, 37.1%) and multi-tenant anchored centers (22, 24.0%) whereas the single-tenant retail properties are primarily big box stores (12, 13.3%), other free-standing retail (28, 8.9%), and grocery stores (9, 6.7%).

Table 2

Pool Distribution By State And Market Type

Market type

State No. of properties ALA (%) Primary (%) Secondary (%) Tertiary (%)

Ohio 8 8.9 -- 8.7 0.2

Illinois 7 8.9 5.9 -- 2.9

Texas 8 8.5 5.7 0.4 2.4

Pennsylvania 5 7.2 -- 3.5 3.7

Georgia 6 6.6 4.9 -- 1.7

Florida 8 6.3 -- 2.7 3.6

Kentucky 5 6.1 -- 2.0 4.1

North Carolina 11 5.8 -- 0.3 5.5

Wisconsin 6 5.7 -- 2.6 3.1

Indiana 5 5.4 -- -- 5.4

Louisiana 6 5.1 -- -- 5.1

Maryland 2 4.1 -- -- 4.1

Massachusetts 2 3.9 -- -- 3.9

Oklahoma 4 3.8 -- 1.7 2.1

California 3 2.5 -- 1.3 1.2

Michigan 4 2.3 -- 1.6 0.7

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Table 2

Pool Distribution By State And Market Type (cont.)

Market type

State No. of properties ALA (%) Primary (%) Secondary (%) Tertiary (%)

New Mexico 4 1.9 -- 1.7 0.2

South Carolina 2 1.6 -- -- 1.6

Kansas 2 1.3 -- -- 1.3

Minnesota 2 1.0 -- 0.7 0.2

Colorado 3 0.8 -- 0.2 0.7

Virginia 3 0.8 -- 0.5 0.3

Utah 3 0.4 -- 0.3 0.1

New Jersey 1 0.2 0.2 -- --

West Virginia 1 0.2 -- -- 0.2

Arkansas 1 0.2 -- -- 0.2

Nebraska 1 0.2 -- -- 0.2

Total 113 100.0 16.8 28.2 54.9

ALA--Allocated loan amount.

Market Summary

The properties are located in 85 distinct submarkets (see table 3 for the submarket vacancy and rent data as well as the vacancy rate we utilized in our analysis for the top 10 submarkets). The portfolio has an in-place occupancy 88.8%, but we utilized a portfolio vacancy rate of 16.0% in our analysis, which was generally based on using the greater of: the in-place vacancy, the current submarket vacancy, 5.0%, and 10.0% for single-tenant properties. In general, according to CoStar, the overall in-place base rent of $12.50 per sq. ft. across the portfolio is below the average submarket rent levels and we utilized the in-place rent in our analysis.

Table 3

Market Summary For The Top 10 Submarkets

S&P Global S&P Global Ratings' CoStar market ALA Ratings applied Costar in-place base rent rents ($/sq. MSA (%) vacancy vacancy(i) ($/sq. ft.) ft)(i)

Chicago-Naperville-Joliet, IL-IN-WI 5.9 9.4 6.2 21.58 18.86

Atlanta-Sandy Springs-Marietta, 4.9 8.5 5.5 11.65 17.92 GA

Houston-Sugar Land-Baytown, TX 3.7 11.1 6.1 17.69 20.19

Milwaukee-Waukesha-West Allis, 3.5 14.3 5.0 12.85 14.37 WI

Cincinnati-Middletown, OH-KY-IN 3.5 10.1 10.1 13.06 19.72

Worcester, MA 3.1 31.5 5.1 13.15 15.22

Lafayette, IN 3.0 20.1 4.3 13.15 12.76

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Table 3

Market Summary For The Top 10 Submarkets (cont.)

S&P Global S&P Global Ratings' CoStar market ALA Ratings applied Costar in-place base rent rents ($/sq. MSA (%) vacancy vacancy(i) ($/sq. ft.) ft)(i)

Tampa-St. Petersburg-Clearwater 2.6 5.0 4.3 16.67 19.90

Orlando-Kissimmee, FL 2.5 20.7 5.5 10.63 9.19

Columbus, OH 2.5 16.7 3.6 16.60 16.52

(i)Average of Costar 2021 estimates as calculated by S&P Global Ratings. ALA--Allocated loan amount.

COVID-19 Update

The portfolio was able to maintain stable performance throughout the COVID-19 pandemic, with rent collections averaging 91.3% from April 2020 to March 2021. Occupancy dipped slightly to 88.8% as of June 2021 from 94.7% in 2019. According to the sponsor, approximately $534,296 (0.6% of in place base rent) is still under abatement or deferral. The sponsor expects all deferred rent to be repaid by January 2023.

Third-Party Reviews

We reviewed appraisal, environmental, engineering, and seismic reports prepared within the past six months for the properties in the portfolio. In our opinion, the environmental and engineering reports revealed no causes of concern at the property level and no property required a phase II environmental report.

Six properties (3.0% by ALA) are located in areas with a high degree of seismic activity. However, all of these properties have a probable maximum loss (PML) of less than 20.0%, with Tractor Supply--Fortuna, Calif., having an estimated scenario expected PML of 14.0%. In addition, the current insurance policy provides earthquake coverage of up to $10.0 million per occurrence and in the aggregate for all locations.

Structural Issues

We reviewed structural matters that we believe are relevant to our analysis. We analyzed the major transaction documents, including the offering circular, trust and servicing agreement, and other relevant documents and opinions to understand the transaction's mechanics and its consistency with our applicable criteria. We also conducted a focused review of the mortgage loan and cash management agreements.

Historical Cash Flow And S&P Global Ratings' Cash Flow Notes

S&P Global Ratings' reviewed the historical cash flows and the budgeted and issuer-reported cash flows to determine its view of a sustainable cash flow for the portfolio. We summarize the historical and S&P Global Ratings' NCF for the portfolio below (see table 4a).

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Table 4a

Cash Flows

TTM ended S&P Global 2019 2020 5/31/2021 Budget Issuer Ratings

Income ($)

Gross potential rent(i) 108,269,529 106,757,814

Base rent 101,179,807 94,507,432 91,751,514 98,999,969

Less: vacancy loss(ii) (19,251,048) (21,533,902)

Expense reimbursement 26,742,639 22,521,797 22,246,947 25,199,425 27,829,072 27,829,072

Credit loss(iii) (1,345,869)

Effective gross income 127,922,446 117,029,229 113,998,461 125,492,763 116,847,552 111,707,115

Expenses ($)

Real estate taxes(iv) 17,529,054 18,059,991 18,062,447 18,242,568 20,927,293 20,927,293

Property insurance(iv) 836,102 826,169 901,232 1,015,133 1,304,483 1,318,131

Utilities(iv) 161,582 167,282 189,876 2,382,054 167,282 167,282

Repairs and 13,959,133 9,348,906 9,468,614 2,910,340 9,348,906 9,348,906 maintenance(iv)

Management fees(v) 3,837,673 3,510,877 3,419,954 3,764,783 3,505,427 4,140,956

Advertising and ------5,000 -- -- marketing

Professional fees(iv) 257,559 592,145 750,534 -- 592,145 592,145

General and 1,014,526 1,118,423 1,123,965 570,750 1,118,423 1,118,423 administrative(iv)

CAM(iv) 90,807 138,438 135,403 6,033,064 138,438 138,438

Total operating expense 37,686,437 33,762,230 34,052,024 34,923,691 37,102,395 37,751,573

Capital items ($)

Leasing commissions(v) ------2,579,388 2,397,521

Tenant improvements(v) ------2,901,812 3,368,858

Capital reserves(vi) ------3,298,567 3,596,323

Total capital items ------8,779,768 9,362,702

NCF ($) for capitalization 90,236,010 83,267,000 79,946,436 90,569,072 70,965,389 64,592,841 purposes

Add to NCF ($)(xi) ------

NCF ($) for DSCR purposes ------64,606,489

Capitalization rate (%)(vii) ------8.50%

Additions/subtractions to ------1,068,370 value(viii)

S&P Global Ratings' value($) ------760,984,142

S&P Global Ratings' value ------90 per sq. ft. ($)

See table 3b for notes. TTM—Trailing 12 months.

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Table 4b

Cash Flow Notes

(i) Based on contractual in-place rents per the June 2021 rent roll with rent steps through August 2022.

(ii) Based on the weighted average vacancy of each property; the higher of in-place or market vacancy, subject to a floor of 5.0% for multitenant properties; and 10.0% for single-tenant properties.

(iii) Based on collection data through March 2021.

(iv) Based on the issuer's underwritten figure.

(v) Based on a blended average of 3.7% of effective gross income.

(vi) As detailed in table 4.

(vii) $0.43 per sq. ft.

(viii) The present value of the rent steps for investment grade tenants.

We used the tenant improvement costs, renewal probabilities, and assumed lease terms listed in table 5 to calculate the tenant improvement and leasing costs as part of our net NCF calculations for each tenant type.

Table 5

S&P Global Ratings' Leasing Costs

Anchor Retail Office/Industrial

New LCs (%) 4.0 4.0 4.0

Renew LCs (%) 2.0 2.0 2.0

New TIs ($ per sq. ft.) 7.00 7.00 7.00

Renewal TIs ($ per sq. ft.) 3.50 3.50 3.50

Renewal probability (%) 65.0 65.0 65.0

Assumed lease terms (years) 10.0 10.0 10.0

LCs--Leasing commissions. TIs--Tenant improvements.

Property Evaluation Details

During our property evaluation, we:

- Derived an S&P Global Ratings' NCF and value for the portfolio, based on our review of the property-level operating statements, the issuer's cash flow, and appraisal reports;

- Reviewed the third-party appraisals, environmental reports, engineering reports, and seismic reports; and

- Reviewed the relevant structural matters that we believe were relevant to our analysis.

Scenario Analysis

We performed several 'AAA' stress scenario analyses to determine how sensitive the certificates would be to a downgrade during the loan term.

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Effect of declining rental income

If net rental income declines, it may constrain cash flows available for debt service. Cash flows could decline because of factors such as decreasing rental rates, falling occupancy levels, and increased operating expenses. To analyze the effect of a decline in cash flows on our ratings, we have developed scenarios in which the NCF from the portfolio decreases by 10.00%-40.00% from our current cash flow conclusion, which is 8.98% lower than the issuer's underwritten NCF for the continental portfolio. (See table 6 for the potential effect on our 'AAA' rating under these scenarios, holding constant S&P Global Ratings' weighted average capitalization rate of 8.50%.)

Table 6

Effect Of Declining Rental Income On S&P Global Ratings' Credit Ratings

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

Potential rating migration from AAA AA A+ BBB BB 'AAA'

NCF--Net cash flow.

Transaction-Level Credit Enhancement

To determine a transaction's credit enhancement at each rating level, we use each loan's S&P Global Ratings DSCR and LTV ratio to calculate the stand-alone credit enhancement (SCE) and diversified credit enhancement. However, because this transaction is secured by one loan, its SCE represents the transaction's credit enhancement at each rating level.

Our analysis of a stand-alone transaction is predominantly a recovery-based approach that assumes a loan default. We use the loan's stand-alone LTV thresholds at each rating level to determine the expected principal proceeds that can be recovered at default and are applicable to a loan with a 10-year loan term, a 30-year amortization schedule, and no additional debt (i.e., a benchmark 10/30 loan).

The mortgage loan collateral for this transaction is interest-only for its entire term. To account for this risk, we reduced the LTV thresholds by applying a negative adjustment factor across all rating categories. We also applied a positive LTV threshold adjustment to account for the geographic diversity of the portfolio and the granular balances of the properties.

LIBOR

The certificates issued by CIM Portfolio Trust 2021-CIM contain stated interest at one-month LIBOR plus a fixed margin. While the original deadline for LIBOR cessation was December 2021, the phase-out date is now expected after June 2023 for most U.S. dollar LIBOR maturities, such as the one- and three-month maturities. In 2019, the Federal Reserve's Alternative Reference Rates Committee published recommended guidelines for fallback language in new securitizations, and the language in this transaction is generally consistent with its key principles: trigger events, a list of alternative rates, and a spread adjustment. We will continue to monitor reference rate reform and take into account changes specific to this transaction when appropriate.

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Related Criteria

- Criteria | Structured Finance | General: Global Framework For Payment Structure And Cash Flow Analysis Of Structured Finance Securities, Dec. 22, 2020

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

- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019

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

- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 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: Rating Methodology And Assumptions For U.S. And Canadian CMBS, Sept. 5, 2012

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

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

- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011

- 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 Report Forecasts New Issuance Could Surpass $1 Trillion In 2021, Jan. 11, 2021

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

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

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