Wells Fargo Commercial Mortgage Trust 2021-C59

Presale: Wells Fargo Commercial Mortgage Trust 2021-C59

April 19, 2021

PRIMARY CREDIT ANALYST

Preliminary Ratings Robert F. McFadden III New York Class(i) Preliminary rating Preliminary amount ($) Credit Enhancement (%) + 1 (212) 438-0353 A-1 AAA (sf) 20,628,000 30.000 robert.mcfadden @spglobal.com A-2 AAA (sf) 16,497,000 30.000 SECONDARY CONTACT A-3 AAA (sf) 23,471,000 30.000 Samson Joy A-SB AAA (sf) 24,310,000 30.000 New York A-4(ii) AAA (sf) TBD(iii) 30.000 + 1 (212) 438-3107 samson.joy A-4-1(ii) AAA (sf) 0 30.000 @spglobal.com A-4-2(ii) AAA (sf) 0 30.000

A-4-X1(ii) AAA (sf) 0(iv) N/A

A-4-X2(ii) AAA (sf) 0(iv) N/A

A-5(ii) AAA (sf) TBD(iii) 30.000

A-5-1(ii) AAA (sf) 0 30.000

A-5-2(ii) AAA (sf) 0 30.000

A-5-X1(ii) AAA (sf) 0(iv) N/A

A-5-X2(ii) AAA (sf) 0(iv) N/A

X-A AAA (sf) 553,951,000(iv) N/A

X-B A- (sf) 131,563,000(iv) N/A

A-S(ii) AAA (sf) 54,405,000 23.125

A-S-1(ii) AAA (sf) 0 23.125

A-S-2(ii) AAA (sf) 0 23.125

A-S-X1(ii) AAA (sf) 0(iv) N/A

A-S-X2(ii) AAA (sf) 0(iv) N/A

B(ii) AA (sf) 39,567,000 18.125

B-1(ii) AA (sf) 0 18.125

B-2(ii) AA (sf) 0 18.125

B-X1(ii) AA (sf) 0(iv) N/A

B-X2(ii) AA (sf) 0(iv) N/A

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Preliminary Ratings (cont.)

Class(i) Preliminary rating Preliminary amount ($) Credit Enhancement (%)

C(ii) A- (sf) 37,590,000 13.375

C-1(ii) A- (sf) 0 13.375

C-2(ii) A- (sf) 0 13.375

C-X1(ii) A- (sf) 0(iv) N/A

C-X2(ii) A- (sf) 0(iv) N/A

X-D(v) NR 43,524,000(iv) N/A

X-F(v) NR 20,773,000(iv) N/A

D(v) NR 24,729,000 10.250

E(v) NR 18,795,000 7.875

F(v) NR 20,773,000 5.250

G-RR(vi) NR 8,902,000 4.125

H-RR(vi) NR 32,643,065 0.000

VRR interest(vii) NR 34,699,495 N/A

Note: This presale report is based on information as of April 19, 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 certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii)Any individual class A-4 certificate can be surrendered for either a class A-4-1 certificate and a class A-4-X1 certificate or a class A-4-2 certificate and a class A-4-X2 certificate, any individual class A-5 certificate can be surrendered for either a class A-5-1 certificate and a class A-5-X1 certificate or a class A-5-2 certificate and a class A-5-X2 certificate, any individual class A-S certificate can be surrendered for either a class A-S-1 certificate and a class A-S-X1 certificate or a class A-S-2 certificate and a class A-S-X2 certificate, any individual class B certificate can be surrendered for either a class B-1 certificate and a class B-X1 certificate or a class B-2 certificate and a class B-X2 certificate, and any individual class C certificate can be surrendered for either a class C-1 certificate and a class C-X1 certificate or a class C-2 certificate and a class C-X2 certificate, and vice versa. (iii)The final balances of the class A-4 and A-5 certificates will be determined at final pricing. The certificates in aggregate will have a total balance of $489,607 million, subject to a variance of plus or minus 5.0%. The class A-4 certificates are expected to have a balance between $50.0 million and $489.607 million, and the A-5 certificates are expected to have a balance between $249.607 million and $439.607 million, subject to a variance of plus or minus 5.0%. (iv)Notional balance. The notional amount of the class A-4-X1 and class A-4-X2 will equal the A-4-1 and A-4-2 certificate balances, respectively. The notional amount of the class A-5-X1 and class A-5-X2 certificates will equal the class A-5-1 and class A-5-2 certificate balances, respectively. The notional amount of the X-A certificates will be equal to the aggregate certificate balance of the class A-1, A-2, A-SB, A-3, A-4, and A-5 certificates. The notional amount of the class A-S-X1 and class A-S-X2 certificates will equal the class A-S-1 and class A-S-2 certificate balances, respectively. The notional amount of the class B-X1 and class B-X2 certificates will equal the class B-1 and B-2 certificate balances, respectively. The notional amount of the class C-X1 and class C-X2 certificates will equal the class C-1 and C-2 certificate balances, respectively. The notional amount of the X-B certificates will be equal to the aggregate balance of the class A-S, B, and C certificates. The notional amount of the X-D certificates will be equal to the aggregate balance of the class D and E certificates. The notional amount of the X-F certificates will be equal to the aggregate balance of the class F certificates. (v)Non-offered certificates. (vi)Non-offered horizontal risk retention (HRR) certificates. (vii)Non-offered vertical risk retention (VRR) interest. NR--Not rated. TBD--To be determined. N/A--Not applicable.

Profile

Expected closing May 5, 2021. date

Collateral Sixty-three commercial mortgage loans with an aggregate principal balance of $826.053 million ($715.568 million of offered certificates), secured by the fee and leasehold interests in 99 properties across 28 states.

S&P Global 94.5% (based on S&P Global Ratings' NCF and weighted average capitalization rate of 8.19%). Ratings pooled trust LTV

S&P Global 2.22x (based on S&P Global Ratings' NCF and the actual debt service payable on the mortgage loans). Ratings pooled trust DSC

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Profile (cont.)

S&P Global 9.43% (based on S&P Global Ratings' NCF and the loan balances for the mortgage loans). Ratings pooled trust debt yield

Payment The transaction is structured to comply with risk retention requirements by way of an eligible vertical and structure horizontal residual interest, which includes the class G-RR and H-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-3, A-SB, X-A, X-B, A-4, A-4-X1, A-4-X2, A-5, A-5-X1, A-5-X2, X-D, and X-F certificates, pro rata, based on their respective entitlements to interest for that distribution date, and then to the class A-S, A-S-X1, and A-S-X2 certificates, pro rata, then to the class B, B-X1 and B-X2 certificates, pro rata, then to the class C, C-X1, and C-X2 certificates, pro rata, then class D, then class E, then class F, then class G-RR, and then class H-RR, 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 their balance is reduced to the planned certificate balance for that distribution date, and then sequentially to the class A-1, A-2, A-3, A-SB, A-4, A-5, A-S, B, C, D, E, F, G-RR, and H-RR certificates until each class' balance is reduced to zero. If the class A-S through H-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-3, A-SB, A-4, and A-5 certificates, pro rata, based on each class' certificate balance. Principal distributions applied to the class A-4, A-5, A-S, B, or C certificates will be allocated to the corresponding classes of exchangeable certificates pro rata. Losses will be allocated to each class of certificates in reverse alphabetical order starting with the class H-RR certificates through and including the class A-S certificates, and then to the class A-1, A-2, A-SB, A-3, A-4, and A-5 certificates, pro rata, based on each class' certificate balance. Any realized losses applied to the class A-3, A-4, A-S, B, or C certificates will be allocated to the corresponding classes of exchangeable certificates pro rata.

Depositor Wells Fargo Commercial Mortgage Securities Inc.

Mortgage loan Wells Fargo Bank N.A., Barclays Capital Real Estate Inc., LMF Commercial LLC, BSPRT CMBS Finance sellers and LLC, Argentic Real Estate Finance LLC, and UBS AG. sponsors

Master servicer Wells Fargo Bank N.A.

Special servicer Argentic Services Company L.P.

Trustee Wilmington Trust N.A.

Certificate Wells Fargo Bank N.A. administrator

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

Rationale

The preliminary ratings assigned to the Wells Fargo Commercial Mortgage Trust 2021-C59'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 2.22x and beginning and ending loan-to-value (LTV) ratios of 94.5% and 88.2%, respectively, based on our values.

S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave

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the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic (see our research at www.spglobal.com/ratings). As the situation evolves, we will update our assumptions and estimates accordingly.

Transaction Overview

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

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Strengths

The transaction exhibits the following strengths:

- The transaction has a high weighted average S&P Global Ratings' DSC of 2.22x based on actual debt service and, for the partial-term interest-only loans, the debt service due when the interest-only period expires. Nevertheless, the prevailing low interest rate environment influences this DSC, and any increase in interest rates could affect the loans' ability to refinance at maturity. Our DSCs for the pool range from 1.05x-7.54x.

- The transaction is well-diversified by loan balance, with an effective loan count (as measured by the Herfindahl-Hirschman Index) of 32.8. The 10 largest loans represent 45.0% 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.

- The pool is geographically diverse, with 99 properties spread across 28 states. The largest concentration is in California (nine properties, 17.1% of the pooled trust balance), followed by Pennsylvania (four properties, 10.9%) and Michigan (16 properties, 10.1%). No other state accounts for more than 8.3% 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 Philadelphia, New York, and Detroit. Of the pooled trust balance, 48.2% is located in primary markets (as defined by S&P Global Ratings) and 30.8% in secondary markets. The remaining properties (21.1%) are located in tertiary markets.

- The loan pool has a relatively diverse mix of property types. Of the pooled trust balance, 34.9% is backed by office properties, 16.3% by retail properties, 15.7% by industrial properties, 13% by multifamily properties, 6.9% by lodging properties, 2% by manufactured housing, and 11.2% by other property types.

- All of the loans (100.0% of the pooled trust balance) have borrowers that are structured as special-purpose entities (SPEs). Fifteen loans (53.7%) provided lenders with nonconsolidation opinions, including nine of the top 10 loans. Nineteen loans (49.5%) have borrowers that are structured with at least one independent director.

- Twenty-six of the loans (57.8% of the pooled trust balance) have some form of lockbox: Four loans (7.0%) are structured with a hard lockbox and upfront cash management, 20 loans (46.8%) with a hard lockbox and springing cash management, and two loans (4.0%) have a soft lockbox with springing cash management, and 37 loans (42.2%) have no lockbox provisions and springing cash management.

- Twenty loans (29.9% 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 54.5%, reflecting average equity contribution of 45.5% for these loans.

- Fourteen loans (22.2% of the pooled trust balance) are secured by multiple properties, ranging from two to eight 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, two of the loans (4.72%) allow for property

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releases, subject to various conditions, which may reduce the diversity benefit from these loans.

Risk Considerations

We considered these risks when analyzing this transaction:

- U.S. CMBS delinquencies may increase in the coming months due to the economic slowdown resulting from the COVID-19 pandemic and the associated containment efforts, including social distancing, restrictions on travel, and government-mandated closures of certain businesses. Many lodging assets are closed or operating at very low occupancy levels, and certain tenants within retail assets have stopped paying rent or requested rent relief due to closure or demand reductions. The COVID-19 pandemic and the responses to it have led to an increase in unemployment levels and a reduction in consumer spending, which are expected to also adversely impact multifamily, office, self-storage, and industrial properties. Multifamily and self-storage properties may be negatively impacted if unemployment rates rise and disposable income levels fall, or if there is a moratorium on evictions. Office properties may experience fluctuations in occupancy as businesses adjust their plans in response to government actions or if employers permit enhanced flexible work arrangements. This transaction's exposure to lodging is limited with three loans totaling 6.9% of the pool, the biggest of which is the MGM Grand & Mandalay Bay loan comprising 4.4% of the pool. The trust's exposure to retail is through 15 loans accounting for 16.3% of the pooled trust balance. The largest retail loan is Burke Town Center (2.7%), a shadow-anchored property located in Burke, Va. According to the issuer, all of the loans in the transaction, whose first payment date has already occurred, are current on their debt service obligations. In some cases, borrowers are in discussion with tenants that have requested lease modifications or rent relief. We selectively increased our vacancy and/or capitalization rate assumptions on certain properties that we deemed to have a higher risk for cash flow disruption.

- Depending on the duration and severity of the current pandemic, it is possible that some borrowers may seek forbearance arrangements due to financial hardship. The pooling and servicing agreement (PSA) permits the special servicer to enter into COVID-19 modification agreements with borrowers experiencing financial hardship due directly or indirectly to the COVID-19 pandemic. Modification agreements can provide for temporary forbearance or temporary alternative use of reserve or escrow funds for purposes other than those set forth in the loan agreement. We believe the transaction's servicer advancing mechanism will provide short-term liquidity support in the event that there are loan-level debt service shortfalls.

- The transaction has high leverage, with a weighted average LTV ratio of 94.5% 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-eight loans (59.2% of the pooled trust balance) are interest-only for their entire loan terms, including eight of the top 10 loans (38.3%). The interest-only loans have a high weighted average S&P Global Ratings LTV ratio of 90.6%, and 12 of those loans (23.5% of the pooled trust balance) have LTV ratios over 100%. Fourteen loans (13.0%) have a partial interest-only period, and 21 loans in the pool (27.8%) are structured as amortizing loans. The transaction is scheduled to amortize 6.8% through maturity. S&P Global Ratings considered loan amortization characteristics when assigning credit enhancement levels to the individual loans and the transaction.

- Fifteen loans (16.3% of the pooled trust balance) are secured by retail assets. The U.S. retail

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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. Ten of the 15 retail loans (10.4% of the pooled trust balance) are secured by a property located in a tertiary location and two of the loans are considered unanchored retail loans (1.6%).

- Three loans (6.9% of the pooled trust balance) are secured by lodging assets. S&P Global Ratings considers lodging properties among the riskiest property types because their pricing structure changes daily, they have a significant underlying operating business, and they have a higher expense ratio relative to other property types. The lodging properties in this transaction have a low S&P Global Ratings weighted average LTV ratio of 55.5%.

- Twenty-eight properties (22.3% of the pooled trust balance) are leased to a single tenant. The largest of these is Amazon @ Atlas (5.9%), a Seattle office property, which is 100.0% leased to Amazon.com Services LLC through April 2029. The other 27 properties account for 16.4% of the pool balance.

- Eleven loans (28.4% 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.

- Six loans in the pool (17.6% of the pooled trust balance) have a pari passu component; one loan (4.4%) has a subordinated first-mortgage loan component in addition to senior trust and pari passu loan components (which were securitized in a separate stand-alone transaction); one loan (1.9%) has mezzanine debt; and two loans (8.0%) permit the borrower to incur future mezzanine debt.

- The transaction documents include provisions for the transaction parties to seek rating agency confirmation (RAC) that certain actions will not result in a downgrade or withdrawal of the then-current ratings on the securities. The definition of RAC in the transaction documents includes an option for the transaction parties to deem their RAC request satisfied if, after having delivered a RAC request, the transaction parties have not received a response to the request within a certain period of time. We believe it is possible for a situation to arise where an action subject to 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 63 loans that are secured by first-mortgage liens on the fee interests in 99 properties. The top five and 10 loan concentrations represent 28.0% and 45.0% of the pooled trust balance, respectively (see table 10 for a detailed description of the 10 largest loans in the pool).

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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 industrial, which accounts for 15.7% (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 10 285.6 34.6 95.1 2.45

Industrial 9 129.9 15.7 105.5 1.50

Multifamily 11 107.3 13.0 93.4 1.82

Retail anchored 5 74.1 9.0 85.7 2.03

Lodging 3 56.8 6.9 55.5 5.61

Mixed-use 4 54.3 6.6 108.6 1.28

Single Tenant - non 8 48.1 5.8 100.7 1.78 IG

Self storage 7 38.0 4.6 102.3 1.53

Manufactured 3 16.3 2.0 100.9 1.90 housing

Retail unanchored 2 12.8 1.6 85.5 2.07

Medical office 1 2.9 0.3 104.9 1.89

Total 63 826.1 100.0 94.5 2.22

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

Geographic distribution

The pool consists of properties that are located in 28 states. Of these properties, 38.0% (by pooled trust balance) are located in three states: California, Pennsylvania, and Michigan. The top five states represent 52.2% 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 140.9 9 82.6 7.5 10.0

Pennsylvania 89.6 4 85.0 13.9 1.1

Michigan 83.4 16 -- 85.0 15.0

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Table 2

Geographic Concentrations (cont.)

Market type (%)

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

New York 68.6 7 96.8 -- 3.2

Washington 48.4 1 100.0 -- --

Virginia 40.5 4 92.5 4.3 3.2

Florida 37.4 6 7.0 70.8 22.2

Arizona 37.3 3 -- 79.8 20.2

Nevada 36.5 2 -- 100.0 --

Maryland 34.9 3 45.7 48.0 6.3

Other states - 18 208.5 44 16.5 23.5 59.9

Total 826.1 99 48.2 30.8 21.1

Borrower concentration

The largest borrower sponsors in the pool are Crown Two Penn Center Associates L.P. (one loan; 8.2% of the pooled trust balance) and GI TC Lake Union LLC (one loan; 5.9%).

Single-tenant properties

Twenty-eight properties (22.3% of the pooled trust balance) within 13 loans are leased to a single tenant. Fifteen of the 28 properties (8.0%) have lease terms that exceed the loan maturity date while the remainder of the properties have leases that expire before the loan matures (see table 3).

Table 3

Single-Tenant Properties

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

Amazon @ Atlas Amazon.com AA-/Stable 48.4 5.9 4/30/2029 Services LLC

Magna Seating HQ Magna Seating NR 37.7 4.6 11/30/2034

Consumer Cellular Consumer B-/Stable 27.5 3.3 5/31/2029 Cellular Inc.

Detroit Chassis Detroit Chassis NR 9.0 1.1 12/10/2032 LLC

Walgreens Bayamón Walgreen Co. BBB/Negative 7.7 0.9 8/31/2040

Walgreens-Santa Fe Walgreen Co. BBB/Negative 5.8 0.7 12/31/2035

Walgreens-Burbank Walgreen Co. BBB/Negative 5.4 0.7 1/31/2088

Walgreens-Morehead City Walgreen Co. BBB/Negative 4.4 0.5 12/31/2035

Walgreens-Coralville Walgreen Co. BBB/Negative 4.4 0.5 1/31/2036

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Table 3

Single-Tenant Properties (cont.)

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

Tramec Sloan Industrial Tramec Sloan NR 3.4 0.4 1/31/2026 Building

Coffeyville Array B+/Positive 3.1 0.4 12/31/2022 Technologies Inc.

Walgreens-Germantown Walgreen Co. BBB/Negative 3.1 0.4 11/30/2035

Davita - Lakeport DaVita Inc. BB/Negative 2.9 0.3 7/31/2034

CVS Highland CVS Health Corp. BBB/Stable 2.8 0.3 2/28/2041

15000 North Commerce Detroit Classic NR 2.5 0.3 6/30/2023 Drive Partners

CVS Raytown CVS Health Corp. BBB/Stable 2.4 0.3 2/28/2041

Walgreens Ironton Walgreen Co. BBB/Negative 1.8 0.2 5/31/2030

Rite Aid Holt Rite Aid Corp. CCC+/Stable 1.8 0.2 5/31/2030

Walgreens Ashland Walgreen Co. BBB/Negative 1.7 0.2 2/28/2026

15301 Century Drive Rhombus Energy NR 1.6 0.2 3/31/2025 Solutions

Walgreens Stuarts Draft Walgreen Co. BBB/Negative 1.3 0.2 9/30/2060

Dollar General Port Dollar General BBB/Stable 1.2 0.1 12/31/2035 Wentworth Corp.

Walgreens Clay Walgreen Co. BBB/Negative 1.2 0.1 5/31/2060

Walgreens Louisville Walgreen Co. BBB/Negative 1.1 0.1 5/31/2070

Rite Aid Fremont Rite Aid Corp. CCC+/Stable 1.0 0.1 5/31/2030

Rite Aid New Baltimore Rite Aid Corp. CCC+/Stable 1.0 0.1 5/31/2025

15050 North Commerce Vacant N/A 0.0 0.0 N/A Drive

15300 Rotunda Drive Cayman NR 0.0 0.0 6/30/2023 Dynamics

Total -- -- 184.4 22.3 --

NR--Not rated.

Loan Characteristics

Loan type, origination date, term, and amortization

All of the loans in the pool pay a fixed interest rate and were originated between December 2019 and April 2021. The weighted average loan interest rate is 3.97%.

The original loan terms range from 60 to 120 months, with a weighted average original loan term of 117.6 months. The weighted average remaining loan term is 114.9 months.

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Twenty-eight Loans (59.2% of the pooled trust balance) are interest-only for the entire term, of which two loans (5.1%) are interest-only followed by an anticipated repayment date (ARD), and 14 (13.0% of pooled trust balance) 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. Twenty-one loans (27.8%) have no interest-only periods, and they amortize on a 300-, 330-, or 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

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

Interest-only 28 59.2 2.75 90.60

Partial interest-only 14 13.0 1.36 101.20

Amortizing balloon 21 27.8 1.50 99.60

Fully amortizing ------

DSC--Debt service coverage. LTV--Loan to value. ARD--Anticipated repayment date. N/A--Not applicable.

Subordinated debt

Six loans in the pool (17.6% of the pooled trust balance) have a pari passu component (see table 5); one loan (4.4%) has a junior trust note; and one loan (1.9%) has mezzanine debt. In addition, two loans (8.0%) permit the borrower to incur future mezzanine debt.

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 Property $) trust balance $) note (mil. $) $) balance (mil. $) (mil. $)

MGM Grand & 36.5 4.4 1597.7 1365.8 -- -- 3000.0 Mandalay Bay

Seacrest Homes 30.0 3.6 18.0 ------48.0

Phoenix 29.8 3.6 64.5 ------94.3 Industrial Portfolio V

Seaport Homes 18.0 2.2 14.0 ------32.0

Southeast G6 16.0 1.9 ------3.0 19.0 Portfolio

Crescent 15.9 1.9 31.9 ------47.8 Gateway

Herndon Square 15.5 1.9 15.0 ------30.5

Cross-collateralized and portfolio loans

Fourteen loans (22.2% of the pooled trust balance) are secured by portfolios with multiple

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properties. They include MGM Grand & Mandalay Bay (4.4%; two high-end casinos in Las Vegas), Phoenix Industrial Portfolio V (3.6%; four industrial properties), and Metairie MOB Portfolio (3.1%; two medical office and retail properties), among others. 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 were completed within the past 12 months (see table 6).

Twelve properties (24.2% of the pooled trust balance) have completed a seismic report, and the loan with the highest overall probable maximum loss (PML) of 19.0% is Haight & Fillmore Apartments (0.8%). The remaining properties had PMLs of 18.0% or lower.

Table 6

Third-Party Review

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

Appraisal review within the past 12 months 99 100.0

Environmental review within the past 12 months 99 100.0

Engineering review within the past 12 months 99 100.0

Seismic review for properties in zones 3 or 4 12 24.2

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 42 of the 63 loans in the pool (86.3% of the pooled trust balance). For the remaining loans, we extrapolated NCF haircuts according to property type and selected capitalization rates for each property. We excluded certain outlier loans from our extrapolation calculation. (See Appendix I for S&P Global Ratings' NCF variance applied to each loan in the transaction.)

- We conducted site inspections for 12 properties across 10 loans (26.5% 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

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transaction, and we performed a loan-level structural analysis for the 10 largest loans in the pool.

S&P Global Ratings' NCF variance

S&P Global Ratings' property-level cash flow analysis derives what it believes to be a property's long-term sustainable NCF. In our analysis, we considered issuer-provided projections, historical and projected operating statements, third-party appraisal reports, relevant market data, and assessments of the various properties' competitive positions. On a pool-wide basis, our weighted average NCF was 11.0% lower than the issuer's underwritten NCF. (See Appendix I for S&P Global Ratings' NCF variance for each loan.)

S&P Global Ratings' DSC

We calculated the pool's 2.22x DSC using the respective loans' contract interest rate and the S&P Global Ratings NCF (see table 7).

Table 7

S&P Global Ratings' DSC Range

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

Less than 1.00 ------

1.00–1.10 1 6.2 0.8

1.10–1.20 ------

1.20–1.30 12 161.7 19.6

1.30–1.40 6 40.2 4.9

1.40–1.50 5 35.6 4.3

1.50–1.60 9 118.8 14.4

1.60–1.70 4 37.7 4.6

1.70–1.80 1 11.6 1.4

1.80–1.90 6 32.5 3.9

1.90–2.00 1 6.5 0.8

Greater than 2.00 18 375.2 45.4

DSC--Debt service coverage.

S&P Global Ratings' LTV

Based on our analysis, S&P Global Ratings' weighted average beginning LTV ratio is 94.5% and its ending LTV ratio is 88.2%, which reflects the 8.19% weighted average S&P Global Ratings capitalization rate (see table 8).

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Table 8

S&P Global Ratings' LTV Ratios(i)

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

Less than 50 1 36.5 4.4

50–55 ------

55–60 ------

60–65 ------

65–70 2 28.0 3.4

70–75 2 51.0 6.2

75–80 1 18.0 2.2

80–85 5 35.3 4.3

85–90 8 130.4 15.8

90–95 6 49.9 6.0

95–100 13 121.3 14.7

100–105 8 99.5 12.0

105–110 8 108.5 13.1

Greater than 110 9 147.5 17.9

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

Office 34.6 2.45 (12.0) 8.06 95.1 200

Industrial 15.7 1.50 (14.8) 7.93 105.5 83

Multifamily 13.0 1.82 (7.1) 7.30 93.4 187,107

Retail anchored 9.0 2.03 (6.7) 8.19 85.7 228

Lodging 6.9 5.61 (12.6) 11.16 55.5 274,389

Mixed-use 6.6 1.28 (10.0) 7.85 108.6 406

Single tenant - non IG 5.8 1.78 (9.5) 8.29 100.7 282

Self storage 4.6 1.53 (15.0) 8.30 102.3 3,133

Manufactured housing 2.0 1.90 (5.6) 8.08 100.9 47,714

Retail unanchored 1.6 2.07 (7.0) 8.52 85.5 303

Medical office 0.3 1.89 (11.9) 9.00 104.9 247

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Table 9

Cash Flow Analysis And Valuation (cont.)

Total/weighted 100.0 2.22 (11.0) 8.19 94.5 -- average

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

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

Table 10 summarizes S&P Global Ratings' NCF and valuation assessment of the top 10 loans. We provide individual analyses of these loans in the Top 10 Loans section below.

Table 10

Top 10 Loans

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

Two Penn Center Office 8.2 2.99 (10.4) 8.50 86.3 152

Amazon @ Atlas Office 5.9 3.89 (21.1) 7.50 74.4 382

Tri-State Distribution Industrial 5.0 1.26 (11.6) 7.00 116.8 141 Center

Magna Seating HQ Office 4.6 2.09 (8.9) 7.71 104.8 200

MGM Grand & Lodging 4.4 7.54 (8.7) 11.25 41.5 404,024 Mandalay Bay

Seacrest Homes Multifamily 3.6 2.22 (0.1) 6.75 86.2 316,254

Phoenix Industrial Industrial 3.6 1.60 (19.1) 9.25 105.7 20 Portfolio V

Consumer Cellular Office 3.3 1.55 (12.5) 7.75 109.9 153

160 Pine Street Office 3.3 2.13 (1.5) 7.75 113.0 273

Metairie MOB Portfolio Mixed-use 3.1 1.21 (11.1) 8.32 117.8 253

Total/weighted -- 45.0 2.81 (11.0) 8.19 93.0 -- average

Table 11 summarizes S&P Global Ratings' NCF and valuation assessment of loans 11-20. For these loans, our weighted average NCF is 11.3% lower than the issuer's underwritten NCF. S&P Global Ratings' weighted average beginning LTV ratio is 94.2% for these loans, and we calculated a 1.85x DSC using the respective loans' contract interest rates and S&P Global Ratings' NCF.

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Factors that contributed to NCF variances over 7.0%, positive NCF variances, or high S&P Global Ratings LTV ratios over 90.0% are outlined in table 12. (See Appendix I for S&P Global Ratings' NCF variance, LTV ratio, and DSC ratio for all of the loans in the transaction.)

Table 11

Loans 11-20

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

The Ratner Office 3.0 2.02 (18.0) 7.50 95.7 174 Vacancy, reimbursements, and TI/LCs

Burke Town Center Retail 2.7 1.20 (9.8) 7.50 100.0 575 Vacancy, mgmt. anchored fee, TI/LCs, and CapEx

Southridge Center Retail 2.5 3.00 (6.4) 8.25 67.8 61 Vacancy, mgmt. Anchored fee, and CapEx

8800 Baymeadows Office 2.2 1.52 (7.3) 9.00 97.9 84 Mgmt. fee, TI/LCs, and CapEx

Seaport Homes Multifamily 2.2 2.54 (3.1) 6.75 79.2 297,057 Vacancy, mgmt. fee, and CapEx

2209 Sulphur Industrial 2.0 1.66 (14.2) 7.75 111.0 48 Applied an Spring Road extrapolated haircut

Southeast G6 Lodging 1.9 2.22 (19.8) 11.00 80.5 33,308 Expenses and Portfolio FF&E

Crescent Gateway Mixed-use 1.9 1.28 (9.8) 7.50 108.4 304 GPR, expenses, and CapEx

Herndon Square Office 1.9 1.51 (12.8) 9.25 110.8 104 Vacancy, R&M, and mgmt. fee

Aspen Court Multifamily 1.7 1.23 (11.2) 7.75 96.5 44,985 Base rent and Apartments CapEx

Total/weighted -- 22.0 1.85 (11.3) 8.16 94.2 -- 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. Mgmt.—Management. CapEx--Capital expenditure. TI/LC--Tenant improvements and leasing. commissions. FF&E--Furniture, fixtures, or other equipment. GPR--Gross potential rent. [correct?] R&M—Repairs and maintenance. N/A--Not applicable.

Loan-level credit enhancement

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

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Pool diversity

Overall transaction credit enhancement levels at each rating category are directly affected by the loan pool's diversity, a function of the transaction's effective loan count. The effective loan count, which is measured by the Herfindahl-Hirschman Index, accounts for the relative size of the loans in the pool by normalizing a transaction's loan count to account for unevenly sized loans. This transaction has an effective loan count of 32.8, which we consider to be well diversified, resulting in a concentration coefficient of 82.0%.

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 (48.2%) and secondary markets (30.8%).

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.

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

Scenario Analysis

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

Effect of declining NCF

A decline in NCF may constrain cash flows available for debt service. A decline in cash flows may occur due to falling rental rates and occupancy levels, changes to operating expenses, or other factors that may decrease a property's net income. To analyze the effect of a decline in cash flows on our ratings, we have developed scenarios whereby the NCF from the portfolio decreases by 10%-40% from our current cash flow, which is 11.0% 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 8.19%.)

Table 12

Effect Of Declining NCF On S&P Global Ratings

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

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

NCF--Net cash flow.

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TOP 10 LOANS

1. Two Penn Center

Table 13

Credit Profile

Loan no. 1 Property type Office

Loan name Two Penn Center Subproperty type CBD

Pooled trust loan balance ($) 67,900,000 Property sq. ft./no. of units 516,108

% of total pooled trust balance (%) 8.2 Year built/renovated 1956/1987

City Philadelphia Sponsor Alex Schwartz

State PA 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 ($) 6,740,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF variance (10.38) S&P Global Ratings' subordinate debt N/A (%) adjustment

S&P Global Ratings' cap rate (%) 8.50 S&P Global Ratings' LTV (%) 86.3

S&P Global Ratings' value (mil. $) 78.7 S&P Global Ratings' DSC (x) 2.99

S&P Global Ratings' value variance (33.7) 'AAA' SCE (%) 47.9 (%)

S&P Global Ratings' value per sq. 152 'AAA' DCE (%) 10.9 ft./unit ($)

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

Strengths and concerns

The loan exhibits the following strengths:

- The pooled trust loan has a strong DSC of 2.99x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 10.4% lower than the issuer's NCF.

- The loan is secured by the fee-simple interest in Two Penn Center, a class B, 516,108-sq.-ft., 20-story office building located in the Center City neighborhood of Philadelphia. The property is sandwiched between Dilworth Park and Love Park, right across from Philadelphia City Hall and within walking distance of Rittenhouse Square, the Philadelphia Convention Center, and multiple hotels, historic sites, and retail establishments.

- The property is well-located for commutes by rail or private automobile. Its concourse level is directly accessible from Suburban Station, the primary commuting hub for Southeastern Pennsylvania Transit Authority (SEPTA), and features a direct connection to 15th Station, the busiest station on the Market-Frankford Line. The 800-space Love Park Garage is also directly accessible from the building underground.

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- The sponsor acquired the property in 2012 for $66.5 million ($128.85 per sq. ft.) and spent $6.5 million ($12.66 per sq. ft.) modernizing the freight elevator system, replacing the HVAC system, and renovating the common areas, among other tasks. Through these efforts, and an additional $10.0 million ($19.38 per sq. ft.) in tenant improvements and leasing commissions (TI/LCs), the sponsor was able to raise occupancy from 75.0% upon acquisition to 90.0% by the first quarter of 2020.

- The property benefits from a granular rent roll of approximately 138 tenants. The three largest tenants include: Philadelphia Municipal Authority (6.9% of NRA; 6.6% of in-place base rent as calculated by S&P Global Ratings; November 2027 expiration), GSA – Federal Government (5.0%; 5.5%; May 2024), and Silvers & Langsam (2.4%; 2.2%; February 2028). The remaining 135 tenants are individually no more than 1.6% of the in-place base rent.

- The loan is structured with a hard lockbox and springing cash management, which allows the borrower to control funds until a DSC ratio of 1.20x is breached or an event of default has occurred. At that point, the borrower will be required to maintain monthly tax and insurance escrows, and replacement reserves. Additionally, TI/LC deposits and remaining cashflow will be held as additional collateral for the loan. During a cash sweep event, all excess cash flow will be deposited into a lender-controlled account.

- We visited the property on March 22, 2021, and found it to be well-maintained and of similar quality to typical class B Philadelphia office buildings. We toured multiple floors and suites, including the retail concourse that connects directly to Suburban Station. The building's upper floors provide expansive views of both Love Park and Dilworth Park.

- The loan benefits from Alex Schwartz's experienced sponsorship. Mr. Schwartz is the founder and owner of ASI Management, one of the largest owners of Center City office space with over 2.6 million sq. ftof commercial real estate in Philadelphia, Miami, and New York City, valued at approximately $600.0 million. Mr. Schwartz has over 25years of experience and has a reported net worth in excess of $80.0 million.

The loan exhibits the following concerns and mitigating factors:

- The pooled trust loan has moderately high leverage with a 86.3% LTV ratio, based on S&P Global Ratings' valuation. Our long-term sustainable value estimate is 33.7% lower than the appraiser's as-is valuation.

- The loan is interest-only for its entire 10-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. To account for this lack of amortization, we applied negative LTV threshold adjustments across the capital structure.

- The loan is a refinancing and the loan proceeds were used to pay off existing debt ($44.0 million), pay off closing costs ($0.8 million), fund upfront reserves including TI/LCs and a concourse and delinquent tenant reserves ($1.9 million), and return $21.2 million (31.2% of the financing) of equity to the sponsor. Based on the sponsor's cost basis of $83.0 million, $18.0 million of cash equity will remain in the portfolio at closing. The sponsor acquired the property for approximately $66.5 million ($128.85 per sq. ft.) in October 2012.

- Although the property is located in Philadelphia, which we consider a primary market, the submarket vacancy rate is nearly 10.0%. According to CoStar, the property is located in the Market Street West submarket, which has vacancy and availability rates of 9.8% and 14.0% respectively, and asking rents of $33.63 per sq. ft. as of first-quarter 2021. This compares to the property's vacancy of 15.8% and base rent of $27.58 per sq. ft. as calculated by S&P Global

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Ratings. The property's vacancy rate was 7.0% as of first-quarter 2020 but has increased due to the COVID-19 pandemic and a shift toward work-from-home arrangements. We accounted for this risk by applying a vacancy of 18.0% to our underwriting. Since acquisition by the sponsor in 2012, occupancy has averaged 90.8% according to CoStar.

- The property's retail concourse tenants have been extremely disadvantaged by the pandemic. As of January 2021, SEPTA ridership had fallen 85% from pre-pandemic levels according to the agency. This has resulted in a major loss of foot traffic through the retail concourse with many tenants unable to pay rent. Fifteen tenants (3.1% of NRA; 4.3% of in-place base rent) have received abated rents. However, there are no formal agreements regarding the abatements with the sponsor, who has indicated he will likely forgive past due rents. Six tenants are also delinquent. The sponsor has reserved one year of rent and reimbursements ($1.1 million; 2.0% of total financing) in a reserve for both retail concourse and delinquent tenants. We have accounted for this risk in our underwritten vacancy rate of 18.0%.

- The property faces considerable tenant rollover, with 97.6% of leased NRA and 95.9% of in-place base rent, as calculated by S&P Global Ratings, expiring during the loan term. The rollover is concentrated in 2024 (14.4%; 18.0%) and 2027 (9.6%; 16.5%). In addition, since the onset of the COVID-19 pandemic, businesses have been reimagining their office requirements, with some requesting month-to-month arrangements, downsizing, terminating leases, or not renewing all together. The rollover risk is partially mitigated by the granularity of the rent roll (over 138 tenants), with no tenant representing more than 6.9% of NRA and 6.6% of in-place base rent. In addition, the loan is structured with a $0.5 million upfront general TI/LC reserve and ongoing TI/LC reserve of $1.00 per sq. ft. ($516,108) per year, capped at 1.5 million. We assumed an overall vacancy rate of 18.0% and a stressed cap rate of 8.50% in our derivation of long-term sustainable NCF to account for the rollover risk.

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

- As of April 12, 2021, Two Penn Center is open and operating; however, most of the office tenants are working remotely. Approximately 88.3% of tenants by underwritten base rent and 72.4% of tenants by NRA paid full rent in February. Approximately 87.1% of tenants by underwritten base rent and 71.5% of tenants by NRA paid full rent in March. Six tenants totaling 7.2% of NRA received formal rent relief. Additionally, there are 15 ground floor retail and concourse retail tenants, totaling 3.1% of NRA, that currently have abated rent. There is no formal agreement with the Two Penn Center borrower for these spaces; however, the borrower has indicated they will forgive the past due rent.

2. Amazon @ Atlas

Table 14

Credit Profile

Loan no. 2 Property type Office

Loan name Amazon @ Atlas Subproperty type CBD

Pooled trust loan balance ($) 48,400,000 Property sq. ft./no. of units 170,331

% of total pooled trust balance (%) 5.9 Year built/renovated 1971/2018

City Seattle Sponsor TechCore LLC

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Table 14

Credit Profile (cont.)

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

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

S&P Global Ratings' NCF ($) 4,590,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF variance (21.09) S&P Global Ratings' subordinate debt N/A (%) adjustment

S&P Global Ratings' cap rate (%) 7.50 S&P Global Ratings' LTV (%) 74.4

S&P Global Ratings' value (mil. $) 65.1 S&P Global Ratings' DSC (x) 3.89

S&P Global Ratings' value variance (46.2) 'AAA' SCE (%) 42.2 (%)

S&P Global Ratings' value per sq. 382 'AAA' DCE (%) 8.3 ft./unit ($)

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

Strengths and concerns

The loan exhibits the following strengths:

- The pooled trust loan has low leverage with a 74.4% LTV ratio, based on S&P Global Ratings' valuation. The LTV ratio based on the appraiser's valuation is 40.0%. Our estimate of long-term sustainable value is 46.2% lower than the appraiser's valuation.

- The pooled trust loan has a strong DSC of 3.89x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 21.1% lower than the issuer's NCF.

- The loan is secured by the fee-simple interest in Amazon @ Atlas, a 170,331-sf.-ft. class A office building, and in the attached parking garage located in Seattle. The property is 100% occupied by the research and development (R&D) arm of Amazon Fulfillment, a subsidiary of Amazon.com Inc. (Amazon; 'AA-'). The property is currently being used to design, build, and test drone robots for last-mile home delivery, and the interior of the building is built to the tenant's specifications. The office portion of the collateral comprises 158,433 sq. ft. of rentable space (93.0% of rentable space) and features an open floor plan with cubicles around the floor's perimeter, and common areas throughout the space. There is also a specialized R&D lab space that is separate from the typical office space. The remaining portion of the NRA comprises 11,898 sq. ft. of storage space (7.0% of rentable space).

- The property is currently 100% leased to Amazon, a strong investment-grade tenant, through April 2029. Amazon is a technology company based in Seattle that focuses on e-commerce, cloud computing, digital streaming, and artificial intelligence. Amazon pays a base rent of $27.81 per sq. ft. across different types of space including lower floors, upper floors, and storage. Lower and upper floor spaces are subject to annual escalations of $1.00 per sq. ft. per year every September. Reimbursements are paid on a NNN basis. The tenant has two five-year renewal options that must be exercised by giving at least 13 months' prior written notice and has no termination or conditional termination options.

- The property is located in a primary market. Primary markets generally have higher barriers to

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entry than secondary and tertiary markets. The property is located within the Lake Union submarket, according to CoStar. The submarket reported a total inventory of 15.7 million sq. ft. in first-quarter 2021. According to CoStar, Amazon occupied approximately 4.5 million sq. ft. in Lake Union, but its future concentration will be focused in Bellevue, Wash., as the company has been targeted by recent city taxes aimed at large corporations. According to CoStar, the Lake Union submarket had a vacancy rate of 4.7%, with gross asking rents of $44.88 per sq. ft. as of first-quarter 2021. This compares with an in-place gross rent of $42.98 as calculated by S&P Global Ratings. To account for the single-tenant nature of the subject property as well as the high concentration of Amazon leases within the submarket, we applied a 10.0% vacancy rate in our analysis.

- The property was constructed in 1981 and designed as a built-to-suit facility for PEMCO Insurance. The company vacated in 2015, and the building was sold to UPI Eastlake & Thomas LLC for $52.0 million ($305.28 per sq. ft.). The new sponsor subsequently undertook a $10.0 million ($58.71 per sq. ft.) renovation and leased the property to Amazon starting in September 2018. Western Office Portfolio Property Owner LLC purchased the property from UPI Eastlake & Thomas for a recorded purchase price of $116.0 million ($680.94 per sq. ft.) on Jan. 16, 2019. Nearly two years later, the property was purchased by the current sponsor at a purchase price of $121.0 million ($763.94 per sq. ft.) on Dec. 21, 2020.

- The loan proceeds financed the sponsor's acquisition of the property and the sponsor contributed $72.6 million of equity as part of the $121.0 million all-in acquisition costs (60.0% of the acquisition costs).

- The loan benefits from the experienced sponsorship of GI Partners and CalPERS, who control the borrowing entity, and GI TC Lake Union LLC. GI Partners is a middle-market private equity firm based in San Francisco. TechCore LLC is a subsidiary of GI Partners and serves as the sponsor for the loan. TechCore is an investment vehicle actively investing in data centers, carrier hotels, corporate campuses for technology tenants, and life-science properties.

- The 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 DSC ratio of 2.75x is breached for one quarter; or one of the major tenants has terminated or elected to terminate its space, declared bankruptcy, defaulted, been downgraded below investment grade, or reduced its square footage beyond certain minimum thresholds. At that point, the borrower will be required to maintain monthly tax and insurance escrows. Replacement and TI/LC reserves are not required at any time. During a cash sweep event, all excess cash flow will be deposited into a lender-controlled account.

The loan exhibits the following concerns and mitigating factors:

- The loan is interest-only for its entire 10-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.

- The property is exposed to single-tenant risk. Amazon is the sole tenant at the property and occupies 100.0% of the NRA with a lease expiration date of April 2029. To mitigate this risk, the loan is structured with a lease sweep period, which will commence 10 months prior to Amazon's lease expiration in the event that the tenant fails to renew. The lease sweep is capped at $5.19 million ($30.0 per sq. ft.). This compares with the market standard tenant improvement allowance of $60.0 per sq. ft. cited in the appraisal. To account for the risk of re-tenanting the property during the loan term as well as some limitations in the re-use of the

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space (it is currently outfitted for R&D), we applied a 10.0% vacancy rate in our analysis.

- Amazon has committed to a wasting guaranty wherein all payment obligations are guaranteed up to the amount of $20.0 million for years one through five of their lease (ending in September 2024), $15.0 million for the sixth year of the lease, $10.0 million for the seventh year of the lease, and $5.0 million for the eighth year of the lease (ending September 2027). If the tenant is in default beyond an applicable notice and cure date, the guaranty is not reduced. Aside from the guaranty, all reserves for taxes and insurance have been waived, except during a cash management period. During a cash management period, reserves for insurance premiums will be waived to the extent that the insurance is covered under one or more blanket policies, the borrower makes timely payments, and there is no event of default. We did not factor the guarantee in our property analysis .

- During alterations to the property, the loan documents require the borrower to post collateral for alterations whose cost exceeds a certain threshold that, in our opinion, is higher than a de minimis amount. Additionally, the loan documents do not require the borrower to post collateral for alterations whose cost exceeds this threshold. This structure potentially exposes the transaction to risks associated with (i) additional leverage beyond a de minimis amount and (ii) additional liens, such as mechanic's liens, some of which may have priority over the mortgage lien.

- 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 acts" or 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.

- As of April 8, 2021, the property is open, the tenant is current on all its rent payments, and there has not been a request for rent relief, forbearance, or modification.

3. Tri-State Distribution Center

Table 15

Credit Profile

Loan no. 3 Property type Industrial

Loan name Tri-State Distribution Subproperty type Warehouse Center Distribution

Pooled trust loan balance ($) 41,000,000 Property sq. ft./no. of units 249,247

% of total pooled trust balance 5.0 Year built/renovated 2008 (%)

City Congers Sponsor Yaakov E. Sod

State N.Y. 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 ($) 2,510,000 S&P Global Ratings' subordinate debt N/A category

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Table 15

Credit Profile (cont.)

S&P Global Ratings' NCF (11.57) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate 7.00 S&P Global Ratings' LTV (%) 116.8 (%)

S&P Global Ratings' value (mil. 35.1 S&P Global Ratings' DSC (x) 1.26 $)

S&P Global Ratings' value (44.3) 'AAA' SCE (%) 61.5 variance (%)

S&P Global Ratings' value per 141 'AAA' DCE (%) 49.6 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 Tri-state Distribution Center, a 249,247-sq.-ft. industrial building located at 225-227 North Route 303, in Congers, N.Y. The property consists of three multitenant industrial buildings with a mix of warehouse, office, and flex space. All three buildings were built between 2008 to 2010 and feature ceiling heights of 18 to 36 ft, with nine drive-in doors, 27 loading docks, and 325 parking spaces.

- The property is currently 100.0% occupied with a diverse roster of 11 tenants. The three largest tenants at the property are New York Produce (27.8% of NRA; 25.4% of gross rent as calculated by S&P Global Ratings; February 2031 lease expiration), a multifaceted produce distributor; Power Pak Civil and Safety (26.5%; 24.2%; May 2028), a construction equipment supplier; and Aptar Group (9.7%; 10.4%; February 2028), consumer dispensing packaging and drug delivery device manufacturer. No other tenant occupies more than 6.8% of NRA or 7.1% of the base rent.

- According to Costar, the property is located within the Rockland County industrial submarket, which we consider a primary market due to its proximity to New York City. The Rockland County submarket had vacancy and availability rates of 10.3% and 12.3%, respectively, as of first-quarter 2021, and an average gross rental rate of $14.20 per sq. ft., according to CoStar. This compares favorably to the property's in-place vacancy rate of 0.0% (as of the March 2021 rent roll) and gross rent of $16.60 per sq. ft., as calculated by S&P Global Ratings.

- The loan benefits from Yaakov E. Sod's experienced sponsorship. Mr. Sod is the founding member of Milrose Capital, a private investment firm focused on real estate investments, and Premier Health Management, an operator of long-term care facilities. As of Aug. 1, 2020, the sponsor has net worth of approx. $40.3 million and liquidity of $5.0 million.

- As of April 6, 2021, the property is open and operating. There has been no impact to the property due to ongoing COVID-19 pandemic, as a 100% collection rate was maintained. In addition, there were no rent relief requests from the tenants and all the tenants are current on their payments. The sponsor reported no delinquencies on rent throughout the pandemic.

- The loan is structured with a hard in-place lockbox and in-place cash management, as

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determined by S&P Global Ratings. A cash sweep event occurs upon an event of default, if the DSC falls below 1.20x, if the DY falls below 6.25%, the maturity date passes, or one of the major tenants has terminated or elected to terminate its space, defaulted, declared bankruptcy, or gone dark. There are also ongoing reserves for taxes, insurance, capital expenditures, and leasing expenses.

- We visited the property on March 19, 2020, and found the property in good condition. All of the property's tenants were open and fully utilizing their space. The property's largest tenant, New York Produce, recently took possession of space in March and was building out its space during the tour. Overall, the property presented well, and we concluded it to be of above-average quality.

The loan exhibits the following concerns and mitigating factors:

- The pooled trust loan has high leverage with a 116.8% LTV ratio, based on S&P Global Ratings' valuation. The LTV ratio based on the appraiser's valuation is 65.1%. Our long-term sustainable value estimate is 44.3% lower than the appraiser's valuation, a variance primarily driven by our higher vacancy, operating expenses, and capitalization rate assumptions.

- The pooled trust loan has a moderately low DSC of 1.26x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 11.6% lower than the issuer's NCF.

- The loan is interest-only for its entire 10-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 threshold adjustment across the capital structure.

- The property faces considerable tenant rollover risk, with 100% of leased NRA expiring during the loan term and the majority of rollover occurring in 2027: 42.9% of NRA and 41.4% of in-place gross rent, as calculated by S&P Global Ratings. However, the loan is structured with an upfront TI/LC reserve of $500,000 ($2.00 per sq. ft.) and a cash flow sweep of 24 months (or 28 months if TI/LC reserve is less than $400,000) prior to major tenant expirations in 2027. In addition, we also applied a higher vacancy rate of 10.0% in our analysis.

- The loan is a refinancing and the loan proceeds returned approximately $8.0 million (19.6% of the financing) of equity to the sponsor. The sponsor acquired the property for approximately $34.5 million ($138 per sq. ft.) in March 2018 and spent $4.8 million ($19 per sq. ft.) in improvements at the property. At the time of acquisition, the property was 42.5% vacant and the sponsor added substantial value to the property by signing new long-term leases at the vacant spaces.

- 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 (i) additional leverage beyond a de minimis amount and (ii) potential additional liens, such as mechanic's liens, some of which may have priority over the mortgage lien.

- The borrowers are structured as two tenants-in-common (TIC). 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.

- Although the borrower must provide the lender with quarterly and annual financial statements,

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they are not required to be audited. We believe audited financial statements are more conclusive and reliable than unaudited statements.

- As of April 6, 2021, the property is open and operating, and none of the in-place tenants have requested rent relief, forbearance, or modification.

4. Magna Seating HQ

Table 16

Credit Profile

Loan no. 4 Property type Office

Loan name Magna Seating Subproperty type Suburban HQ

Pooled trust loan balance ($) 37,700,000 Property sq. ft./no. of units 180,000

% of total pooled trust 4.6 Year built/renovated 2017 balance (%)

City Novi Sponsor Harbor Group International; Mark Shabad

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

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

S&P Global Ratings' NCF ($) 2,800,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (8.87) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate 7.71 S&P Global Ratings' LTV (%) 104.8 (%)

S&P Global Ratings' value 36.0 S&P Global Ratings' DSC (x) 2.09 (mil. $)

S&P Global Ratings' value (38.0) 'AAA' SCE (%) 57.1 variance (%)

S&P Global Ratings' value per 200 'AAA' DCE (%) 16.3 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.

Strengths and concerns

The loan exhibits the following strengths:

- The pooled trust loan has a strong DSC ratio of 2.09x, calculated using the loan-s fixed interest rate and S&P Global Ratings' NCF for the property, which is 8.9% lower than the issuer's NCF.

- The loan is secured by the borrower's fee-simple interest in a class-A, three-story, 180,000-sq.-ft. mixed-use, office, and industrial/R&D building located in Novi, Mich., approximately 26.0 miles northwest of Detroit. The property was built in 2017 and serves as the

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global headquarters of Magna Seating, which is an operating arm of Magna International ('A-'/Negative) that manufactures seat systems for automobile producers around the world. The property is strategically located along the M-5 highway, with immediate access to I-275, I-96, and I-696.

- The property's location in suburban Detroit grants it a close proximity to some of Magna Seating's largest global clients, notably most of North America's largest car manufacturers. Its location is also approximately four hours from Magna International's global headquarters in Ontario, Canada. The majority of the property's NRA (117,000 sq. ft.; 65.0% of the total space) comprises office, with the remainder of the NRA split between R&D (36,000 sq. ft.; 20.0%) and high-bay industrial (27,000 sq. ft.; 15.0%). The entire building is leased to Magna Seating until November 2034, with no termination or contraction options. Magna Seating has invested $40.0 million ($222 per sq. ft.) of its own capital into the property as a build-to-suit headquarters and plans to spend additional capital to ensure the facilities maintains its state-of-the-art condition for years to come.

- The loan proceeds financed the sponsor's acquisition of the property and the sponsor contributed $20.6 million of equity as part of the $58.3 million all-in acquisition costs (35.3% of the acquisition costs).

- The loan benefits from Harbor Group International's experienced sponsorship. Harbor Group owns more than 4.9 million sq. ft., or $12.5 billion of commercial real estate, and has over 35 years of commercial real estate experience.

The loan exhibits the following concerns and mitigating factors:

- The pooled trust loan has high leverage, with an S&P Global Ratings' LTV of 104.8% based on our valuation. The LTV ratio based on the appraiser's "as-is" valuation is 65.0%. Our estimate of long-term sustainable value is 38.0% lower than the appraiser's as-is valuation, a variance driven primarily by our assumptions on vacancy and our 7.71% capitalization rate.

- The property is exposed to single-tenant risk. Magna Seating is the sole tenant at the property and the loan could come under stress if the tenant defaults on its lease or goes bankrupt. However, Magna Seating has invested $40.0 million ($222 per sq. ft.) into the property, and it serves as the company's global headquarters. The property is mission-critical for the tenant and their lease extends to November 2034 with no termination or contraction options.

- The property is located in the Metro Detroit metropolitan statistical area (MSA), which S&P Global Ratings classifies as a secondary market. Office leasing has been negatively affected around the country, and the Metro Detroit office market is no exception. According to CoStar, office recovery in Metro Detroit will likely lag behind other markets in the midwestern U.S. given Detroit's exposure to manufacturing. As of year-end 2020, employment in Detroit remained 12% below 2019 figures. The property is located in the Central I-96 Corridor submarket where office vacancy sits at 13.0% as of first-quarter 2021, the lowest level since 2016. According to CoStar, rents have fallen 0.7% year over year as of first-quarter 2021, and are not forecasted to begin rising again until second-quarter 2022. Current submarket rent is $22.94, which compares favorably to the property's contractual rent at $19.91. We applied a 10.0% vacancy to derive our sustainable cash flow and value, taking into the account the tenant's credit quality and the loan structure. However, the property is fully leased to Magna Seating through

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November 2034 with no termination options.

- 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 (i) additional leverage beyond a de minimis amount and (ii) potential additional liens, such as mechanic's liens, some of which may have priority over the mortgage lien.

- The borrowers are structured as nine TIC. 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 TIC have waived their rights to partition, which decreases the risk of serial bankruptcy filings or litigation among these borrowers.

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

- The mortgage loan is structured with ahard springinglockbox, as determined by S&P Global Ratings, that springs into existence upon the first occurrence of an event of default,if the DY falls below 7% for one quarter, or one of the major tenants declared bankruptcy, defaulted under their lease, or reduced its square footage beyond certain minimum thresholds. Cash management is also springing, as determined by S&P Global Ratings, which allows the borrower to control funds until one of the above events occurs. At that point, the borrower will be required to maintain monthly insurance escrows, replacement reserves, and TI/LC deposits. There is no ongoing escrow for taxes as long as the major tenant is paying those directly. During a cash sweep event, all excess cash flow will be deposited into a lender-controlled account.

- As of April 2, 2021, the property is open and operating; the tenant has paid rent in full throughout the COVID-19 pandemic and has never requested rent relief, forbearance, or modification.

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5. MGM Grand And Mandalay Bay

Table 17

Credit Profile

Loan no. 5 Property type Lodging

Loan name MGM Grand & Subproperty type Full-service Mandalay Bay

Pooled trust loan 36,500,000 Property sq. ft./no. of units 9,748 balance ($)

% of total pooled trust 4.4 Year built/renovated 1993 and 1999 balance (%)

City Las Vegas Sponsor BREIT Operating Partnership L.P. and MGM Growth Properties Operating Partnership L.P.

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

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

S&P Global Ratings' 9,930,000(i) S&P Global Ratings' subordinate N/A NCF ($) debt category

S&P Global Ratings' (8.75) S&P Global Ratings' subordinate N/A NCF variance (%) debt adjustment

S&P Global Ratings' 11.25 S&P Global Ratings' LTV (%) 41.5(ii) cap rate (%)

S&P Global Ratings' 88.0(i) S&P Global Ratings' DSC (x) 7.54(ii) value (mil. $)

S&P Global Ratings' (46.8) 'AAA' SCE (%) 11.4 value variance (%)

S&P Global Ratings' 404,024 'AAA' DCE (%) 1.5 value per sq. ft./unit ($)

(i)Pari passu adjusted. (ii)The trust loan is pari passu. LTV and DSC are calculated based on the $1.634 billion senior mortgage loan balance ($36.5 million pooled trust loan plus the $1.598 billion pari passu portion). 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 $36.5 million trust loan represents a senior pari passu portion within a larger $3.0 billion whole loan. The senior loan component has low leverage, with an S&P Global Ratings' LTV ratio of 41.5%, based on our valuation. The LTV ratio on the senior loan component based on the appraiser's "as-is" valuation on the real estate properties and excluding the personal and intangible properties is 35.5%. Our estimate of long-term sustainable value is 14.4% lower than the appraiser's "as-is" valuation on the real estate properties excluding the personal and intangible properties, and 46.8% lower than the appraiser's "as-is" valuation on the real estate properties including personal and intangible properties.

- The whole loan has a strong DSC of 4.11x, calculated using the 3.6% fixed interest rate and our

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NCF for the property, which is 8.7% lower than the issuer's NCF. The senior loan component has a strong DSC of 7.54x. The DSC based on the MGM Grand and Mandalay Bay Resorts and Casinos' year-one lease payment of $292.0 million and the whole loan's fixed interest rate is 2.70x.

- The collateral for the whole loan consists of two properties: MGM Grand and Mandalay Bay Resorts and Casinos. MGM Grand is a AAA four-diamond, 4,998-guestroom mega-resort and casino on 101.9 acres in the heart of the Las Vegas strip and in close proximity to the McCarran International Airport. MGM Grand, which opened in 1993, was originally themed after the "Wizard of Oz" and offers various amenities, including 748,000 sq. ft. of meeting space, more than 15 food and beverage outlets, 41,800 sq. ft. of rentable retail space, a 22,858-sq.-ft. spa, four swimming pools, 177,268 sq. ft. of casino space (featuring 1,553 slot machines, 128 table games, and 60 television screens for streaming sports activities), as well as an entertainment venue that is home to Cirque du Soleil's "Ka" production, The MGM Grand Garden Arena, David Copperfield Theatre, and Brad Garrett's Comedy Club.

- The other property, Mandalay Bay, which opened in 1999, is a AAA four-diamond, mega-resort and casino on 124.1 acres. It is located across from the MGM Grand and immediately across I-15 from Allegiant Stadium, the new home of the National Football League's (NFL's) Raiders, which was substantially completed in July 2020 and was opened in August 2020. Mandalay Bay has 4,750 guestrooms in two towers. One tower is the 1,117-guestroom, all-suite Delano hotel. The main Mandalay Bay tower also includes the independently operated 424-guestroom Four Seasons Hotel Las Vegas, which occupies floors 35-39 of the main hotel building. They are all part of the collateral and are operated as three separate independent hotels, each with its own entrance, lobby, spa, fitness center, and food and beverage outlets. The main Mandalay Bay tower is operated by a wholly owned subsidiary of MGM Resorts International (MGM or the MGM tenant); the Delano hotel is operated by the MGM tenant under a license agreement with The Morgan Group; and the Four Seasons Hotel is operated by Four Seasons Hotels and Resorts under a management agreement that expires in 2039. Mandalay Bay offers various amenities, including 152,159 sq. ft. of casino space (featuring 1,232 slot machines and 71 gaming tables), more than 25 restaurants, a 30,000-sq.-ft. spa, 2.2 million sq. ft. of meeting space (the fifth-largest convention center in the U.S.), 10 swimming pools, 54,000 sq. ft. of rentable retail space, as well as an entertainment venue that is home to Cirque du Soleil's Michael Jackson "One" production, Shark Reef Aquarium, the House of Blues, and a 12,000-seat special events arena. However, the Cirque du Soleil performances have been cancelled until further notice due to the COVID-19 pandemic.

- The $3.0 billion whole loan was used to finance the $4.6 billion acquisition of the fee interests in the MGM Grand and Mandalay Bay resort properties by a newly formed joint venture between an affiliate of Blackstone Real Estate Income Trust Inc. (BREIT) Operating Partnership L.P. and MGM Growth Properties (MGP) Operating Partnership L.P., a wholly owned subsidiary of MGM (BB-/Watch Neg/--). The sponsor, BREIT, is a non-traded real estate investment trust (REIT) that invests in commercial real estate properties in diversified sectors. BREIT is managed by an external advisor that is an affiliate of The Blackstone Group Inc. The Blackstone Group Inc. had real estate assets under management totaling $174.0 billion as of Sept. 30, 2020, including The Cosmopolitan and Bellagio in Las Vegas. The other sponsor, MGP, is a publicly traded REIT engaged in the acquisition, ownership, and leasing of destination entertainment and leisure resorts. MGP's current portfolio consists of 13 destination resorts across the U.S. totaling approximately 27,400 guestrooms. The sponsors contributed about $1.6 billion in equity toward the acquisition cost.

- Upon the acquisition of MGM Grand (from MGM) and Mandalay Bay (from MGP), the MGM tenant leased back and operates the properties subject to a 30-year NNN lease with two

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10-year renewal options. The lease will have a fixed payment of $292.0 million with annual increases of 2.0% for the first 15 years. In years 16-30, rent will increase at the greater of 2.0% or the consumer price index value (capped at 3.0%). At the beginning of each renewal period, the rent is set to the greater of the prior rent or the fair-market rent at that time. MGM provided a guarantee for shortfalls, as well as the payment and performance of all monetary obligations under the lease. The lease is structured with a capital expenditure requirement of 3.5% of net revenues per year (in addition to a 1.5% of net revenue FF&E reserve). Based on the reported 2019 NCF, the ratio of NCF to rent was strong at 1.78x. The coverage is 1.52x, based on our NCF and the year-one rent payment. We applied a positive LTV adjustment to our capital structure for this loan to account for the fact that the borrower is receiving a fixed rental payment under a long-term lease from the MGM tenant, which somewhat enhances the stability of the cash flow received by the borrower relative to the underlying NCF of the properties, which could fluctuate with operational risks and changes in the economy.

- Las Vegas has long been a premier domestic and international tourist destination. Las Vegas visitation levels rebounded from the recession in 2009 when visitation dropped to 36.4 million, reaching a high of approximately 42.9 million visitors in 2016 before tapering slightly to approximately 42.1 million visitors in 2018. The casino industry remains a primary demand driver, but Las Vegas has continued to diversify. The NFL's Oakland Raiders announced their relocation to Las Vegas, started the 2020 football season at the Allegiant Stadium and hosted games, but the stadium remained closed to fans for the season due to the COVID-19 pandemic. The National Hockey League's Las Vegas Golden Knights began playing in Las Vegas in 2017-2018. Las Vegas is also a major convention city and hosts approximately six million attendees per year. The 1.9 million-sq.-ft. Las Vegas Convention Center is currently being renovated and expanded with an additional building and exhibition hall.

- Historically, the Las Vegas lodging market has enjoyed very strong occupancy levels, which averaged 85.5% over the past 10 years, with a high of 89.1% in 2016 and a low of 80.4% in 2010. With approximately 147,000 guestrooms in 2018, Las Vegas fills more rooms per night on average than any other destination in North America, partially because hotels offer rooms at attractive price points to bring guests to the casinos and provide discounts and promotions for other revenue-generating components. Favorably, hotel supply in Las Vegas has remained relatively flat for the last decade. MGM Grand and Mandalay Bay each have maintained an occupancy rate over 90.0% in each of the past five years.

- MGM Grand and Mandalay Bay have a more diversified revenue stream than many gaming-oriented casino hotels and also relative to traditional resort hotels due to their vast array of amenities. In 2019, reported combined gaming revenues accounted for 18.0% of total revenue, while the remaining revenues were predominately generated by hotel rooms (30.2%), food and beverage (29.9%), and other (21.9%). Gaming revenues and expenses are subject to volatility and, since the gaming revenue still represents a substantial portion of the revenue, we used an 11.25% capitalization rate in our analysis.

- On a combined basis, revenue per available room (RevPAR) at the two properties has increased over the last five years, with more moderate gains experienced recently. RevPAR increased to $180.94 as of year-end 2019 from $165.56 in 2015, an increase of 9.3%, with gains of 1.9% in 2017, a decline of 0.1% in 2018, and a gain of 2.6% in 2019. The properties' NOI increased in 2016, 2017, and 2018 to $617.4 million in 2018 from $485.3 million in 2015. However, NOI fell 15.8% in 2019, mainly due to the fallout from the Oct. 1, 2017, incident at the Mandalay Bay property. The hotel experienced a large number of corporate event cancellations that affected the 2018 and 2019 performance; however, it is our understanding that the hotel is now past the impact from this event.

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- MGM Grand and Mandalay Bay's main competitors are The Mirage, New York New York, Luxor, Caesars Palace, Planet Hollywood, and Venetian/Palazzo hotels. According to the appraisals, MGM Grand has a RevPAR penetration rate (which measures the RevPAR of the hotel relative to their competitors, with 100.0% indicating parity with competitors) of 97.3% (where both occupancy and ADR penetrations are also slightly under 100.0%), which is consistent with 2018 at 97.6%, and slightly down from 2017 at 100.3%. The RevPAR penetration for Mandalay Bay was 105.1%, consistent with 2018 at 106.4%, and slightly down from 2017 at 110.9%. The market leader for the last three years (at well over 100.0% RevPAR penetration) is Venetian/Palazzo.

- The whole loan is structured with an in-place hard lockbox and springing cash management, which allows the borrower to control funds: until an event of default; if the DSC falls below 2.50x for two consecutive calendar quarters; if the MGM tenant files for bankruptcy; if certain control conditions are met while there is an event of default under the lease; or if the loan is not repaid in full by the ARD. At that point, the borrower will be required to maintain monthly tax and insurance escrows and replacement reserves. During a cash trap event, all excess cash flow will be deposited into a lender-controlled account. However, in lieu of any requirement for funds to be held in a cash collateral account during a trigger period (and as long as no event of default has occurred and the ARD has not passed), the guarantor or sponsor can provide a guarantee equal to the amount that would have been deposited into the cash collateral account. If this amount exceeds 15.0% of the then-outstanding principal amount of the loan, an additional insolvency opinion must be provided. Under the loan agreement, there are no ongoing reserves for taxes, insurance, or replacements as long as the property is subject to the lease.

The loan exhibits the following concerns and mitigating factors:

- The $36.5 million pooled trust loan, along with the $1.6 billion pari passu portion held outside the trust, represents a total $1.63 billion senior loan component of a $3.0 billion whole loan. The remaining $1.37 billion junior non-trust note is held outside the trust, is the controlling piece of the whole loan, and increases our LTV ratio to 76.2% from 41.5%.

- The trust loan has a 12-year term (final maturity on March 5, 2032) with a 10-year ARD (March 5, 2030). The loan is interest-only for its entire term. After the ARD, excess cash flow will be swept and used to hyper-amortize the loan, and the interest rate (currently 3.6%) will increase by at least 2.0%. 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.

- The borrower is permitted to incur additional future debt in the form of a mezzanine loan. However, the mezzanine loan amount is limited to a total debt LTV ratio no greater than 67.0% and a DSC not less than the current DSC of 4.81x.

- The loan permits the release of the MGM Grand or Mandalay Bay, subject to a release premium equal to 105.0% of the allocated loan balance ($1.64 billion for MGM Grand and $1.36 billion for Mandalay Bay) until the loan balance is reduced to $2.25 billion and, thereafter, the release premium increases to 110.0% of the allocated loan amount (ALA). In addition, the release is subject to a DSC test where the DSC after release must be equal to or greater than 4.81x.

- The loan agreement allows for property insurance coverage from providers that are not rated by S&P Global Ratings and are not required to be replaced with rated providers at the end of the current insurance term. We used lower LTV recovery thresholds at each rating category for this loan to account for this risk.

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- The Phase I environmental site assessment report identified a 30,000-gallon underground storage tank (UST) that was installed in May 1993 containing diesel fuel that is used to fuel emergency generators as a business environmental risk. The assessor recommended environmental insurance and/or contractual obligations to participate in a state UST cleanup trust fund. An environmental insurance policy with limits of $25.0 million per each pollution condition and $25.0 million in the aggregate, subject to a $50,000 deductible except $1.0 million for mold, is currently in place. The policy covers legal liability and cleanup costs for new and pre-existing conditions and includes business interruption. The loan agreement requires the borrower to maintain the coverage during loan term.

- MGM Grand and Mandalay Bay were built in 1993 and 1999, respectively, and have been renovated in stages over the last several years. Approximately $480.0 million has been spent on capital improvements for the MGM Grand since 2010, including $144.0 million ($28,812 per guestroom) on a full guestroom renovation from 2010 to 2013 and approximately $118.9 million was spent in December 2018 on an expansion and renovation of the convention center. Mandalay Bay has benefitted from over $510.6 million of capital improvements since 2010, including $159.7 million (approximately $35,150 per guestroom) in guestroom renovations from 2012 to 2016. Nevertheless, based on our visit to the properties in January 2020, the guestrooms at MGM Grand are somewhat dated in appearance and are in need of an upgrade. Under the terms of the lease, the MGM tenant is required to spend at minimum, 3.5% of actual net revenues (about $74.0 million or $14,806 per guestroom) on capital expenditures during every five-year period and reserve 1.5% of net revenues. The Mandalay Bay property's rooms were last renovated between 2012 and 2016 for approximately $159.7 million (approximately $35,150 per guestroom), and we observed that they were generally in good condition. Since the loan agreement did not provide for an upfront renovation reserve, we deducted $10,000 per guestroom for the MGM Grand property (excluding the 82 Skyloft and mansion rooms) less two years of the FF&E reserve at 1.5% of net revenues as required by the lease from our valuation of the property.

- The appraiser identified two significant new casino resorts planned for Las Vegas: Resorts World Las Vegas and The Drew Las Vegas, which are expected to add significant supply to the market in 2020. Resorts World Las Vegas is expected to add 3,500 guestrooms to the market in a Chinese-themed resort, and The Drew Las Vegas will offer an additional 4,000 guestrooms. Several existing properties are also adding significant amounts of meeting/convention space, including Caesars Forum (550,000 sq. ft.) and ARIA (200,000 sq. ft.).

- There is no warm body carve-out guarantor and the carve-out guarantee is capped at only 10.0% of the loan amount. We believe these limitations generally lessen the disincentive provided by a full non-recourse carve-out related to "bad boy" acts or voluntary bankruptcy. There is also a nonrecourse carve-out for borrowers that fail to maintain their status as a special-purpose bankruptcy remote entity. We believe this omission lessens the incentive to adhere to these covenants, weakening the asset isolation and substantive consolidation assumptions underpinning our analysis.

- CMBS delinquencies, particularly on lodging-backed loans, have increased in recent months due to the economic slowdown resulting from the COVID-19 pandemic. The pandemic and responses to it have led to an increase in unemployment levels and a reduction in consumer spending, which has adversely impacted lodging properties. The pandemic has brought about unprecedented curtailment measures, which are resulting in a significant decline in demand from corporate, leisure, and group travelers. Since the outbreak, there has been a dramatic decline in airline passenger miles stemming from governmental restrictions on international travel and a major drop in domestic travel. In an effort to curtail the spread of the virus, many group meetings, both corporate and social, have been cancelled, corporate transient travel has

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been restricted, and leisure travel has slowed due to fear of travel and the closure of demand generators, such as amusement parks and casinos, and the cancellation of concerts and sporting events. MGM Grand and Mandalay Bay (including Delano) reopened on June 4, 2020, and July 1, 2020, respectively, with limited amenities and certain COVID-19 mitigation procedures, after closing on March 17, 2020, following the COVID-19 outbreak. In addition, as of September 2020, the Four Seasons Hotel had reopened. While the stay-at-home directive was lifted in Nevada, including Las Vegas on May 15, 2020, casinos are operating at limited capacity with limited amenities. We expect travel will remain tempered for several quarters. Effective as of Nov. 30, 2020 and in place through February 2021, MGM has temporarily closed the hotel tower operations at Mandalay Bay from Monday through (and including) Wednesday each week. The restaurants, casino, and other amenities remain open throughout the week. As of March 2021, the Mandalay Bay tower operations are available seven days a week. The loan is current through its March 2021 payment date and the borrower has not requested forbearance or modification. In addition, the master lease payments have been made as of March 2021 and the MGM tenant has not reached out for a lease modification. Given the high degree of uncertainty around the timeframe of when the properties' operations will rebound, we believe the risk of the borrower requesting forbearance is elevated. However, the loan benefits from fixed rental payments under its lease agreement. The MGM tenant has been current on its rent payments and is well-capitalized. It had $4.6 billion in cash and cash equivalents as of Sept. 30, 2020. In addition to the $750.0 million of senior notes offering in May 2020, the MGM tenant issued an additional $750.0 million in senior notes in October 2020.

6. Seacrest Homes Apartments

Table 18

Credit Profile

Loan no. 6 Property type Multifamily

Loan name Seacrest Homes Subproperty type Mid-rise

Pooled trust loan balance ($) 30,000,000 Property sq. ft./no. of units 176

% of total pooled trust balance (%) 3.6 Year built 2019

City Torrance Sponsor Laisin Leung

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 ($) 2,630,000(i) S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF variance (0.09) S&P Global Ratings' subordinate debt N/A (%) adjustment

S&P Global Ratings' cap rate (%) 6.75 S&P Global Ratings' LTV (%) 86.2(ii)

S&P Global Ratings' value (mil. $) 34.8(i) S&P Global Ratings' DSC (x) 2.22(ii)

S&P Global Ratings' value variance (38.2) 'AAA' SCE (%) 44.9 (%)

S&P Global Ratings' value per sq. 316,254 'AAA' DCE (%) 10.2 ft./unit ($)

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Table 18

Credit Profile (cont.)

(i)Pari passu adjusted. (ii)The loan is pari passu; LTV and DSC calculated based on the $18.0 million pari passu companion loan and the $30.0 million pooled trust loan balance (collectively, the whole loan).NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. N/A--Not applicable.

Strengths and concerns

The loan exhibits the following strengths:

- The whole 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 0.1% lower than the issuer's NCF.

- The loan is secured by the borrower's fee-simple interest in a 176-unit, 189,497-sq.-ft., class-A, multifamily property located in Torrance, Calif. The property, which was recently built in 2019, is located approximately 20.0 miles southwest of the Los Angeles commercial business district (CBD). The unit sizes range from 1,037-sq.-ft., to 1,423-sq.-ft., with an average of 1,077-sq.-ft. Building and unit amenities include upscale kitchens, laminate-wood flooring, quartz countertops, stainless steel appliances, in-unit washers and dryers, balconies, a conference room, a resort style pool, a basketball court, a yoga studio, a coffee lounge, and a fitness center.

- As of the March 2021 rent roll, the property was 98.3% occupied. Since the property's delivery in March 2019, the property has achieved stabilization within a short period of time, achieving a 97.0% occupancy, 10 months after the opening date.

- According to CoStar, the property is located in the Beach Communities multi-family submarket, which had a submarket vacancy rate of 8.4% as of first-quarter 2021. The property's in-place physical vacancy is 3.0%. S&P Global Ratings assumed a 9.0% vacancy rate in our derivation of long-term sustainable net cash flow for the property. This was primarily driven by the submarket's historical trends and the new supply forecasted for it over the next five years. Absorption is expected to be negative over the next two years. According to CoStar, average rent for multifamily units in the Beach Communities multi-family submarket is $2,356 per unit, while the property's average in-place rent is at a higher premium of $2,797 per unit. According to the appraiser, the property is a class-A multifamily product.

- The property is in Torrance, which is in the South Bay district of Los Angeles. According to the appraiser, the region is diversified by industry with the aerospace and defense industry serving as the primary employment base. The Interstate 105 and Interstate 405 provide access to the Los Angeles International Airport (LAX) and connects the district to all parts of the greater Los Angeles area. The outlook for the district is favorable, the region is expected to benefit from its convenient location to both Los Angeles and Orange county.

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

- The loan is a refinance, and proceeds will retire existing debt of $47.7 million, fund upfront replacement reserves of $3,667 and pay closing costs. The sponsor developed the property in 2019 for a total cost basis of $59.0 million and will have $11.0 million of equity remaining in the transaction.

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- The property benefits from the experienced sponsorship of Laisin Leung. Laisin Leung is a Palos Verdes resident, who has over 30 years of experience in developing and managing residential real estate projects in southern California. Laisin Leung has a reported net worth of $206.6 million and $15.0 million of liquidity.

The loan exhibits the following concerns and mitigating factors:

- The whole loan has moderately high leverage, with an S&P Global Ratings LTV ratio of 86.2% based on our valuation and the whole loan balance. The LTV ratio based on the appraiser's "as-is" valuation is 53.3%. Our estimate of long-term sustainable value is 38.2% lower than the appraiser's as-is valuation, a variance driven primarily by our S&P Global Ratings' capitalization rate of 6.75% compared to the appraiser's concluded capitalization rate of 4.80%.

- The loan is interest-only for its entire 10-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.

- The property was delivered as part of a two-phased development. Phase I (non-collateral) was delivered in 2018, while Phase II (collateral) was delivered in March. 2019. The two properties share a manager, leasing office and a gated driveway that provides access to each property's respective parking garages. All other aspects operate as separate multifamily properties including separate amenity packages, which allow for minimal shared community amenities.

- The property is in the State of California, and as such, the property benefits from a below-market tax burden because of California's Proposition 13, which caps tax increases across the state at a set percentage each year. The appraiser estimates taxes would substantially increase if the property's ownership changed hands and taxes were reset to market. Our analysis considers the possibility of higher taxes, lowering our concluded valuation by 10.8%.

- 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 earlier of five days' or three business days' notice.

- The loan is structured with a soft springing 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. At that point, the borrower will be required to maintain monthly tax and insurance escrows and operating expense reserves. During a cash sweep event, all excess cash flow will be deposited into a lender-controlled account.

- As of April 7, 2021, the property is open and operating, and all tenants at the property are current on their February and March rent payments. The whole loan is not subject to any modification or forbearance agreement, and the borrower has not requested any modification or forbearance.

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7. Phoenix Industrial Portfolio V

Table 19

Credit Profile

Loan no. 7 Property type Industrial

Loan name Phoenix Industrial Subproperty type Warehouse distribution Portfolio V

Pooled trust loan balance 29,774,501 Property sq. ft. 4,421,618 ($)

% of total pooled trust 3.6 Year built/renovated 1948-1978/1999, 2015-2020 balance (%)

City Various Sponsor Phoenix Investors

State Various S&P Global Ratings' amortization Amortizing balloon category

S&P Global Ratings' Tertiary S&P Global Ratings' amortization 0.00 market type adjustment (%)

S&P Global Ratings' NCF 2,650,000(i) S&P Global Ratings' subordinate Unsecured debt (S&P Global ($) debt category Ratings LTV >= 90%)

S&P Global Ratings' NCF (19.07) S&P Global Ratings' subordinate (2.50) variance (%) debt adjustment

S&P Global Ratings' cap 9.25 S&P Global Ratings' LTV (%) 105.7(ii) rate (%)

S&P Global Ratings' value 28.2(i) S&P Global Ratings' DSC (x) 1.60(ii) (mil. $)

S&P Global Ratings' value (38.6) 'AAA' SCE (%) 57.4 variance (%)

S&P Global Ratings' value 20 'AAA' DCE (%) 27.3 per sq. ft./unit ($)

(i)Pari passu adjusted. (ii) The trust loan is pari passu; LTV and DSC calculated based on the $95.0 million mortgage loan balance ($65.0 million trust loan plus the $30.0 pari passu portion). NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement.

Strengths and concerns

The loan exhibits the following strengths:

- The whole loan has a moderate DSC of 1.60x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 19.1% lower than the issuer's NCF.

- The $29.8 million trust loan represents a pari passu portion within a larger $94.3 million mortgage loan. The whole loan is secured by the fee-simple interest in a cross-collateralized portfolio of four industrial warehouse properties totaling 4,421,618 sq. ft. located in Newton, Iowa (37.6% of in-place gross rental income as calculated by S&P Global Ratings); Flint, Mich. (20.0%); Fort Smith, Ark. (26.0%); and Coffeyville, Kan. (16.4%). The properties in the portfolio were constructed between 1948 and 1978, and were renovated between 2015 and 2020, except for Coffeyville, which was renovated in 1999. The portfolio features clear heights ranging from 18- to 42-ft. and consists of 233 dock-high doors and 22 drive-in doors.

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- As of the December 2020 rent roll, the portfolio was leased to 21 unique tenants, with the largest tenant being Array Technologies Inc. (Array Technologies), which occupies 19.9% of the net rentable area (NRA) and accounts for 16.4% of the in-place gross rent, as calculated by S&P Global Ratings. The portfolio was 88.0% leased and the remainder of the rent roll is granular with no individual tenant comprising more than 8.0% of the portfolio's NRA and 8.3% of the in-place gross rent, as calculated by S&P Global Ratings. Array Technologies is the sole tenant at the Coffeyville property, and utilizes the property for the storage and distribution of solar components for major utility companies.

- The portfolio has a weighted average in-place rent of $3.10 per sq. ft. as calculated by S&P Global Ratings. This is 28.2% lower than the submarket's weighted average rent of $4.31 per sq. ft., calculated using CoStar's third-quarter 2020 submarket data, offering a potential rental upside.

- The loan is structured with an upfront TI/LC reserve of $1.5 million and an achievement reserve of $4.0 million. The release of the achievement reserve was contingent on the stabilization of the Fort Smith property, the portfolio's DY being above 10.6%, and the LTV (based on the fully-funded loan proceeds and the as-stabilized appraisal value of $145.3 million) being less than 65.4%. As of Feb. 25, 2021, the achievement reserve has been released after receiving servicer approval due to the Fort Smith property achieving stabilization. This was achieved by lease execution of QualServ Solutions during December 2020, thereby increasing the Fort Smith property's occupancy to 90.5%.

- The mortgage loan benefits from Phoenix Investors' experienced sponsorship. The sponsor owns approximately 27.0 million sq. ft. of commercial real estate across 25 states. It is led by Mr. David M. Marks, the president and CEO of Phoenix Investors, who has led various commercial real estate transactions ranging from less than $1.0 million to over $170.0 million.

- The mortgage loan is structured with a hard in-place lockbox and springing cash management. A cash sweep event occurs upon an event of default, if the DSC falls below 1.30x, or if the borrower, guarantor, key principal, or manager declares bankruptcy. There are also ongoing reserves for taxes, insurance, capital expenditures, and leasing expenses.

The loan exhibits the following concerns and mitigating factors:

- The whole loan has high leverage with a 105.7% LTV ratio, based on S&P Global Ratings' valuation. The LTV ratio based on the appraiser's stabilized valuation of $145.3 million is 64.9%. Our long-term sustainable value estimate is 38.6% lower than the appraiser's stabilized valuation.

- The mortgage loan is a refinancing and the loan proceeds returned approximately $8.4 million (8.9% of the financing) of equity to the sponsor. The sponsor acquired the properties between 2015 and 2019 for $20.6 million and has invested approximately $77.2 million in capital improvements. Based on the sponsor's cost basis of $97.8 million, no cash equity will remain in the portfolio at closing.

- The borrower is permitted to incur additional future debt in the form of a mezzanine loan. However, the mezzanine loan amount is limited to a combined LTV ratio no greater than 68.1%, a DSCR no less than 1.70x, and a DY no less than 9.5%.

- All four properties are located in tertiary markets. We consider tertiary markets riskier because they have lower barriers to entry when compared to primary and secondary markets. According to CoStar, the portfolio's weighted average submarket vacancy was 9.2% as of third-quarter 2020, and 17.8% for the trailing-five years. Given the in-place vacancy of 12.0%, and potential

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volatility in the vacancy data due to the smaller submarkets, we utilized a more conservative 18.6% weighted average economic vacancy rate in our analysis after accounting for the transitional nature of the properties, the submarkets' high historical vacancy rates, and tenant rollover risk.

- The portfolio is partially exposed to single-tenant risk at the Coffeyville property (16.4% of gross rental income as calculated by S&P Global Ratings), which is occupied by Array Technologies. Array Technologies' lease expires in December 2022, but the company has two, three-year extension options. However, the tenant can terminate its lease with a 180-day notice during the extension terms. To account for the property's single tenancy and rollover risk, we have assigned a 20.0% vacancy for this property. The loan is also structured with an Array Technologies rollover reserve, which requires the borrower to make monthly escrows of $63,750 for the first two years of the loan term. This reserve will be made available for leasing costs in connection with a replacement tenant or extension/renewal of the Array Technologies lease.

- The portfolio faces considerable tenant rollover risk during the loan term, with 100.0% of the leased NRA expiring during the loan term. The rollover is heightened in 2022, when 28.0% of the portfolio's NRA and 24.6% of the in-place gross rent as calculated by S&P Global Ratings, expires. We used a 18.6% vacancy assumption on the portfolio to partially account for this risk.

- The borrower may obtain the release of the Newton, Fort Smith, and Flint properties, subject to a release price equal to the greater of 125.0% of the allocated loan amount (ALA) for such property, an amount that would result in the debt service coverage (DSC) ratio being not less than 1.70x, a loan-to-value (LTV) ratio not greater than 68.1%, and a debt yield (DY) not less than 9.5% on the remaining loan balance. There is no event where the Coffeyville property will be left as the sole loan collateral.

- As of April 12, 2021, the borrower reported that the properties remained open and that no tenants have requested rent relief. The loan is current as of April 2021 and the borrowers have not requested forbearance or modification. Rent collections trended 100.0%, 99.7%, 96.0%, and 100.0% for the months of December 2020, January 2021, February 2021, and March 2021, respectively. The sponsor disclosed that Global Fiberglass Solutions, a tenant at the Newton property, is delinquent on rent, but that the tenant is working with the sponsor on catching up on missed payments. We have considered this tenant vacant for our analysis. In addition, we utilized a 18.6% vacancy rate in our analysis as compared to the actual in-place vacancy rate of 12.0%.

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8. Consumer Cellular

Table 20

Credit Profile

Loan no. 8 Property type Office

Loan name Consumer Cellular Subproperty type Suburban

Pooled trust loan balance ($) 27,500,000 Property sq. ft. 163,607

% of total pooled trust balance (%) 3.3 Year built/renovated 1988/2018

City Phoenix Sponsor Walter C. Bowen

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

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

S&P Global Ratings' NCF ($) 1,940,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF variance (12.48) S&P Global Ratings' subordinate debt N/A (%) adjustment

S&P Global Ratings' cap rate (%) 7.75 S&P Global Ratings' LTV (%) 109.9

S&P Global Ratings' value (mil. $) 25.0 S&P Global Ratings' DSC (x) 1.55

S&P Global Ratings' value variance (41.8) 'AAA' SCE (%) 62.7 (%)

S&P Global Ratings' value per sq. 153 'AAA' DCE (%) 33.2 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 trust loan has a moderate DSC of 1.55x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 12.5% lower than the issuer's NCF primarily due to a higher vacancy rate assumption.

- The pooled trust loan is secured by the fee-simple interest in a 163,607-sq.-ft. office building located in Phoenix, Ariz. The property was built in 1988 and was fully renovated in 2018. The property is 100% occupied by Consumer Cellular, which executed a triple net lease in June 2018 through May 2029, with annual rent increases of $0.50 per sq. ft, with two, five-year extension options and no termination options.

- The property underwent a $9.0 million ($55 per sq. ft) renovation and modernization in 2018. The property was originally built as a Sam's Club but was converted to a two-story office building with 24-ft. ceiling heights, skylights, finishes, new scored concrete flooring, and an open floor plan.

- The property is utilized as a call center by Consumer Cellular and currently houses approximately 800 employees, which represents 37.0% of the company's total call center employee count. The subject property is the newest of all five Consumer Cellular call centers

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and with the capacity to hold a total of 1,500 employees, it is continuously adding employees. The company is focusing on the Phoenix area for future growth and is in the process of moving their headquarters from Portland, Ore., to Phoenix.

- The loan benefits from Walter Bowen's experienced sponsorship. Bowen founded BPM Real Estate Group in 1977, which has since built and acquired over one million sq. ft. of office space, 4,000 apartment units, and 44 senior communities, in addition to other real estate asset type space.

The loan exhibits the following concerns and mitigating factors:

- The pooled trust loan has high leverage with a 109.9% LTV ratio, based on S&P Global Ratings' valuation. The LTV ratio based on the appraiser's valuation is 64.0%. Our long-term sustainable value estimate is 41.8% lower than the appraiser's valuation, a variance driven primarily by our capitalization rate of 7.75% compared to the appraiser's capitalization rate of 5.50%.

- 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 property is exposed to single-tenant risk. Consumer Cellular is the sole tenant at the property, and the loan could come under stress if the tenant defaults on its lease or goes bankrupt. However, Consumer Cellular is dedicated to growing in the Phoenix area, and the loan is structured with a cash flow sweep trigger if the tenant fails to exercise its extension option at least 15 months prior to the lease expiration, the tenant goes dark in 25% or more of its space, vacates, files for bankruptcy, or otherwise fails to occupy its premises, or Consumer Cellular's annual net income falls below $30 million.

- According to CoStar, the property is located in the Deer Valley/Airport office submarket. The office submarket had an average gross rent of $24.86 per sq. ft., an average vacancy rate of 15.3% as of the first-quarter 2021, and the vacancy rate has averaged 12.0% over the last five years. This compares to a gross rent of $21.30 per sq. ft.at the property, as calculated by S&P Global Ratings. Although the property is 100% leased to Consumer Cellular through 2039, we applied a 12.0% vacancy rate in our analysis to account for the single tenant risk and the high submarket vacancy.

- The loan is a refinancing and the loan proceeds returned approximately $4.3 million (15.5% of the financing) of equity to the sponsor. However, based on the appraised value of $43.0 million, there is approximately $15.5 million of equity remaining in the property at closing.

- The mortgage loan is structured with a soft in-place lockbox and in-place cash management, as determined by S&P Global Ratings. A cash sweep event occurs upon an event of default, if the DSC falls below 1.15x, or the major tenant has terminated or elected to terminate its space, declared bankruptcy, or reduced its square footage beyond certain minimum thresholds. There are also ongoing reserves for taxes, insurance, capital expenditures, and leasing expenses.

- The borrower is structured as an SPE. However, the entity has no independent directors nor is it required to, and it further lacks a non-consolidation opinion. To account for these structural deficiencies, we applied negative LTV threshold adjustments across the capital structure.

- As of March 31, 2021, the property is open and operating and the space is being fully utilized.

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Consumer Cellular is current on its rental payments and the borrower has not requested any rent relief or loan modification.

9. 160 Pine Street

Table 21

Credit Profile

Loan no. 9 Property type Office

Loan name 160 Pine Street Subproperty type CBD

Pooled trust loan balance ($) 27,170,000 Property sq. ft. 88,174

% of total pooled trust balance 3.3 Year built/renovated 1956/1987 (%)

City San Francisco Sponsor Philip Ouyang; Victoria Yuen Ouyang

State Calif. 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 ($) 2,100,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (1.50) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate (%) 7.75 S&P Global Ratings' LTV (%) 113.0

S&P Global Ratings' value (mil. 24.0 S&P Global Ratings' DSC (x) 2.13 $)

S&P Global Ratings' value (51.3) 'AAA' SCE (%) 62.0 variance (%)

S&P Global Ratings' value per 273 'AAA' DCE (%) 19.9 sq. ft./unit ($)

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

Strengths and concerns

The loan exhibits the following strengths:

- The pooled trust loan has a strong DSC of 2.13x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 1.5% lower than the issuer's NCF.

- The loan is secured by the fee-simple interest in 160 Pine Street, an 88,174-sq.-ft. office property in the Financial District of San Francisco. The property was built in 1956, and has been renovated periodically, most recently in 1987.

- The property has experienced improved performance since 2017, mainly driven by increasing rents. As of year-end 2020, the property's NOI has increased 32.0% from full-year 2017, and the average in-place base rent increased to $51.48 per sq. ft. from $43.76 per sq. ft. for the same period.

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- The property has a granular rent roll and the three largest tenants account for 38.5% of NRA and 49.1% of gross rent, as calculated by S&P Global Ratings: Robinson Mills and Williams (RME; 14.6% of NRA; 20.1% of gross rent; June 2022 lease expiration), Forell/Elsesser Engineeers Inc. (FSE; 14.6%; 13.7%; March 2023), and IMEG Corp. (9.3%; 15.3%; March 2026). No other remaining tenant leases more than 7.8% of NRA. Both RME and FSE have had their headquarters at the property for over 20 and 27 years, respectively.

- The loan is structured with a hard in-place lockbox and in-place cash management, as determined by S&P Global Ratings. A cash sweep event occurs upon an event of default or if the DSC falls below 1.25x. There are also ongoing reserves for taxes, insurance, capital expenditures, and leasing expenses.

The loan exhibits the following concerns and mitigating factors:

- The pooled trust loan has high leverage with a 113.0% LTV ratio, based on S&P Global Ratings' valuation. The LTV ratio based on the appraiser's valuation is 55.0%. Our long-term sustainable value estimate is 51.3% lower than the appraiser's "as-is" valuation, a variance driven primarily by our capitalization rate of 7.75%.The loan is interest-only for its entire 10-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.

- The loan is a refinancing and the loan proceeds returned approximately $12.3 million (45.3% of the financing) of equity to the sponsor, retired $9.2 million of existing debt, and funded $1.5 million ($17 per sq. ft.) in upfront TI/LC reserves. Based on the sponsor's cost basis of $25.5 million, $2.0 million of cash equity will remain in the portfolio at closing. The sponsor acquired the property for approximately $10.5 million ($119 per sq. ft.) in 1995.

- Although the property is in San Francisco, which we consider a primary market, the submarket vacancy rate is above 10.0%. According to CoStar, the property is located in the Financial District office submarket, which had a vacancy rate of 16.0% and gross asking rent of $67.40 per sq. ft. as of first-quarter 2021. This compares to the property's economic vacancy rate of 24.0% and gross rent of $63.12 per sq. ft., as calculated by S&P Global Ratings. The property has averaged 93.6% occupancy over the past decade.

- The property's economic vacancy has increased to 24.0% during the past year. Retail tenant, Jimmy John's Sandwiches (1.9% NRA), stopped paying rent in March 2020 but has continued to remain open and serve patrons. The sponsor plans to evict Jimmy John's Sandwiches once California's commercial eviction moratorium ends. Office tenant Storefront Political Media (5.6% NRA) remitted only 30.0% its monthly rent during the firstquarter of 2021. In addition, they have paid their past due rent and negotiated an early termination of their lease in June 2021 as opposed to the original termination of January 2022. For our analysis, we considered both of these tenants vacant.

- The property faces considerable tenant rollover risk, with 100% of leased NRA expiring during the loan term and the majority of rollover occurring over the next five years: 37.9% of NRA and 46.1% of in-place gross rent, as calculated by S&P Global Ratings, between 2022 and 2023, and 29.0% of NRA and 43.7% of in-place gross rent between 2025 and 2026. To mitigate this rollover, the loan is structured with an upfront TI/LC reserve of $1.5 million and an ongoing replenishment TI/LC reserve of $2.50 per sq. ft. per annum, capped at that same amount. We accounted for this risk by utilizing an in-place economic vacancy rate of 24.0% in our analysis.

- The SPE borrower is structured with a non-consolidation opinion. However, the entity has no

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independent directors, nor is it required to. To account for this structural deficiency, we applied negative LTV threshold adjustments across the capital structure.

- As of March 1, 2021, the property is open and operating. Three tenants (11.6% NRA; 16.1% of gross rent) were granted rent relief during the COVID-19 pandemic and are now current on their rent. The borrower has not requested any rent relief or loan modification.

- As of March 1, 2021, the property is open and operating; however, most of the office tenants are working remotely. Five tenants totaling 23.5% of occupied square footage requested rent relief, with four tenants totaling 21.1% receiving some form of rental relief. All tenants that requested relief are current on rent, with the exception of one tenant totaling 1.8% of underwritten base rent, and the loan is not subject to any modification or forbearance request.

10. Metairie MOB Portfolio

Table 22

Credit Profile

Loan no. 10 Property type Mixed-use

Loan name Metairie MOB Subproperty type Various Portfolio

Pooled trust loan balance ($) 25,437,640 Property sq. ft./no. of units 85,465

% of total pooled trust balance 3.1 Year built/renovated Various (%)

City Metairie Sponsor John P. Hamide

State La. S&P Global Ratings' amortization category Amortizing balloon

S&P Global Ratings' market type Secondary S&P Global Ratings' amortization 0.00 adjustment (%)

S&P Global Ratings' NCF ($) 1,900,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF variance (11.07) S&P Global Ratings' subordinate debt N/A (%) adjustment

S&P Global Ratings' cap rate (%) 8.32 S&P Global Ratings' LTV (%) 117.8

S&P Global Ratings' value (mil. $) 21.6 S&P Global Ratings' DSC (x) 1.21

S&P Global Ratings' value (43.5) 'AAA' SCE (%) 61.4 variance (%)

S&P Global Ratings' value per sq. 253 'AAA' DCE (%) 53.0 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

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The loan exhibits the following strengths:

- The pooled trust loan is secured by the fee-simple interest in a two-property, 85,465-sq.-ft., mixed-use (medical office/retail) portfolio that is leased to primarily office tenants (75.5% of NRA; 79.9% of gross rent, as calculated by S&P Global Ratings) with the remaining space leased to retail tenants (24.5%; 19.1%). The properties are adjacent to each other in Metairie, La., and are three blocks south from a local hospital.

- The portfolio was 100% occupied as of the Feb. 28, 2021 rent roll by 11 tenants and has maintained an average occupancy of 92.0% for the past three years. The largest three tenants are: Diagnostic Imaging Services Inc. (31.2% of NRA; 33.1% of in-place gross rent, as calculated by S&P Global Ratings; January 2036 lease expiration); HUM Provider Holdings LLC (20.0%; 21.8%; July 2027); and Chilis (7.1%; 8.2%; June 2025). No other tenant is larger than 5.9% of the NRA.

- According to CoStar, the property is located in the Metairie office and retail submarket. The office submarket had an average gross rent of $20.34 per sq. ft. and an average vacancy rate of 8.4% as of the first quarter of 2021. The office vacancy rate has averaged 7.4% over the last five years. The retail submarket had an average gross rent of $25.27 per sq. ft. and an average vacancy rate of 4.6% as of the first quarter of 2021. The retail vacancy rate has averaged 2.7% over the last five years. This compares to an overall gross rent of $35.03 per sq. ft. at the property, as calculated by S&P Global Ratings, and an in-place overall vacancy rate of 0.0%. We utilized an overall 10.0% vacancy rate assumption in our derivation of long-term sustainable NCF.

- The loan proceeds are being used to facilitate the acquisition of 4201/4241 Veterans Memorial Boulevard and the refinancing of 3530 Houma Boulevard. The sponsor contributed $1,008,323 of equity as part of the $26.5 million all-in financing costs (3.8% of the acquisition costs).

- The mortgage loan is structured with a hard in-place lockbox and in-place cash management, as determined by S&P Global Ratings. A cash sweep event occurs upon an event of default, if the DSC falls below 1.20x, or one of the major tenants has terminated or elected to terminate its space, declared bankruptcy, failed to timely renew, defaulted, been downgraded below 'BBB', or reduced its square footage beyond certain minimum thresholds. There are also ongoing reserves for taxes, insurance, capital expenditures, and leasing expenses.

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 117.8%, based on our valuation. The LTV ratio based on the appraiser's valuation is 66.6%. Our long-term sustainable value estimate is 43.5% lower than the appraiser's valuation, a variance driven primarily by our capitalization rate of 8.32% compared to the appraiser's capitalization rate of 5.80%.

- The loan has a moderately low DSC of 1.21x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 11.1% lower than the issuer's NCF primarily due to our higher vacancy rate assumption.

- The property faces considerable tenant rollover risk, with 65.8% of leased NRA and 64.4% of in-place gross rent, as calculated by S&P Global Ratings, expiring during the loan term. The rollover is concentrated in 2027 when 30.5% of NRA and 33.9% of in-place gross rent expire. The rollover risk is partially mitigated by an evergreen letter of credit of $1,064,850 that will be for tenant rollover. We accounted for this risk by applying higher overall vacancy rate.

- During alterations to the property, the loan documents leave to the servicer's discretion the

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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 (a) additional leverage beyond a de minimis amount and (b) potential additional liens, such as mechanic's liens, some of which may have priority over the mortgage lien.

- As of April 6, 2021, the property is open and operating. Four tenants (17.3% of the NRA) paid deferred rent for April and/or May 2020. All deferred rent has been repaid and all tenants are current on their rent. The borrower has not requested any rent relief or loan modification.

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, social credit factors as average, and governance credit factors as average (see "ESG Industry Report Card: Commercial Mortgage-Backed Securities," published March 31, 2021). In our view, the exposure to ESG credit factors in this transaction is in line with our sector benchmark. The sector has above average exposure to environmental credit factors due to natural conditions and pollution. We reviewed the environmental and property condition assessment reports on the properties we analyzed. We also conducted a focused review of the loan documentation and property insurance requirements. In our view, the loan structure mitigates this risk.

Appendices

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

The loan-level credit enhancement levels shown in Appendix II include the SCE and DCE for each loan at various rating categories. The SCE assumes the loan is part of an undiversified stand-alone transaction, while the DCE assumes the loan is part of a well-diversified transaction with an effective loan count of at least 30. To arrive at the transaction credit enhancement levels, we calculated the weighted average SCE and weighted average DCE at each rating category, and used the transaction's effective loan count of 32.8 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 Debt Loan cash cash Cap Ratings' Value service Loan Property Market balance % of flow flow rate value variance Loan-to-value coverage no. Property name type type (mil. $) pool (mil. $) variance (%) (mil. $) (%) ratio (%) (x)

1 Two Penn Center OF P 67.900 8.2 6.736 (10.4) 8.50 78.660 (33.7) 86.3 2.99

2 Amazon @ Atlas OF P 48.400 5.9 4.594 (21.1) 7.50 65.085 (46.2) 74.4 3.89

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Appendix I

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

3 Tri-State Distribution IN P 41.000 5.0 2.508 (11.6) 7.00 35.112 (44.3) 116.8 1.26 Center

4 Magna Seating HQ OF S 37.700 4.6 2.801 (8.9) 7.71 35.981 (38.0) 104.8 2.09

5 MGM Grand & Mandalay LO T 36.500 4.4 9.932 (8.7) 11.25 87.965 (46.8) 41.5 7.54 Bay

6 Seacrest Homes MF P 30.000 3.6 2.631 (0.1) 6.75 34.788 (38.2) 86.2 2.22

7 Phoenix Industrial IN T 29.775 3.6 2.653 (19.1) 9.25 28.166 (38.6) 105.7 1.60 Portfolio V

8 Consumer Cellular OF S 27.500 3.3 1.939 (12.5) 7.75 25.018 (41.8) 109.9 1.55

9 160 Pine Street OF P 27.170 3.3 2.101 (1.5) 7.75 24.040 (51.3) 113.0 2.13

10 Metairie MOB Portfolio MU S 25.438 3.1 1.903 (11.1) 8.32 21.596 (43.5) 117.8 1.21

11 The Ratner OF P 24.500 3.0 2.028 (18.0) 7.50 25.612 (43.5) 95.7 2.02

12 Burke Town Center RT P 22.000 2.7 1.650 (9.8) 7.50 21.996 (29.0) 100.0 1.20

13 Southridge Center RT T 20.500 2.5 2.490 (6.4) 8.25 30.222 (30.5) 67.8 3.00

14 8800 Baymeadows OF S 18.131 2.2 1.775 (7.3) 9.00 18.512 (34.8) 97.9 1.52

15 Seaport Homes MF P 18.000 2.2 1.554 (3.1) 6.75 22.725 (36.4) 79.2 2.54

16 2209 Sulphur Spring IN S 16.738 2.0 1.169 (14.2) 7.75 15.078 (44.6) 111.0 1.66 Road

17 Southeast G6 Portfolio LO T 15.979 1.9 2.184 (19.8) 11.00 19.852 (40.6) 80.5 2.22

18 Crescent Gateway MU P 15.929 1.9 1.175 (9.8) 7.50 14.688 (41.1) 108.4 1.28

19 Herndon Square OF P 15.478 1.9 1.343 (12.8) 9.25 13.965 (37.8) 110.8 1.51

20 Aspen Court Apartments MF T 14.283 1.7 1.147 (11.2) 7.75 14.800 (31.5) 96.5 1.23

21 Bensalem Plaza RT S 12.433 1.5 1.052 (6.4) 7.75 13.248 (38.9) 93.8 1.39 Shopping Center

22 Athens West Shopping RT T 11.628 1.4 1.213 (0.6) 9.50 12.508 (23.7) 93.0 1.77 Center

23 Chico Mobile Country MH T 11.200 1.4 0.905 1.7 8.00 10.649 (46.5) 105.2 2.10 Club

24 Allerand Portfolio 1 RT T 11.036 1.3 0.997 (14.4) 8.50 11.725 (36.8) 94.1 1.50

25 Ontario Gateway OF S 10.500 1.3 0.872 (11.9) 8.25 10.574 (33.5) 99.3 1.49

26 Cobble Hill Multifamily MU P 10.300 1.2 0.740 (7.8) 6.83 10.823 (35.2) 95.2 1.23 Portfolio

27 Walgreens Portfolio RT T 10.228 1.2 0.790 (9.5) 8.25 9.764 (42.6) 104.8 1.86

28 Gateway Business Park IN P 9.980 1.2 0.767 (12.0) 7.50 10.227 (46.2) 97.6 1.25

29 Dearborn Industrial IN T 9.174 1.1 0.839 (20.4) 8.75 9.588 (27.9) 95.7 1.61 Portfolio

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Appendix I

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

30 Detroit Chassis IN S 9.000 1.1 0.795 (14.2) 7.75 10.255 (33.8) 87.8 1.48

31 Goldman Multifamily MF T 9.000 1.1 0.815 (12.4) 9.25 8.810 (27.8) 102.2 1.59 Portfolio Tranche 5

32 The Loom OF P 8.300 1.0 0.743 (11.9) 8.50 8.745 (34.3) 94.9 1.57

33 Walgreens Bayamón RT T 7.660 0.9 0.649 (7.2) 9.00 7.207 (37.3) 106.3 1.89

34 Sedona Village RT T 7.550 0.9 0.959 (8.4) 8.75 11.081 (32.8) 68.1 3.20

35 Washington Street SS T 7.250 0.9 0.604 (11.9) 8.50 7.111 (36.2) 101.9 1.38 Storage Portfolio #2

36 The Shops at 407 & RT T 7.020 0.8 0.687 (8.8) 8.75 7.851 (34.0) 89.4 1.64 Corner Shoppes

37 10 Industrial Avenue IN P 7.000 0.8 0.673 (14.2) 8.00 8.409 (35.3) 83.2 2.49

38 Farmington Hills SS S 7.000 0.8 0.517 (20.0) 8.25 6.262 (34.4) 111.8 1.32 Michigan Storage

39 Oak Park Michigan SS S 7.000 0.8 0.540 (14.6) 8.25 6.544 (31.8) 107.0 1.38 Storage

40 Haight & Fillmore MF P 6.700 0.8 0.571 (1.6) 7.25 6.901 (45.1) 97.1 2.02 Apartments

41 GoodFriend Self Storage SS P 6.500 0.8 0.596 (17.2) 8.00 7.451 (52.5) 87.2 1.92 - East Harlem

42 Whispering Palms MF S 6.200 0.8 0.407 (18.7) 7.50 5.421 (44.1) 114.4 1.05 Apartments

43 Elite RV & Boat Storage SS T 5.850 0.7 0.442 (12.4) 8.75 5.046 (49.1) 115.9 1.26

44 Arcadia Shopping RT P 5.800 0.7 0.608 (4.8) 8.25 7.189 (29.9) 80.7 2.59 Center

45 Turtle Creek Apartments MF T 5.443 0.7 0.410 (12.1) 7.75 5.294 (29.9) 102.8 1.27

46 Walgreens-Burbank RT P 5.400 0.7 0.440 (7.7) 7.25 6.067 (33.1) 89.0 2.22

47 Village Circle MF S 5.276 0.6 0.413 (13.6) 7.50 5.505 (30.3) 95.8 1.37 Apartments

48 CVS Portfolio RT T 5.100 0.6 0.391 (7.7) 8.25 4.738 (44.1) 107.6 1.51

49 La Hacienda MF S 5.037 0.6 0.377 (13.6) 7.50 5.031 (31.4) 100.1 1.22 Apartments

50 260 Centre Avenue MF P 4.750 0.6 0.339 (13.6) 7.00 4.838 (31.9) 98.2 1.63

51 Walgreens-Coralville RT T 4.350 0.5 0.339 (7.7) 8.25 4.114 (41.6) 105.7 1.88

52 Outerbanks Portfolio LO T 4.294 0.5 0.582 (18.8) 11.00 5.287 (33.1) 81.2 1.80

53 Astoria Portfolio IN P 3.850 0.5 0.286 (14.2) 7.00 4.082 (40.0) 94.3 1.23

54 Tramec Sloan Industrial IN T 3.420 0.4 0.312 (14.2) 8.75 3.560 (30.3) 96.1 1.53 Building

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Appendix I

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

55 Walgreens-Germantown RT S 3.100 0.4 0.243 (7.7) 7.75 3.141 (40.7) 98.7 1.89

56 Davita - Lakeport OF T 2.857 0.3 0.245 (11.9) 9.00 2.725 (47.1) 104.9 1.89

57 Oak Park & Pecan Acres MH T 2.654 0.3 0.238 (21.8) 8.50 2.796 (34.4) 94.9 1.46 MHC Portfolio

58 850-860 Meridian MF P 2.625 0.3 0.145 (13.6) 6.75 2.152 (51.1) 122.0 1.25 Avenue

59 Oakwood Flex Complex MU P 2.618 0.3 0.344 (9.6) 9.50 3.623 (23.7) 72.3 2.23

60 Peace River Village MHC MH T 2.438 0.3 0.222 (21.8) 8.00 2.774 (32.3) 87.9 1.47

61 StorQuest Phoenix - Bell SS S 2.275 0.3 0.209 (11.3) 7.50 2.789 (26.8) 81.6 2.66 Road

62 Dunedin Mini Storage SS S 2.138 0.3 0.205 (14.6) 8.50 2.417 (34.3) 88.4 1.58

63 Dollar General Port RT T 1.200 0.1 0.102 (7.7) 8.50 1.201 (36.8) 99.9 1.40 Wentworth

Total/weighted average -- -- 826.053 100.0 77.935 (11.0) 8.19 -- (38.8) 94.5 2.22

(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--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. IN--Industrial. LO--Lodging. MF--Multifamily. MU--Mixed-use. OF--Office. RT--Retail. SS--Self-storage. P--Primary. S--Secondary. T--Tertiary.

Appendix II

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

'AAA' 'AA' 'A'

Loan Loan balance 'AAA' 'BBB' no. Property name ($) DF DF SCE DCE SCE DCE SCE DCE

1 Two Penn Center 67,900,000 22.7 17.9 47.9 10.9 39.2 8.2 30.5 5.9

2 Amazon @ Atlas 48,400,000 19.7 15.4 42.2 8.3 32.1 5.8 22.0 3.7

3 Tri-State Distribution Center 41,000,000 80.7 64.9 61.5 49.6 55.0 41.5 48.6 34.1

4 Magna Seating HQ 37,700,000 28.5 22.5 57.1 16.3 49.9 13.2 42.7 11.7

5 MGM Grand & Mandalay Bay 36,500,000 13.2 10.4 11.4 1.5 - - - -

6 Seacrest Homes 30,000,000 22.7 17.9 44.9 10.2 35.1 7.3 25.2 4.9

7 Phoenix Industrial Portfolio V 29,774,501 47.6 37.8 57.4 27.3 50.3 22.3 43.2 17.8

8 Consumer Cellular 27,500,000 53.0 42.1 62.7 33.2 55.9 27.6 49.1 22.4

9 160 Pine Street 27,170,000 31.3 24.7 62.0 19.9 55.3 19.9 48.7 19.9

10 Metairie MOB Portfolio 25,437,640 86.4 69.6 61.4 53.0 55.0 44.4 48.6 36.6

11 The Ratner 24,500,000 25.6 20.2 53.0 13.6 45.1 10.7 37.3 8.2

12 Burke Town Center 22,000,000 72.0 57.7 53.8 38.7 46.3 31.0 38.8 24.2

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Appendix II

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

'AAA' 'AA' 'A'

Loan Loan balance 'AAA' 'BBB' no. Property name ($) DF DF SCE DCE SCE DCE SCE DCE

13 Southridge Center 20,500,000 18.3 14.4 33.7 6.2 22.6 3.8 11.5 1.8

14 8800 Baymeadows 18,131,297 47.9 38.0 51.5 24.7 43.8 19.5 36.2 15.0

15 Seaport Homes 18,000,000 20.9 16.4 40.0 8.4 29.3 5.6 18.6 3.3

16 2209 Sulphur Spring Road 16,737,500 46.8 37.2 59.5 27.8 52.7 23.0 45.9 18.6

17 Southeast G6 Portfolio 15,979,272 21.1 16.6 59.6 12.6 49.1 9.6 38.5 7.0

18 Crescent Gateway 15,929,166 71.6 57.3 56.2 40.2 49.3 32.9 42.4 26.3

19 Herndon Square 15,477,747 56.2 44.8 57.1 32.1 50.4 26.4 43.6 21.2

20 Aspen Court Apartments 14,283,133 67.3 53.8 48.2 32.4 39.4 24.6 30.6 17.8

21 Bensalem Plaza Shopping 12,433,186 53.7 42.7 49.4 26.5 41.4 20.6 33.4 15.5 Center

22 Athens West Shopping Center 11,627,611 33.1 26.1 48.9 16.2 40.8 12.5 32.8 9.3

23 Chico Mobile Country Club 11,200,000 28.5 22.5 54.8 15.6 46.8 12.4 38.7 12.1

24 Allerand Portfolio 1 11,035,926 46.9 37.2 48.5 22.7 40.5 17.6 32.5 13.2

25 Ontario Gateway 10,500,000 50.3 40.0 53.4 26.9 45.9 21.4 38.3 16.6

26 Cobble Hill Multifamily Portfolio 10,300,000 65.8 52.6 51.4 33.8 43.5 26.6 35.6 20.3

27 Walgreens Portfolio 10,228,000 34.0 26.9 57.0 19.4 49.9 15.8 42.7 12.5

28 Gateway Business Park 9,979,605 66.4 53.1 50.3 33.4 42.6 26.3 34.9 20.1

29 Dearborn Industrial Portfolio 9,174,090 41.9 33.2 50.4 21.1 42.5 16.5 34.7 12.5

30 Detroit Chassis 9,000,307 44.9 35.6 45.9 20.6 37.3 15.5 28.8 11.1

31 Goldman Multifamily Portfolio 9,000,000 46.0 36.5 52.3 24.1 44.0 18.7 35.6 14.1 Tranche 5

32 The Loom 8,300,000 43.5 34.5 51.3 22.3 43.4 17.5 35.5 13.3

33 Walgreens Bayamón 7,660,000 33.2 26.2 57.7 19.1 50.6 15.6 43.6 13.0

34 Sedona Village 7,550,000 18.3 14.4 34.0 6.2 22.9 3.9 11.9 1.9

35 Washington Street Storage 7,250,000 59.5 47.4 54.6 32.5 47.3 26.1 39.9 20.5 Portfolio #2

36 The Shops at 407 & Corner 7,020,000 37.2 29.4 48.3 18.0 39.9 13.8 31.5 10.1 Shoppes

37 10 Industrial Avenue 7,000,000 21.9 17.2 45.9 10.1 36.9 7.5 27.9 5.2

38 Farmington Hills Michigan 7,000,000 71.3 57.1 58.6 41.8 51.9 34.5 45.2 28.0 Storage

39 Oak Park Michigan Storage 7,000,000 62.9 50.2 56.8 35.7 49.7 29.1 42.7 23.3

40 Haight & Fillmore Apartments 6,700,000 25.9 20.4 51.1 13.2 42.3 10.1 33.6 7.5

41 GoodFriend Self Storage - East 6,500,000 25.5 20.1 48.4 12.3 39.8 9.4 31.2 6.8 Harlem

42 Whispering Palms Apartments 6,200,000 99.1 80.3 57.4 56.9 49.9 46.2 42.5 36.8

43 Elite RV & Boat Storage 5,850,000 79.9 64.2 60.1 48.0 53.6 40.0 47.2 32.7

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Appendix II

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

'AAA' 'AA' 'A'

Loan Loan balance 'AAA' 'BBB' no. Property name ($) DF DF SCE DCE SCE DCE SCE DCE

44 Arcadia Shopping Center 5,800,000 21.4 16.8 44.2 9.5 34.9 6.9 25.6 4.7

45 Turtle Creek Apartments 5,442,518 68.5 54.8 51.4 35.2 43.1 27.4 34.8 20.7

46 Walgreens-Burbank 5,400,000 23.6 18.5 49.4 11.6 41.0 8.9 32.6 6.6

47 Village Circle Apartments 5,276,277 56.3 44.8 47.8 26.9 39.0 20.3 30.1 14.6

48 CVS Portfolio 5,100,000 54.4 43.3 58.2 31.6 51.2 25.9 44.3 20.8

49 La Hacienda Apartments 5,037,487 70.3 56.3 50.1 35.2 41.6 27.1 33.1 20.2

50 260 Centre Avenue 4,750,000 41.8 33.1 51.6 21.6 43.0 16.6 34.3 12.4

51 Walgreens-Coralville 4,350,000 33.6 26.5 57.4 19.3 50.3 15.7 43.3 12.5

52 Outerbanks Portfolio 4,293,503 27.7 21.8 55.7 15.4 45.2 11.5 34.7 8.2

53 Astoria Portfolio 3,850,000 65.1 52.0 51.0 33.2 43.0 26.0 35.1 19.8

54 Tramec Sloan Industrial 3,420,321 46.3 36.7 50.6 23.4 42.8 18.4 34.9 13.9 Building

55 Walgreens-Germantown 3,100,000 30.5 24.1 54.4 16.6 46.8 13.2 39.2 10.3

56 Davita - Lakeport 2,857,000 32.8 25.9 57.1 18.7 49.9 15.2 42.8 12.0

57 Oak Park & Pecan Acres MHC 2,653,570 49.9 39.6 47.3 23.6 38.4 17.7 29.4 12.6 Portfolio

58 850-860 Meridian Avenue 2,625,000 86.1 69.4 61.1 52.6 54.1 43.4 47.1 35.3

59 Oakwood Flex Complex 2,617,996 19.2 15.1 34.3 6.6 23.9 4.2 13.5 2.2

60 Peace River Village MHC 2,437,912 45.5 36.0 43.1 19.6 33.4 14.0 23.8 9.3

61 StorQuest Phoenix - Bell Road 2,275,000 21.7 17.0 44.8 9.7 35.6 7.1 26.4 4.9

62 Dunedin Mini Storage 2,137,500 39.7 31.4 47.7 18.9 39.2 14.4 30.7 10.5

63 Dollar General Port Wentworth 1,200,000 56.8 45.2 53.7 30.5 46.2 24.4 38.7 19.0

Total/weighted average 826,053,066 41.8 33.2 50.4 22.4 42.2 18.0 34.4 14.2

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

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

www.standardandpoors.com April 19, 2021 51

- 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: Methodology For Servicer Risk Assessment, May 28, 2009

Related Research

- ESG Industry Report Card: Commercial Mortgage-Backed Securities, March 31, 2021

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

- 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

www.standardandpoors.com April 19, 2021 52

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