Benchmark 2020-B18 Mortgage Trust

Presale: Benchmark 2020-B18 Mortgage Trust

July 20, 2020

PRIMARY CREDIT ANALYST

Preliminary Ratings Jarrett Murphy New York Class(i) Preliminary rating Preliminary amount ($) Credit enhancement (%) (1) 212-438-1164 A-1 AAA (sf) 7,467,000 30.000 jarrett.murphy @spglobal.com A-3 AAA (sf) 67,056,000 30.000 SECONDARY CONTACT A-SB AAA (sf) 8,738,000 30.000 John V Connorton III A-4(ii) AAA (sf) TBD 30.000 New York A-5(ii) AAA (sf) TBD 30.000 (1) 212-438-3892 john.connorton X-A(iii) NR 732,914,000 N/A @spglobal.com A-M NR 106,300,000 18.125

B NR 33,569,000 14.375

C NR 34,687,000 10.500

A-2(iv) AAA (sf) 164,258,000 30.000

X-B (iii)(iv) NR 33,569,000 N/A

X-D(iii)(iv) NR 40,283,000 N/A

X-F(iii)(iv) NR 15,665,000 N/A

D(iv) NR 23,499,000 7.875

E(iv) NR 16,784,000 6.000

F(iv) NR 15,665,000 4.250

G-RR(iv) NR 8,952,000 3.250

H-RR(iv) NR 29,093,108 0.000

RR certificates(v) NR 29,723,796 0.000

RR interest(v) NR 9,576,204 0.000

AGN-X(iii)(vi) NR 121,775,000 N/A

AGN-D(vi) NR 27,900,000 35.392

AGN-E(vi) NR 42,875,000 24.194

AGN-F(vi) NR 51,000,000 10.872

AGN-G(vi) NR 41,625,000 0.000

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Preliminary Ratings (cont.)

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

AGN-VRR(vi) NR 8,600,000 0.000

Note: This presale report is based on information as of July 20, 2020. The ratings shown are preliminary. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Accordingly, the preliminary ratings should not be construed as evidence of final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. (i)The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii)The final balances of the class A-4 and A-5 certificates will be determined at final pricing. The class A-4 certificates are expected to have a balance between $75.0 million and $119.0 million, and the A-5 certificates are expected to have a balance between $260.095 million and $304.095 million. (iii)Notional balance. The notional amount of the class X-A certificates will be equal to the aggregate balance of the class A-1, A-2, A-3, A-SB, A-4, A-5, and A-M certificates. The notional amount of the class X-B certificates will be equal to the balance of the class B certificates. The notional amount of the class X-D certificates will be equal to the aggregate balances of the class D and class E certificates. The notional amount of the class X-F certificates will be equal to the balance of the class F certificates. (iv)Non-offered certificates. (v)Non-offered vertical risk retention certificates. (vi)Non-offered loan specific certificates. The class AGN-A, AGN-B, AGN-C, AGN-D, and AGN-VRR certificates are tied to the Agellan Portfolio loan. NR--Not rated. TBD--To be determined. N/A--Not applicable.

Profile

Expected closing July 31, 2020. date

Collateral Thirty-seven commercial mortgage loans with an aggregate principal balance of $934.5 million ($636.912 million of offered certificates), secured by the fee and leasehold interests in 154 properties across 24 states.

S&P Global 90.5% (based on S&P Global Ratings' NCF and weighted average capitalization rate of 7.94%). Ratings pooled trust LTV

S&P Global 2.65x (based on S&P Global Ratings' NCF and the actual debt service payable on the mortgage loans). Ratings pooled trust DSC

S&P Global 10.13% (based on S&P Global Ratings' NCF and the loan balances for the mortgage loans). Ratings pooled trust debt yield

Payment structure The transaction is structured to comply with risk retention requirements by way of an L-shaped structure (including both horizontal and vertical interests), which includes the class G-RR, H-RR, RR, RR interest, and AGN-VRR certificates. 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: first to the class A-1, A-2, A-3, A-SB, A-4, A-5, X-A, X-B, X-D, and X-F certificates, pro rata, based on their respective entitlements to interest for that distribution date; then to the class A-M; then class B; then class C; then class D; then class E; then class F; then class G-RR; and then to 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 the balance is reduced to the planned principal balance for that distribution date; and then sequentially to the class A-1, A-2, A-3, A-SB, A-4, A-5, A-M, B, C, D, E, F, G-RR, and H-RR certificates until each class' balance is reduced to zero. If the class A-M 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-4, A-5, and A-SB certificates, pro rata, based on each class' certificate balance. Losses will be allocated to each class of certificates in reverse alphabetical order starting with the class H-RR certificates through and including the class A-M certificates; and then to the class A-1, A-2, A-3, A-4, A-5, and A-SB, pro rata, based on each class' certificate balance. The class X-A certificates' notional amount will be equal to the aggregate balance of the class A-1, A-2, A-3, A-SB, A-4, A-5, and A-M certificates. The class X-B certificates' notional amount will be equal to the balance of the class B certificates. The class X-D certificates' notional amount will be equal to the aggregate balances of the class D and class E certificates. The class X-F certificates' notional amount will be equal to the balance of the class F certificates.

Depositor Deutsche Mortgage and Asset Receiving Corp.

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Profile (cont.)

Mortgage loan German American Capital Corp.; JPMorgan Chase Bank N.A.; Citi Real Estate Funding Inc.; and sellers and Goldman Sachs Mortgage Co. sponsors

Master servicer Midland Loan Services, a division of PNC Bank N.A.

Special servicer Midland Loan Services, a division of PNC Bank N.A.

Trustee Wells Fargo Bank N.A.

Certificate Wells Fargo Bank N.A. administrator

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

Rationale

The preliminary ratings assigned to the Benchmark 2020-B18 Mortgage Trust's commercial mortgage pass-through certificates reflect our view of the credit support provided by the transaction's structure, 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 2.65x and beginning and ending loan-to-value (LTV) ratios of 90.5% and 87.9%, respectively, based on our values.

S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of the coronavirus pandemic. The consensus among health experts is that the pandemic may now be at, or near, its peak in some regions but will remain a threat until a vaccine or effective treatment is widely available, which may not occur until the second half of 2021. We are using this assumption in assessing the economic and credit implications associated with the pandemic (see our research here: www.spglobal.com/ratings ). As the situation evolves, we will update our assumptions and estimates accordingly.

As we continue to closely monitor the COVID-19 virus' affect on U.S. commercial real estate fundamentals and its ratings on U.S. CMBS, particularly in the lodging and retail sectors, we expect CMBS loan performance will vary significantly by property, market, and borrower. For more information, see "U.S. Lodging-Backed CMBS Bracing For The Impact Of COVID-19," published March 23, 2020, as well as "COVID-19 Deals A Larger, Longer Hit To Global GDP," published April 16, 2020, and "U.S. CMBS Conduit Update Q1 2020: The Magnitude Of COVID-19 Fallout Remains Uncertain," published April 17, 2020.

Transaction Overview

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

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Chart 1

Strengths

The transaction exhibits the following strengths:

- The transaction has a strong weighted average S&P Global Ratings' DSC of 2.65x 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 0.92x-7.54x.

- The pool is geographically diverse, with 154 properties spread across 24 states. The largest concentration is in California (10 properties; 21.0% of the pooled trust balance), followed by New York (eight properties; 20.8%), Nevada (four properties; 17.3%), and Texas (27 properties; 11.4%). No other state accounts for more than 4.0% of the pooled trust balance.

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- The transaction has a strong concentration of properties in primary markets, specifically within relatively strong metropolitan statistical areas (MSAs), including New York (20.0% of the pooled trust balance), Las Vegas (17.3%), and San Jose, Calif. (12.3%). Of the pooled trust balance, 55.7% is located in primary markets (as defined by S&P Global Ratings) and 37.3% is in secondary markets. The remaining properties (6.9%) are located in tertiary markets.

- Each of the loans in the trust have borrowers that are structured as special-purpose entities (SPE). Twenty loans (83.6%) provided lenders with nonconsolidation opinions, including all of the top 10 loans. Twenty-two loans (85.8%) have borrowers that are structured with at least one independent director.

- Each of the loans have some form of lockbox: 20 loans (82.5%) are structured with a hard lockbox, 11 loans (9.2%) have springing hard lockboxes, four loans (6.1%) have soft lockboxes, and two loans (2.1%) have springing lockboxes. Thirty-three loans (76.1%) have springing cash management, while only four loans (23.9%) are structured with in-place cash management.

- Twelve loans (21.0% 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 51.2%, reflecting an average equity contribution of 48.8% for these loans.

- Six loans (33.4% of the pooled trust balance) are secured by multiple properties, ranging from two to 68 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, five of the loans (32.6%) allow for property releases, subject to various conditions, which may reduce the diversity benefit from these loans.

Risk Considerations

We considered these risks when analyzing this transaction:

- U.S. CMBS delinquencies may increase in the coming months due to the economic slowdown resulting from the COVID-19 global 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 is 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 has limited exposure to lodging assets; however, both of the lodging properties, MGM Grand and Mandalay Bay, and the Bellagio Hotel and Casino (9.3% of the pooled trust balance), are located in Las Vegas and there is minimal retail exposure (6.6%). All of the loans in this transaction were current as of their July debt service payment date. In some cases, borrowers are in discussion with tenants that have requested lease modifications or rent relief. We selectively increased our vacancy or capitalization rate assumptions on certain properties that we deemed to have a higher risk for cash flow disruption.

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- 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 master servicer to enter into COVID-19 modification agreements with borrowers experiencing financial hardship due, directly or indirectly, to the COVID-19 pandemic. Any COVID-19 modification agreement must be entered into prior to Dec. 31, 2020, and only if no other event of default (EOD) under the mortgage loan is outstanding. Modification agreements can provide for temporary forbearance, waiver, or deferral of payment obligations, temporary alternative use of reserve or escrow funds for purposes other than those set forth in the loan agreement, or other modifications as reasonably determined by the master servicer. COVID-19 modification agreements cannot defer more than three monthly debt service payments, and deferred payments or reserve/escrow funds used for alternate purposes must be repaid or restored within 21 months of the modification. Also, the master servicer can grant a forbearance if, prior to 2021, the period of forbearance granted, when added to any other prior periods of forbearance granted before or after the trust acquired the mortgage loan, does not exceed six months, if the forbearance is permitted under the PSA and does not result in the trust failing to qualify as a real estate mortgage investment conduit (REMIC). Fees charged by the master servicer in connection with processing a COVID-19 modification agreement cannot exceed $30,000 (plus costs and expenses) and are the responsibility of the related borrower. In addition, we believe the servicer advancing mechanism that is in place will provide short-term liquidity support.

- Twenty-seven loans (84.5% of the pooled trust balance) are interest-only for their entire loan term, including each of the top 10 loans (62.2%). Nine loans (14.8%) have a partial interest-only period, and one loan (0.7%) is structured as an amortizing balloon. The interest-only loans have a moderately high weighted average S&P Global Ratings LTV ratio of 86.4%, and nine loans (23.7%) have LTV ratios over 100%. The transaction is scheduled to amortize 2.1% through maturity. S&P Global Ratings considered loan amortization characteristics when assigning credit enhancement levels to the individual loans and the transaction.

- The transaction has high leverage, with a weighted average LTV ratio of 90.5% 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.

- The transaction has a moderate level of diversity by loan balance, with an effective loan count (as measured by the Herfindahl-Hirschman Index) of 20.3. The 10 largest loans represent 62.2% 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 transaction is concentrated by property type because 64.0% of the pooled trust balance is backed by either office properties (41.7% of the pooled trust balance) or industrial properties (22.4%). The remainder of the loans are backed by mixed-use properties (5.5%), lodging properties (9.2%), multifamily properties (8.7%), retail properties (6.6%), self-storage properties (5.8%), and 0.1% by leased fee collateral as classified by S&P Global Ratings.

- The trust has notable exposure to office properties (41.7% of the pooled trust balance). Seven loans (20.2%) are fully or partially secured by central business district (CBD) office properties, one loan (0.8%) is secured by two medical office properties, and seven loans (20.7%) are backed by nine suburban office properties (three of which, are properties securing loans backed by multiple properties that include at least one suburban office property), which is a property type that has exhibited higher default and loss rates relative to CBD office properties. However, the suburban office properties are generally well-located because six of the nine

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properties are located in primary markets (14.3%) and the remaining three (6.4%) are in secondary markets.

- Fifty-two properties across 12 loans (38.3% of the pooled trust balance) are leased to a single tenant. These properties can be susceptible to cash flow disruption if the tenant's business operations are adversely impacted or if the tenant fails to renew its lease. However, of the 52 properties, 44 (10.7%) are within four loan portfolios that have multiple properties occupied by a single tenant. The weighted average capitalization rate and LTV ratio of the 12 loans that are subject to single-tenant risk in the pool are 7.76% and 92.6%, respectively (See table 3 for a detailed breakdown of the single tenant properties in the pool).

- Sixteen loans in the pool (70.0% of the pooled trust balance) have a pari passu component; four loans-- Moffett Towers Buildings A, B, and C, MGM Grand and Mandalay Bay, 1633 Broadway, and Bellagio Hotel and Casino (24.0%)--have a subordinated first-mortgage loan component in addition to senior trust and pari passu loan components (which were securitized in separate stand-alone transactions); three loans-–Chase Center Tower 1, Chase Center Tower 2, and BX Industrial Portfolio (11.1%)--have subordinate companion notes (unpooled rake bonds securitized in separate transactions); the Agellan Portfolio (8.0%) has pooled rake bonds (securitized in this transaction); three loans (11.1%) have b-notes; four loans (16.3%) have existing mezzanine debt; and five loans (22.4%) permit the borrower to incur future mezzanine debt.

- Three loans (6.6% of the pooled trust balance) are secured by retail assets, Flushing Commons (3.0%), Southcenter Mall (2.1%), and Kings Plaza (1.5%). Flushing Commons (3.0%) is a 30,000-sq.-ft. retail condo property located in Queens, N.Y. The largest tenant, HaiDiLao Hotspot (HaiDiLao), a Chinese restaurant chain, accounts for roughly 25.0% of the gross rental income. As a result of COVID-19 restrictions, the property was closed for a period of time from March to June, during which, HaiDiLao requested rent relief and was ultimately granted a 50.0% concession on common charges due March through June, while remaining current on their base rent. HaiDiLao's common charge concession is no longer in effect as of July 1, 2020. Each of the tenants at the property remained current on their base rent from March to June. Our long-term sustainable value for Flushing Commons is 43.1% below the appraiser's value, while our S&P Global Ratings DSC and LTV were 2.25x, and 104.7%, respectively. Southcenter Mall is a 783,068-sq.-ft. super-regional mall located in Tukwila, Wash. The mall was forced to close on March 17, 2020, and began the re-opening process on June 15, 2020. According to the COVID-19 pandemic update provided by the issuer, the borrower requested rent relief in April, which was denied by the servicer. However, the servicer agreed to waive the loan's DSCR triggers for six months. The sponsor remains current on all loan obligations, and the center was reported to be 95.0% occupied as of June 1, 2020. As of June 26, 2020, 124 retailers (72.0% by count) re-opened their stores. The property's grocery anchor, Seafood City, is a popular Filipino supermarket chain, which was deemed essential and remained open throughout the state-mandated shutdown. The Southcenter Mall loan exhibits low leverage, with an appraisal LTV of 22.2% and an S&P Global Ratings LTV of 43.0%. Our long-term sustainable value is 48.2% lower than the appraiser's valuation. The Kings Plaza super-regional mall located in Brooklyn, N.Y. has been closed since early March. The sponsor, Macerich, has kept the loan current during this time. The only store deemed essential at the property was Lowe's, which has remained open during the duration of the pandemic. As of June 2, 2020, the property was reported to be 96.7% occupied. However, it was recently announced that J.C. Penney intends to close their store at the property. J.C. Penney was paying percent-in-lieu rent, as well as expense reimbursements that represented 3.1% of effective gross income as calculated by S&P Global Ratings, prior to announcing their closure. We have marked J.C. Penney as vacant in our valuation of the property because we expect the tenant to vacate. Co-tenancy clauses

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across the center will likely be triggered, although the extent of which is unknown, providing certain tenants the opportunity to either renegotiate their rent or vacate the center. The specific leases for which co-tenancy clauses could be triggered by J.C. Penney leaving the center was not made available to us at the time of publication. The Kings Plaza loan exhibits low leverage, with an S&P Global Ratings LTV of 79.8%, and our long-term sustainable value for Kings Plaza is 32.2% below the appraiser's value. The U.S. retail sector has been facing numerous challenges over the past several years given the continued growth of e-commerce, increasing consumer price sensitivity due to stagnating wage growth, and changing consumer tastes. These trends have resulted in declining sales, store closures, and smaller average store sizes for many national retailers. We believe the "non-essential" store closures and social distancing measures currently being implemented to counter the outbreak of the COVID-19 virus will impair brick-and-mortar retail businesses, which may cause cash flow disruptions at retail properties and potentially elevated loan delinquencies in the coming months.

- Fourteen loans (54.9% 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.

- 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 pooled trust contains 37 loans that are secured by first-mortgage liens on the fee and leasehold interests in 154 properties. The top five and 10 loan concentrations represent 38.5% and 62.2%, respectively, of the pooled trust balance (see table 9 for a detailed description of the 10 largest loans in the pool).

Property type distribution

The top two loan-level property types in the pool are office assets, which account for 39.9% of the pooled trust balance, and industrial, which accounts for 16.2% (see table 1 for a detailed description of the property type distribution).

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 11 365.3 39.1 89.2 2.31

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Table 1

Property Type Composition (cont.)

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

Industrial 3 151.6 16.2 101.6 2.10

Mixed-use 3 126.7 13.6 106.2 1.96

Lodging 2 86.2 9.2 43.8 7.39

Multifamily 7 81.0 8.7 104.0 1.43

Self-storage 7 53.8 5.8 97.2 1.94

Mall 2 34.1 3.7 58.2 4.08

Retail unanchored 1 28.0 3.0 104.7 2.25

Medical office 1 7.6 0.8 101.5 1.44

Total 37 934.5 100.0 90.5 2.65

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

Geographic distribution

The pooled trust consists of properties that are located in 24 states. Of these properties, 59.0% (by pooled trust balance) are located in three states: California, New York, and Texas. The top five states represent 74.4% 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 196.0 10 95.3 0.1 4.6

New York 194.1 8 96.2 -- 3.8

Nevada 161.2 4 -- 100.0 --

Texas 106.9 27 57.0 43.0 --

Illinois 37.3 24 93.2 -- 6.8

Arizona 33.1 2 -- 80.1 19.9

Ohio 29.5 10 -- 100.0 --

Georgia 28.2 11 30.0 -- 70.0

Washington 20.0 1 100.0 -- --

Florida 18.7 2 49.5 50.5 --

Other states--14 109.5 55 12.7 69.4 17.9

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Table 2

Geographic Concentrations (cont.)

Market type (%)

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

Total 934.5 154 55.7 37.3 6.9

Borrower concentration

The largest borrower sponsors in the pool are ELAD Canada (one loan; 8.0%), Jay Paul (one loan; 8.0%), and Brett Michael Lipman and Farshid Steve Shokouhi (one loan; 8.0%).

Five groups of loans have related borrower-sponsors:

- Blackstone Group is the sponsor for BX industrial Portfolio, MGM Grand and Mandalay Bay (joint venture with MGM Growth Properties Operating Partnership L.P.), and Bellagio Hotel and Casino, which account for 16.7% of the pooled trust balance combined.

- George Thacker, Lawrence Charles Kaplan, and Richard Schontz are the sponsors for Cityline Augusta Portfolio, Cityline Hattiesburg, Cityline Flagstaff, and Cityline Wisconsin, which account for 4.4% of the pooled trust balance;

- GSW Sports LLC, Uber Technologies Inc., and Alexandria Real Estate Equities Inc. are the sponsors for Chase Center Tower I and Chase Center Tower II, which account for 3.6% of the pooled trust balance combined;

- Yaron Kandelker is the sponsor for the Battery Park Lofts and Edge 32 Apartments loans, which account for 2.6% of the pooled trust balance combined; and

- Donald Payne is the sponsor for StorQuest Self Storage--Modesto and StorQuest Self Storage--Ceres, which account for 1.0% of the pooled trust balance combined.

Single-tenant properties

There are 52 properties across 12 loans (41.3% of the pooled trust balance) that are backed by properties leased to a single tenant. These properties can be susceptible to cash flow disruption if the tenant's business operations are adversely impacted or if the tenant fails to renew its lease. However, of the 52 properties, 44 (13.8%) are within portfolio loans secured by more than one single-tenanted property. Thirteen properties (20.0%) have lease terms that exceed the loan maturity date, with the remainder (39; 19.3%) of the leases expiring during the loan term. The top five single tenant properties are listed below (see table 3).

Table 3

Single-Tenant Properties

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

Tropical Distribution Amazon.com AA-/Stable/A-1+ 75.0 8.0 June 30, 2034 Center Services Inc.

280 North Bernardo Aurora Innovations NR 40.0 4.3 March 31, 2030

420 Taylor Street Nextdoor Inc. NR 38.0 4.1 Feb. 1, 2029

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Table 3

Single-Tenant Properties (cont.)

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

3000 Post Oak Bechtel Oil, Gas and NR 35.0 3.7 July 31, 2024 Chemicals Inc.

Apollo Education Apollo Education NR 26.5 2.8 March 1, 2031 Group HQ Campus Group

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 November 2019 and July 2020. The weighted average loan interest rate is 3.78%.

The original loan terms range from 59 to 121 months, with a weighted average original loan term of 106 months. The weighted average remaining loan term is 104 months.

Twenty-seven loans (84.5% of the pooled trust balance) are interest-only for their entire loan term, and eight (10.8% 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. One loan (4.1%) is structured to amortize on a 360-month schedule for the first five years of the loan term, followed by a five-year interest-only period. One loan (0.7%) has no interest-only period, and amortizes on a 360-month schedule. S&P Global Ratings adjusted its analysis to reflect the various amortization terms and loan structures (see table 4).

Table 4

Loan Amortization

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 27 84.5 2.92 86.40

Partial interest-only 9 14.8 1.20 113.40

Amortizing balloon 1 0.7 1.37 104.30

Fully amortizing ------

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

Subordinated debt

Sixteen loans in the pool (70.0% of the pooled trust balance) have a pari passu component; two loans--1633 Broadway and Moffett Towers buildings A, B, and C (14.8%)--have a subordinated first-mortgage loan component in addition to senior trust and pari passu loan components (which

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were securitized in separate stand-alone transactions); three loans-–Chase Center Tower 1, Chase Center Tower 2, and BX Industrial Portfolio (11.1%)--have subordinate companion notes (unpooled rake bonds securitized in separate transactions); the Agellan Portfolio (8.0%) has pooled rake bonds (securitized in this transaction); three loans (11.1%) have b-notes; four loans (16.3%) have existing mezzanine debt; and five loans (22.4%) permit the borrower to incur future mezzanine debt ((see table 5).

Table 5

Loans With Existing Additional Debt

Pari Pooled trust % of pooled passu Subordinate first B-note Mezzanine Total balance trust debt (mil. mortgage loan balance balance (mil. debt (mil. Property (mil. $) balance $) component (mil. $) (mil. $) $) $)

Agellan Portfolio 75.0 8.0 156.0 172.0 -- 31.0 434.0

Moffett Towers 75.0 8.0 368.0 327.0 -- -- 770.0 Buildings A, B and C

BX Industrial 70.0 7.5 310.7 85.7 183.0 -- 649.4 Portfolio

MGM Grand and 65.0 7.0 1569.2 1365.8 -- -- 3000.0 Mandalay Bay

1633 Broadway 62.8 6.7 938.2 249.0 -- -- 1250.0

711 Fifth Avenue 45.0 4.8 500.0 ------545.0

280 North 40.0 4.3 31.0 ------71.0 Bernardo

420 Taylor Street 38.0 4.1 50.0 ------88.0

3000 Post Oak 35.0 3.7 45.0 -- -- 20.0 100.0

Brass 32.7 3.5 25.0 ------57.7 Professional Center

Flushing 28.0 3.0 - -- -- 4.0 32.0 Commons

Apollo Education 26.5 2.8 65.0 ------91.5 Group HQ Campus

Bellagio Hotel 21.2 2.3 1655.0 1333.8 -- -- 3010.0 and Casino

Southcenter Mall 20.0 2.1 198.0 ------218.0

Chase Center 18.2 1.9 127.5 83.6 94.5 -- 323.8 Tower I

Chase Center 15.5 1.7 108.8 71.4 80.5 -- 276.2 Tower II

Kings Plaza 14.1 1.5 472.9 -- -- 53.0 540.0

Cross-collateralized and portfolio loans

Six loans (33.4% of the pooled trust balance) are secured by portfolios with multiple properties. The largest are Agellan Portfolio (8.0%; 42 industrial properties and four office properties), Moffett

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Towers Buildings A, B, and C (8.0%; three suburban office properties), and BX Industrial Portfolio (7.5%; 68 industrial properties). There is one group of cross-collateralized and cross-defaulted loans in the pool made up of Chase Center Tower I and Chase Center Tower II (3.6%; office properties).

Third-Party Review

We reviewed appraisal, environmental, engineering, and seismic reports for all properties in the deal. All of the reports were completed after July 2019 (see table 6). However, the majority of the appraisals were completed prior to March 2020, before the severity of the COVID-19 pandemic was known, and may not reflect current conditions with respect to the properties or market. However, in our analysis we reviewed recent rent rolls and received information regarding tenant closures and tenants that requested rent relief. In certain cases, we incorporated this into our vacancy and capitalization rate assumptions, and our weighted average variance to the appraiser's value was (43.3%).

Eleven properties (23.6% of the pooled trust balance) are located in seismic zones 3 or 4. The Chase Center Towers I (1.9%) and Chase Center Towers II (1.7%) loans each had the highest overall probable maximum loss (PML) of 14.0%, each are required to maintain earthquake insurance. Eight (18.5%) of the 11 properties are required to carry earthquake insurance. The remaining properties in seismic zones 3 or 4 had PMLs of 13.0% or lower.

Table 6

Third-Party Review

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

Appraisal review within the past 12 months(i) 103 95.0

Environmental review within the past 12 months(i) 148 99.0

Engineering review within the past 12 months(i) 147 99.0

Seismic review for properties in zones 3 or 4 11 23.6

(i)The remainder of the properties all have third-party reports; however, these were completed more than 12 months ago.

Structural Review

We reviewed structural matters that we believe are relevant to our analysis, as well as the major transaction documents, including the prospectus, PSA, 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, as well as all loans with a balance over $20.0 million. 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 25 of the 37 loans in the pool (88.9% of the pooled trust balance). (See Appendix I for S&P Global Ratings' NCF variance applied to each loan in the transaction.)

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- We conducted site inspections for 10 properties across 10 loans (39.8% of the pooled trust balance).

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

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

S&P Global Ratings' NCF variance

S&P Global Ratings' property-level cash flow analysis derives what it believes to be a property's long-term sustainable NCF. In our analysis, we considered issuer-provided projections, historical and projected operating statements, third-party appraisal reports, relevant market data, and assessments of the various properties' competitive positions. On a pool-wide basis, our weighted average NCF was 20.4% 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 2.65x 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(i)

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

Less than 1.00 1 45.0 4.8

1.00–1.10 1 32.7 3.5

1.10–1.20 2 52.2 5.6

1.20–1.30 2 16.2 1.7

1.30–1.40 3 28.2 3.0

1.40–1.50 5 52.7 5.6

1.50–1.60 1 75.0 8.0

1.60–1.70 1 10.0 1.1

1.70–1.80 2 54.7 5.9

1.80–1.90 1 6.7 0.7

1.90–2.00 1 40.0 4.3

Greater than 2.00 17 521.0 55.8

(i)Excludes the Los Angeles leased fee portfolio. DSC--Debt service coverage.

S&P Global Ratings' LTV

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Based on our analysis, S&P Global Ratings' weighted average beginning LTV ratio is 90.5% and its ending LTV ratio is 87.9%, which reflects the 7.94% weighted average S&P Global Ratings capitalization rate (see table 8).

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 2 85.0 9.1

50–55 1 21.2 2.3

55–60 ------

60–65 3 38.8 4.1

65–70 1 62.8 6.7

70–75 4 224.0 24.0

75–80 2 18.1 1.9

80–85 ------

85–90 ------

90–95 4 83.8 9.0

95–100 3 57.5 6.2

100–105 5 70.2 7.5

105–110 4 42.8 4.6

Greater than 110 8 230.1 24.6

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

Office 39.1 2.31 (21.7) 7.44 89.2 496

Industrial 16.2 2.10 (22.0) 7.46 101.6 59

Mixed-use 13.6 1.96 (33.8) 8.22 106.2 394

Lodging 9.2 7.39 (10.9) 11.19 43.8 511,157

Multifamily 8.7 1.43 (12.6) 7.18 104.0 181,345

Self-storage 5.8 1.94 (8.7) 8.50 97.2 74

Mall 3.7 4.08 (19.5) 6.60 58.2 691

Retail unanchored 3.0 2.25 (8.1) 8.25 104.7 891

Medical office 0.8 1.44 (20.8) 8.50 101.5 250

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Table 9

Cash Flow Analysis And Valuation (cont.)

Total/weighted 100.0 2.65 (20.4) 7.94 90.5 -- average

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

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

Table 10

Top 10 Loans

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

Agellan Portfolio Mixed-use 8.0 2.58 (14.9) 8.89 70.1 54

Moffett Towers Office 8.0 2.80 (22.7) 7.25 74.4 626 Buildings A, B, and C

Tropical Distribution Industrial 8.0 1.52 (27.4) 7.50 127.7 69 Center

BX Industrial Industrial 7.5 2.78 (16.3) 7.35 73.3 47 Portfolio

MGM Grand and Lodging 7.0 7.54 (8.7) 11.25 41.5 404,024 Mandalay Bay

1633 Broadway Office 6.7 3.12 (18.9) 6.35 67.1 583

711 Fifth Avenue Mixed-use 4.8 0.92 (68.1) 7.02 163.7 979

280 North Bernardo Office 4.3 1.94 (14.6) 7.75 99.9 639

420 Taylor Street Office 4.1 1.19 (28.6) 7.25 115.6 655

3000 Post Oak Office 3.7 1.72 (21.5) 8.00 91.8 197

Total/weighted -- 62.2 2.80 (22.8) 7.92 88.5 -- 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 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. DSC--Debt service coverage.

Table 11 summarizes S&P Global Ratings' NCF and valuation assessment of loans 11-20. For these loans, our weighted average NCF is 17.4% lower than the issuer's underwritten NCF. S&P Global Ratings' weighted average beginning LTV ratio is 88.1% for these loans, and we calculated

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a 2.84x DSC using the respective loans' contract interest rates and S&P Global Ratings' NCF. 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 NCF % of Global Global S&P Ratings' variance/high pooled Ratings' Ratings' Global value per S&P Global Property trust trust DSC % NCF cap rate Ratings' unit/sq. ft. Ratings' LTV Property type balance (x)(i) diff.(ii) (%) LTV (%) ($) drivers

Brass Office 3.5 1.02 (22.0) 8.25 129.2 78 20% vacancy Professional rate, TI/LCs, Center CapEx

Flushing Retail 3.0 2.25 (8.1) 8.25 104.7 891 Underwrote Commons unanchored HaiDiLao base rent at $43.10 per sq. ft., TI/LC

Apollo Education Office 2.8 2.75 (33.7) 8.50 91.0 168 20% vacancy Group HQ rate, 30% Campus operating expense plug, TI/LCs.

Bellagio Hotel Lodging 2.3 6.94 (17.6) 11.00 50.8 838,861 $248.9 RevPAR, and Casino taxes, FF&E.

Southcenter Mall 2.1 5.18 (20.6) 6.50 43.0 648 12.4% vacancy Mall rate, year 2 taxes.

Cityline Augusta Self-storage 2.1 1.79 (8.6) 8.50 106.7 72 Extrapolated Portfolio NCF haircut.

Chase Center Office 1.9 3.24 (16.6) 7.00 60.4 759 10.0% vacancy Tower I rate, TI/LCs

364 Lincoln Multifamily 1.9 1.48 (12.0) 6.50 104.5 313,306 Gross potential rent, other income, expenses.

Chase Center Office 1.7 3.21 (16.6) 7.00 61.0 759 10.0% vacancy Tower II rate, TI/LCs

Jasmine Cove Multifamily 1.6 1.33 (10.5) 7.00 92.3 88,323 Applied a 7.25% vacancy rate, taxes.

Total/weighted -- 23.0 2.84 (17.4) 7.98 88.1 -- -- average

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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).

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 20.6, which we consider to be moderately diversified, resulting in a concentration coefficient of 50.8%.

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 (55.7%) and secondary markets (37.3%).

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 10.0%-40.0% from our current cash flow, which is 20.4% lower than the issuer's underwritten NCF. (See table 13 for the potential effect on S&P Global Ratings' 'AAA' rating under these scenarios, holding constant S&P Global Ratings' overall capitalization rate of 7.94%.)

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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 AA- BBB BB+ CCC-

NCF--Net cash flow.

Top 10 Loans

1. Agellan Portfolio

Table 13

Credit Profile(i)

Loan no. 1 Property type Various

Loan name Agellan Portfolio Subproperty type Office/industrial

Pooled trust loan balance 75,000,000 Property sq. ft./no. of units 6,094,177 ($)

% of total pooled trust 8.0 Year built/renovated Various balance (%)

City Various Sponsor ELAD Canada

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

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

S&P Global Ratings' NCF ($) 9,090,000(ii) S&P Global Ratings' subordinate Unsecured debt (S&P Global debt category Ratings LTV < 90%)

S&P Global Ratings' NCF (14.9) S&P Global Ratings' subordinate (1.50) variance (%) debt adjustment

S&P Global Ratings' cap 8.89 S&P Global Ratings' LTV (%) 70.1 rate (%)

S&P Global Ratings' value 107.0(ii) S&P Global Ratings' DSC (x) 2.58 (mil. $)

S&P Global Ratings' value (40.2) 'AAA' SCE (%) 38.0 variance (%)

S&P Global Ratings' value 54 'AAA' DCE (%) 7.1 per sq. ft./unit ($)

(i)The trust loan is pari passu adjusted. LTV and DSC are calculated based on the $156.0 million pari passu companion loan and the $75.0 million pooled trust loan balance (collectively, the senior note) (ii)Pari passu adjusted. NCF--Net cash flow. LTV--Loan-to-value. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement.

Strengths and concerns

The loan exhibits the following strengths:

- The senior note, which is made up of the $75.0 million pooled trust loan and a $156.0 million

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pari passu portion, represents a total $231.0 million portion of a larger $403.0 million whole loan. The remaining $172.0 million subordinate notes support loan-specific rake bonds, which are the controlling piece of the whole loan. The whole loan is secured by the fee-simple interest in 42 industrial and four suburban office properties (totaling approximately 6.1 million sq. ft.) across 12 markets throughout the U.S.

- The senior note has low leverage, with an S&P Global Ratings' LTV ratio of 70.1%, based on our valuation. The LTV ratio based on the appraiser's "as-is" valuation is 41.9%. Our estimate of long-term sustainable value is 40.2% lower than the appraiser's "as-is" valuation.

- The senior note has a strong DSC of 2.58x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 14.9% lower than the issuer's NCF.

- All but one of the portfolio properties are located in markets that we consider primary or secondary markets. Primary and secondary markets generally have higher barriers to entry than tertiary markets. The top five markets by S&P Global Ratings' NCF are Chicago (23.6%), Houston (16.7%), Austin, Texas (15.4%), Tampa (13.5%), and Atlanta (11.1%). According to CoStar data, the portfolio is spread across 12 markets (with 24 different submarkets) throughout the U.S. In these submarkets, the vacancy rate is generally at or around 5.0% for industrial properties, at or around 10.0% for flex properties, at 10.7% for the office submarket in Chicago and at 21.2% for the office submarket in Houston. Although the portfolio consists of 46 assets spread across 12 different markets, we did not give any portfolio benefit in our analysis because the five largest properties accounts for 50.9% of the S&P Global Ratings NCF.

- The portfolio is 93.4% leased (90.4% leased excluding dark tenants and known vacates) and consists of over 250 tenants with a weighted average lease term of approximately 2.9 years. The properties have operated at relatively stable occupancy levels since 2013, ranging from between 91.0% and 96.2%. These historical occupancy levels are generally consistent with their respective markets. In our analysis, we assumed an overall vacancy factor of 17.2% essentially based on the greater of 5.0% for multitenant properties, 10.0% for single-tenant properties, prevailing submarket vacancy rate, and in-place vacancy.

- The five largest tenants, United Natural Foods Inc. ('B'), Health Care Service Corp. (whose parent, UnitedHealth Group Inc., is rated 'A+/Stable/A-1'), ALDI Inc. (NR), General Motors LLC (whose parent, General Motors Company, is rated 'BBB/Watch Negative'), and Moran Foods LLC ('B-') occupy approximately 22.1% of the net rentable area (NRA) and contribute approximately 23.6% of gross potential rent as calculated by S&P Global Ratings. None of the other existing tenants account for more than 2.5% of the gross potential rent as calculated by S&P Global Ratings.

- The whole loan benefits from Elad Canada's experienced sponsorship. Elad Canada is a privately held, commercial real estate company specializing in the acquisition and development of commercial and residential rea estate. The company was founded in 1997 and is based in Toronto, Canada. As of 2020, ELAD Canada has 7.4 million-sq.-ft. of income producing space, as well as 4.4 million-sq.-ft. of construction in the pipeline and over 6,000 residential units under development. ELAD Canada is a part of the ELAD Group. Founded in 1992, ELAD Group is a real estate conglomerate with development projects in North America, Europe, and Israel. The originator has been notified that the controlling shareholder of ELAD Group has entered into a non-binding memorandum of understanding to sell certain assets, including 37.0% of ELAD Canada to a joint venture between Plaza Partners and Argent Ventures. The non-binding memorandum of understanding includes a call option in favor of the buyers and a put option in favor of the seller for the remaining 63.0% of ELAD Canada. If the purchase of the 37.0% stake occurs, the buyers will take over day-to-day operations of ELAD Canada. In the event the transaction moves forward, the sponsor anticipates the closing to occur in September 2020.

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Argent Ventures is a vertically-integrated, diversified real estate investment and development firm specializing in opportunistic, and value-add transactions through the U.S.

- The loan proceeds along with approximately $2.2 million of fresh sponsor equity were used to refinance the existing floating rate debt on 42 of the assets (currently securitized in the MSC 2019-AGLN transaction), encumber four assets that were acquired in an all cash transaction in 2019, fund various reserves (including a $2.0 million working capital reserve that could be used, among other things, to cover interest shortfalls under the mortgage and mezzanine loans, if any), and cover closing costs. Based on the sponsor's cost basis of $507.8 million, $185.5 million of cash equity will remain in the portfolio at closing.

- The mortgage loan is structured with a hard in-place lockbox and in-place cash management. A cash sweep event will occur upon an EOD, a mezzanine loan EOD, the DSC falling below 1.15x, or the bankruptcy of any borrower, SPE party, or manager (provided the manager is not replaced). There are also ongoing reserves for taxes, insurance, capital expenditures, and leasing expenses.

The loan exhibits the following concerns and mitigating factors:

- The senior note ($231.0 million) along with the remaining $172.0 million subordinate notes total together $403.0 million. Including the remaining $172.0 million subordinate notes, our LTV increases to 122.3% from 70.1%.

- In addition to the whole loan, there is a $31.0 million mezzanine loan. The whole and mezzanine loans have a combined S&P Global Ratings' LTV ratio of 131.7%. The comparably weaker credit metrics for the combined debt exposes the trust loan to a higher default risk. Therefore, we applied a negative LTV threshold adjustment at each rating level to account for this risk.

- The senior note is interest-only for its entire five-year term, and there will be no scheduled amortization during the loan term. Compared with an amortizing loan, an interest-only loan bears a higher refinance risk because of the higher loan balance at maturity. We accounted for this lack of amortization by applying a negative LTV threshold adjustment across the capital structure.

- The properties face tenant rollover risk during the loan term, with approximately 84.3% of the leased NRA and 76.8% the in-place rent (as calculated by S&P Global Ratings) expiring by 2025. The highest roll is in 2022, when leases representing a combined 25.0% of the NRA (18.4% of in-place rents as calculated by S&P Global Ratings) expire. The diverse tenancy at the properties helps mitigate this rollover risk. The loan's structure also requires ongoing reserves. However, we accounted for these risks in our overall 8.89% capitalization rate and our 17.2% vacancy assumption.

- While the collateral for this loan consists of multiple properties, the senior note is somewhat concentrated by geographic location with 46.9% of the allocated loan amount (ALA) concentrated in Texas. We expect that properties located in Texas, specifically Houston, will be subject to increase volatility in occupancy resulting from the declines in the oil and gas sector, which has resulted in a drop in office demand. However, as detailed above, we believe our stressed vacancy factor and overall capitalization rate already incorporate the risk of additional vacancy across the portfolio, and did not make any additional adjustments.

- The borrower may obtain the release of one or more of the properties, subject to a release price of 110.0% for the first 15.0% of the ALA and 115.0% thereafter. However, any property releases are subject to certain minimum DSCR tests, which must be satisfied after giving effect to the release. These tests are designed to ensure that the credit characteristics do not deteriorate because of prepayments.

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

- There is no warm body carve-out guarantor, and the carve-out guarantee is capped at only 20% of the loan amount for full recourse events. In our view, these limitations generally lessens the disincentive provided by a full non-recourse carve-out related to "bad acts" or voluntary bankruptcy.

- According to information provided to us by the loan seller, the properties are reported to be open (as of June 1, 2020); however, many office tenants have chosen to work remotely. For April, May, and June 2020, tenants representing approximately 97.7%, 96.7%, and 97.0% of NRA, respectively, have paid rent in-full, with the borrower having collected approximately 97.8%, 97.8%, and 96.6% of issuer's underwritten base rent, respectively. The top 10 tenants, representing 38.6% of NRA and 41.0% of the issuer's underwritten base rent, had no issues with rent payment. Thirty-two tenants, representing approximately 5.5% of the issuer's underwritten base rent and 5.4% of the NRA, have requested rent relief or have partial or no collections for the months of April, May, and June. The five largest tenants that have put in formal requests for relief in aggregate represent approximately 2.0% of NRA and approximately 1.8% of issuer's underwritten base rent. As of June 2020, none of the tenants have been granted a rent deferral and 25 tenants (totaling 5.4% of NRA) are in discussions with the borrowers for rent relief. Given this relatively strong collection performance and considering our stressed vacancy factor when compared to the portfolio historical vacancy, we believe that our analysis already incorporates the risk of additional vacancy; therefore, we did not make any additional adjustments.

2. Moffett Towers--Buildings A, B, and C

Table 14

Credit Profile(i)

Loan no. 2 Property type Office

Loan name Moffett Towers Buildings A, B, Subproperty type Suburban and C

Pooled trust loan balance ($) 75,000,000 Property sq. ft. 951,498

% of total pooled trust balance 8.0 Year built 2008 (%)

City Sunnyvale Sponsor Jay Paul

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

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

S&P Global Ratings' NCF ($) 7,440,000(ii) S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (22.7) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate 7.25 S&P Global Ratings' LTV ratio (%) 74.4 (%)

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Table 14

Credit Profile(i) (cont.)

S&P Global Ratings' value (mil. 100.8(ii) S&P Global Ratings' DSC ratio (x) 2.80 $)

S&P Global Ratings' value (40.1) 'AAA' SCE (%) 39.5 variance (%)

S&P Global Ratings' value per 626 'AAA' DCE (%) 7.8 sq. ft./unit ($)

(i)The loan is pari passu. LTV and DSC ratios are calculated based on the $368.0 million pari passu companion loan and the $75.0 million trust loan balance. (ii)Pari passu adjusted. 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 $75.0 million trust loan represents a senior pari passu portion within a larger $770.0 million whole loan. The loan is secured by three, eight-story class-A office buildings totaling 951,498 sq. ft. located within the Moffett Towers campus in Sunnyvale, Calif. The buildings are LEED Gold-certified, constructed with contemporary, high-quality finishes, and are well-located near strong transit linkages to the rest of the San Francisco Bay Area.

- The senior loan component has low leverage, with an S&P Global Ratings' LTV ratio of 74.4%, based on our valuation. The LTV ratio, based on the appraiser's "as-is" valuation, is 44.5%. Our estimate of long-term sustainable value is 40.1% lower than the appraiser's "as-is" valuation.

- The senior loan component has a strong DSC ratio of 2.80x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 22.7% lower than the issuer's NCF, primarily due to a higher vacancy assumption and the removal of straight-line rent credit.

- The property benefits from high-quality tenancy. The two largest tenants are Google ('AA+'; 84.1% of gross rent) and Comcast ('A-'; 13.1%). Comcast recently signed a seven-year lease extension and has one five-year extension option remaining. Google's parent company, Alphabet, is headquartered four miles to the northwest in Mountain View, Calif., and each of its leases at the property have a seven-year extension option. The property is 100% leased.

- The property is located in Sunnyvale, Calif. Sunnyvale is a suburb of San Jose, Calif., and is part of Silicon Valley, a prosperous region located south of San Francisco that is well-known for its high concentration of technology firms. We consider Sunnyvale to be a primary market. CBRE-Econometrics (CBRE-EA) considers the property to be part of the Sunnyvale submarket, which exhibited a 3.8% overall vacancy and had net asking rents of $62.49 per sq. ft. as of fourth-quarter 2019. The property's weighted average in-place net rent of $56.36 per sq. ft. is below the submarket level.

- The loan is structured with a hard lockbox and in-place cash management. A cash sweep event occurs upon an EOD, if the DSC falls below 1.15x, or if Google has terminated or elected to terminate its space, declared bankruptcy, fallen below investment grade or reduced its square footage beyond certain minimum thresholds. There are also ongoing reserves for taxes, insurance, and capital expenditures. The loan also has upfront reserves for all outstanding tenant improvements and leasing commissions (TI/LCs) and free rent totaling approximately $87.7 million.

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- The loan agreement also calls for a monthly escrow equal to one-12th of the annual tax and insurance liability, although the insurance escrow may be waived if the property is covered by a blanket policy.

- We visited the property in February 2020 and were given a tour by the sponsor's representatives. The improvements have been developed to a LEED Gold standard and utilize the latest energy and water efficiency technology management systems. The property is located in the northern portion of Sunnyvale, Calif., within Moffett Park, a 519-acre area comprising recently developed office spaces and legacy one- and two-story research and development (R&D) buildings. Situated alongside Silicon Valley's State Highway 237 corridor near U.S. Highway 101, the property is accessible via major freeways and thoroughfares, as well as the Santa Clara Light Rail System, which services the surrounding residential communities. The tenants have exclusive access to an upscale amenities building, which includes a gym, exercise rooms, a basketball court, an Olympic-size swimming pool, and locker rooms. Overall, we found the property to be well-maintained and meriting its class-A designation.

- The loan benefits from the Jay Paul Cos.' (Jay Paul) experienced sponsorship. Jay Paul is a privately held real estate firm based in San Francisco, which concentrates on the acquisition, development, and management of commercial properties throughout California with a specific focus on technology firms. Jay Paul has successfully developed or acquired over 13 million-sq.-ft. of institutional space.

The loan exhibits the following concerns and mitigating factors:

- The $75.0 million pooled trust loan, along with the $368.0 million pari passu portion held outside the trust, represents a total $443.0 million senior loan component of a $770.0 million whole loan. The remaining $327.0 million junior non-trust note is held outside the trust, is the controlling piece of the whole loan, and increases our LTV ratio to 129.3% from 74.4%.

- The loan is interest-only for its entire 10-year loan 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 2.5% LTV threshold adjustment across the capital structure.

- The refinancing returns approximately $314.1 million (40.8% of the total combined loan balance) in equity to the sponsor.

- The loan's performance is highly dependent on Google's business prospects because it leases 85.7% of the property's total square footage under leases expiring in 2026, 2027, and 2030. The triple-net (NNN) lease includes annual base rent increases of 3.0%, two extension options for seven years each, and no early termination rights.

- The borrower may obtain the release of up to two properties, subject to a release price of 115% of the ALA for buildings A and C, and 125% for building B. Any property releases are subject to minimum debt yield (DY), DSC, and LTV thresholds of 7.75%, 1.44x, and 70.0%, respectively, which must be satisfied after giving effect to the release. This is designed to ensure that the credit characteristics do not deteriorate as a result of prepayments.

- During alterations to the property, the loan documents leave to the lender's discretion the decision of whether to require collateral for alterations that exceed a certain cost threshold. This structure potentially exposes the loan to risks associated with additional leverage beyond a de minimis amount and to additional liens, such as mechanic's liens, some of which may have priority over the mortgage lien.

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- There is no warm-body carve-out guarantor. In our view, this limitation generally lessens the disincentive provided by a full nonrecourse carve-out related to "bad boy" acts or voluntary bankruptcy.

- As of July 1, 2020, the property is reported to be open and operating; however, California's state and local laws that require a temporary shelter in place, as well as restrictions on non-essential business operations, have resulted in most of the office tenants working remotely. The loan is current as of the June payment date. Google is requesting to delay their September 2020 rent commencement for a portion of their space in building C (11.8% of gross rent) due to COVID-19 virus-related delays of their build out. The sponsor has declined this request. One tenant (1.4% of underwritten base rent) has been delinquent for April, May, and June and is requesting rent relief; however, we are unaware of the outcome of the request. The property is 100% occupied and we underwrote to a 10% vacancy. Given the high degree of uncertainty around the timeframe of these state and local level restrictions to combat the spread of the COVID-19 virus, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

3. Tropical Distribution Center

Table 15

Credit Profile

Loan no. 3 Property type Industrial

Loan name Tropical Subproperty type Warehouse/distribution Distribution Center

Pooled trust loan balance 75,000,000 Property sq. ft./no. of units 855,000 ($)

% of total pooled trust 8.0 Year built/renovated 2019 balance (%)

City Las Vegas Sponsor Brett Michael Lipman and Farshid Steve Shokouhi

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

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

S&P Global Ratings' NCF 4,160,000 S&P Global Ratings' subordinate N/A ($) debt category

S&P Global Ratings' NCF (27.4) S&P Global Ratings' subordinate N/A variance (%) debt adjustment

S&P Global Ratings' cap 7.50 S&P Global Ratings' LTV (%) 127.7 rate (%)

S&P Global Ratings' value 58.7 S&P Global Ratings' DSC (x) 1.52 (mil. $)

S&P Global Ratings' value (46.6) 'AAA' SCE (%) 64.8 variance (%)

S&P Global Ratings' value 69 'AAA' DCE (%) 43.5 per sq. ft./unit ($)

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

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Strengths and concerns

The loan exhibits the following strengths:

- The trust loan is a mortgage loan secured by the fee-simple interest in a recently delivered 855,000-sq.-ft., class-A, built-to-suit distribution center for Amazon.com Services Inc. (Amazon). The NNN lease matures in June 2034, about four years after the anticipated repayment date (ARD) in June 2030 (the final maturity date occurs in June 2034). The lease is fully guaranteed by Amazon.com Inc. (AA-/Stable/A-1+) and Amazon has three five-year renewal options remaining.

- The trust loan has a moderate DSC of 1.52x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 27.4% lower than the issuer's NCF.

- The property serves as one of Amazon's key distribution locations with convenient access to the I-15, the primary North-South freeway in Las Vegas, connecting the metro area to major cities to the south, such as Los Angeles in Southern California, and to large cities across the Rocky Mountains to the north, including Salt Lake City. The property is also less than two miles from a Union Pacific intermodal rail facility and approximately 14 miles from McCarran International Airport.

- The building features a mezzanine floor, a 41 ft. clear ceiling height, 62 dock-high doors, and two drive-in doors, ESFR sprinklers, concrete tilt-up construction, and LED lighting. The property is fully air conditioned in the office and warehouse areas with roof-mounted heating, ventilation, and air conditioning (HVAC) packaged units, and features insulation on the roof and walls down to 10 ft. above the finished floor. The property offers 2,703 car spaces and 400 trailer spaces.

- Due to the COVID-19 pandemic, we were not able to physically tour the property. However, based on the video tour that was made available for review, we found the improvements to be consistent with class-A institutional quality distribution centers.

The loan exhibits the following concerns and mitigating factors:

- The trust loan has high leverage with a 127.7% LTV ratio, based on S&P Global Ratings' valuation. Our long-term sustainable value estimate is 46.6% lower than the appraiser's valuation.

- The trust 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 has tenant concentration risk because a subsidiary of Amazon.com accounts for 100% of the in-place base rent. However, the lease guarantor, Amazon.com, is one of the largest publicly traded firms in the world and is a market leader in e-commerce and cloud computing. The tenant has a long-term lease through June 2034, which is guaranteed by its parent company. In addition, the lease includes three five-year extension options, and no early termination rights.

- According to CoStar, the property is located in the Speedway industrial submarket of Las Vegas, which had an availability rate of 18.6% as of the second-quarter 2020. Overall asking rents within the submarket average $6.92 per sq. ft. compared with the property's in-place

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NNN rent of $5.98-per-sq.-ft. We applied a 7.5% vacancy rate to the property given the lease's long-term nature and the guarantee by the parent company.

- The mortgage loan is a refinancing and the loan proceeds returned approximately $6.3 million (8.4% of the financing) of equity to the sponsor. The sponsor purchased the property on May 11, 2020, for $110.0 million, and financed the acquisition with a $68.0 million bridge loan. Based on the sponsor's purchase price of $110.0 million, $35.0 million of cash equity will remain in the portfolio at closing.

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

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

- The mortgage loan is structured with a hard in-place lockbox and springing cash management, which allows the borrower to control funds until the ARD date, an EOD has occurred, a DY ratio of 6.50% is breached for one consecutive quarter, or the major tenant has terminated or elected to terminate its space, declared bankruptcy, reduced its square footage beyond certain minimum thresholds, or fallen below investment grade. At that point, the borrower will be required to maintain monthly tax and insurance escrows, replacement reserves, and TI/LC deposits. During a cash sweep event, all excess cash flow will be deposited into a lender-controlled account.

- As of July 1, 2020, the property is reported to be open and operating. For May and June 2020, 100% of the sq. ft. and rent payments were collected. Amazon is has not requested any rent relief. Because the lease is fully guaranteed by Amazon.com Inc., we believe the risk of forbearance is reasonably low. We underwrote to a 7.5% vacancy as compared to the actual in place vacancy of 0.0% and our NCF was 27.4% lower than the issuer's NCF.

4. BX Industrial Portfolio

Table 16

Credit Profile(i)

Loan no. 4 Property type Industrial

Loan name BX Industrial Subproperty type Various Portfolio

Pooled trust loan balance 70,000,000 Property sq. ft./no. of units 11,097,713 ($)

% of total pooled trust 7.5 Year built/renovated Various balance (%)

City Various Sponsor BREIT Industrial Holdings LLC

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

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

S&P Global Ratings' NCF 7,010,000(ii) S&P Global Ratings' subordinate Additional secured debt (S&P ($) debt category Global Ratings LTV >= 90%)

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Table 16

Credit Profile(i) (cont.)

S&P Global Ratings' NCF (16.3) S&P Global Ratings' subordinate (5.00) variance (%) debt adjustment

S&P Global Ratings' cap 7.35 S&P Global Ratings' LTV (%) 73.3 rate (%)

S&P Global Ratings' value 95.5(ii) S&P Global Ratings' DSC (x) 2.78 (mil. $)

S&P Global Ratings' value (45.4) 'AAA' SCE (%) 42.7 variance (%)

S&P Global Ratings' value 47 'AAA' DCE (%) 8.3 per sq. ft./unit ($)

(i)The trust loan is pari passu. LTV and DSC are calculated based on the $380.7 million mortgage loan balance ($70.0 million trust loan plus the $310.7 pari passu portion). (ii)Pari passu adjusted. 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 $70.0 million trust loan represents a pari passu portion within a larger $649.4 million whole loan. The mortgage loan is secured by the fee-simple interest in a portfolio of 68 industrial properties totaling 11.1 million-sq.-ft. located throughout 10 markets in 11 states. The properties are a mix of warehouse/distribution centers (69.5% NRA), light industrial buildings (20.0% NRA), manufacturing centers (5.8% NRA), offices (3.1% NRA), and business parks (1.6% NRA). Their year of construction ranges from 1954 to 2016 with a weighted average year built of 1991. Ceiling heights range from nine to 49 ft. and average 27 ft.

- The senior loan component has low leverage with a 73.3% LTV ratio, based on S&P Global Ratings' valuation. Our long-term sustainable value estimate is 45.4% lower than the appraiser's valuation.

- The senior loan component has a strong DSC of 2.78x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 16.3% lower than the issuer's NCF. The mortgage loan is an acquisition and the sponsor contributed $339.3 million of equity as part of the $988.7 million all-in acquisition cost (34.3% of the acquisition costs).

- The portfolio properties are concentrated in submarkets serving the nation's most dense population bases and active consumption centers with 89.8% of the square footage in primary and secondary markets (30.2% in primary and 59.6% in secondary). Over 50% of the portfolio is concentrated in large, economically vibrant regions of 11 states including Southern Virginia (Norfolk and Richmond) (25.1% NRA), greater Chicago (23.2% NRA), Cincinnati, Ohio (21.3% NRA), Eastern/Central Pennsylvania (Lehigh Valley and Harrisburg) (9.5% NRA), and Minneapolis (6.6% NRA) as the top five markets.

- The portfolio properties are currently 88% leased to over 125 unique tenants, with no single tenant accounting for more than 5.9% of the portfolio's NRA. The top five tenants are DHL (5.9% NRA); Amazon ('AA- (sf)'; 5.8% NRA); Signify North America Corp. ('BBB- (sf)' 3.6% NRA); National Distribution Centers (3.4% NRA); and Del Monte Foods (2.8% NRA). Together these tenants account for 21.5% of the NRA. We utilized a more conservative 19.3% economic vacancy in our analysis after accounting for transitional properties that have yet to stabilize

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and lower submarket occupancies compared to in-place. The portfolio's historical occupancy averages 87.5%, but has steadily increased since 2016 (83.4% compared to 91.8% at year-end 2019). Since 2017, net operating income (NOI) has increased 11.8% from $43.2 million in 2017 to $48.3 million in 2019.

- The portfolio has a weighted average rent in place of $5.39-per-sq.-ft. This is 3.3% lower than the weighted average rent of $5.59-per-sq.-ft. that we calculated using CoStar's second-quarter 2020 submarket data. The top five markets, which comprise 85.8% of NRA, are on average 98.7% of the prevailing submarket rents.

- The mortgage loan benefits from the experienced sponsorship of the Blackstone Real Estate group. Blackstone Real Estate is the largest private equity real estate investment manager in the world today with over $115.3 billion of real estate assets under management. They are also one of the world's leading owners and operators of logistics properties, with 561 million-sq.-ft. under management as of March 31, 2019.

- The mortgage loan is structured with a hard in-place lockbox and springing cash management, which allows the borrower to control funds until an EOD has occurred, the DY falls below 6.5% for two consecutive quarters through Nov. 9, 2022, or the DY falls below 6.75% for two consecutive quarters, thereafter. At that point, the borrower will be required to maintain monthly tax and insurance escrows, ground rent, replacement reserves, and TI/LC deposits. During a trigger period, 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 (as long as no EOD has occurred), the guarantor or sponsor can provide a guaranty equal to the amount that would have been deposited into the cash collateral account. This guaranty is capped at 15.0% of the outstanding principal balance.

The loan exhibits the following concerns and mitigating factors.

- The $70.0 million pooled trust loan, along with the $310.7 million pari passu portion held outside the trust, represents a total $380.7 million senior loan component of the $649.4 million whole loan. There are also $72.6 million of subordinate notes that support loan-specific rake bonds and $155.0 million in subordinate class C and D notes, which increase our LTV ratio to 138.7% from 73.3%.

- The loan is interest-only for its entire 77-month term, and there will be no scheduled amortization during the loan term. We accounted for the lack of amortization by applying a negative LTV ratio threshold adjustment across the capital structure.

- The property faces considerable tenant rollover risk during the loan term, with 72.8% of the leased NRA and 82.5% of in-place gross rents, as calculated by S&P Global Ratings, expiring during the loan term. The rollover is heightened in 2021, when 20.1% of the NRA and 20.7% of the gross rent as calculated by S&P Global Ratings, expires.

- The loan permits individual properties to be released upon a release premium payment of 105% of the ALA until 30.0% of the original principal balance is prepaid, and a release price of 110% thereafter. The aggregate DY after giving effect to the release must be at least the greater of (a) 7.5% and (b) the lesser of DY before release and 8.5%. However, if the sale is an arm's length transaction to an unrelated third-party purchaser or if the DY does not satisfy the above test, the borrower can obtain the release by paying down the loan in lieu of the adjusted release amount above or paying an amount equal to the greater of the (a) adjusted release amount and (b) the lesser of 100% of net sales proceeds and the amount of the prepayment that would be necessary to satisfy the DY test. Parcels A-8, A-12, A-15, and A-16 located at the property, known as Rivers Bend Center, can only be released together.

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- There is no warm body carve-out guarantor and the carve-out guaranty is capped at only 10.0% of the loan amount for bankruptcy. In our view, these limitations generally lessen the disincentive provided by a full non-recourse carve-out related to "bad acts" or voluntary bankruptcy.

- During alterations to the property, the loan documents leave to the servicer's discretion the decision whether to require collateral for alterations whose cost exceeds a certain threshold. Additionally, this collateral, if required, may not be rated by S&P Global Ratings. This structure potentially exposes the transaction to risks associated with (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 June 8, 2020, the borrower reported that it collected 99.0% of the scheduled April rent, as well as 90.7% of the scheduled May rent. The loan is current as of June 2020 and the borrower has not requested forbearance. We utilized a 19.3% vacancy rate in our analysis as compared to the actual in-place vacancy rate of 12.0% and our NCF was 21.1% lower than the year-end 2019 period. Given the high degree of uncertainty around the timeframe of the state level restrictions to combat the spread of the COVID-19 virus, we believe the risk of a borrower requesting forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

5. MGM Grand and Mandalay Bay

Table 17

Credit Profile(i)

Loan no. 5 Property type Lodging

Loan name Mandalay Bay and MGM Subproperty type Full service Grand

Pooled trust loan 65,000,000 Property sq. ft./no. of units 9,748 balance ($)

% of total pooled trust 7.0 Year built/renovated 1993/1999 balance (%)

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

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

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

S&P Global Ratings' 17,690,000(ii) S&P Global Ratings' subordinate N/A NCF ($) debt category

S&P Global Ratings' (8.8) S&P Global Ratings' subordinate N/A NCF variance (%) debt adjustment

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

S&P Global Ratings' 156.7(ii) S&P Global Ratings' DSC (x) 7.54 value (mil. $)

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

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Table 17

Credit Profile(i) (cont.)

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

(i)The trust loan is pari passu. LTV and DSC are calculated based on the $1.634 billion senior mortgage loan balance ($85.0 million pooled trust loan plus the $1.549 billion pari passu portion). (ii)Pari passu adjusted. 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 $65.0 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 and excluding the personal and intangible properties and 46.3% lower than the appraiser's "as is" valuation on the real estate properties and 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 NCF for the property, which is 8.8% 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 is expected to open in August 2020. The 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 (the MGM tenant), the Delano hotel is operated by 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

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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.

- 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 Resorts International (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 of $163.0 billion as of Dec. 31, 2019, 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 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 furniture, fixtures, and equipment (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 and are expected to occupy Allegiant Stadium by 2021. The National Hockey League's (NHL'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

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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%), other (13.6%), and entertainment (8.3%). 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 $181.07 as of year-end 2019 from $167.92 in 2015, an increase of 7.8%, 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 cancellation that affected the 2018 and 2019 performance; however, it is our understanding that the hotel is now past the impact from this event.

- MGM Grand and Mandalay Bay's main competitors are The Mirage, New York New York, Luxor, Caesars, 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% indicating parity with competitors) of 97.3% (where both occupancy and ADR penetrations are also slightly under 100%), which is consistent with 2018 at 97.6%, and slightly down from 2017 at 100.3%. The RevPAR penetration for Mandalay Bay was 106.6%, 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% RevPAR penetration) is Venetian/Palazzo.

- The mortgage loan is structured with an in-place hard lockbox and springing cash management, which allows the borrower to control funds until an EOD, 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 EOD 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 EOD 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 $65.0 million pooled trust loan, along with the $1.57 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 anticipated

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repayment date (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 2.5% 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 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.

- The Phase I environmental site assessment report identified a 30,000 gallon underground storage tank (UST) containing diesel fuel installed in May 1993 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

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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% of the loan amount. We believe these limitations generally lessen the disincentive provided by a full non-recourse carve-out related to "bad acts" or voluntary bankruptcy. There is also a no recourse 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.

- U.S. 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 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. The Four Seasons hotel remains closed. While the stay-at-home directive was lifted in Nevada and Las Vegas on May 15, 2020, casinos are operating at limited capacity with limited amenities. We expect travel will remain tempered for several quarters. The loan is current through its June debt service payment and the borrower has not requested forbearance. 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 $6.0 billion in cash and cash equivalents as of March 31, 2020, as well as $750.0 million of additional capital from its senior notes offering on April 23, 2020.

6. 1633 Broadway

Table 18

Credit Profile(i)

Loan no. 6 Property type Office

Loan name 1633 Broadway Subproperty type CBD

Pooled trust loan balance 62,850,000 Property sq. ft. 2,561,512 ($)

% of total pooled trust 6.7 Year built 1972 balance (%)

City New York Sponsor Paramount Group Operating Partnership L.P.

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Table 18

Credit Profile(i) (cont.)

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 ($) 5,940,000(ii) S&P Global Ratings' subordinate N/A debt category

S&P Global Ratings' NCF (18.9) S&P Global Ratings' subordinate N/A variance (%) debt adjustment

S&P Global Ratings' cap 6.35 S&P Global Ratings' LTV ratio (%) 67.1 rate (%)

S&P Global Ratings' value 93.7(ii) S&P Global Ratings' DSC (x) 3.12 (mil. $)

S&P Global Ratings' value (37.8) 'AAA' SCE (%) 32.9 variance (%)

S&P Global Ratings' value 583 'AAA' DCE (%) 5.9 per sq. ft./unit ($)

(i)The loan is pari passu. LTV ratio and DSC are calculated based on the $938.15 million companion loan and the $62.85 million pooled trust loan balance (collectively, the senior loan component). (ii)Pari passu adjusted. 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 $62.85 million trust loan represents a senior pari passu portion within a larger $1.25 billion whole loan. The mortgage loan is secured by the fee-simple interest in a 2.6 million-sq.-ft., 48-story office tower situated on a full block on Broadway between 50th and 51st Streets in Midtown Manhattan. The property was constructed in 1972, was renovated in 2013, and consists of 2.27 million-sq.-ft. of office space, 145,192-sq.-ft. of theater space, 77,338-sq.-ft. of retail space, and a 250-space below-grade parking garage.

- The senior loan component has low leverage with a 67.1% LTV ratio, based on S&P Global Ratings' valuation. Our long-term sustainable value estimate is 37.8% lower than the appraiser's "as-is" valuation.

- The senior loan component has a strong DSC of 3.12x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 18.9% lower than the issuer's NCF.

- The property is currently 98.4% leased to a diverse tenant roster of 28 unique tenants. Of the 2.56 million-sq.-ft. of collateral NRA, 88.8% is office, 5.7% is theatre, 3.0% is retail, 2.0% is parking, and 0.5% is storage. The largest tenants at the property are Allianz Asset Management of America (AA/Stable/A-1+; 12.5% of NRA; 15.5% of the in-place base rental income), WMG Acquisitions Corp. (11.3%, 10.1%), and Showtime Networks Inc. (parent company: ViacomCBS Inc.; BBB/Negative/A-2; 10.2%, 8.4%). The property has demonstrated a strong historical average occupancy of 94.2% since 2003.

- The property is located in a primary market. According to CoStar, the property is located within the Columbus Circle office and retail submarkets, which had vacancy rates of 6.8% and 1.6%, respectively, with market rents of $77.45-per-sq.-ft. and $117.07-per-sq.-ft., respectively, as

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of third-quarter 2019. The property is currently 98.4% physically occupied, according to the October 2019 rent roll. S&P Global Ratings assumed an average rent of $67.01-per-sq.-ft. and weighted average vacancy rate of 5.9%, giving credit to the investment-grade tenancy at the property.

- We visited the property on Oct. 23, 2019, and found the improvements to be consistent with a class-A office property. We viewed the top two floors, which were currently under construction and leased to New Mountain Capital LLC. New Mountain was expected to take occupancy in February 2020 but due to the COVID-19 pandemic that has been postponed and no definitive plan has been set on when the move-in might take place. The space offered impressive views of the city skyline, particularly from the double-height open balcony facing south. We also visited the MongoDB, Warner Music Group, and Bleacher Report (Turner Broadcast System Inc.) offices, which all contained internal staircases and offered modern, renovated office space. The building was conveniently located on Broadway with access to multiple transportation options, including the #1 subway line at the base of the property.

- The mortgage loan benefits from Paramount Group Inc.'s (NYSE: PGRE) experienced sponsorship. PGRE owns more than 10.4 million-sq.-ft. of class-A office buildings in New York, Washington, D.C., and San Francisco. The company was founded in 1978 by Werner Otto and taken public in November 2014.

- The mortgage loan is structured with a hard lockbox and springing cash management. A cash sweep event occurs if the DY falls below 5.8% for two consecutive quarters. At closing, the borrower will deposit $40.40 million for unfunded obligations such as TI/LCs and free rent. There are also ongoing reserves for taxes, insurance, and capital expenditures.

The loan exhibits the following concerns and mitigating factors:

- The $62.85 million pooled trust loan, along with the $938.15 million pari passu portion held outside the trust, represents a total $1.00 billion senior loan component of a $1.25 billion whole loan. The remaining $249.0 million junior non-trust note is held outside the trust, is the controlling piece of the whole loan, and increases our LTV ratio to 83.8% from 67.1%.

- The trust 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 ratio threshold adjustment across the capital structure.

- In addition to the first-mortgage loan, the loan agreement permits future mezzanine debt as long as the aggregate DY remains equal to or greater than the underwritten level of 9.4%, the aggregate DSC remains equal to or less than 3.08x, and the aggregate LTV ratio remains equal to or lower than the underwritten level of 52.1%. Any additional financing is also subject to rating agency consent.

- The mortgage loan is a refinancing, and the loan proceeds returned approximately $139.9 million (11.2% of the financing) of equity to the sponsor.

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

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have priority over the mortgage lien.

- As of May 26, 2020, the property is reported to be open and operating; however, due to the "New York State on Pause" executive order, which restricts non-essential business operations and encourages residents to stay at home, all retail tenants, including the two theaters at the property, are closed and the majority of the office tenants are working remotely. The loan is current as of the June 2020 payment date. According to the issuer, the sponsor has received either full or partial rent payments in May from tenants representing 93.0% of the base rent. One tenant, representing approximately 8.0% of the base rent, paid reduced April and May rent and has signed an amendment allowing for a portion of the contract rent to be deferred through year-end 2020. The deferred rent is required to be repaid with interest over a 36-month period beginning Jan. 1, 2021. We utilized a 5.9% vacancy rate versus the actual in-place vacancy of 1.6% and our NCF was 18.7% lower than the Nov. 30, 2019, trailing 12-month period. Given the high degree of uncertainty around the timeframe of these state level restrictions to combat the spread of the COVID-19 virus, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

7. 711 Fifth Avenue

Table 19

Credit Profile(i)

Loan no. 7 Property type Mixed-use

Loan name 711 Fifth Avenue Subproperty type Office/retail

Pooled trust loan 45,000,000 Property sq. ft./no. of units 340,024 balance ($)

% of total pooled 4.8 Year built/renovated 1927/2013-2019 trust balance (%)

City New York Sponsor Bayerische Versorgungskammer, Deutsche Finance America LLC, DF Deutsche Finance Holding AG, and Hessen Lawyers Pension Fund

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

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

S&P Global 1,330,000(ii) S&P Global Ratings' N/A Ratings' NCF ($) subordinate debt category

S&P Global (68.1) S&P Global Ratings' N/A Ratings' NCF subordinate debt variance (%) adjustment

S&P Global 7.02 S&P Global Ratings' LTV (%) 163.7 Ratings' cap rate (%)

S&P Global 7.5(ii) S&P Global Ratings' DSC (x) 0.92 Ratings' value (mil. $)

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Table 19

Credit Profile(i) (cont.)

S&P Global (66.7) 'AAA' SCE (%) 72.5 Ratings' value variance (%)

S&P Global 979 'AAA' DCE (%) 72.5 Ratings' value per sq. ft./unit ($)

(i)The trust loan is pari passu. LTV and DSC are calculated based on the $545.0 million mortgage loan balance ($45.0 million trust loan plus the $500.0 pari passu portion). (ii)Pari passu adjusted. NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. CBD--Central business district. N/A--Not applicable.

Strengths and concerns

The loan exhibits the following strengths:

- The whole loan is secured by the fee-simple interest in an 18-story, 340,024-sq.-ft., mixed-use property consisting of office (285,666 sq. ft.) and retail (50,669 sq. ft.) spaces in Manhattan.

- The property is located in a primary market. The property benefits from its prime location, along the 5th Avenue urban retail corridor between 49th to 59th Streets. This retail corridor commands higher retail rents than the overall Manhattan retail market. Based on our research article titled "U.S. CMBS: Rent Declines Could Weaken Retail Loan Performance In The Big Apple", published Feb. 18, 2020, the average asking rent for this retail corridor was $2,500-per-sq.-ft. as of Fall 2019, the highest in Manhattan. Even so, rent has been declining, down 35.9% from peak rates of $3,900 per-sq.-ft. achieved in Fall 2017.

- We visited the property on March 2, 2020, and found the property to be well-maintained. The 18-story limestone façade and architectural features, including the second-floor arch windows, are aesthetically unique and make the property stand out from surrounding properties. Five elevators serve the office spaces, starting on floors four through 17, while the 18th floor is accessible by stairs from the 17th floor. Windows surrounding the building provide sufficient natural light to the floors, and the 18th floor also benefits from a skylight that enhances the amount of natural light in the space. The retail spaces are 100% leased to Ralph Lauren and Swatch Group. We toured the Ralph Lauren space, the majority of which has been vacant since 2017. Ralph Lauren's space benefits from the corner location and occupies portions of the first, second, and third floors, with interior stairways and two sets of elevators serving the space. The interior finishes remain the same as when Ralph Lauren left; and therefore, would require TIs to retrofit the space for a replacement tenant. While the property's general area continues to be the prime retail corridor in Manhattan that commands the highest retail rent per sq. ft. in the market, the changing dynamics of the area are concerning, as displayed by the amount of vacant store fronts in the area. However, the property's retail spaces are 100% leased until 2029, providing the borrower sufficient time, in our opinion, to work with Ralph Lauren to re-tenant the currently dark space.

- The loan is a refinancing and the borrower contributed $60.0 million (10.0% of the financing) of equity, along with the $545.0 million whole loan, to refinance the prior debt and pay closing cost. In addition, based on the appraised value of $1.0 billion, $455.0 million of equity will remain in the property at closing.

- The fifth largest tenant by sq. ft., Sandler Capital, with 17,200-sq.-ft. (5.1%), recently renewed their lease at the property for seven more years until June 2027 at net rents higher than the

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expiring rates. No other leases in place expire in the near-term; the next tenant with a lease set to expire at the property is Catalyst Investors (6,034 sq. ft.; 1.8%), expiring November 2023.

- The loan benefits from the experienced sponsorship of Bayerische Versorgungskammer (BVK), Deutsche Finance America, Hessen Lawyers Pension Fund, Michael Shvo, and BLG Capital. Each of these entities has significant capital under management, and BVK is the largest with a total investment volume of €77.0 billion. In addition, the entities in this partnership have successfully acquired five other properties located in major cities prior to the acquisition of 711 Fifth Avenue.

- The loan is structured with a hard in-place lockbox and springing cash management, which allows the borrower to control funds until DY ratio of 7.0% is breached for two consecutive quarters; one of the major tenants has terminated or elected to terminate its space, failed to timely renew, or reduced its square footage beyond certain minimum thresholds; one of the major tenants is downgraded; a mezzanine loan EOD; or borrower fails to obtain a new certificate of occupancy. At that point, the borrower will be required to maintain monthly tax and insurance escrows, replacement reserves, and TI/LC deposits. During a cash sweep event, all excess cash flow will be deposited into lender-controlled accounts.

The loan exhibits the following concerns and mitigating factors:

- The whole loan has high leverage with a 163.7% LTV ratio, based on S&P Global Ratings' valuation. Our long-term sustainable value estimate is 66.7% lower than the appraiser's valuation of $1.0 billion.

- The whole loan has a weak DSC of 0.92x, calculated using the loan's fixed interest rate and our NCF for the property, which is 68.1% lower than the issuer's NCF. Our NCF variance is primarily due to mark-to-market rental rate assumptions we applied to the two retail tenants, Ralph Lauren and Swatch Group. Due to declining retail rental rates in the submarket, as well as the fact that the Ralph Lauren space has been dark since 2017, we marked the rental rates at the retail space to $1,200 per sq. ft.

- In addition to the mortgage loan, the borrower can obtain additional mezzanine debt in the future. The mezzanine loan can be made in an amount resulting in a maximum LTV ratio of 54.5%, a minimum DSC of 2.80x, and a minimum DY of 8.98%. The borrower's ability to incur additional subordinated debt exposes the trust loan to a higher default risk.

- The whole 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 LTV threshold adjustment across the capital structure.

- Although the retail spaces are 100% leased, the Ralph Lauren spaces are currently dark. In addition, the office component is approximately 72.0% occupied, which is lower than the submarket rate of 91.3%. The property also exhibits tenant concentration risk. The top five tenants at the property, Truist Bank, formerly known as SunTrust Bank ('A/Stable'), Allen & Co., Ralph Lauren ('A-/Watch Neg'), Loro Piana USA, and Sandler Capital, in the aggregate occupy 69.3% of the NRA and contribute about 63.6% of in-place rents. However, their lease expirations are somewhat staggered, with the earliest lease expiration being Truist Bank in April 2024. We accounted for this risk by reviewing the rental rates paid by these tenants compared to market levels and, where applicable, marked-to-market the rental rates, as we have done for Ralph Lauren.

- Although the tenant is continuing to pay rent, the Ralph Lauren space is dark. In addition, the property's rental income from the retail tenants also exhibits concentration risk, with Ralph Lauren and Swatch Group (not rated) contributing approximately 42.2% and 35.8% of the

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in-place rent, respectively. Furthermore, both Ralph Lauren and Swatch Group's leases expire in 2029, one year prior to loan maturity and, in our opinion, their current rental rates are above market levels. We accounted for this risk by marking both tenant rental rates down in our analysis. However, because Ralph Lauren is rated 'A-', we gave consideration to the present value of the above market lease, estimated at $102.9 million, in determining our S&P Global Ratings value. It is also important to note that the above market lease value is a "wasting asset" for which the present value will decline with each passing year.

- The property is located within the Manhattan retail market according to CBRE-EA, which had a vacancy rate of 18.1%. According to the appraiser, the property is located in the Plaza District submarket. The office availability and vacancy rates for the Plaza District submarket were 16.1% and 8.7%, respectively, with an average asking rent of $114.07-per-sq.-ft. According to the appraiser, the retail availability rate for the submarket was 21.9% and the average asking rent was $3,182 per sq.-ft. as of first-quarter 2020. The appraiser concluded market rent for the ground floor space at $2,750 to $3,000-per-sq.-ft.

- During alterations to the property, the loan documents do not require the borrower to post collateral for alterations whose cost exceeds a certain threshold. 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 July 8, 2020, the property is reported to be open and operating. However, due to the "New York State on Pause" executive order, which restricts non-essential business operations and encourages residents to stay at home, all retail tenants at the property are closed and the majority of the office tenants are working remotely. The borrower has made its June 2020 debt service payments. It is our understanding that retail tenants at the property, Ralph Lauren and Swatch Group, are working with the borrower on rent relief packages. The borrower and Swatch Group have agreed to an amendment whereby 50.0% of Swatch Group's base rent for the months of April, May, and June will be deferred. The deferred amounts, totaling about $2.9 million, will be repaid with 50.0% of the abated rents by the end of 2020 and the remaining 50.0% by March 2021. Subject to the amendments, Swatch Group is current on its rent payments. Similarly, the borrower and Ralph Lauren are discussing a rent relief package with respect to the Polo Bar space, totaling $750,000; structured with $250,000 of deferred rent and $250,000 of abated rent for May, and $250,000 of deferred rent for June. The rent relief discussion with Ralph Lauren is ongoing. While conditions remain fluid, we underwrote to lower rent for the retail tenants, thus our NCF of 66.9% is lower than the year-end 2019 NCF. Given the high degree of uncertainty around the timeframe of these state level restrictions to combat the spread of the COVID-19 virus, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

8. 280 North Bernardo

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Table 20

Credit Profile(i)

Loan no. 8 Property type Office

Loan name 280 North Bernardo Subproperty type Suburban

Pooled trust loan balance ($) 40,000,000 Property sq. ft. 111,154

% of total pooled trust balance (%) 4.3 Year built/renovated 1980

City Mountain View Sponsor Peter Pau

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

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

S&P Global Ratings' NCF ($) 3,100,000(ii) S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF variance (14.6) S&P Global Ratings' subordinate debt N/A (%) adjustment

S&P Global Ratings' cap rate (%) 7.75 S&P Global Ratings' LTV (%) 99.9

S&P Global Ratings' value (mil. $) 40.0(ii) S&P Global Ratings' DSC (x) 1.94

S&P Global Ratings' value variance (40.8) 'AAA' SCE (%) 55.0 (%)

S&P Global Ratings' value per sq. 639 'AAA' DCE (%) 15.9 ft./unit ($)

(i)The trust loan is pari passu. LTV and DSC are calculated based on the $31.0 pari passu companion loan and the $40.0 million pooled trust loan balance (collectively, the whole loan). (ii)Pari passu adjusted. 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 $40.0 million trust loan represents a pari passu portion within a larger $71.0 million whole loan. The mortgage loan is secured by the fee-simple interest in a 111,154-sq.-ft., class-A suburban office/R&D property, built in 1980, and located in Mountain View, Calif. The property is 100% leased to Aurora Innovation Inc. (Aurora), an automobile technology company, through March 2030. Aurora leases the entire property on a NNN basis at $63.00 per sq. ft., with 3.0% annual increases.

- The sponsor is in the final stages of a $16.0 million ($143.9 per sq. ft.) gut renovation to bring the asset in-line with the current physical standards offered by other class-A R&D facilities in Silicon Valley. The sponsor acquired the property in 2017 for $52.5 million ($472 per sq. ft.) and has invested roughly $20.0 million ($179 per sq. ft.) since acquisition. In addition to the $16.0 million spent to bring the property to warm shell condition (i.e., ceilings, lighting, plumbing, and HVAC), the borrower has committed $10.7 million ($96 per sq. ft.) in tenant improvements per the Aurora lease. According to the loan sponsor, the tenant anticipates spending an additional $8.81 million ($79 per sq. ft.) on their space above the $10.7 million TI package. At loan closing, the majority of the landlord work was completed, aside from minor checklist items totaling $360,000, for which the loan agreement has reserved 125% of the cost. The tenant has acknowledged in an estoppel that they've accepted their space and have agreed to commence paying rent on Aug. 18, 2020. The engineering report identified $564,049 of immediate repairs,

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all of which were deemed to be under construction during the time of the report, and suggested $0.29 per sq. ft. in uninflated ongoing capital reserves over the holding period.

- The property will serve as Aurora's headquarters. Aurora, founded in 2016, is an automobile technology company specializing in designing software and hardware applicable to the self-driving vehicle industry. According to information provided by the loan seller, the company has partnerships with Fiat-Chrysler, Hyundai, Volkswagen, and Byton (a Chinese all-electric automotive brand). Aurora's lease originally commenced on July 1, 2019, with nine months of free rent; however, due to COVID-19 pandemic-related stay-at-home orders preventing the landlord from accessing the 280 North Bernardo Property, Aurora's rent commencement date was pushed to Aug. 18, 2020. Once the stay-at-home orders delayed the landlord's buildout, Aurora received a three-month forbearance period from the landlord until Aug. 18, 2020, ($1,985,673 in total rent). The forborne rent will be amortized over the remainder of the lease term. Aurora did not request any form of rent relief, and the forbearance was offered by the landlord provided that Aurora could not complete their buildout by the original scheduled completion date. Aurora has commenced buildout and the landlord work (except for minor punch list items) has been completed. There are no outs, early termination options, or contraction rights in the lease.

- The property is located in the South Moffett Triangle submarket of Mountain View, Calif., a primary market. The South Moffett Triangle office submarket exhibited a 5.1% vacancy rate and average asking rent of $72.00 per sq. ft. as of July 2020, according to CoStar Group. The Mountain View R&D submarket exhibited a 7.7% vacancy rate and a $45.98 average asking rent per sq. ft., during the same time period. Per CoStar, the five-year average office and R&D vacancy rates were 5.5% and 9.9%, respectively. According to the appraiser, Aurora's NNN rent of $63.00-per-sq.-ft. is in line with the average office and R&D market rent's of comparable properties within the submarket. We have assumed a 10.0% vacancy rate in our derivation of long-term sustainable NCF.

- The mortgage loan documents do not permit the borrower to obtain any future subordinate debt.

- The trust loan has a moderately high DSC of 1.94x calculated using the loan's 3.95% fixed interest rate and our in-place NCF for the property, which is 14.6% lower than the issuer's NCF.

The loan exhibits the following concerns and mitigating factors:

- On July 13, 2020, California's Governor Newsom announced that a number of indoor activities will be closed statewide after the initial reopening in June, with additional restrictions possible for counties that appear on the state's "monitoring list". The property is located in Santa Clara County, which as of July 15, 2020, has encouraged residents to stay home and mandated a closure of indoor operations at restaurants, wineries, movie theaters, zoos, museums, bars, houses of worship, fitness centers, nail salons, shopping malls, and offices in non-essential sectors. Aurora initially began tenant improvement work on Feb. 18, 2020, with a targeted completion date of April 2020; however, this work was suspended due to the initial COVID-19 restrictions on March 17, 2020. The Santa Clara restrictions imposed as of July 15, 2020, appear to permit construction sites to operate subject to a substantial list of safety guidelines that must be adhered to. Aurora signed an estoppel on June 25, 2020, certifying the conditions under their lease, which commenced on July 1, 2020, and that all landlord obligations under the lease had been satisfied. The loan was structured with a six-month debt service reserve totaling $1.4 million at closing.

- The $78.0 million whole loan has high leverage, with an S&P Global Ratings' LTV ratio of 99.9%, based on our valuation. The LTV ratio based on the appraiser's "as-complete" valuation is

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59.2%. Our estimate of long-term sustainable value is 40.8% lower than the appraiser's "as-complete" valuation. The appraiser's "as-dark" valuation is $78.6 million ($707 per sq. ft.). Our estimate of long-term sustainable is 9.6% lower than the appraiser's "as-dark" value.

- The trust 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 (2.5)% LTV threshold adjustment across the capital structure.

- The loan is exposed to binary default risk because Aurora is the sole tenant at the property, which could cause the loan to come under stress should they default on their lease obligations, go dark, or go bankrupt. Aurora's lease expires in March 2030, roughly four months prior to the loan maturity date in July 2030. However, the lease provides Aurora the option to renew the lease for a period of either five or 10 years, at their discretion, at fair market value, with 12-months' notice provided to the borrower. The loan is structured with a major tenant sweep, which will commence upon the earlier of, 24 months prior to the lease expiration date or if Aurora ceases operations ("goes dark") at the property. To account for the binary occupancy risk of the single tenant, we assumed a 10.0% vacancy rate when deriving our long-term sustainable NCF for the property.

- The loan will be used to refinance the sponsor's existing debt on the property totaling $34.5 million ($310.40 per sq. ft.). The refinancing will return $22.1 million ($198.70 per sq. ft.) of equity to the sponsor. However, since the borrower's acquisition of the property in 2017, they have invested $16.0 million ($143.9 per sq. ft.) on hard and soft costs associated with the redevelopment, and $9.8 million ($88.20 per sq. ft.) in TI/LC obligations associated with Aurora's lease.

- We were provided with limited historical financial information to support our in-place revenue and expense assumptions. We reviewed and analyzed the appraisal reports' rent and expense comparables and assumed a 25.0% operating expense ratio, which was then 100% reimbursed according to the NNN lease provisions, in order to compare the in-place rent-to-market levels. Aurora's lease has no outs, termination options, or contraction options.

- The mortgage loan is structured with a hard in-place lockbox and springing cash management. A cash sweep event occurs upon an EOD, or if the DSC falls below 1.15x. The loan is structured with various upfront reserves, $600,825 covering one month of free rent prior to the tenants rent commencement in August 2020, $9.8 million for outstanding TI/LC's, a $1.4 million debt service reserve (equal to six months of debt service), and a $585,062 completion and replacement reserve equal to 125.0% of the estimated costs to complete the post-closing landlord work detailed in the estoppel, and $217,595 for real estate taxes (equal to four months of tax payments). Ongoing reserves for taxes, insurance, capital expenditures, and leasing expenses were waived, so long as the tenant is required to pay expenses directly under their NNN lease.

- 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 (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.

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9. 420 Taylor Street

Table 21

Credit Profile(i)

Loan no. 9 Property type Office

Loan name 420 Taylor Street Subproperty type CBD

Pooled trust loan balance ($) 38,000,000 Property sq. ft./no. of units 116,216

% of total pooled trust 4.1 Year built/renovated 1942 balance (%)

City San Francisco Sponsors Seven Equity Group and Nakash Holdings.

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

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

S&P Global Ratings' NCF ($) 2,510,000(ii) S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (28.7) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate 7.25 S&P Global Ratings' LTV (%) 115.6 (%)

S&P Global Ratings' value 32.9(ii) S&P Global Ratings' DSC (x) 1.19 (mil. $)

S&P Global Ratings' value (37.4) 'AAA' SCE (%) 60.0 variance (%)

S&P Global Ratings' value per 655 'AAA' DCE (%) 51.9 sq. ft./unit ($)

(i)The loan is pari passu. LTV and DSC are calculated based on the $38.0 pari passu companion loan and the $50.0 million pooled trust loan balance. (ii)Pari-passu adjusted. 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 loan is secured by the fee simple interest in a 116,216-sq.-ft., four-story, class-B creative office building in the Union Square submarket of San Francisco. The property's amenities include an open layout, high ceilings, exposed ductwork, natural light through a central atrium, a 2,464-sq.-ft. private roof deck, and excellent access to public transportation. The property also has a 450-sq.-ft. ground floor retail component, which we marked as vacant, in our analysis.

- The building has been extensively renovated. The sponsor acquired the property in September 2016 in an off-market deal for $45.0 million ($387 per sq. ft.). At the time of sale, the property was made up of a parking garage on the ground and lower floors, and office space on the upper floors. Over the next two years, the sponsor successfully obtained entitlements to convert the existing parking garage to 53,087-sq.-ft. of additional office space. The sponsor is currently

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converting the lower floors into office space and expects to complete the work by Sept. 1, 2020.

- The property is located in a primary market. Primary markets generally have higher barriers to entry than secondary and tertiary markets. The Union Square office market has experienced strong demand and increasing rents, largely due to the area emerging as one of the most desirable locations in the San Francisco market for technology and other creative companies. Also, under Proposition M, the city of San Francisco limits the development of large, contiguous office spaces, which has benefited the subject property.

- The property benefits from experienced sponsorship, a joint-venture between Seven Equity Group and Nakash Holdings. Seven Equity Group is a real estate owner, developer, and operator focused on managing and redeveloping office, retail, mixed-use, and multifamily buildings in major U.S. markets. Nakash Holdings manages a multi-billion dollar portfolio of investments, which include aviation, retail, agriculture, transportation, manufacturing, and real estate assets situated in prime global locations. Their real estate portfolio consists of institutional quality retail, office, multifamily, and hospitality properties.

- The loan is structured with a hard, in-place lockbox with in-place cash management. A cash sweep event occurs upon an EOD; at the bankruptcy of the borrower or affiliated manager; if the DSC falls below 1.20x; or if the Nextdoor lease (or its replacement) is in jeopardy (terminates/cancels the lease, defaults, files for bankruptcy, goes dark, subleases more than 50% of its space, or fails to timely renew). There are also ongoing reserves for taxes, insurance, capital expenditures, and leasing expenses, as well as a three-month debt service reserve.

The loan exhibits the following concerns and mitigating factors:

- The whole loan has high leverage with a 115.6% LTV ratio, based on S&P Global Ratings' valuation. The LTV ratio based on the appraiser's "as-is" valuation is 72.4%. The LTV ratio based on the "prospective value upon completion (TI/LC funded)/stabilization" value, which assumes all remaining construction and tenant improvements as of May 1, 2021, have been paid for or funded, is 61.3%. Our estimate of long-term sustainable value is 37.4% lower than the appraiser's "as-is" valuation and 47.0% lower than the prospective value upon completion (TI/LC funded)/stabilization value.

- The trust loan is interest-only for the last five years of the 10-year term, amortizing on a 30-year amortization schedule during the initial five years of the loan. Loans with an interest-only component bear a higher refinance risk than loans without an interest-only component 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 property is exposed to single-tenant risk. Nextdoor is the sole tenant at the property, which could cause the loan to come under stress should Nextdoor default on its lease obligations, go dark, or go bankrupt. Nextdoor's lease expires in February 2029, prior to the loan maturity date in July 2030, but they have one, five-year renewal option, at fair market value. To account for the binary occupancy risk of the single tenant, we assumed a 12.0% vacancy rate, in line with the submarket vacancy. In addition, we applied a mark-to-market deduction of $9.00-per-sq.-ft. to the per-sq.-ft. rent at the property to bring it in line with the submarket rents because we believe the in-place rents are higher than those at comparable properties.

- The lease for the lower level has a future start date, beginning in January of 2021, and Nextdoor, is not yet in occupancy of the lower level (45.9% NRA) because they are currently in the process of building out their space, which is slated to be completed in September 2020. However, the loan is structured with all outstanding landlord obligations and all gap rent reserved upfront. Also, Nextdoor is providing a total security deposit of $10,846,063

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($93.33-per-sq.-ft.), which will be taken by assignment to lender at the loan's closing.

- Given the property's ownership by the same entity since 2016, 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 that taxes would substantially increase from the $601,103 currently to $1.875 million if the property's ownership changed hands and taxes were to reset to market. Our analysis considers the possibility of higher taxes, lowering our concluded valuation by roughly 5.0% or approximately $3.43 million.

- The loan will be used to refinance the sponsor's existing debt on the property totaling $49.1 million and the refinancing will return $16.2 million (18.5% of the total financing) of equity to the sponsor. The sponsor purchased the property in 2016 for $45.0 million and has spent approximately $27.3 million to convert the existing parking component to 53,087-sq.-ft. of additional office space, as well as to sign an eight-year lease with Nextdoor for the entire building (115,766 sq. ft.) at $83.0 per sq. ft. with 3.0% annual increases.

- 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 (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.

- The borrowers are structured as four 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.

10. 3000 Post Oak

Table 22

Credit Profile(i)

Loan no. 10 Property type Office

Loan name 3000 Post Oak Subproperty type CBD

Pooled trust loan balance ($) 35,000,000 Property sq. ft./no. of units 441,523

% of total pooled trust 3.7 Year built/renovated 1979/2014 balance (%)

City Houston Sponsor Norman Bobrow

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

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

S&P Global Ratings' NCF ($) 3,050,000(ii) S&P Global Ratings' subordinate debt Unsecured debt (S&P Global category Ratings LTV >= 90%)

S&P Global Ratings' NCF (21.5) S&P Global Ratings' subordinate debt (2.50) variance (%) adjustment

S&P Global Ratings' cap rate 8.00 S&P Global Ratings' LTV (%) 91.8 (%)

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Table 22

Credit Profile(i) (cont.)

S&P Global Ratings' value 38.1(ii) S&P Global Ratings' DSC (x) 1.72 (mil. $)

S&P Global Ratings' value (39.4) 'AAA' SCE (%) 53.7 variance (%)

S&P Global Ratings' value 197 'AAA' DCE (%) 18.7 per sq. ft./unit ($)

(i)The loan is pari passu. LTV and DSC are calculated based on the $45.0 pari passu companion loan and the $35.0 million pooled trust loan balance. (ii)Pari passu adjusted. 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 $35.0 million trust loan is secured by the fee simple interest in a 19-story, 441,526-sq.-ft., class-B CBD office property located in Houston's Galleria/Uptown business corridor. The property is approximately eight miles west of downtown Houston, 16 miles northwest of the William P. Hobby Airport, and 27 miles southwest of George Bush Intercontinental Airport. The property was built in 1979. In 2014, the prior owner added a 10-story parking garage with 2,283 spaces representing a five-to-one ratio of parking spaces per 1,000-sq.-ft. of office space.

- The property is 99.4% occupied by Bechtel Oil, Gas and Chemicals (not rated by S&P Global Ratings), the largest diversified engineering and construction firm in North America and the 14th largest private company in the U.S. by revenue (according to Forbes). Bechtel has been a tenant since 1988 and recently executed a 10-year lease extension. During our site visit on Feb. 12, 2020, we noted the space is specifically designed to provide flexibility, configuration, and security for Bechtel.

- The trust loan has a moderately high DSC of 1.72x calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 21.5% lower than the issuer's NCF.

- The property is located in a primary market. Primary markets generally have higher barriers to entry than secondary and tertiary markets.

- The mortgage loan is structured with a hard in-place lockbox and in-place cash management. A cash sweep event occurs upon an EOD, if the DSC falls below 1.30x, or a major tenant has terminated or elected to terminate its space, declared bankruptcy, subleased the premises, 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 trust loan has high leverage, with an S&P Global Ratings' LTV ratio of 91.8%, based on our valuation. The LTV ratio based on the appraiser's valuation is 54.2%. Our estimate of long-term sustainable value is 39.4% lower than the appraiser's valuation, a variance primarily driven by our 16.7% submarket vacancy assumption and higher capitalization rate of 8.0%.

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

- In addition to the mortgage loan, there is a $20.0 million mezzanine loan. The mortgage and

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mezzanine loans have a combined S&P Global Ratings' LTV ratio of 114.8%. The comparably weaker credit metrics for the combined debt exposes the trust loan to a higher default risk. Therefore, we applied a negative 2.5% LTV threshold adjustment at each rating level to account for this risk.

- The Galleria/Uptown submarket where the property is located has a high vacancy rate, which currently stands at 16.7%, with a 25.8% availability rate. According to the appraiser, the Galleria/Uptown submarket vacancy has steadily increased to 16.8% as of September 2019 from 12.7% in June 2016, likely due to weakness in the oil and gas industry. With the COVID-19 pandemic exacerbating challenges facing these industries, we believe vacancy in this submarket will likely continue to rise over the medium term.

- As of May 26, 2020, all Bechtel employees were working from home. On July 14, 2020, Harris County issued a Level 1 (Red) Severe notice due to the COVID-19 virus spreading across Harris County and local hospitals reaching full capacity. The recent uptick in COVID-19 activity in Harris County will likely delay Bechtel employees return to the office in the next few months. The property is 99.4% occupied and we underwrote it to a 16.7% vacancy. Given the high degree of uncertainty around the timeframe of these state and local level restrictions to combat the spread of the COVID-19 virus, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

- The property is exposed to single-tenant risk if Bechtel (98.9% of the NRA) defaults on its lease, goes bankrupt, or goes dark. This is somewhat mitigated by the tenant operating at this location since its founding in 1988. Given Bechtel's lease expiration during the loan term in July 2024, the loan is structured with on-going annual lease rollover reserves of $1.50 per sq. ft., as well as a full cash flow sweep commencing one year after closing and continuing throughout the loan term, provided that the tenant does not extend its lease for five years or an acceptable replacement tenant does not fill the space. We applied a 16.7% vacancy to the tenant's cash flows, in-line with the current submarket vacancy. We note that the company does have two five-year renewal options remaining, both at fair market value.

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

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 20.3 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 1.0% floor at the 'B' rating category, and any adjustment for

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overall transaction-level considerations. In our view, the transaction's high concentration of full-term interest-only loans warranted an additional negative qualitative adjustment beyond that produced from our loan-level analysis and model results.

Appendix I

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

S&P 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 Agellan Portfolio MU Var 75.000 8.0 9.089 (14.9) 8.89 106.959 (40.2) 70.1 2.58

2 Moffett Towers OF P 75.000 8.0 7.437 (22.7) 7.25 100.847 (40.1) 74.4 2.80 Buildings A, B, and C

3 Tropical IN S 75.000 8.0 4.159 (27.4) 7.50 58.747 (46.6) 127.7 1.52 Distribution Center

4 BX Industrial IN Var 70.000 7.5 7.010 (16.3) 7.35 95.460 (45.4) 73.3 2.78 Portfolio

5 MGM Grand and LO S 65.000 7.0 17.687 (8.7) 11.25 156.650 (46.8) 41.5 7.54 Mandalay Bay

6 1633 Broadway OF P 62.850 6.7 5.944 (18.9) 6.35 93.712 (37.8) 67.1 3.12

7 711 Fifth Avenue MU P 45.000 4.8 1.333 (68.1) 7.02 27.484 (66.7) 163.7 0.92

8 280 North OF P 40.000 4.3 3.102 (14.6) 7.75 40.028 (40.8) 99.9 1.94 Bernardo

9 420 Taylor Street OF P 38.000 4.1 2.511 (28.6) 7.25 32.867 (37.4) 115.6 1.19

10 3000 Post Oak OF P 35.000 3.7 3.050 (21.5) 8.00 38.122 (39.4) 91.8 1.72

11 Brass OF S 32.700 3.5 2.088 (22.0) 8.25 25.305 (43.6) 129.2 1.02 Professional Center

12 Flushing RT P 28.000 3.0 2.206 (8.1) 8.25 26.743 (43.1) 104.7 2.25 Commons

13 Apollo Education OF S 26.500 2.8 2.476 (33.7) 8.50 29.125 (48.2) 91.0 2.75 Group HQ Campus

14 Bellagio Hotel and LO S 21.250 2.3 4.738 (17.6) 11.00 41.826 (49.2) 50.8 6.94 Casino

15 Southcenter Mall RT P 20.000 2.1 3.025 (20.6) 6.50 46.541 (48.2) 43.0 5.18

16 CityLine Augusta SS T 19.700 2.1 1.569 (8.6) 8.50 18.456 (40.5) 106.7 1.79 Portfolio

17 Chase Center OF P 18.214 1.9 2.110 (16.6) 7.00 30.136 (48.3) 60.4 3.24 Tower I

18 364 Lincoln MF P 18.000 1.9 1.120 (12.0) 6.50 17.232 (36.2) 104.5 1.48

19 Chase Center OF P 15.536 1.7 1.783 (16.6) 7.00 25.469 (44.5) 61.0 3.21 Tower II

20 Jasmine Cove MF S 15.000 1.6 1.138 (10.5) 7.00 16.251 (29.4) 92.3 1.33

21 Battery Park Lofts MF S 14.200 1.5 0.928 (15.4) 7.75 12.236 (39.7) 116.0 1.12

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Appendix I

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

22 Kings Plaza RT P 14.108 1.5 1.213 (17.8) 6.75 17.670 (32.2) 79.8 2.53

23 84 14th Street OF P 12.300 1.3 0.782 (20.8) 8.25 9.477 (53.1) 129.8 1.48

24 Edge 32 MF S 10.000 1.1 0.709 (12.7) 7.75 9.144 (38.2) 109.4 1.21 Apartments

25 Cambridge Club MF S 10.000 1.1 0.718 (12.7) 7.50 9.567 (37.5) 104.5 1.65 Apartments

26 1725 N Commerce OF P 9.250 1.0 0.786 (20.8) 8.25 9.531 (40.4) 97.1 2.22 Parkway

27 CityLine SS T 8.280 0.9 0.717 (9.1) 8.50 8.430 (28.7) 98.2 1.46 Hattiesburg

28 OrthoSouth OF T 7.600 0.8 0.637 (20.8) 8.50 7.489 (53.0) 101.5 1.44

29 Strathmore MF T 7.300 0.8 0.590 (12.7) 7.50 7.865 (34.7) 92.8 2.10 Apartments

30 630 W Lake MU P 6.720 0.7 0.474 (14.9) 8.75 5.413 (47.9) 124.1 1.89

31 2 Laurel Drive IN P 6.630 0.7 0.525 (21.9) 8.25 6.358 (38.9) 104.3 1.37

32 CityLine Flagstaff SS T 6.600 0.7 0.530 (8.1) 8.50 6.239 (35.7) 105.8 1.32

33 968-970 Gates MF P 6.500 0.7 0.394 (12.7) 6.50 6.054 (42.3) 107.4 1.41 Ave

34 CityLine SS T 6.225 0.7 0.479 (12.6) 8.50 5.638 (42.5) 110.4 1.29 Wisconsin

35 StorQuest Self SS T 5.000 0.5 0.691 (4.6) 8.50 7.818 (39.4) 64.0 3.52 Storage--Modesto

36 StorQuest Self SS T 4.000 0.4 0.435 (8.6) 8.50 5.123 (38.3) 78.1 2.77 Storage--Ceres

37 Castle Rock Self SS S 4.000 0.4 0.457 (8.6) 8.50 5.382 (35.2) 74.3 2.84 Storage

Total/weighted -- -- 934.463 100.0 94.639 (20.4) 7.94 -- (43.3) 90.5 2.65 average

(i)Loan balances, net cash flows, and values refer to the trust portion of contributed loan (i.e., the pari passu amount). All LTVs, DSCRs, debt yields, haircuts, and values refer to those generated by S&P Global Ratings, unless otherwise indicated. NCF--Loan to value. LTV--Loan-to-value. DSC--Debt service coverage.IN--Industrial. LO--Lodging. MF--Multifamily. OF--Office. RT--Retail. SS--Self-storage. P--Primary. S--Secondary. T--Tertiary. VAR--Various.

Appendix II

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

AAA AA A

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

1 Agellan Portfolio 75,000,000 18.7 14.7 38.0 7.1 27.3 4.7 16.6 2.7

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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

2 Moffett Towers Buildings 75,000,000 19.7 15.4 39.5 7.8 29.4 5.3 19.3 3.3 A, B, and C

3 Tropical Distribution 75,000,000 67.2 53.7 64.8 43.5 58.9 36.9 53.0 30.8 Center

4 BX Industrial Portfolio 70,000,000 19.4 15.3 42.7 8.3 32.5 5.8 22.3 3.7

5 MGM Grand and Mandalay 65,000,000 13.2 10.4 11.4 1.5 - - - - Bay

6 1633 Broadway 62,850,000 18.1 14.2 32.9 5.9 21.7 3.6 10.5 1.6

7 711 Fifth Avenue 45,000,000 100.0 100.0 72.5 72.5 67.9 67.9 63.4 63.4

8 280 North Bernardo 40,000,000 29.0 22.8 55.0 15.9 47.5 12.8 40.0 9.9

9 420 Taylor Street 38,000,000 86.5 69.7 60.0 51.9 53.5 43.2 47.0 35.4

10 3000 Post Oak 35,000,000 34.9 27.5 53.7 18.7 45.5 14.7 37.4 11.2

11 Brass Professional Center 32,700,000 100.0 97.3 64.2 64.2 58.4 57.9 52.6 51.7

12 Flushing Commons 28,000,000 28.5 22.5 59.4 16.9 52.2 14.0 45.1 14.0

13 Apollo Education Group 26,500,000 24.1 19.0 50.5 12.2 42.3 9.4 34.1 7.0 HQ Campus

14 Bellagio Hotel and Casino 21,250,000 14.9 11.7 23.7 3.5 8.0 0.8 - -

15 Southcenter Mall 20,000,000 13.5 10.6 ------

16 CityLine Augusta Portfolio 19,700,000 38.0 30.1 57.8 22.0 50.8 18.0 43.8 14.3

17 Chase Center Tower I 18,213,750 16.6 13.0 34.2 5.7 21.8 3.2 9.4 1.3

18 364 Lincoln 18,000,000 53.9 42.9 54.5 29.4 46.4 23.2 38.3 17.8

19 Chase Center Tower II 15,536,250 16.8 13.2 34.8 5.9 22.5 3.4 10.2 1.5

20 Jasmine Cove 15,000,000 56.5 44.9 47.2 26.6 38.0 19.8 28.8 14.0

21 Battery Park Lofts 14,200,000 93.6 75.7 58.0 54.3 50.7 44.2 43.3 35.4

22 Kings Plaza 14,108,108 21.1 16.6 45.5 9.6 36.1 7.1 26.7 4.8

23 84 14th Street 12,300,000 72.0 57.7 65.3 47.0 59.6 40.0 53.8 33.6

24 Edge 32 Apartments 10,000,000 78.5 63.1 55.4 43.5 47.7 34.8 39.9 27.2

25 Cambridge Club 10,000,000 44.3 35.1 54.6 24.1 46.4 19.1 38.3 14.6 Apartments

26 1725 N Commerce 9,250,000 25.9 20.4 53.6 13.9 45.9 11.0 38.2 8.5 Parkway

27 CityLine Hattiesburg 8,280,000 51.6 41.0 52.9 27.3 45.3 21.7 37.6 16.8

28 OrthoSouth 7,600,000 54.7 43.5 54.4 29.8 47.0 23.9 39.6 18.7

29 Strathmore Apartments 7,300,000 24.7 19.4 48.8 12.1 39.7 9.0 30.5 6.5

30 630 W Lake 6,720,000 40.9 32.4 63.7 26.1 57.7 25.5 51.7 25.5

31 2 Laurel Drive 6,630,000 61.5 49.1 54.4 33.5 47.3 27.1 40.1 21.3

32 CityLine Flagstaff 6,600,000 66.8 53.4 56.3 37.6 49.2 30.6 42.1 24.4

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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

33 968-970 Gates Ave 6,500,000 60.7 48.4 55.8 33.8 47.8 26.9 39.9 20.9

34 CityLine Wisconsin 6,225,000 72.3 57.9 58.1 42.0 51.3 34.6 44.5 27.9

35 StorQuest Self 5,000,000 17.4 13.7 29.6 5.2 17.9 2.6 6.2 0.9 Storage--Modesto

36 StorQuest Self 4,000,000 20.6 16.2 42.4 8.7 32.8 6.2 23.2 4.1 Storage--Ceres

37 Castle Rock Self Storage 4,000,000 19.7 15.4 39.5 7.8 29.4 5.3 19.3 3.2

Total/weighted average 934,463,108 39.7 33.1 46.1 22.0 37.5 18.1 29.8 14.8

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

Related Criteria

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

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

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

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

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

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

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

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

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

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

www.standardandpoors.com July 20, 2020 53

Related Research

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

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

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

In addition to the criteria specific to this type of security (listed above), the following criteria articles, which are generally applicable to all ratings, may have affected this rating action: "Post-Default Ratings Methodology: When Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?," March 23, 2015; "Global Framework For Assessing Operational Risk In Structured Finance Transactions," Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace Periods, Guarantees, And Use of 'D' And 'SD' Ratings," Oct. 24, 2013; "Counterparty Risk Framework: Methodology And Assumptions," March 8, 2019; "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012; "Methodology: Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch And Outlooks," Sept. 14, 2009.

www.standardandpoors.com July 20, 2020 54

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