GS Mortgage Securities Trust 2020-GC47

Presale: GS Mortgage Securities Trust 2020-GC47

May 4, 2020

PRIMARY CREDIT ANALYST

Preliminary Ratings Ravi Alimchandani San Francisco Class(i) Preliminary rating Preliminary amount ($) Credit Enhancement (%) + 1 (415) 371 5093 A-1 AAA (sf) 3,688,000 30.000 ravi.alimchandani @spglobal.com A-4(ii) AAA (sf) TBD 30.000 SECONDARY CONTACT A-5(ii) AAA (sf) TBD 30.000 Samson Joy A-AB AAA (sf) 8,900,000 30.000 New York X-A AA- (sf) 573,776,000 N/A (1) 212-438-3107 samson.joy X-B NR 68,743,000 N/A @spglobal.com A-S AA- (sf) 60,494,000 21.750

B NR 35,746,000 16.875

C NR 32,997,000 12.375

D(iv) NR 22,914,000 9.250

X-D(iii)(iv) NR 22,914,000 N/A

E(iv) NR 17,415,000 6.875

X-E(iii)(iv) NR 17,415,000 N/A

F(iv) NR 13,749,000 5.000

X-F(iii)(iv) NR 13,749,000 N/A

G(iv) NR 7,332,000 4.000

X-G(iii)(iv) NR 7,332,000 N/A

H(iv) NR 29,331,281 0.000

VRR(iv) NR 38,592,647 0.000

Note: This presale report is based on information as of May 4, 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 zero and $235.0 million, and the A-4 certificates are expected to have a balance between $265.694 million and $500.694 million. (iii)Notional balance. The notional amount of the class X-A certificates will be equal to the aggregate certificate balance of the class A-1, A-4, A-5, A-AB, and A-S certificates. The notional amount of the class X-B certificates will be equal to the aggregate certificate balance of the class B, and C certificates. The notional amount of the class X-D, X-E, X-F, and X-G certificates will be equal to the certificate balances of the class D, E, F, and G certificates, respectively. (iv)Non-offered certificates. NR--Not rated. TBD--To be determined. N/A--Not applicable.

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© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimer 2424131 on the last page. Presale: GS Mortgage Securities Trust 2020-GC47

Profile

Expected closing May 21, 2020 date

Collateral Twenty-nine commercial mortgage loans with an aggregate principal balance of $771.853 million ($642.519 million of offered certificates), secured by the fee and leasehold interests in 60 properties across 17 states.

S&P Global 96.4% (based on S&P Global Ratings' NCF and weighted average capitalization rate of 7.31%). Ratings pooled trust LTV

S&P Global 2.20x (based on S&P Global Ratings' NCF and the actual debt service payable on the mortgage loans). Ratings pooled trust DSC

S&P Global 7.79% (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 eligible vertical interest (VRR). The VRR interest provides credit support only to the limited extent that it is allocated a portion of any losses incurred on the underlying mortgage loans. These losses are allocated between the VRR interest and the certificates, pro rata, according to their respective percentage allocation entitlements. The total required credit risk retention percentage for this transaction is 5.0%. On each distribution date, interest accrued for each class of certificates at the applicable pass-through rate will be distributed in the following priority, if funds are available: to the class A-1, A-4, A-5, A-AB, X-A, and X-B certificates, pro rata, based on their respective entitlements to interest for that distribution date, and then to the class A-S, then B, then C, then D and X-D pro rata, then E and X-E pro rata, then F and X-F pro rata, then G and X-G pro rata, and then H certificates until interest payable to each class is paid in full. Principal payments on the certificates will be distributed to the class A-AB certificates until the balance is reduced to the planned principal balance for that distribution date, and then sequentially to the class A-1, A-4, A-5, A-AB, B, C, D, E, F, G, and H certificates until each class' balance is reduced to zero. If the class A-S through H certificates' total balance has been reduced to zero, principal payments on the certificates will be distributed to the class A-1, A-4, A-5, and A-AB certificates, pro rata, based on each class' certificate balance. Losses will be allocated to each class of certificates in reverse alphabetical order starting with the class H certificates through and including the class A-S certificates, and then to the class A-1, A-4, A-5, and A-AB, pro rata, based on each class' certificate balance. The class X-A certificates' notional amount will be equal to the aggregate certificate balance of the class A-1, A-4, A-5, A-AB, and A-S certificates. The class X-B certificates' notional amount will be equal to the aggregate certificate balance of the class B and C certificates. The class X-D, X-E, X-F, and X-G certificates will be equal to the certificate balances of the class D, E, F, and G certificates, respectively.

Depositor GS Mortgage Securities Corp. II

Mortgage loan Goldman Sachs Mortgage Co. and Citi Real Estate Funding Inc. sellers and sponsors

Master servicer Wells Fargo Bank N.A.

Special servicer KeyBank N.A.

Trustee Wilmington Trust 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.

S&P Global Ratings continues to closely monitor COVID-19's impact on U.S. commercial real estate fundamentals and its ratings on U.S. commercial mortgage-backed securities (CMBS), particularly in the lodging and retail sectors (see "U.S. Lodging-Backed CMBS Bracing For The

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Impact Of COVID-19," published March 23, 2020). We expect CMBS loan performance will vary significantly by property, market, and borrower. Please refer to our recent articles ("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) for additional information. As the situation evolves, we will update our assumptions and estimates accordingly.

Rationale

The preliminary ratings assigned to the GS Mortgage Securities Trust 2020-GC47's (GSMS 2020-GC47's) commercial mortgage pass-through certificates reflect the credit support provided by the transaction's structure, our view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. S&P Global Ratings determined that the collateral pool has, on a weighted average basis, debt service coverage (DSC) of 2.20x and beginning and ending loan-to-value (LTV) ratios of 96.4% and 94.8%, respectively, based on our values.

Transaction Overview

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

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Strengths

The transaction exhibits the following strengths:

- The transaction has a moderately high weighted average S&P Global Ratings' DSC of 2.20x 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-3.78x.

- The pool is geographically diverse, with 60 properties spread across 17 states. The largest concentration is in New York (nine properties, 40.5% of the pooled trust balance), followed by California (12 properties, 25.7%) and Ohio (seven properties, 11.6%). No other state accounts for more than 7.4% 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, Los Angeles, and San Jose. Of the pooled trust balance, 67.5% is located in primary markets (as defined by S&P Global Ratings) and 24.1% in secondary markets. The remaining properties (8.4%) are located in tertiary markets.

- The loan pool has a relatively diverse mix of property types. Of the pooled trust balance, 32.4% is backed by office properties, 25.3% by mixed-use properties, 23.2% by multifamily properties, 7.8% by self-storage properties, 7.1% by industrial properties, 3.1% by retail properties, and 1% by other properties. None of the loans in this pool are secured by lodging assets.

- Twenty-nine loans (100.0% of the pooled trust balance) have borrowers that are structured as special-purpose entities (SPEs). Fifteen loans (80.9%) provided lenders with nonconsolidation opinions, including all of the top 10 loans. Sixteen loans (84.5%) have borrowers that are structured with at least one independent director.

- Twenty-four of the loans (91.4% of the pooled trust balance) have some form of lockbox: 12 loans (54.3%) are structured with a hard lockbox, 11 loans (30.6%) with springing lockboxes, and one loan (6.5%) has a soft lockbox. Four loans (16.5%) have in-place cash management. Twenty loans (74.9%) are structured with springing cash management. Five loans (8.6%) have no cash management and six loans (15.1%) have no lockbox provisions.

- Nine loans (24.0% 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 62.3%, reflecting average equity contribution of 37.7% for these loans.

- Six loans (31.9% of the pooled trust balance) are secured by multiple properties, ranging from two to 13 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 (26.9%) 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 containment efforts of the COVID-19 global pandemic. While most commercial real estate property types will likely be affected, state and local level policies are forcing the closure of lodging and retail assets. As a consequence, these property types are currently experiencing financial stress as some retail tenants that are considered nonessential have requested rent relief and many lodging assets are closed or are operating at very low occupancy levels. The economic slowdown is also effecting demand for these property types and is further expected to adversely impact multifamily, office, and industrial properties. This transaction does not have exposure to lodging assets and has limited exposure to nonessential retail tenants. All of the loans in this transaction are current as of their April debt service payment and none of the sponsors have requested relief. We selectively increased our vacancy assumptions on four properties that we deemed to have a higher risk for cash flow disruption. In addition, we believe the servicer advancing mechanism that is in place will provide short-term liquidity support.

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- The transaction has high leverage, with a weighted average LTV ratio of 96.4% 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 is not well-diversified by loan balance, with an effective loan count (as measured by the Herfindahl-Hirschman Index) of 18. The 10 largest loans represent 68.2% 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.

- Nineteen loans (86.0% of the pooled trust balance) are interest-only for their entire loan terms, including all of the top 10 loans (68.2%). The interest-only loans have a high weighted average S&P Global Ratings LTV ratio of 95.8%, and seven loans (24.5% of the pooled trust balance) have LTV ratios over 100%. Eight loans (11.2%) have a partial interest-only period--none of the top 10 loans--and two loans in the pool (2.8%) are structured as amortizing loans. The transaction is scheduled to amortize 1.8% through maturity. S&P Global Ratings considered loan amortization characteristics when assigning credit enhancement levels to the individual loans and the transaction.

- Sixteen properties (19.3% of the pooled trust balance) are leased to a single tenant. The largest of these is 630 Roseville (3.3%), a Sacramento, Calif. office property, which is 100% leased to Penumbra Inc. through Feb. 28, 2035. The other 15 properties account for 16.0% of the pool balance.

- Eight loans (50.5% 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.

- Nine loans in the pool (49.9% of the pooled trust balance) have a pari passu component, and five loans (31.3%) have a junior trust loan balance. One of the loans (6.5%) has existing mezzanine debt, but six loans (34.5%) permit the borrower to incur future mezzanine debt.

- Two loans (3.1% of the pooled trust balance) are secured by retail assets. The U.S. retail sector has been facing numerous challenges over the past several years given the continued growth of e-commerce, increasing consumer price sensitivity due to stagnating wage growth, and changing consumer tastes. These trends have resulted in declining sales, store closures, and smaller average store sizes for many national retailers. We believe the social distancing measures currently being implemented in order to counter the outbreak of COVID-19 will impair brick-and-mortar retail businesses and thus cause cash flow disruptions at retail properties. As a result, retail loans may experience elevated delinquencies in the coming months. One of the two retail loans (1.0% of the pooled trust balance) is secured by a property located in a tertiary location and none of the loans are considered unanchored retail loans.

- 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.

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Pool Characteristics

Collateral description

The pool contains 29 loans that are secured by first-mortgage liens on the fee and leasehold interests in 60 properties. The top five and 10 loan concentrations represent 39.4% and 68.2% of the pooled trust balance, respectively (see table 9 for a detailed description of the 10 largest loans in the pool).

Property type distribution

The top two property types in the pool are office assets, which accounts for 32.4% of the pooled trust balance, and mixed-use, which accounts for 25.3% (see table 1).

Table 1

Property Type Composition

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

Office 6 250.3 32.4 77.4 3.06

Mixed-use 5 195.5 25.3 119.9 1.67

Multifamily 12 178.7 23.2 96.3 1.61

Self-storage 1 60.0 7.8 98.6 2.58

Industrial 2 55.2 7.1 94.6 2.14

Retail anchored 2 24.2 3.1 105.6 1.42

Single tenant - non 1 8.0 1.0 89.2 1.53 IG

Total 29 771.9 100.0 96.4 2.20

(i)Based on S&P Global Ratings' classification. IG--Investment grade.

Geographic distribution

The pool consists of properties that are located in 17 states. Of these properties, 77.9% (by pooled trust balance) are located in three states: New York, California, and Ohio. The top five states represent 88.9% 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.)

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Table 2

Geographic Concentrations

Market type (%)

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

New York 312.8 9 100.0 - -

California 198.6 12 78.6 18.0 3.4

Ohio 89.6 7 - 100.0 -

Illinois 57.0 10 38.6 23.7 37.7

Texas 28.2 7 64.5 7.1 28.4

Minnesota 17.2 1 - 100.0 -

Nevada 12.4 1 - - 100.0

Michigan 12.1 2 - 57.7 42.3

Florida 11.9 2 - 100.0 -

Pennsylvania 7.6 1 100.0 - -

Other States - seven 24.4 8 16.4 37.3 46.3

Total 771.9 60 67.5 24.1 8.4

Borrower concentration

The top three largest borrower sponsors correspond to the largest loans in the pool. Three loans representing 5.5% of the pool have a common sponsor.

Single-tenant properties

There are 16 properties in five loans (19.3% of the pooled trust balance) that are backed by properties that are leased to a single tenant. Thirty-six properties (18.1%) have lease terms that exceed the loan maturity date while the remainder of the properties have leases that expire before the loan matures (see table 3).

Table 3

Single-Tenant Properties

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

630 Roseville Penumbra Inc. NR 25.8 3.3 2/28/2035

297 North 7th Street Williamsburg Northside NR 24.2 3.1 8/31/2034 School LLC

Moffett Towers Google AA+ 22.4 2.9 12/31/2030 Building B

Moffett Towers Google AA+ 20.3 2.6 6/30/2026 Building A

180 Ryan Drive Pet-Ag Inc. NR 11.5 1.5 7/31/2034

119 East Commerce Plastic Specialties & NR 8.5 1.1 12/31/2041 Technology

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Table 3

Single-Tenant Properties (cont.)

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

United Market Street United Supermarkets NR 8.0 1.0 3/1/2031

3001 Red Lion Road PCI Pharma NR 7.6 1.0 10/31/2039

4536 & 4545 PCI Pharma NR 5.3 0.7 10/31/2039 Assembly Drive

201 Flannigan Adisseo USA Inc. NR 4.2 0.5 5/31/2031

3415 Ohio Avenue Aluma Systems Concrete NR 3.9 0.5 7/31/2028 Construction

6166 Nancy Ridge PCI Pharma NR 2.0 0.3 10/31/2039 Drive

7850 Grant Street Ricardo Inc. (subletted To NR 1.9 0.2 7/31/2034 PSI)

9501 Winona QCC LLC NR 1.7 0.2 12/31/2028

6146 Nancy Ridge PCI Pharma NR 1.3 0.2 10/31/2039 Drive

1635 & 1639 New PCI Pharma NR 0.5 0.1 10/31/2039 Milford School Road

Total - - 149.0 19.3 -

(i)Owner occupied space. 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 October 2019 and April 2020. The weighted average loan interest rate is 3.48%.

The original loan terms range from 119 to 120 months, with a weighted average original loan term of 119.9 months. The weighted average remaining loan term is 117.3 months.

Nineteen Loans (86.0% of the pooled trust balance) are interest-only for the entire term, and eight (11.2% 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 24 to 60 months. Two loans (2.8%) have no interest-only periods, and they amortize on a 360-month schedule. S&P Global Ratings adjusted its analysis to reflect the various amortization terms and loan structures (see table 4).

Table 4

Loan Amortization

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 19 86.0 2.34 95.80

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Table 4

Loan Amortization (cont.)

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

Partial interest-only 8 11.2 1.32 101.30

Amortizing balloon 2 2.8 1.29 95.70

Fully amortizing - - - -

LTV--Loan to value. ARD--Anticipated repayment date. N/A--Not applicable.

Subordinated debt

Nine loans in the pool (49.9% of the pooled trust balance) have a pari passu component, no loans have a subordinate B-note, and five loans (31.3%) have a junior trust loan balance. One of the loans (6.5%) has existing mezzanine debt, but six loans (34.5%) permit the borrower to incur future mezzanine debt (see table 5).

Table 5

Loans With Existing Additional Debt

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

1633 Broadway 65.0 8.4 936.0 249.0 - - 1250.0

Moffett Towers 65.0 8.4 378.0 327.0 - - 770.0 Buildings A, B, & C

711 Fifth Avenue 62.5 8.1 482.5 - - - 545.0

650 Madison 51.4 6.7 535.4 213.2 - - 800.0 Avenue

City National 50.0 6.5 500.0 - - - 550.0 Plaza

555 10th Avenue 50.0 6.5 213.4 136.6 - 140.0 540.0

PCI Pharma 16.8 2.2 91.8 - - - 108.5 Portfolio

Midland Atlantic 14.5 1.9 30.5 - - - 45.0 Portfolio

525 Market 10.0 1.3 460.0 212.0 - - 682.0 Street

Cross-collateralized and portfolio loans

Six loans (31.9% of the pooled trust balance) are secured by portfolios with multiple properties. They include Moffett Towers Buildings A, B, & C (8.4%; suburban office properties), Saban Self Storage Portfolio (7.8%; self-storage properties), Chicagoland Industrial Portfolio (6.6%; industrial properties), 297 North 7th & 257 15th Street (5.1%; private elementary school and multifamily) PCI Pharma Portfolio (2.2%; office and R&D properties), and Midland Atlantic Portfolio (1.9%; grocery

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anchored retail). There are no cross-collateralized and cross-defaulted loans in the pool.

Third-Party Review

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

Fourteen properties (27.9% of the pooled trust balance) are located in seismic zones 4. The loan with the highest overall probable maximum loss (PML) of 19% is City National Plaza (6.5%). The remaining properties in seismic zones 4 had PMLs of 17% or lower, and none of the properties are required to carry earthquake insurance.

Table 6

Third-Party Review

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

Appraisal review within the past 12 months 60 100.0

Environmental review within the past 12 months 60 100.0

Engineering review within the past 12 months 60 100.0

Seismic review for properties in zones 3 or 4 14 27.9

Structural Review

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

S&P Global Ratings' Credit Evaluation

Our analysis of the pool included the following:

- We derived an S&P Global Ratings NCF for all of the 29 loans in the pool (100.0% of the pooled trust balance). (See Appendix I for S&P Global Ratings' NCF variance applied to each loan in the transaction.)

- We conducted site inspections for seven properties across five loans (27.0% of the pooled trust balance).

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

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

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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 20.0% lower than the issuer's underwritten NCF (see Appendix I for S&P Global Ratings' NCF variance for each loan).

S&P Global Ratings' DSC

We calculated the pool's 2.20x DSC using the respective loans' contract interest rate and the S&P Global Ratings NCF (see table 7).

Table 7

S&P Global Ratings' DSC Range

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

Less than 1.00 1 62.5 8.1

1.00–1.10 - - -

1.10–1.20 2 35.2 4.6

1.20–1.30 1 16.5 2.1

1.30–1.40 1 9.7 1.3

1.40–1.50 4 40.4 5.2

1.50–1.60 4 23.5 3.0

1.60–1.70 - - -

1.70–1.80 1 27.7 3.6

1.80–1.90 3 72.7 9.4

1.90–2.00 - - -

Greater than 2.00 12 483.6 62.7

DSC--Debt service coverage.

S&P Global Ratings' LTV

Based on our analysis, S&P Global Ratings' weighted average beginning LTV ratio is 96.4% and its ending LTV ratio is 94.8%, which reflects the 7.31% 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 - - -

50–55 - - -

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Table 8

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

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

55–60 - - -

60–65 - - -

65–70 1 65.0 8.4

70–75 2 75.0 9.7

75–80 1 50.0 6.5

80–85 2 101.4 13.1

85–90 2 35.6 4.6

90–95 4 70.2 9.1

95–100 6 126.2 16.3

100–105 4 93.6 12.1

105–110 4 60.2 7.8

Greater than 110 3 94.7 12.3

LTV--Loan to value.

S&P Global Ratings' credit assessment by property type

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

Table 9

Cash Flow Analysis And Valuation

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

Office 32.4 3.06 (18.3) 7.22 77.4 422

Mixed-use 25.3 1.67 (32.6) 7.20 119.9 744

Multifamily 23.2 1.61 (13.8) 6.91 96.3 337,402

Self-storage 7.8 2.58 (17.3) 8.30 98.6 75

Industrial 7.1 2.14 (13.0) 7.70 94.6 67

Retail anchored 3.1 1.42 (8.3) 8.61 105.6 99

Single tenant - non 1.0 1.53 (11.4) 7.75 89.2 138 IG

Total/weighted 100.0 2.20 (20.0) 7.31 96.4 - average

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

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

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

Table 10

Top 10 Loans

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

1633 Broadway Office 8.4 3.12 (18.9) 6.35 67.1 583

Moffett Towers Office 8.4 2.80 (22.7) 7.25 74.4 626 Buildings A, B, & C

711 Fifth Avenue Mixed-use 8.1 0.92 (68.1) 7.02 163.7 979

Saban Self Storage Self storage 7.8 2.58 (17.3) 8.30 98.6 75 Portfolio

650 Madison Mixed-Use 6.7 2.22 (18.9) 6.50 82.7 1,182 Avenue

Chicagoland Industrial 6.6 2.19 (12.7) 7.64 94.5 65 Industrial Portfolio

City National Plaza Office 6.5 3.78 (17.6) 7.25 76.4 286

555 10th Avenue Multifamily 6.5 2.03 (29.3) 6.75 82.9 531,615

297 North 7th & Mixed-use 5.1 1.80 (11.6) 7.39 103.2 480 257 15th Street

PNC Center Office 4.2 2.57 (11.7) 8.50 98.1 67

Total/weighted - 68.2 2.41 (24.3) 7.24 94.2 - average

Table 11 summarizes S&P Global Ratings' NCF and valuation assessment of loans 11-20. For these loans, our weighted average NCF is 10.9% lower than the issuer's underwritten NCF. S&P Global Ratings' weighted average beginning LTV ratio is 102.2% for these loans, and we calculated a 1.81x 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.)

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Table 11

Loans 11-20

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

1427 7th Street Multifamily 3.6 1.70 (5.3) 6.25 100.9 549,225 Vacancy, management fee, CapEx, Prop 13 deduction

Grand Street Office 3.6 2.58 (15.6) 7.75 88.3 150 Vacancy, TI/LC Plaza

630 Roseville Mixed-use 3.3 1.80 (16.9) 8.25 122.9 133 Vacancy, Utilities, TI/LC, CapEx

Hawthorne Gate Multifamily 2.3 1.16 (9.2) 7.50 106.5 148,293 Vacancy, Management Fee, CapEx

Lakeside Flats Multifamily 2.2 1.12 (7.8) 7.00 103.3 138,766 Vacancy, Insurance, Management Fee, CapEx

PCI Pharma Mixed-use 2.2 2.22 (14.9) 8.00 105.2 76 GPR, Vacancy, Portfolio TI/LC

Trails of Hudson Multifamily 2.1 1.23 (3.9) 7.25 95.6 193,932 Vacancy II

Midland Atlantic Retail 1.9 1.44 (7.4) 8.85 107.7 76 Vacancy, Portfolio anchored insurance

45 Newel Street Multifamily 1.4 1.47 (10.2) 6.25 109.3 554,036 Vacancy, Taxes, Management Fee, CapEx Reserves

525 Market Office 1.3 3.55 (17.2) 7.00 70.7 643 Vacancy, Other Street income, Management fee, TI/LC, CapEx, Prop 13 deduction

Total/weighted - 24.0 1.81 (10.9) 7.44 102.2 - average

(i)Calculated based on S&P Global Ratings' NCF and the fixed loan interest rate. (ii)The difference between S&P Global Ratings' estimated NCF and the underwriter's estimated NCF as a percentage of the underwriter's estimated NCF only. For pari passu loans, S&P Global Ratings' DSC and LTV are based on the trust and pari passu balance. DSC--Debt service coverage. NCF--Net cash flow. LTV--Loan to value. CapEx--Capital expenditure. TI/LC--Tenant improvements and leasing commissions. GPI—Gross potential income. RevPar--Revenue per available room. FF&E-- furniture, fixtures, or other equipment. N/A--Not applicable.

Loan-level credit enhancement

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

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Pool diversity

Overall transaction credit enhancement levels at each rating category are directly affected by the loan pool's diversity, a function of the transaction's effective loan count. The effective loan count, which is measured by the Herfindahl-Hirschman Index, accounts for the relative size of the loans in the pool by normalizing a transaction's loan count to account for unevenly sized loans. This transaction has an effective loan count of 18, which we consider not to be well diversified, resulting in a concentration coefficient of 45.1%.

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 (67.5%) and secondary markets (24.1%).

Transaction-level credit enhancement

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

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

Scenario Analysis

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

Effect of declining NCF

A decline in NCF may constrain cash flows available for debt service. A decline in cash flows may occur due to falling rental rates and occupancy levels, changes to operating expenses, or other factors that may decrease a property's net income. To analyze the effect of a decline in cash flows on our ratings, we have developed scenarios whereby the NCF from the portfolio decreases by 10%-40% from our current cash flow, which is 20.0% 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 7.31%.)

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 B- CCC-

NCF--Net cash flow.

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Top 10 Loans

01. 1633 Broadway

Table 13

Credit Profile

Loan no. 1 Property type Office

Loan name 1633 Broadway Subproperty type CBD

Pooled trust loan balance 65,000,000 Property sq. ft. 2,561,512 ($)

% of total pooled trust 8.4 Year built 1972 balance (%)

City New York Sponsor Paramount Group Operating Partnership LP

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

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

S&P Global Ratings' NCF ($) 6,150,000 (i) 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 (ii) rate (%)

S&P Global Ratings' value 96.9 (i) S&P Global Ratings' DSC (x) 3.12 (ii) (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)Pari passu adjusted. (ii)The loan is pari passu; LTV ratio and DSC calculated based on the $936.0 million companion loan and the $65.0 million pooled trust loan balance (collectively, the senior loan component). NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. CBD--Central business district. 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 $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

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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. Primary markets generally have higher barriers to entry than secondary and tertiary markets. 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 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 is expected to take occupancy in February 2020. 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 multiple transportation options, including the "1" subway line at the base of 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 debt yield falls below 5.8% for two consecutive quarters. At closing, the borrower will deposit $40.40 million for unfunded obligations such as tenant improvement/leasing commissions (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 $65.0 million pooled trust loan, along with the $936.0 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 nontrust 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.

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- In addition to the first-mortgage loan, the loan agreement permits future mezzanine debt as long as the aggregate debt yield 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.

- During alterations to the property, the loan documents leave to the servicer's discretion the decision whether to require collateral for alterations that exceed a certain cost threshold. Additionally, this collateral, if required, may not be rated by S&P Global Ratings. This structure potentially exposes the transaction to risks associated with additional leverage beyond a de minimis amount and potential additional liens, such as mechanic's liens, some of which may have priority over the mortgage lien. However, the senior loan component has low leverage with a 67.1% LTV ratio, based on S&P Global Ratings' valuation.

- 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.

- As of April 29, 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 loan is current as of the April payment date. According to the issuer, one tenant, representing approximately 8% of underwritten base rent, paid reduced April 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 January 1, 2021. We underwrote to a 5.9% vacancy as compared to the actual in place vacancy of 1.6% and our NCF was 18.7% lower than the November 30, 2019 trailing twelve month period. Given the high degree of uncertainty around the timeframe of these state level restrictions to combat the spread of COVID-19, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

02. Moffett Towers - Buildings ABC

Table 14

Credit Profile

Loan no. 2 Property type Office

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

Pooled trust loan balance ($) 65,000,000 Property sq. ft. 951,498

% of total pooled trust balance 8.4 Year built 2008 (%)

City Sunnyvale Sponsor Jay Paul

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

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

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Table 14

Credit Profile (cont.)

S&P Global Ratings' NCF ($) 6,450,000 (i) S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (22.73) 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(ii)

S&P Global Ratings' value (mil. 87.4 (i) S&P Global Ratings' DSC ratio (x) 2.80(ii) $)

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)Pari passu adjusted. (ii)The loan is pari passu. LTV and DSC ratios are calculated based on the $378.0 million pari passu companion loan and the $65.0 million trust loan balance. 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 $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 (84.1% of gross rent, 'AA+') and Comcast (13.1%, 'A-'). 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 its leases at the property each 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-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 event of default, 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

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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 TI/LCs and free rent totaling approximately $87.7 million.

- The loan agreement also calls for 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 representatives of the sponsor. 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 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 $65.0 million pooled trust loan, along with the $378.0 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 performance of the loan is highly dependent on Google's business prospects, as it leases 85.7% of the property's total square footage under leases expiring in 2026, 2027, and 2030. The triple-net 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 allocated loan amount (ALA) for buildings A and C, and 125% for building B. Any property releases are subject to minimum debt yield, 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.

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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.

- 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 April 27, 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, has resulted in most of the office tenants working remotely. The loan is current as of the April payment date. One tenant (1.4% of underwritten base rent) has requested rent relief; however, we are unaware of the outcome of the request. The sponsor reports 96% of in-place rent for April was collected. 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 COVID-19, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

03. 711 Fifth Avenue

Table 15

Credit Profile

Loan no. 3 Property type Mixed Use

Loan name 711 Fifth Avenue Subproperty type Office/Retail

Pooled trust loan 62,500,000 Property sq. ft./no. of units 340,024 balance ($)

% of total pooled 8.1 Year built/renovated 1927 trust balance (%)

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

State NY 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 1,850,000 (i) S&P Global Ratings' N/A Ratings' NCF ($) subordinate debt category

S&P Global (68.14) S&P Global Ratings' N/A Ratings' NCF subordinate debt variance (%) adjustment

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

S&P Global 38.2 (i) S&P Global Ratings' DSC (x) 0.92(ii) Ratings' value (mil. $)

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Table 15

Credit Profile (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 calculated based on the $545.0 million mortgage loan balance ($62.5 million trust loan plus the $482.5 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.

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. Primary markets generally have higher barriers to entry than secondary and tertiary markets. The property benefits from its prime location, along the 5th Avenue urban retail corridor between 49th to 59th street. 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. That said, 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, although the 18th floor 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 $70.0 million (11.4% 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 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.

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- 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 ration of 7% is breached for two consecutive quarters, or 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 event of default, 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 of and our NCF for the property, which is 66.7% 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 debt yield 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. 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.

- Although the retail spaces are 100% leased, the spaces Ralph Lauren leased are currently dark. In addition, the office component is approximately 72% occupied, which is lower than the submarket of rate of 91.3%. The property also exhibits tenant concentration risk. The top five tenants at the property, SunTrust Bank, now known as Truist Bank (A/Stable), Allen & Co (not rated), Ralph Lauren (A-/Stable), Loro Piana USA (not rated), and Sandler Capital (not rated), in the aggregate occupy 69.3% of NRA and contribute about 63.6% of in-place rents. However, their lease expirations are somewhat staggered, with the earliest lease expiration being SunTrust Bank at 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 (A-/Stable) 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%

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of the 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, 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 was 16.1% and 8.7%, respectively, with an average asking rent of $114.07 per sq.-ft. According to the appraiser, the retail availability rates for the submarket was 21.9% and the average asking rent was $3,182 per sq.-ft. as of Q1 2020. The appraiser concluded market rent for the ground floor space is estimated 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 additional leverage beyond a de minimis amount and potential additional liens, such as mechanic's liens, some of which may have priority over the mortgage lien.

- As of April 27, 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 April 2020 debt service payments. However, it is our understanding that Swatch Group has not made its April rent payments and has reached out to the borrower for discussion surrounding rent relief. While discussions are ongoing between the borrower and Swatch Group, the initial discussion surrounding rent relief calls for 50% rent abatement for April, May, and June 2020, with the 50% of the abated rents to be repaid by the end of 2020 and the remaining 50% to be repaid by March 2021. 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 COVID-19, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

04. Saban Self Storage Portfolio

Table 16

Credit Profile

Loan no. 4 Property type Self Storage

Loan name Saban Self Storage Subproperty type Self Storage Portfolio

Pooled trust loan balance ($) 60,000,000 Property sq. ft./no. of units 808,002

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Table 16

Credit Profile (cont.)

% of total pooled trust balance 7.8 Year built/renovated (%)

City Various Sponsor American Storage Partners, LLC

State xx S&P Global Ratings' amortization Interest Only category

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

S&P Global Ratings' NCF ($) 5,050,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF (17.3) S&P Global Ratings' subordinate debt N/A variance (%) adjustment

S&P Global Ratings' cap rate 8.30 S&P Global Ratings' LTV (%) 98.6 (%)

S&P Global Ratings' value (mil. 60.9 S&P Global Ratings' DSC (x) 2.58 $)

S&P Global Ratings' value (42.7) 'AAA' SCE (%) 54.3 variance (%)

S&P Global Ratings' value per 75 'AAA' DCE (%) 14.4 sq. ft./unit ($)

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

The loan exhibits the following strengths:

- The trust loan 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 17.3% lower than the issuer's NCF.

- The loan is secured by 13 self-storage facilities located in five states, comprising 808,002 sq. ft. and 6,471 units that include units with drive up access as well as wine storage units. Five properties (32.1% of units) are located in Texas, three (25.6%) are in California, two (18.1%) are in Florida, two (12.4%) are in Colorado, and the remaining property (11.8%) is in Nevada.

- The properties were built between 1979 and 2010. The properties offer climate controlled (24.7% of the total units) and non-climate controlled (75.3%) units. The properties all operate under the Storquest brand.

- The properties are moderately geographically diversified. Four properties (17.2% of ALA) are located in primary markets, six properties (46.5%) are located in secondary markets, and three properties (36.3%) are located in tertiary markets.

- The mortgage loan benefits from Saban Capital Group's experienced sponsorship. Saban Capital Group is a private investment firm based in Los Angeles, and its real estate group, formed in 2009, focuses on GSA office, student housing, and self-storage through its joint venture with the management team at The William Warren Group. The William Warren Group acquires and manages self-storage assets through the StorQuest self-storage platform, which currently has a comprehensive digital presence for its 170 properties under management.

The loan exhibits the following concerns and mitigating factors:

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- The trust loan has high leverage with a 98.6% LTV ratio, based on S&P Global Ratings' valuation. Our long-term sustainable value estimate is 42.7% lower than the appraiser's valuation. This is primarily driven by our S&P Global Ratings' weighted average capitalization rate of 8.30% versus the appraiser's concluded capitalization rate of 5.59%.

- 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. To account for this lack of amortization, we applied negative LTV threshold adjustments across the capital structure.

- The mortgage loan is a refinancing and the loan proceeds returned approximately $13.6 million (22.7% of the financing) of equity to the sponsor. Based on the sponsor's cost basis of $70.7 million, $10.7 million of cash equity will remain in the portfolio at closing. The sponsor aggregated the portfolio between 2013 and 2015.

- The occupancy of the portfolio has ranged from 90.0% in the TTM period ended December 2019 to 86.4% in 2016, averaging 89.2% over a four-year period. As of the March 2020 rent roll, the portfolio was 89.6% occupied. We used a 12.8% vacancy rate in our analysis to account for the local market dynamics for each property. However, the portfolio's NCF has increased by 31.1% to $6.0 million in 2019 from $4.6 million in 2016.

- The loan permits individual properties to be released upon a release premium payment equal to 110% of the original ALA. There is a DY and LTV test, whereby the (i) aggregate DY after giving effect to such release is at least the greater of (a) aggregate portfolio DY on the closing date and (b) aggregate portfolio DY immediately prior to such sale less 50 basis points, and (ii) LTV is not more than the lesser of the LTV immediately preceding such release and 80.0%.

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

- 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 springing lockbox and springing cash management. A cash sweep event occurs upon an EOD, or if the DSC falls below 1.10x. The loan is structured with ongoing reserves for taxes, insurance, and capital expenditures.

- As of April 29, 2020, all of the properties in the portfolio are open and operating with normal business hours; however, all five states in which the properties are located have temporary "stay at home" or "shelter in place" orders. The loan is current as of the April payment date. According to the issuer, the account receivables have increased and represent less than 4% of the issuer underwritten base rent. We underwrote to a 12.8% vacancy as compared to the actual in place vacancy of 10.4% and our NCF was 15.5% lower than the December 31, 2019 trailing twelve month period. Given the high degree of uncertainty around the timeframe of these state level restrictions to combat the spread of COVID-19, we believe the risk of

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forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

05. 650 Madison Avenue

Table 17

Credit Profile(i)

Loan no. 5 Property type Mixed Use

Loan name 650 Madison Subproperty type Office/Retail Avenue

Pooled trust loan balance 51,450,000 Property sq. ft./no. of units 600,415 ($)

% of total pooled trust 6.7 Year built/renovated 1957 balance (%)

City New York Sponsor Vornado Realty L.P.; OPG Investment Holdings (US), LLC

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

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

S&P Global Ratings' NCF 4,040,000(i) 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 6.50 S&P Global Ratings' LTV (%) 82.7 (ii) rate (%)

S&P Global Ratings' value 62.2(i) S&P Global Ratings' DSC (x) 2.22 (ii) (mil. $)

S&P Global Ratings' value (40.8) 'AAA' SCE (%) 45.6 variance (%)

S&P Global Ratings' value 1,182 'AAA' DCE (%) 10.0 per sq. ft./unit ($)

(i)The trust loan is pari passu; LTV and DSC calculated based on the $586.8 million whole mortgage loan balance ($50.0 million trust loan plus the $536.8 million 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 $51.4 million trust loan represents a senior pari passu portion within a larger $586.8 million mortgage loan secured by a 600,415-sq.-ft. LEED gold certified, class-A office tower in Midtown Manhattan, with a premier location close to Central Park on Madison Avenue and 59th street. The property offers 543,834-sq.-ft. of office space, 22,310-sq.-ft. of street level retail space on Madison Avenue, and 34,271-sq.-ft. of below-grade storage and flex space. The property was originally constructed in 1957 as an eight-story building and subsequently underwent a significant renovation in 1987, which added an additional 19-story tower on top of the existing structure.

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- The senior component has low leverage, with a S&P Global Ratings LTV ratio of 82.7%, based on our valuation. The senior component LTV ratio based on the appraiser's valuation is 48.5%. Our long-term sustainable value estimate is 40.8% lower than the appraiser's valuation. The $51.4.0 million pooled trust loan, along with the $535.3 million pari passu portion held outside the trust, represents a total $586.8 million senior loan component of an $800.0 million whole loan. The remaining $213.2 million junior nontrust note is held outside the trust and is the controlling piece of the whole loan, and increases our LTV ratio to 112.7% from 82.7%.

- The whole loan has a strong debt service coverage (DSC) of 2.22x, calculated using the 3.49% fixed interest rate and our in-place NCF for the portfolio, which is 18.9% lower than the issuer's NCF.

- The property is currently 98.0% leased to a diverse tenant roster of 28 unique tenants. Of the 600,415 sq. ft. of collateral net rentable area (NRA), 94.0% is office, 5.1% is retail, and 0.9% is storage, accounting for 75.0%, 24.9%, and 0.1% of the in-place gross rent as calculated by S&P Global Ratings, respectively. The largest tenants at the property are Ralph Lauren ('A-'; 46.1% of NRA; 36.2% of the in-place base rental income), Memorial Sloan Kettering (16.8%, 13.1%), and Sotheby's International Realty (6.3%, 4.1%). Historically, the property has demonstrated a strong historical average occupancy of about 91.8% over the past 10 years.

- The property is located in a primary market. Primary markets generally have higher barriers to entry than secondary and tertiary markets. The property is well-positioned in the Plaza District submarket, according to CBRE Group Inc. As of third-quarter 2019, the Plaza District class-A vacancy rate was reported at 16.2%, with an average in-place gross asking rent of $104.02 per sq. ft., and directly competitive buildings within the submarket are between 84.2% and 100.0%, averaging 89.2% occupied across the competitive set, according to the appraiser. Based on the appraiser's classification, the property is located directly within the Madison Avenue and Fifth Avenue segment of the Plaza District, which has a higher vacancy rate of 14.9% compared with the competitive set 10.8% vacancy rate. The property is currently 97.4% phyically occupied according to the October 2019 rent roll. S&P Global Ratings assumed an 11.0% vacancy rate in our derivation of long-term sustainable NCF.

- The property's net operating income (NOI) has increased at a compound annual growth rate of 6.1% between the trailing-12-month (TTM) period ending September 2019 and year-end 2016, increasing to $51.0 million from $42.7 million during the same time period.

- The borrower is not permitted under the loan agreement to obtain future subordinate financing.

- The property benefits from institutional sponsorship by the joint-venture between Vornado Realty Trust (Vornado) and Oxford Properties (Oxford). Vornado ('BBB') is a publicly traded REIT with a portfolio of roughly $17.2 billion assets under management (AUM) and an equity market capitalization of approximately $12.2 billion as of June 2019. It owns and operates office, retail, and showroom properties. Oxford is a global retail investor with approximately $50.0 billion of AUM. Oxford invests in and manages real estate assets on behalf of Ontario Municipal Employees Retirement System, and maintains investments across the five main property types.

- We visited the property on Nov. 21, 2019. The property is well-positioned in one of the most valuable submarkets of Manhattan, near Central Park, the Apple Cube, the Plaza Hotel, and public transportation via 59th Street. We viewed the vacant spaces on the 15th and 24th floors, which were in white-box condition during the tour. We also viewed the retail spaces that are along Madison Avenue, including the B.A.P.E, and Domenico Vacca, which are under construction. The Sotheby's mezzanine space was nearly completed with the tenant beginning to move in. The Ralph Lauren space had varying finishes, the office space was in-line with typical class-B space; however, the showroom space was built-out with high-end wood finishes

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that would be associated with a Ralph Lauren catalog. The Ralph Lauren space contains a staircase between two of their floors, which speaks to their current commitment to the space; this would likely need to be closed up at the tenant's sole cost if they were to vacate.

The loan exhibits the following concerns and mitigating factors:

- The mortgage loan is interest-only for its entire 10-year term, meaning 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 by applying an LTV adjustment across the capital structure.

- The property's largest tenant, Ralph Lauren Corp., which accounts for about 45.9% of the NRA and about 36.6% of the gross rental income, has a lease expiration date of December 2024. The tenant has had its global headquarters at the property since 1989, and has expanded their footprint at the property since taking occupancy. Given the recent midtown east rezoning, and abundance of class-A office tower development across the city, such as Hudson Yards and One Vanderbilt, it is not inconceivable that Ralph Lauren Corp. opts to sign elsewhere in 2024. However, the property has demonstrated an ability to maintain high historical occupancies, at approximately 95.0% since 1996. S&P Global Ratings considered this rollover risk by applying an 11.0% vacancy rate and 6.50% capitalization rate in our derivation of long-term sustainable net cash flow and value.

- Two retail tenants are not yet open for business because their space is currently being built-out: B.A.P.E (0.6% of NRA) and Domenico Vacca (0.2%), both of which are scheduled to open by year-end. The borrower has funded a $9.6 million upfront reserve to cover all outstanding tenant improvements/lease commissions (TI/LC) and free rent associated with the recent leasing. The entirety of the retail space was leased to Crate & Barrel at a below market rent. Upon Crate & Barrel's lease expiration in 2016 and subsequent vacating of the property, the sponsor was able to lease-up the space to multiple luxury retailers at market rents well in excess of what Crate & Barrel had been paying. In addition to B.A.P.E and Domenico Vacca, Celine ('A+'), Moncler, Tod's, and Sotheby's are tenants at the property. The current retail occupancy is roughly 91.0% with an average in-place rental rate of $744 per sq. ft.

- The loan is structured with a hard lockbox and springing cash management provisions that allow the borrower to access funds before certain events occur, including an event of default, a deterioration of debt yield, or the occurrence of a specified tenant trigger. A specified tenant trigger will commence upon any of the following: a bankruptcy filing by Ralph Lauren, Ralph Lauren providing notice to terminate, a default under the Ralph Lauren lease, or failure by Ralph Lauren to provide written notice of their intent to renew their lease 18 months prior to their December 2024 lease expiration date. The specified tenant reserve will be funded monthly until the reserve balance is $80.00 per sq. ft. for the vacating tenants NRA. The borrower is only required to make ongoing deposits into a tax and insurance, replacement, and leasing reserve, once a trigger event has occurred.

- There is no warm-body carve-out guarantor, and the carve-out guarantee is capped at $80,000,000 for each guarantor for most springing recourse obligations and $400,000,000 for each guarantor for most other guaranteed obligations. The guarantors are severally, but not jointly and severally, liable for the guaranteed obligations. In our view, these limitations generally lessens the disincentive provided by a full nonrecourse carve-out related to "bad acts" or voluntary bankruptcy.

- During alterations to the property, the loan agreement does not require that all collateral posted by the borrower be rated by S&P Global Ratings. This structure potentially exposes the transaction to risks associated with (1) additional leverage beyond a de minimis amount and (2)

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

- As of April 27, 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 loan is current as of the April payment date. The borrower has reportedly collected 74% of tenant rent due in April. None of the retail tenants paid their April rent, and the borrower sponsor has been in discussions with the tenants to determine the appropriate course in each case. We underwrote to a 11.0% vacancy as compared to the actual in place vacancy of 2.6%, as of Oct. 1, 2019, and our NCF was 13.6% lower than the Sept. 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 COVID-19, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

06. Chicagoland Industrial Portfolio

Table 18

Credit Profile

Loan no. 6 Property type Industrial

Loan name Chicagoland Industrial Subproperty type Warehouse/Distribution Portfolio

Pooled trust loan balance 51,155,000 Property sq. ft./no. of units 832,023 ($)

% of total pooled trust 6.6 Year built/renovated balance (%)

City Various Sponsor Andrew Hayman and Sheldon Yellen

State IL S&P Global Ratings' amortization Interest Only category

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

S&P Global Ratings' NCF ($) 4,110,000 S&P Global Ratings' subordinate Unsecured Debt (S&P LTV >= debt category 90%)

S&P Global Ratings' NCF (12.7) S&P Global Ratings' subordinate (2.50) variance (%) debt adjustment

S&P Global Ratings' cap 7.64 S&P Global Ratings' LTV (%) 94.5 rate (%)

S&P Global Ratings' value 54.1 S&P Global Ratings' DSC (x) 2.19 (mil. $)

S&P Global Ratings' value (35.4) 'AAA' SCE (%) 55.0 variance (%)

S&P Global Ratings' value 65 'AAA' DCE (%) 13.8 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. CBD--Central business district. N/A--Not applicable.

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The loan exhibits the following strengths:

- The pooled trust loan is a mortgage loan secured by the fee-simple interest in an eight-property Class A/B industrial portfolio. The properties have clear heights ranging from 17 feet to 40 feet, were built or renovated between 1979 and 2020, and are all located in the greater Chicago area. The properties are no more than 52 minutes from the Chicago central business district on average.

- Containing 10 tenants across eight properties, the portfolio's weighted average lease term is 11.7 years with 39.2% of the net rentable area turning over after the term of the loan.

- The portfolio is of very recent vintage with over half of the properties constructed in the last five years. As such, the average construction year is 2010, or 2014 when considering renovations. In line with this new construction, the engineering appraisal recommended a below average replacement reserve cost of $0.06 per sq. ft. per year.

- The portfolio is located in the primary industrial market of Chicago. Primary markets generally have higher barriers to entry than secondary and tertiary markets. The properties are spread out across seven submarkets according to CoStar. These submarkets had a weighted average vacancy rate of 6.0%, which compares favorably to the portfolio's in-place vacancy of 6.4%.

- Chicago's industrial market has an average market rent of $7.34 per square foot as of first-quarter 2020 with average annual rent growth currently standing at 4.4%, less than 200 bps higher than the 10-year average of 2.5%. This compares favorably to the portfolio's in-place average rents of $6.92 per square foot and allows for potential upside.

- The loan is an acquisition, and the sponsor contributed $27a.0 million of equity as part of the $78.7 million all-in acquisition costs (33.7% of the acquisition costs).

- The loan benefits from the experienced sponsorship of Andrew Hayman, President of the private commercial real estate firm, Hayman Co., and Sheldon Yellen, CEO of the global disaster recovery company, Belfor Holdings. The Hayman Co. currently owns more than 1.2 million square feet of commercial space and approximately 7,000 apartment units in addition to one 117-key hotel. Mr. Hayman established the company in 1965 and has over 50 years of commercial real estate experience. Messrs. Hayman and Yellen have a reported combined net worth in excess of $275 million.

- The loan is structured with a hard springing lockbox and in-place cash management. A trigger period occurs upon an EOD or if the DY falls below 7.25%. There are also ongoing reserves for taxes, insurance, replacement expenditures, and leasing expenses.

The loan exhibits the following concerns and mitigating factors:

- The trust loan has high leverage with a 94.5% LTV ratio, based on S&P Global Ratings' valuation. Our long-term sustainable value estimate is 35.4% lower than the appraiser's valuation.

- The loan is interest-only for its entire 10-year term, and there will be no scheduled amortization during the loan term. Compared with an amortizing loan, an interest-only loan bears a higher refinance risk because of the higher loan balance at maturity. We accounted for this lack of amortization by applying a negative 2.5% LTV threshold adjustment across the capital structure.

- The trust loan has a weak DSC of 2.19x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 12.7% lower than the issuer's NCF. Our NCF haircut is mainly driven by our underwritten vacancy of 11.7%

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- Six of the eight properties are single-tenant. 2405 West Haven is a two-tenant property constructed in 2018 that has yet to reach a stabilized occupancy and is currently 68.8% occupied. We consider single-tenant properties to be especially risky and typically underwrite vacancy to the greater of 10.0% or in-place vacancy. In this portfolio, we assigned a 7.0% vacancy to those submarkets that currently have 5.0% vacancy according to CoStar. We calculated a blended average vacancy of 11.7%

- One of the properties (26051 S. Cleveland) is entitled to a 16-year tax increment financing (TIF)-based tax abatement. The sponsor's tax basis is their assessed value less the original land value. Additionally, 80.0% of their payable taxes are reimbursable up to $4.0 million. This abatement expires in 2036. We accounted for the full term of the abatement and assumed the fully unabated tax expense for that property in our analysis. We then gave consideration to the present value of the tax savings in our S&P Global Ratings' value, estimated at $2.8 million and representing approximately 5.1% of our total value. It is also important to note that the tax savings are a "wasting asset" for which present value will decline with each passing year. If rental income does not increase, or if other expenses increase or capitalization rates increase in such a way as to offset the loss of yearly tax savings, our overall value will continue to decline.

- The loan permits the release of individual properties subject to a release premium equal no less than 115.0% of the allocated loan amount. In addition, releases are subject to LTV, debt yield, and DSCR tests such that these metrics are equal to or improved upon release.

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

- Illinois has a temporary stay-at-home order in place. As of April 14, 2020, none of the subject properties or tenants are affected by the stay-at-home order and all tenants have paid rent. Given the high degree of uncertainty around the timeframe of these state level restrictions to combat the spread of COVID-19, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

07. City National Plaza

Table 19

Credit Profile loan number 7 Property type Office loan name City National Plaza Subproperty type CBD trust loan balance ($) 50,000,000 Property sq. ft./no. of units 2,519,787

% of total pooled trust balance 6.5 Year built 1971 (%) city Los Angeles Sponsor Fifth Street Properties, LLC state CA S&P Global Ratings' amortization Interest Only category

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Table 19

Credit Profile (cont.)

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

S&P Global Ratings' NCF ($) 4,670,000(i) S&P Global Ratings' subordinate debt Unsecured Debt (S&P LTV category >= 90%)

S&P Global Ratings' NCF (17.7) S&P Global Ratings' subordinate debt (2.50) variance (%) adjustment

S&P Global Ratings' cap rate 7.25 S&P Global Ratings' LTV (%) 76.4(ii) (%)

S&P Global Ratings' value (mil. 65.4(i) S&P Global Ratings' DSC (x) 3.78(ii) $)

S&P Global Ratings' value (45.9) 'AAA' SCE (%) 44.4 variance (%)

S&P Global Ratings' value per 286 'AAA' DCE (%) 8.9 sq. ft./unit ($)

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

The loan exhibits the following strengths:

- The whole loan has low leverage with a 76.4% LTV ratio, based on S&P Global Ratings' valuation. Our estimate of long-term sustainable value is 45.9% lower than the appraiser's "as-is" valuation.

- The whole loan has a strong DSC ratio of 3.78x, calculated using the loan's fixed interest rate and S&P Global Ratings' NCF for the property, which is 17.7% lower than the issuer's NCF.

- The property is comprised of two LEED Platinum, Class A, 52-story office towers adjoined by a ground floor lobby. The property also features over 100,000 sq. ft. of retail and dining space as well as a 3,272-stall parking structure.

- The property benefits from its high-quality tenancy and granular rent roll. Approximately 24.9% of the gross rent is derived from investment-grade tenants, as calculated by S&P Global Ratings. Additionally, the property serves as the headquarters for City National Bank (17.1% of gross rent; 'A+') and Paul Hastings (6.9%; Am Law #26), and both tenants have highly visible signage at the top of the two towers. The three largest tenants are City National Bank (22.3% of gross rent; 'A+'), Jones Day (15.3%; Am Law #9), and Paul Hastings (9.5%; Am Law #26). No other tenant represents more than 4.4% of the in-place gross rent as calculated by S&P Global Ratings and no more than 10.6% of the in-place gross rent rolls in any given year during the loan term.

- The property benefits from extensive recent renovations. After acquiring the property in 2013, the sponsor invested $193 million ($77 per sq. ft.) to reposition the property, which was originally known as the ARCO Towers. Renovations included lobby enhancements and converting mechanical space into tenant use on the desirable top floor of the north tower.

- The property benefits from the long-term sponsorship from the joint partnership of CommonWealth Partners (CWP) and CalPERS. CalPERS is the nation's largest public pension fund with approximately $379 billion in assets. CWP is a privately held, vertically integrated real estate investment, development, and management firm based in Los Angeles, with offices across the United States. CWP has executed over $13 billion of transactions in partnerships

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with CalPERS, beginning in 1998. CWP also houses its headquarters at the property. We believe that, in some cases, institutional long-term sponsorship benefits certain assets because these sponsors have a greater depth of experience and more resources to maintain quality control standards relative to less experienced sponsors.

- The 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, a mezzanine loan EOD has occurred (if applicable), or a DY ratio of 6.5% is breached for two consecutive quarters. At that point, the borrower will be required to maintain monthly tax and insurance escrows, replacement reserves, and rollover reserves. During a cash sweep event, all excess cash flow will be deposited into a lender-controlled account. The loan further benefits from an upfront debt service reserve equal to 12 months of debt service payments. The reserve was established to mitigate the risks associated by potential cash flow disruptions on account of the COVID-19 global pandemic.

The loan exhibits the following concerns and mitigating factors:

- The whole loan is interest-only for its entire 10-year term, meaning there will be no scheduled amortization during the loan term. We accounted for this by reducing our LTV recovery thresholds across the capital structure.

- In addition to the first-mortgage loan, the loan agreement permits future mezzanine debt so long as the aggregate DY remains equal to or greater than the underwritten level of 8.5%, the aggregate DSC remains equal to or less than 2.0x, and the aggregate LTV remains equal to or lower than the underwritten level of 60.0%. The potential mezzanine debt is also subject to a cap of $180.0 million. Any additional financing is also subject to rating agency consent.

- The property's occupancy rate has declined to 81.5% as of year-end 2019 from 89.5% in 2017, now underperforming its Los Angeles Downtown submarket, which had a class A average vacancy rate of 14.4% and 15.1% during the same periods, according to CoStar. The increased vacancy was attributable to downsizing of several smaller tenants. We utilized a 7.25% cap rate as compared to the appraisal cap rate of 5.00% to account for this risk. However, the property is located in a primary market. Primary markets generally have higher barriers to entry than secondary and tertiary markets.

- Leases representing approximately 24.3% of the total gross rent contain termination options, including Paul Hastings L.L.P. However, the loan is structured with a $13.6 million upfront debt service reserve, which represents a full year of debt service payments.

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

- As of April 28, 2020, the property is reported to be open and operating; however, the California and local laws requiring a temporary shelter in place and restrictions on nonessential business operations has resulted in most of the office tenants working remotely. All of the retail tenants at the property are closed. According to the issuer, approximately 79% of the tenants by count have paid rent for April representing approximately 91% of the square footage and 92% of

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issuer underwritten base rent. Additionally the issuer noted that two retail tenants - Drago Centro (0.2% of base rent) and Salata (0.1% of base rent) have requested, and were granted, rent relief of approximately $230,000 for the month of April. Moreover, the borrower sponsor funded a 12-month debt service reserve at the time of origination on March 25, 2020. S&P's concluded value was 45.9% lower than the appraisal concluded value of $1.33 billion. The loan is current as of the April payment date. Given the high degree of uncertainty around the timeframe of these state level restrictions to combat the spread of COVID-19, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

08. 555 10th Avenue

Table 20

Credit Profile

Loan no. 8 Property type Multifamily

Loan name 555 10th Avenue Subproperty type High Rise

Pooled trust loan balance ($) 50,000,000 Property sq. ft./no. of units 598

% of total pooled trust balance 6.5 Year built/renovated 2017 (%)

City New York Sponsor Gary Barnett and Extell Limited

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

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

S&P Global Ratings' NCF ($) 3,620,000(i) S&P Global Ratings' subordinate debt Unsecured Debt (S&P LTV category >= 90%)

S&P Global Ratings' NCF (29.3) S&P Global Ratings' subordinate debt (2.50) variance (%) adjustment

S&P Global Ratings' cap rate 6.75 S&P Global Ratings' LTV (%) 82.9(ii) (%)

S&P Global Ratings' value (mil. 60.3(i) S&P Global Ratings' DSC (x) 2.03(ii) $)

S&P Global Ratings' value (64.1) 'AAA' SCE (%) 45.7 variance (%)

S&P Global Ratings' value per 531,615 'AAA' DCE (%) 10.0 sq. ft./unit ($)

(i)Pari passu adjusted. (ii)The loan is pari passu; LTV and DSC are calculated based on the $213.4 million pari passu companion loan and the $50.0 million pooled trust loan balance (collectively, the senior loan component). NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement.

The loan exhibits the following strengths:

- The senior loan component has a strong DSC of 2.03x, calculated using the loan's interest rate and our in-place NCF for the property, which is 29.3% lower than the issuer's NCF.

- The loan is secured by the borrower's leasehold interest in 555 10th Avenue, a 52-story luxury residential property totaling 598-units, 4,893 sq. ft. of retail space, and 109,852 sq. ft. of

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community facility space developed in 2017, located in the Hudson Yards neighborhood of Midtown West Manhattan.

- The property is located on 10th Avenue between 40th and 41st Streets, with primary access to the area provided by the Metropolitan Transit Authority (MTA) subway and bus system. With the extension of the seven-line subway directly into the Hudson Yards district, the neighborhood is connected directly to Midtown Manhattan and the New York City MTA. The property is located within walking distance of several subway stations including 42nd Street Port Authority (A, C, and E lines and New Jersey Transit Buses), 42nd Street Times Square (2, 3, N, Q, R, and W lines) and 34thh Street Penn Station (1, 2, and 3 lines, New Jersey Transit, and Long Island Rail Road commuter trains).

- The property is a 598,866 sq.-ft. high-rise multifamily property that includes 114,745 sq. ft. of commercial space (The Success Academy) on floors one through seven. The multifamily portion is 598 residential units on floors 10 through 51. The ninth floor houses a majority of the amenity spaces with additional amenities on the 52nd floor and cellar level (below the commercial units).

- The residential units include 447 market units (74.7% of total units), 150 affordable units (25.1%), and one resident manager unit (0.2%). The property offers studio, alcove, one-bedroom, two-bedroom, and three-bedroom apartments. According to the sponsor, at the time of origination, 41 of the market rate units (9.2% of market rate units) were registered under the previous 421-a requirements and are subject to maximum increases under rent stabilization guidelines; however, those units will permanently stop being rent-stabilized upon vacancy per the new 421-a rules.

- The property benefits from its high quality finishes and amenities. The residential interior units contain hardwood flooring, stainless steel appliances, premium bathroom fixtures, and in-unit washer and dryers. The building amenities include an outdoor resident lounge, indoor and outdoor pools with cabanas, indoor and outdoor fireplaces, a gym, a bowling alley, a gaming lounge, a children's lounge/playroom, a dog run, and a dog washing station.

- The property is located in a primary market, within the Midtown West multifamily submarket of Manhattan according to CBRE-EA. The submarket's vacancy for fourth-quarter 2019 stood at 3.2% with asking rents of $4,262 per unit. The market rate and affordable units were 4.5% and 1.3% vacant, respectively, as of the March 31, 2020, rent roll and had a weighted average rent of $5,883 per unit (excluding the resident manager unit) and $1,141 per unit, respectively. Given the additional and proposed supply in the submarket, limited operating history, above-market rents, and the new rent guidelines, we assumed a 6.0% and 5.0% vacancy for the market rate and the affordable units, respectively, to derive our sustainable value.

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

- The property benefits from Gary Barnett's experienced sponsorship. Gary Barnett founded Extell Development Co. (Extell) in 1989, a New York based full-service real estate development firm. Extell's real estate portfolio is comprised of more than 20 million sq. ft. of residential, commercial, retail, hospitality, and mixed-use space located primarily in Manhattan and other premier U.S. markets.

- The mortgage loan is structured with a hybrid in-place lockbox (soft for residential tenants and hard for commercial tenants) with in-place cash management. A cash sweep event occurs upon an EOD, a mezzanine loan EOD, if the mortgage DSC falls below 1.70x, or if the combined DSCR,

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inclusive of the mezzanine loan, falls below 1.10x. There are also ongoing reserves for taxes, insurance, ground rent, common charges, and capital expenditures.

The loan exhibits the following concerns and mitigating factors:

- The $50.0 million pooled trust loan, along with the $213.4 million pari passu portion held outside the trust and the controlling piece of the whole loan, represents a total $263.4 million senior loan component of a $400.0 million whole loan. The remaining $136.6 million junior non-trust note is held outside the trust and increases our LTV ratio to 125.8% from 82.9%. The senior loan component LTV ratio based on the appraiser's "as-is" valuation of 29.8%. Our estimate of long-term sustainable value is 64.1% lower than the appraiser's "as-is" valuation.

- The loan is interest-only for its entire 119-month term, meaning there will be no scheduled amortization during the loan term. We reduced our LTV recovery thresholds at each rating category to account for the higher refinancing risk at loan maturity compared to an amortizing loan.

- In addition to the whole loan, there is a $140.0 million mezzanine loan. Including the whole loan and the mezzanine loan, the S&P Global Ratings' LTV ratio increases to 169.9% from 125.8%. The comparably weaker credit metrics for the combined debt exposes the senior loan to a higher default risk. At origination, the borrowers deposited $1.0 million to be disbursed to pay mezzanine debt service if on or prior to December 12, 2021 in the event a cash sweep period exists, no mortgage loan EOD, and insufficient funds are available to pay mezzanine debt service. However, after the second anniversary of the origination date, the funds in the reserve can be disbursed to the borrower if the aggregate (including mortgage and mezzanine loans) DSCR is greater than 1.25x for at least six consecutive months. We reduced our LTV recovery thresholds at each rating category to account for this unsecured subordinate debt.

- The proceeds of the whole loan were primarily used to retire an existing $324.0 million construction loan from the New York State Housing Finance Agency (HFA), retire a $100.0 million EB-5 loan, partially pay down $83.0 million of an existing RXR credit facility, pay approximately $22.9 million in origination costs, fund approximately $8.48 million of reserves and approximately $1.56 million of stub interest.

- The property has limited operating history. Construction of the property began in 2014 and was developed in stages between November 2016 and October 2017, with the first lease signed in October 2016. According to the sponsor, although the property began leasing at the end of 2016, the property was still under construction at this time and the amenity spaces were not fully open until October 2017. As a result, initial leasing was negatively impacting during this period. Since the completion of the amenity spaces, leasing velocity increased. Although the property was completed in October 2017, we were not provided with 2018 financials; instead, we've received full-year 2019 and trailing-12-month February 2020 financials, with a net operating income of $22.2 million and $23.0 million, respectively. The market rate units occupancy were 55%, 86%, 88%, 97%, and 96% as of October 2017, October 2018, December 2018, August 2019, and March 2020, respectively.

- A portion of the property, totaling 113,929 sq. ft. of zoning floor area, is subject to a 99-year term ground lease that commenced Aug. 22, 2011, and will expire Aug. 21, 2110. The ground lease is an absolute net lease and the annual ground rent is currently $2.2 million, which increases 10.0% to $2.4 million in September 2025 and every seven years thereafter until September 2041. We adjusted our in-place analysis by assuming a ground lease expense based on the maximum ground rent (2039), projected 10 years past the loan maturity (2029), and by considering the NPV of the differential between its assumed ground rent expense and the actual ground rent expense over a 20-year period. In September 2041, the ground rent will be

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reset based upon 7.0% of the modified fair market value of the land, the recomputation amount. According to the appraiser, the estimated ground rent payment on September 2041 is estimated at $8.8 million, representing an astronomical 200.8% increase from the September 2039 ground lease payment of approximately $2.9 million. We increased our capitalization rate to account for this reset risk.

- The property is subject to a condominium regime, consisting of four residential units, one retail unit, and one community facility unit. Two of the borrowers are the declarants under the condominium and retains title to the condominium units, other than the community facility unit conveyed to Success Academy Charter Schools (Success Academy). Success Academy, founded in 2006, is the largest free, public charter school network in New York City. The two borrowers are entitled to appoint six of the seven members of the condominium board and hold an 84.4% interest in the common elements of the condominium. The two borrowers have effective control of the condominium.

- As previously mentioned, the property has been divided into condominium units in part so that Success Academy can apply for a property tax exemption based on its not-for-profit status. The borrowers sold the condominium unit to Success Academy for the purchase price of $45.0 million to be paid in 372 monthly installments pursuant to an unsecured purchase agreement. During the purchase period, Success Academy will own the unit subject to the terms of a recorded declaration outlining the possessory rights and obligations of Success Academy and an obligation to reconvey the unit to the borrower upon the earlier of June 30, 2047, or a default under either the declaration or the purchase agreement. Although a default of Success Academy's payments to the borrowers would trigger the reconveyance obligation, which is recorded and runs with the land, the lack of a security interest in the unit in question would make the borrowers' enforcement of the reconveyance obligation an unsecured claim in the event of a Success Academy insolvency or bankruptcy. In our experience, the lack of security interest in this type of tax-advantaged condominium structure is atypical. Although we gave full credit to the Success Academy income stream, we increased our capitalization rate to capture additional risk from this unusual structure, including the potential for a longer repossession timeline.

- The property received a certificate of eligibility from the New York City Department of Housing Preservation and Development (HPD) on March 2019, establishing that the property qualifies for tax exemption under the Option E program. The 421-a tax abatement affordability Option E program provides a 35-year tax exemption. Under this program, all increases in the assessed value of the property above the base tax year (prior to September 2013) are exempt from taxation for 35 years from the completion date of the property. The exemption applies to both the residential and commercial portions of the property, but does not apply to the community facility unit owned by Success Academy. Per the sponsor, at the time of origination, 41 of the market rate units (9.2% of market rent units) were registered under the previous 421-a requirements and are subject to maximum increases under rent stabilization guidelines; however, those units will permanently stop being rent-stabilized upon vacancy per the new 421-a rules.

- We accounted for the tax abatement by assuming the fully unabated tax expense in our analysis and adding the net present value (NPV) of the tax savings, estimated at approximately $133.8 million, to our S&P Global Ratings' value. We capped the present value of the tax savings at 20 years, which represents 42.1% of our long-term sustainable value. It is also important to note that the tax savings are a "wasting asset", the present value of which will decline with each passing year. If rental income does not increase, if other expenses increase, or if capitalization rates increase in such a way as to offset the loss of yearly tax savings, our overall value will continue to decline.

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- The property was partially developed using tax exempt bond financing and low income housing tax credits (LIHTC) from the Housing Finance Agency (HFA). The HFA provides developers with financing and LIHTC to help source capital to build residential projects with an LIHTC affordable housing component. According to the HFA Regulatory Agreement, 120 of the low income units at the property are subject to HFA's affordability requirements for 30 years. Thereafter, rent adjustments for renewal leases are governed by local rent stabilization law regulations, but in no event may the rent adjustments result in a rent that exceeds 30% of 60% of the then area medium income, adjusted for family size. The HFA Regulatory Agreement also subjects the property to various HFA regulatory requirements relating to management, ownership transfers, and reporting of property information.

- Although the SPE borrower is structured with a nonconsolidation opinion and two independent directors, the independent directors can be removed without cause with 10 days' notice.

- As of April 27, 2019, the residential portion of the property was open and operating and the borrower sponsor collected approximately 89% of total multifamily rent changes. Due to "New York State on Pause" executive order, which requires all non-essential businesses statewide to close and encourages residents to stay at home, all the commercial tenants at the property are closed except for Superior Gourmet, a grocery store, because of its essential business status. The largest commercial tenant at the property, Success Academy, paid the April 2020 rent. Success Academy announced the closure of all of its locations in New York in late March 2020, but the tenant is conducting classes online. Superior Gourmet, Queen of Queens Nail & Spa, and Kumon Math and Reading Program of Midtown West paid a portion of their April 2020 rent and have received some form of rent relief from the borrowers. These three tenants represent approximately 1.4% of total base rent (inclusive of residential and commercial rent) as calculated by S&P Global Ratings. We underwrote to a 5.0% commercial vacancy as compared to the actual in-place vacancy of 0.0%. In addition, our total property NOI is 45.2% lower than the Feb. 29, 2020, TTM period, although driven by high unabated taxes. The April 2020 debt service payment for both the mortgage and mezzanine loans have been made by the borrowers. Both loans are not subject to any modification or forbearance request we are of aware of at this time. Given the high degree of uncertainty around the timeframe of New York's state level restrictions to combat the spread of COVID-19, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

09. 297 N 7th Street & 257 15th Street

Table 21

Credit Profile

Loan no. 9 Property type Mixed Use

Loan name 297 North 7th & 257 15th Subproperty type Various Street

Pooled trust loan balance ($) 39,000,000 Property sq. ft./no. of units 78,781

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Table 21

Credit Profile (cont.)

% of total pooled trust balance 5.1 Year built/renovated (%)

City Brooklyn Sponsor Harry Einhorn

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

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

S&P Global Ratings' NCF ($) 2,710,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF variance (11.6) S&P Global Ratings' subordinate debt N/A (%) adjustment

S&P Global Ratings' cap rate (%) 7.39 S&P Global Ratings' LTV (%) 103.2

S&P Global Ratings' value (mil. $) 37.8 S&P Global Ratings' DSC (x) 1.80

S&P Global Ratings' value (41.2) 'AAA' SCE (%) 56.4 variance (%)

S&P Global Ratings' value per sq. 480 'AAA' DCE (%) 20.2 ft./unit ($)

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

The loan exhibits the following strengths:

- The pooled trust loan is secured by the fee-simple interest in two mixed-use properties in the New York City borough of Brooklyn. 297 North 7th Street (297 North) is a newly-constructed, 36,481 sq.-ft. building in the heart of Williamsburg that is leased to Williamsburg Northside School (Williamsburg Northside), a private elementary school, through August 2034. The second property is 257 15th Street (257 15th), a six-story, 16-unit multifamily building constructed in 2002 in the Park Slope section of Brooklyn. The basement and first floors are leased to the Park Slope Center for Mental Health (Park Slope Center) through July 2028.

- The loan has a moderately high DSC of 1.80x, calculated using the loan's fixed interest rate and our in-place NCF for the portfolio, which is 11.6% lower than the issuer's NCF.

- 297 North is a nine-story building that the sponsor purchased as vacant land in 2013 and developed specifically for the school for a total cost basis of $24.0 million. Willamsburg Northside took possession of the building in September 2014 and is currently on a 20-year lease expiring in 2034, four years past loan maturity. The property also includes a parking garage that is also utilized as a mixed martial arts training facility for the school. The parking garage is under a five-year NNN lease with a third party through 2022.

- Williamsburg Northside is a private preschool and elementary school founded in 1999 by a small group of entrepreneurial educators. It is owned by education management company MetSchools, a portfolio company of private investment firm VSS. Total enrollment currently sits at approximately 200 students with an average annual tuition of $37,500. Even with this high price, demand remains strong with a 38.0% acceptance rate. According to the school, graduating eighth-graders are likely to attend selective high schools such as Brooklyn Polytech, Léman Manhattan Preparatory, Stuyvesant High, and Brooklyn Tech.

- 257 15th is a mixed-use multifamily/commercial property that the sponsor acquired in 2001 as

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vacant land. He subsequently developed the property in 2005 at a total cost basis of $17 million. The 16 residential units are all two-bedroom apartments subject to a 421-a rent stabilization agreement. The first floor and basement are 19,800 sq. ft. of commercial space leased to Park Slope Center, a non-profit agency. They have been at the property since 2005, and their lease expires in 2028. The property is 100.0% occupied.

- According to CoStar, the property lies within the Prospect Park multifamily submarket. This area is centered around its eponymous park and includes such diverse neighborhoods as Park Slope, Carroll Gardens, South Slope, and Crown Heights, among other smaller neighborhoods. The submarket has attracted plenty of demand in recent years and vacancies were at a record low of 2.0% in first-quarter 2020. With an average in-place rent of $3,774 per month, the property's residential units are higher than the broader submarket's $2,826 per month for two-bedroom units but more in line with the average two-bedroom Park Slope price of $3,475 per month according to StreetEasy.

- We visited both properties on March 2, 2020, and found that both properties present well. We toured the classrooms, lab spaces, and common spaces of 297 North, which looked to be a clean, up-to-date school facility. The residential units of 257 15th were modern, well-kept, and in line with Class B+ standards.

- The loan benefits from the experienced sponsorship of Harry Einhorn. Mr. Einhorn is an experienced Brooklyn-based developer who oversees day-to-day operations at his properties and has a current real estate portfolio valued at approximately $278.0 million. His reported net worth is in excess of $183.0 million.

- The mortgage loan is structured with a hard springing lockbox and in-place cash management. A cash sweep event occurs upon an EOD, if the DY falls below 7.25, or one of the major tenants has terminated or elected to terminate its space, declared bankruptcy, or reduced its square footage beyond certain minimum thresholds. There are also ongoing reserves for taxes, insurance, replacement reserves, and leasing expenses.

The loan exhibits the following concerns and mitigating factors:

- The loan has high leverage with a 103.2% LTV ratio, based on S&P Global Ratings' valuation. Our long-term sustainable value estimate is 41.2% lower than the appraiser's valuation. This is primarily driven by our blended average direct cap rate assumption of 7.4%, which takes into account the Class B nature of the office space, its "core-plus" geographical location, and the specialized use of the buildings. The appraiser's blended cap rate was 5.1%

- Both properties are part of the North Brooklyn office submarket ($43.13 per sq. ft.; 14.0% vacancy). According to CoStar, this rather large submarket is somewhat untested in generating a consistent volume of new leases. As a result, vacancies have been increasing in recent years as new supply has come online. This is somewhat mitigated by the fact the both buildings are 100% occupied, and 257 15th has below-market rent at $31.61 per sq. ft. with annual escalations. 297 North has above-market in-place rents at $53.91 per sq. ft.; however, the school has also invested $3.00 million ($82.00 per sf) of its own capital into the property.

- The loan is a refinancing and the loan proceeds returned approximately $16.2 million (41.6% of the financing,) of equity to the sponsor. Based on the sponsor's cost basis of $41.0 million, $2.0

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million of cash equity will remain in the portfolio at closing. The sponsor acquired the properties as vacant land in 2000 and 2013 for a combined $3.8 million.

- As of April 28, 2020, Williambsurg Northside School, the sole tenant of 297 N 7th Street, reported to be open and operating remotely due to the "New York State on Pause" executive order, which restricts non-essential business operations and encourages residents to stay at home. The loan is current as of the April payment date. We underwrote to a 10.0% vacancy as compared to the actual in place vacancy of 100.0% and our NCF was 20.7% lower than the Dec. 31, 2019, TTM period. Given the high degree of uncertainty around the timeframe of these state level restrictions to combat the spread of COVID-19, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

10. PNC Center

Table 22

Credit Profile

Loan no. 10 Property type Office

Loan name PNC Center Subproperty type CBD

Pooled trust loan balance ($) 32,662,500 Property sq. ft./no. of units 498,905

% of total pooled trust balance (%) 4.2 Year built/renovated 1979

City Cincinnati Sponsor Raymond Massa

State OH S&P Global Ratings' amortization category Interest Only

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

S&P Global Ratings' NCF ($) 2,970,000 S&P Global Ratings' subordinate debt N/A category

S&P Global Ratings' NCF variance (%) (11.7) S&P Global Ratings' subordinate debt N/A adjustment

S&P Global Ratings' cap rate (%) 8.50 S&P Global Ratings' LTV (%) 98.1

S&P Global Ratings' value (mil. $) 33.3 S&P Global Ratings' DSC (x) 2.57

S&P Global Ratings' value variance (33.7) 'AAA' SCE (%) 54.1 (%)

S&P Global Ratings' value per sq. 67 'AAA' DCE (%) 14.2 ft./unit ($)

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.

The loan exhibits the following strengths:

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- The pooled trust loan has a strong DSC of 2.57x, calculated using the loan's fixed interest rate and our in-place NCF for the property, which is 11.7% lower than the issuer's NCF.

- PNC Center is a 27-story office building totaling 498,905 sq. ft. located in Cincinnati, Ohio. As of Jan. 15, 2020, the PNC Center property was 80.0% occupied by 27 different tenants. PNC Bank (PNC; 'A-') is the largest tenant at the property and occupies approximately 23.6% of the NRA.

- In connection with the origination of the PNC Center loan, the borrower reserved $3.0 million ($6.01 per sq. ft.) for purposes of renovating and reconfiguring the PNC Center property's lobby, including adding a proposed restaurant as well as other tenant amenities. The sponsor anticipates completion within two years.

- The loan is an acquisition, and the sponsor contributed $28.6 million of equity as part of the $50.3 million all-in acquisition costs (45.8% of the acquisition costs).

- The property is located in a secondary market. Primary and secondary markets have historically outperformed tertiary markets. According to the CBRE, PNC Center is located within the Cincinnati CBD market. The vacancy was reported at 7.1% as of first-quarter 2020, indicating less than 1% improvement over the previous year. CBRE expects vacancy in the submarket to increase over the next several years, with a forecast for 9.4% in 2024. The average rental rate in the submarket was $16.48 per sq. ft. as of first-quarter 2020, a year-over-year decrease of 0.25% from 2019. The submarket's rents are expected to increase over the next several years at a compound annual growth rate of approximately 1.56% to $18.54 per sq. ft. through 2024.

- The loan benefits from the experienced sponsorship of Group RMC. Group RMC is a real estate management company headquartered in New York City targeting investments in undervalued, well-located functional office assets in suburban markets throughout the United States. Group RMC's portfolio includes more than 17.4 million sq. ft. of office space across more than 200 buildings at a combined value of $2.0 billion. In addition, Group RMC currently owns Huntington Center, a 386,092 sq.-ft. office tower located three blocks east of PNC Center.

- The loan is structured with a hard in-place lockbox and in-place cash management. A cash sweep event occurs upon an EOD, if the DY falls below 7.75%, or one of the major tenants has terminated or elected to terminate its space, declared bankruptcy, or reduced its square footage beyond certain minimum thresholds. There are also ongoing reserves for taxes, insurance (at lender's discretion), capital expenditures, and leasing expenses.

The loan exhibits the following concerns and mitigating factors:

- The pooled trust loan has high leverage with a 98.1% LTV ratio, based on S&P Global Ratings' valuation. Our long-term sustainable value estimate is 33.7% lower than the appraiser's valuation.

- The property exhibits tenant concentration risk as largest tenant, PNC, accounts for approximately 23.6% of the NRA and 18.9% of the property's total rent as calculated by S&P Global Ratings. In addition, PNC's lease expires in March 2030, four months after the loan matures. This is partially mitigated by a cash flow sweep in the final 12 months of the loan. The remaining rent roll is granular; no other tenant occupies more than 6.1% of NRA or accounts for more than 6.0% of underwritten base rent as calculated by S&P Global.

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- The property has historically underperformed its submarket, exhibiting a relatively high vacancy rate of approximately 20% since 2015. According to CBRE-EA, the submarket vacancy averaged 10.4% during the same period. We performed an in-place analysis and increased our cap rate to account for this risk.

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

- As of April 28, 2020, the property is reported to be open and operating, however, most, if not all, office tenants are working remotely or operating with limited employees on-site due to Ohio's stay at home order. The loan is current as of the April payment date. According to the issuer, one tenant, representing approximately 2.5% of NRA, did not pay April rent. Additionally, two tenants, representing approximately 7.8% of underwritten base rent, have requested short-term rent assistance. Our underwritten NCF is 24.5% lower than the property's 2019 year-end NCF. Given the high degree of uncertainty around the timeframe of these state-level restrictions to combat the spread of COVID-19, we believe the risk of forbearance is elevated. However, we believe the servicer advancing mechanism that is in place provides short-term liquidity support.

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 18.0 to ascertain the final transaction credit enhancement level at each rating category relative to the upper and lower ranges established by the weighted average SCE and DCE. These final transaction credit enhancement levels are subject to applicable floors, including a 1% floor at the 'B' rating category, and any adjustment for overall transaction-level considerations.

Appendix I

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

S&P Global Ratings' S&P net Net Global Debt Loan cash cash Cap Ratings' Value service Loan Property Market balance % of flow flow rate value variance loan-to-value coverage no. Property name type type (mil. $) pool (mil. $) variance (%) (mil. $) (%) ratio (%) (x)

1 1633 OF P 65.000 8.4 6.148 (18.9) 6.35 96.918 (37.8) 67.1 3.12 Broadway

2 Moffett Towers OF P 65.000 8.4 6.445 (22.7) 7.25 87.401 (40.1) 74.4 2.80 Buildings A, B &C

3 711 Fifth MU P 62.500 8.1 1.852 (68.1) 7.02 38.172 (66.7) 163.7 0.92 Avenue

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Appendix I

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

4 Saban Self SS Var 60.000 7.8 5.051 (17.3) 8.30 60.872 (42.7) 98.6 2.58 Storage Portfolio

5 650 Madison MU P 51.450 6.7 4.037 (18.9) 6.50 62.245 (40.8) 82.7 2.22 Avenue

6 Chicagoland IN Var 51.155 6.6 4.109 (12.7) 7.64 54.136 (35.4) 94.5 2.19 Industrial Portfolio

7 City National OF P 50.000 6.5 4.673 (17.6) 7.25 65.428 (45.9) 76.4 3.78 Plaza

8 555 10th MF P 50.000 6.5 3.615 (29.3) 6.75 60.347 (64.1) 82.9 2.03 Avenue

9 297 North 7th MU Var 39.000 5.1 2.712 (11.6) 7.39 37.791 (41.2) 103.2 1.80 & 257 15th Street

10 PNC Center OF S 32.663 4.2 2.971 (11.7) 8.50 33.311 (33.7) 98.1 2.57

11 1427 7th MF P 27.700 3.6 1.790 (5.3) 6.25 27.461 (33.8) 100.9 1.70 Street

12 Grand Street OF P 27.600 3.6 2.423 (15.6) 7.75 31.266 (29.3) 88.3 2.58 Plaza

13 630 Roseville MU S 25.800 3.3 1.731 (16.9) 8.25 20.986 (46.9) 122.9 1.80

14 Hawthorne MF S 18.000 2.3 1.268 (9.2) 7.50 16.905 (29.6) 106.5 1.16 Gate

15 Lakeside Flats MF S 17.200 2.2 1.166 (7.8) 7.00 16.652 (35.7) 103.3 1.12

16 PCI Pharma MU Var 16.750 2.2 1.274 (14.9) 8.00 15.926 (37.8) 105.2 2.22 Portfolio

17 Trails of MF S 16.500 2.1 1.251 (3.9) 7.25 17.260 (24.0) 95.6 1.23 Hudson II

18 Midland RT Var 14.500 1.9 1.192 (7.4) 8.85 13.461 (34.9) 107.7 1.44 Atlantic Portfolio

19 45 Newel MF P 10.900 1.4 0.680 (10.2) 6.25 9.973 (37.3) 109.3 1.47 Street

20 525 Market OF P 10.000 1.3 1.062 (17.2) 7.00 14.150 (47.7) 70.7 3.55 Street

21 Shoppes at RT S 9.700 1.3 0.781 (9.7) 8.25 9.467 (31.9) 102.5 1.38 Haydens Crossing

22 United Market RT T 8.000 1.0 0.695 (11.4) 7.75 8.973 (41.0) 89.2 1.53 Street

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Appendix I

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

23 Savannah MF S 8.000 1.0 0.626 (6.2) 7.25 8.632 (19.8) 92.7 1.42 Ridge II

24 Fisher Trails MF P 7.900 1.0 0.554 (13.2) 6.75 8.202 (32.8) 96.3 1.88

25 Harvard Oaks MF S 7.000 0.9 0.553 (6.0) 7.50 7.373 (35.9) 94.9 1.40 Apartments

26 910 81st MF P 6.400 0.8 0.367 (18.6) 7.00 5.238 (49.1) 122.2 1.53 Street

27 Stratford MF T 5.135 0.7 0.441 (6.9) 8.25 5.351 (26.7) 96.0 1.51 Square Apartments

28 Arbor MF S 4.000 0.5 0.326 (9.9) 7.50 4.353 (32.1) 91.9 2.33 Apartments

29 Werner IN P 4.000 0.5 0.351 (16.2) 8.50 4.178 (32.2) 95.7 1.50 Industrial

Total/weighted - - 771.853 100.0 60.145 (20.0) 7.31 - (42.0) 96.4 2.20 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

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

1 1633 Broadway 65,000,000 18.1 14.2 32.9 5.9 21.7 3.6

2 Moffett Towers Buildings A, 65,000,000 19.7 15.4 39.5 7.8 29.4 5.3 B&C

3 711 Fifth Avenue 62,500,000 100.0 100.0 72.5 72.5 67.9 67.9

4 Saban Self Storage Portfolio 60,000,000 26.5 20.9 54.3 14.4 46.7 11.5

5 650 Madison Avenue 51,450,000 21.9 17.2 45.6 10.0 36.5 7.4

6 Chicagoland Industrial 51,155,000 25.0 19.7 55.0 13.8 47.1 10.9 Portfolio

7 City National Plaza 50,000,000 20.2 15.8 44.4 8.9 34.6 6.4

8 555 10th Avenue 50,000,000 21.9 17.2 45.7 10.0 35.4 7.1

9 297 North 7th & 257 15th 39,000,000 35.9 28.3 56.4 20.2 49.1 16.4 Street

10 PNC Center 32,662,500 26.2 20.6 54.1 14.2 46.5 11.3

11 1427 7th Street 27,700,000 39.7 31.4 54.9 21.8 46.5 17.2

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Appendix II

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

AAA AA

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

12 Grand Street Plaza 27,600,000 23.3 18.3 51.9 12.1 43.4 9.3

13 630 Roseville 25,800,000 45.2 35.9 63.4 28.7 57.3 24.8

14 Hawthorne Gate 18,000,000 80.5 64.7 54.2 43.6 46.2 34.6

15 Lakeside Flats 17,200,000 81.6 65.7 52.8 43.1 44.6 33.8

16 PCI Pharma Portfolio 16,750,000 28.5 22.5 59.1 16.9 52.0 14.0

17 Trails of Hudson II 16,500,000 66.5 53.2 47.7 31.7 38.8 23.9

18 Midland Atlantic Portfolio 14,500,000 59.2 47.2 57.1 33.8 50.1 27.6

19 45 Newel Street 10,900,000 57.7 46.0 56.5 32.6 48.8 26.1

20 525 Market Street 10,000,000 19.0 14.9 39.2 7.4 28.5 5.0

21 Shoppes at Haydens 9,700,000 59.5 47.4 54.9 32.6 47.5 26.3 Crossing

22 United Market Street 8,000,000 42.7 33.8 48.1 20.5 39.7 15.7

23 Savannah Ridge II 8,000,000 51.2 40.7 47.4 24.3 38.2 18.1

24 Fisher Trails 7,900,000 29.8 23.5 50.7 15.1 41.9 11.5

25 Harvard Oaks Apartments 7,000,000 53.6 42.7 48.6 26.1 39.7 19.7

26 910 81st Street 6,400,000 62.1 49.6 61.1 38.0 54.2 31.4

27 Stratford Square 5,135,428 47.4 37.6 47.9 22.7 39.0 17.1 Apartments

28 Arbor Apartments 4,000,000 24.4 19.2 48.3 11.8 39.1 8.8

29 Werner Industrial 4,000,000 48.0 38.1 51.7 24.8 43.9 19.6

Total/weighted average 771,852,928 37.5 31.4 50.9 20.9 42.5 17.2

(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

www.standardandpoors.com May 4, 2020 48

Canadian CMBS, Sept. 5, 2012

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

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

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

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

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

Related Research

- Global Structured Finance Outlook 2020: Securitization Continues To Be Energized With Potential $1 Trillion In Volume Expected Again, Jan. 7, 2019

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

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

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

www.standardandpoors.com May 4, 2020 49

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