Morgan Stanley Capital I Trust 2021-L7

Presale:

Morgan Stanley Capital I Trust 2021-L7September 23, 2021

Preliminary Ratings

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

A-1 AAA (sf) 18,400,000 30.000

A-2 AAA (sf) 92,100,000 30.000

A-3 AAA (sf) 68,100,000 30.000

A-SB AAA (sf) 34,100,000 30.000

A-4(ii) AAA (sf) TBD(iii) 30.000

A-4-1(ii) AAA (sf) 0 30.000

A-4-2(ii) AAA (sf) 0 30.000

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


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

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

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



X-A AAA (sf) 625,972,000 N/A

X-B A (sf) 143,080,000 N/A

A-S(ii) AAA (sf) 52,537,000 24.125

A-S-1(ii) AAA (sf) 0 24.125

A-S-2(ii) AAA (sf) 0 24.125

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

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

B(ii) AA (sf) 43,595,000 19.250

B-1(ii) AA (sf) 0 19.250

B-2(ii) AA (sf) 0 19.250

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

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

Presale:

Morgan Stanley Capital I Trust 2021-L7September 23, 2021

PRIMARY CREDIT ANALYST

Ravi Alimchandani

San Francisco

+ 1 (415) 371 5093

[email protected]

SECONDARY CONTACT

Alexandre Hanoun

New York

+ 1 (212) 438 8615

[email protected]

www.standardandpoors.com September 23, 2021 1

© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimeron the last page.

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mailto: [email protected]




Preliminary Ratings (cont.)

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

C(ii) A (sf) 46,948,000 14.000

C-1(ii) A (sf) 0 14.000

C-2(ii) A (sf) 0 14.000

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

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

X-D(v) NR 53,654,000 N/A

X-F(v) NR 10,061,000 N/A

X-G(v) NR 14,531,000 N/A

D(v) NR 29,063,000 10.750

E(v) NR 24,591,000 8.000

F(v) NR 10,061,000 6.875

G(v) NR 14,531,000 5.250

H-RR(vi) NR 10,060,000 4.125

J-RR(vi) NR 36,888,512 0.000

V-RR(vii) NR 26,944,847 N/A

Note: This presale report is based on information as of Sept. 23, 2021. The ratings shown are preliminary. Subsequent information may result inthe assignment of final ratings that differ from the preliminary ratings. Accordingly, the preliminary ratings should not be construed as evidenceof final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. (i)The certificates will be issued to qualifiedinstitutional buyers according to Rule 144A of the Securities Act of 1933. (ii)Any individual class A-4 certificate can be surrendered for either aclass A-4-1 certificate and a class A-4-X1 certificate or a class A-4-2 certificate and a class A-4-X2 certificate; any individual class A-5certificate can be surrendered for either a class A-5-1 certificate and a class A-5-X1 certificate or a class A-5-2 certificate and a class A-5-X2certificate; any individual class A-S certificate can be surrendered for either a class A-S-1 certificate and a class A-S-X1 certificate or a classA-S-2 certificate and a class A-S-X2 certificate; any individual class B certificate can be surrendered for either a class B-1 certificate and aclass B-X1 certificate or a class B-2 certificate and a class B-X2 certificate; and any individual class C certificate can be surrendered for either aclass C-1 certificate and a class C-X1 certificate or a class C-2 certificate and a class C-X2 certificate, or vice-versa. (iii)The final balances of theclass A-4 and A-5 certificates will be determined at final pricing. The certificates in aggregate will have a total balance of $413.272 million. Theclass A-4 certificates are expected to have a balance between $0 and $190.0 million, and the A-5 certificates are expected to have a balancebetween $223.272 million and $413.272 million. (iv)Notional amount. The notional amount of the class X-A certificates will be equal to theaggregate certificate balance of the class A-1, A-2, A-3, A-SB, A-4, and A-5 certificates. The notional amount of the class X-B certificates will beequal to the aggregate certificate balance of the class A-S, B, and C certificates. The notional amount of the class X-D certificates will be equalto the aggregate certificate balance of the class D and E certificates. The notional amount of the class X-F certificates will be equal to thecertificate balance of the class F certificates. The notional amount of the class X-G certificates will be equal to the certificates balance of theclass G certificates. The notional amount of the class A-4-X1 certificates will equal to the certificate balance of the class A-4 certificates. Thenotional amount of the class A-4-X2 certificates will equal to the certificate balance of the class A-4 certificates. The notional amount of theclass A-5-X1 certificates will equal to the certificate balance of the class A-5 certificates. The notional amount of the class A-5-X2 certificateswill equal to the certificate balance of the class A-5 certificates. The notional amount of the class A-S-X1 certificates will equal to thecertificate balance of the class A-S certificates. The notional amount of the class A-S-X2 certificates will equal to the certificate balance of theclass A-S certificates. The notional amount of the class B-X1 certificates will equal to the certificate balance of the class B certificates. Thenotional amount of the class B-X2 certificates will equal to the certificate balance of the class B certificates. The notional amount of the classC-X1 certificates will equal to the certificate balance of the class C certificates. The notional amount of the class C-X2 certificates will equal tothe certificate balance of the class C certificates. (v)Non-offered certificates. (vi)Non-offered horizontal risk retention (RR) certificates.(vii)Non-offered vertical risk retention interest. NR--Not rated. TBD--To be determined. N/A--Not applicable.

Profile

Expected closingdate

Oct. 13, 2021.

Collateral Sixty commercial mortgage loans with an aggregate principal balance of $921.191 million ($769.052million of offered certificates), secured by the fee and leasehold interests in 102 properties across 26states.

S&P Global Ratingspooled trust LTV

98.1% (based on S&P Global Ratings' NCF and weighted average capitalization rate of 7.82%).



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Presale: Morgan Stanley Capital I Trust 2021-L7

Profile (cont.)

S&P Global Ratingspooled trust DSC

2.11x (based on S&P Global Ratings' NCF and the actual debt service payable on the mortgage loans).

S&P Global Ratingspooled trust debtyield

8.21% (based on S&P Global Ratings' NCF and the loan balances for the mortgage loans).

Payment structure The transaction is structured to comply with risk retention requirements by way of an eligible verticaland horizontal residual interest, which includes the class H-RR and J-RR certificates. The VRR interestprovides credit support only to the limited extent that it is allocated a portion of any losses incurred onthe underlying mortgage loans. These losses are allocated between the VRR interest and thecertificates, pro rata, according to their respective percentage allocation entitlements. On eachdistribution date, interest accrued for each class of certificates at the applicable pass-through ratewill be distributed in the following priority, if funds are available: to the class A-1, A-2, A-3, A-SB, X-A,X-B, X-D, X-F, X-G certificates, and the A-4, A-4-X1, A-4-X2, A-5, A-5-X1, and A-5-X2 trustcomponents, pro rata, based on their respective entitlements to interest for that distribution date;then to A-S, A-S-X1, and A-S-X2, pro rata; then to B, B-X1, and B-X2, pro rata; then to C, C-X1, andC-X2, pro rata; then D; then E; then F; then G; then H-RR, and then J-RR certificates until interestpayable to each class is paid in full. Principal payments on the certificates will be distributed to theclass A-SB certificates until the balance is reduced to the planned principal balance for thatdistribution date, and then sequentially to classes A-1, A-2, A-3, A-SB, A-4, and A-5, pro rata; and thento the class A-S, B, C, D, E, F, G, H-RR, and J-RR certificates until each class' balance is reduced tozero. Principal distributions applied to the class A-4, A-5, A-S, B, or C certificates will be allocated tothe corresponding classes of exchangeable certificates pro rata. Losses will be allocated to each classof certificates in reverse alphabetical order starting with the class J-RR certificates through andincluding the class A-S certificates; and then to the class A-1, A-2, A-3, A-SB, A-4, and A-5 certificates,pro rata, based on each class' certificate balance. Any realized losses applied to the class A-4, A-5,A-S, B, or C certificates will be allocated to the corresponding classes of exchangeable certificates prorata.

Depositor Morgan Stanley Capital I Inc.

Mortgage loansellers andsponsors

KeyBank N.A., Starwood Mortgage Capital LLC, Bank of Montreal, Argentic Real Estate Finance LLC,and Morgan Stanley Mortgage Capital Holdings LLC.

Master servicer KeyBank N.A.

Special servicer KeyBank N.A.

Trustee andcertificateadministrator

Wells Fargo Bank N.A.

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

Rationale

The preliminary ratings assigned to the Morgan Stanley Capital I Trust 2021-L7's commercialmortgage pass-through certificates reflect the credit support provided by the transaction'sstructure, our view of the underlying collateral's economics, the trustee-provided liquidity, thecollateral pool's relative diversity, and our overall qualitative assessment of the transaction. S&PGlobal Ratings determined that the collateral pool has, on a weighted average basis, debt servicecoverage (DSC) of 2.11x and beginning and ending loan-to-value (LTV) ratios of 98.1% and 92.8%,respectively, based on our values.



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Environmental, Social, And Governance (ESG) Factors

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

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

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

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

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 strong weighted average S&P Global Ratings' DSC of 2.11x based onactual debt service and, for the partial-term interest-only loans, the debt service due when theinterest-only period expires. Nevertheless, the prevailing low interest rate environmentinfluences this DSC, and any increase in interest rates could affect the loans' ability torefinance at maturity. Our DSCs for the pool range from 1.18x-5.64x.

- The pool is geographically diverse, with 102 properties spread across 26 states. The largestconcentration is in New York (20 properties, 26.5% of the pooled trust balance), followed byTexas (20 properties, 24.8%) and Arizona (seven properties, 8.9%). No other state accounts formore than 8.5% of the pooled trust balance.



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- The transaction has a strong concentration of properties in primary markets, specifically withinrelatively strong metropolitan statistical areas (MSAs), including New York, Houston, andPhoenix. Of the pooled trust balance, 52.8% is located in primary markets (as defined by S&PGlobal Ratings) and 21.3% in secondary markets. The remaining properties (25.9%) are locatedin tertiary markets.

- The transaction is well-diversified by loan balance, with an effective loan count (as measuredby the Herfindahl-Hirschman Index) of 32.2. The 10 largest loans represent 46.6% of the pooledtrust balance. More diversified transactions can be less susceptible to volatility in default andloss 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 ofthe key factors in our derivation of credit enhancement for this transaction.

- The loan pool has a relatively diverse mix of property types. Of the pooled trust balance, 27.7%is backed by office properties, 29.8% by retail properties, 16.9% by multifamily properties,11.1% by self-storage properties, 5.8% by mixed-use properties, 5.3% by other properties,5.1% by industrial properties, 1.9% by manufactured housing properties, and 1.7% by lodging.

- All of the 60 loans (100.0% of the pooled trust balance) have borrowers that are structured asspecial-purpose entities (SPEs). Eleven loans (49.1%) provided lenders with non-consolidationopinions, including nine of the top 10 loans. Twenty-three loans (63.5%) have borrowers thatare structured with at least one independent director. The 384-390 Fulton Street borrowerlacks independent directors nor does the loan agreement require one. To account for thisstructural deficiency, we applied negative LTV threshold adjustments across the capitalstructure.

- Fifty-six of the loans (90.3% of the pooled trust balance) have some form of lockbox: 20 loans(39.2%) are structured with hard lockboxes, 34 loans (49.3%) with springing lockboxes, and oneloan (0.7%) with a soft lockbox. Two loans (1.3%) have in-place cash management. Fifty-sixloans (95.3%) are structured with springing cash management. Three loans (4.1%) have no cashmanagement, and four loans (9.7%) have no lockbox provisions.

- Twenty-four loans (34.9% of the pooled trust balance) represent acquisition oracquisition/recapitalization financing. Although some of these loans have limited operatingdata due to their recent acquisition, the loans benefit from the recent equity contribution bytheir sponsors. The weighted average LTV ratio for these loans, based on the appraiser's "as is"value, was 60.0%, reflecting average equity contribution of 40.0% for these loans.

- Eleven loans (25.8% of the pooled trust balance) are secured by multiple properties, rangingfrom two to 15 properties, which may lessen their net cash flow (NCF) volatility. However, someof these portfolio loans include properties located within the same city or state, which limitstheir geographic diversification. Additionally, three of the loans (10.1%) allow for propertyreleases, subject to various conditions, which may reduce the diversity benefit from theseloans.

Risk Considerations

We considered these risks when analyzing this transaction:

- While still elevated, U.S. CMBS delinquencies have declined in recent months after increasingin 2020 due to the economic slowdown resulting from the COVID-19 pandemic and theassociated containment efforts, including social distancing, restrictions on travel, andgovernment-mandated closures of certain businesses. Many lodging assets were closed or



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operating at low occupancy levels, and certain tenants within retail assets stopped paying rentor requested rent relief due to closure or demand reductions. The COVID-19 pandemic and theresponses to it have led to an increase in unemployment levels and a reduction in consumerspending, which may also adversely impact multifamily, office, self-storage, and industrialproperties. Multifamily and self-storage properties may be negatively impacted ifunemployment rates rise and disposable income levels fall, or if there is a moratorium onevictions. Office properties may experience fluctuations in occupancy as businesses adjusttheir plans in response to government actions or if employers permit enhanced flexible workarrangements. According to the issuer, all of the loans in the transaction whose first paymentdate has already occurred are current on their debt service obligations. In some cases,borrowers may be in discussions with tenants that have requested lease modifications or rentrelief. We selectively increased our vacancy rate and/or capitalization rate assumptions oncertain properties that we deemed to have a higher risk for cash flow disruption.

- Depending on the duration and severity of the current pandemic, it is possible that someborrowers may seek forbearance arrangements due to financial hardship. The pooling andservicing agreement (PSA) permits the special servicer to enter into COVID-19 modificationagreements with borrowers experiencing financial hardship due directly or indirectly to theCOVID-19 pandemic. Modification agreements can provide for temporary forbearance ortemporary alternative use of reserve or escrow funds for purposes other than those set forth inthe loan agreement, or other modifications as reasonably determined by the servicers. Webelieve the transaction's servicer advancing mechanism will provide short-term liquiditysupport in the event that there are loan-level debt service shortfalls. No loans are structuredwith an up-front cash debt service reserve covering debt service payments.

- The transaction `has high leverage, with a weighted average LTV ratio of 98.1% based on S&PGlobal Ratings' values. While the top 10 loans have a weighted average S&P Global Ratings LTVratio of 100.6%, loans 11-20 are slightly less highly leveraged, with a weighted S&P GlobalRatings LTV ratio of 95.7%. The LTV was one of the primary factors in S&P Global Ratings'derivation of credit enhancement levels for this transaction.

- Thirty-one loans (58.7% of the pooled trust balance) are interest only for their entire loan terms,including seven of the top 10 loans (28.8%). The interest-only loans have a high weightedaverage S&P Global Ratings LTV ratio of 97.8%, and 14 loans (30.1% of the pooled trustbalance) have LTV ratios over 100%. Thirteen loans (22.5%) have a partial interest-only period,including two of the top 10 loans, and 16 loans in the pool (18.9%) are structured as amortizingloans. The transaction is scheduled to amortize 6.1% through maturity. S&P Global Ratingsconsidered loan amortization characteristics when assigning credit enhancement levels to theindividual loans and the transaction.

- The trust has high exposure to retail collateral (16 loans; 29.8% of the pooled trust balance).The U.S. retail sector has been facing numerous challenges over the past several years giventhe continued growth of e-commerce, increasing consumer price sensitivity due to stagnatingwage growth, and changing consumer tastes. These trends have resulted in declining sales,store closures, and smaller average store sizes for many national retailers. However,brick-and-mortar retail stores in well-situated class-A malls and within shopping centers, aswell as freestanding properties that are located in infill locations near major transportationnodes and in areas with strong demographic profiles, continue to prosper. Low supply growth inrecent years may help keep vacancy levels at their currently low levels and boost rent growth.Seven of the 16 retail loans (10.4% of the pooled trust balance) are secured by a propertylocated in a tertiary location and three of the loans are considered unanchored retail loans(1.5%).



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- The trust has a relatively high exposure to office collateral (nine loans, 27.7% of the pooledtrust balance). Of the pooled trust balance, three loans (8.0% of the pooled trust balance) aresecured by central business district (CBD) office properties, while the remaining six loans(18.7%) are backed by suburban office and medical office properties, which generally exhibithigher default and loss rates relative to CBD office properties. The weighted average LTV ratioof the two suburban office properties is 63.4%.

- Five properties (9.7% of the pooled trust balance) are leased to a single tenant. The largest ofthese is Helios Plaza (4.3%), a Houston office property that is 100% leased to Amoco Properties(BP) through Dec. 15, 2031. Amoco is a wholly owned subsidiary of BP Corp. N.A. Inc. (BP;'A-/Negative'), which fully guarantees the triple net lease (NNN). The other four propertiesaccount for 4.9% of the pool balance. One of the four, 714 Madison Avenue, has a lease thatexpires during its loan term (Oct. 31, 2029) while the remaining three have lease terms that donot expire during their loan terms.

- Two loans (1.7% of the pooled trust balance) are secured by lodging assets. S&P Global Ratingsconsiders lodging properties among the riskiest property types because their pricing structurechanges daily, they have a significant underlying operating business, and they have a higherexpense ratio relative to other property types. Additionally, the lodging properties in thistransaction have a high S&P Global Ratings weighted average LTV ratio of 102.1%.

- Ten loans (27.0% of the pooled trust balance) do not have warm-body carve-out guarantors. Inour view, this limitation generally lessens the disincentive provided by a typical nonrecoursecarve-out related to "bad boy" acts or voluntary bankruptcy.

- Three loans in the pool (15.1% of the pooled trust balance) have a pari passu component; oneloan, One SoHo Square (10.0%), has a subordinated first-mortgage loan component in additionto their senior trust and pari passu loan components (which was securitized in a separatestand-alone transaction). Two loans (7.2%) have mezzanine debt (see table 5). We areconsidering the preferred equity in BJ Wholesale as mezzanine debt for modeling purposes. Inaddition, three loans (14.4%) permit the borrower to incur future mezzanine debt based onpredetermined LTV thresholds, and no loans permit the borrower to incur a futureProperty-Assessed Clean Energy (PACE) loans. Our S&P Global Ratings loan-level recoverythresholds account for the presence of additional subordinate debt related to mezzanine debt,PACE loans, B-notes, and preferred equity.

- The transaction documents include provisions for the transaction parties to seek rating agencyconfirmation (RAC) that certain actions will not result in a downgrade or withdrawal of thethen-current ratings on the securities. The definition of RAC in the transaction documentsincludes an option for the transaction parties to deem their RAC request satisfied if, afterhaving delivered a RAC request, the transaction parties have not received a response to therequest within a certain period of time. We believe it is possible for a situation to arise where anaction subject to a RAC request would cause us to downgrade the securities according to ourratings methodology, even though a RAC request is deemed to be satisfied pursuant to thisoption.

Pool Characteristics

Collateral description

The pool contains 60 loans that are secured by first-mortgage liens on the fee interests (101



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properties, 98.4% of the pooled trust balance) and fee/leasehold interest (one property, 1.6%) in102 properties. The top five and 10 loan concentrations represent 28.9% and 46.6% of the pooledtrust balance, respectively (see table 9 for a detailed description of the 10 largest loans in thepool).

Property type distribution

The top two property types in the pool are office assets, which account for 27.7% of the pooledtrust balance, and retail, which accounts for 29.5% (see table 1).

Table 1

Property Type Composition

Type(i)No. ofloans

Pooled trustbalance (mil. $)

% of pooled trustbalance

Weighted averageS&P LTV (%)

Weighted averageS&P DSC (x)

Office 9 245.7 26.7 99.3 2.11

Retail anchored 13 211.9 23.0 90.8 2.28

Multifamily 10 155.2 16.9 101.5 1.82

Self-Storage 7 102.7 11.1 99.8 2.59

Mixed-Use 5 53.1 5.8 115.4 1.53

Industrial 3 47.3 5.1 97.7 2.30

Single tenant - nonIG

3 45.0 4.9 92.1 1.98

Manufacturedhousing

3 17.0 1.9 92.9 1.67

Lodging 2 15.5 1.7 102.1 1.82

Retail unanchored 3 14.2 1.5 70.9 2.46

Medical office 1 9.8 1.1 125.5 1.67

Single tenant - IG 1 3.8 0.4 105.8 1.23

Total 60 921.2 100.0 98.1 2.11

(i)Based on S&P Global Ratings' classification.

Geographic distribution

The pool consists of properties that are located in 26 states. Of these properties, 60.2% (by pooledtrust balance) are located in three states: New York, Texas, and Arizona. The top five statesrepresent 76.4% of the pooled trust balance.

As part of our property analysis, we classify the MSA in which each property is located as primary,secondary, or tertiary. Generally, primary markets have higher barriers to entry than secondaryand tertiary markets. The nature of each market type affects capitalization rates and valuationdynamics and can influence the timing and amount of liquidation proceeds if a mortgage loan isforeclosed. (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 244.2 20 93.0 - 7.0

Texas 228.3 20 69.7 13.0 17.2

Arizona 82.1 7 - 89.0 11.0

Florida 77.9 10 - 29.1 70.9

New Jersey 71.5 3 100.0 - -

California 24.5 4 52.2 - 47.8

Georgia 20.2 5 67.9 - 32.1

Oregon 16.6 2 - 24.5 75.5

Kansas 15.7 1 - 100.0 -

North Carolina 15.6 3 - - 100.0

Other States - 16 124.6 27 1.4 41.1 57.5

Total 921.2 102 52.8 21.3 25.9

Borrower concentration

The largest borrower sponsors in the pool are Abraham Brach (one loan; 7.8% of the pooled trustbalance) and The Gluck Family Trust (one loan; 5.6%).

Two groups of loans have related borrower-sponsors:

- Wade Buxton, Aaron Westphal and Jacob Vanderslice are the sponsors for Freedom SelfStorage and NC Self Storage Portfolio, which account for 2.4% of the pooled trust balancecombined; and

- Arthur M. Gellman, George I. Gellman and Clarke H. Narins are the sponsors for the Viera VillageShopping Center and Fairfield Inn & Suites - Crestview, which accounts for 2.0% of the pooledtrust balance combined.

Single-tenant properties

There are five properties in five loans (9.7% of the pooled trust balance) that are backed byproperties that are leased to a single tenant. Four properties (8.1%) have lease terms that exceedthe loan maturity date while the remainder of the properties have leases that expire before theloan matures (see table 3).

Table 3

Single-Tenant Properties

Property TenantTenant S&P GlobalRatings' rating


% of pooledtrust balance

Lease expirationdate

Helios Plaza Amoco Properties A-/Negative 40.0 4.3 12/15/2031

Cabela's KC Cabela's BB-/Positive 15.7 1.7 5/31/2046



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Table 3

Single-Tenant Properties (cont.)

Property TenantTenant S&P GlobalRatings' rating


% of pooledtrust balance

Lease expirationdate

BJ's WholesaleClub

BJ's Wholesale Club BB/Stable 14.8 1.6 3/31/2040

714 MadisonAvenue

Buccellati A+/Negative 14.5 1.6 10/31/2029

1625 ForestAvenue

New York CityDepartment ofEducation

AA/Stable 4.0 0.4 10/1/2039

Total 118.4 9.7

(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 February 2020and September 2021. The weighted average loan interest rate is 3.44%.

The original loan terms range from 60 to 120 months, with a weighted average original loan term of111.1 months. The weighted average remaining loan term is 109.8 months.

Thirty Loans (54.3% of the pooled trust balance) are interest only for the entire term, one loan isinterest-only followed by an anticipated repayment date (ARD), and 13 (22.5% of pooled trustbalance) are structured with partial interest-only periods followed by a 360-month amortizationschedule. The partial interest-only loans have initial interest-only periods ranging from 12 to 84months. Sixteen loans (18.9%) have no interest-only periods, and 15 of them amortize on a360-month schedule. The Havenwood Office Park loan (4.9%) amortizes on a 540-month schedule.S&P Global Ratings adjusted its analysis to reflect the various amortization terms and loanstructures (see table 4).

Table 4

Loan Amortization

Loan typeNo. ofloans

% of poolbalance

S&P Global Ratings'DSC (x)

S&P Global Ratings' weighted averageLTV ratio (x)

Interest-only 31 58.7 2.49 97.80

Partial interest-only 13 22.5 1.52 98.70

Amortizing balloon 16 18.9 1.63 98.30

Fully amortizing - - - -

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



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Subordinated debt

Three loans in the pool (15.1% of the pooled trust balance) have a pari passu component (see table5); one loan, One SoHo Square (5.6%) has a subordinated first-mortgage loan component inaddition to their senior trust and pari passu loan components (which was securitized in a separatestand-alone transaction). Two loans (7.2%) have mezzanine debt (see table 5). We are consideringthe preferred equity in BJ Wholesale as mezzanine debt for modeling purposes. In addition, threeloans (14.4%) permit the borrower to incur future mezzanine debt based on predetermined LTVthresholds, and no loans permit the borrower to incur a future PACE loans. Our S&P Global Ratingsloan-level recovery thresholds account for the presence of additional subordinate debt related tomezzanine debt, PACE loans, B-notes, and preferred equity.

Table 5

Loans With Existing Additional Debt

Property

Pooled trustbalance (mil.

$)% of pooled

trust balance

Pari passudebt (mil.

$)Junior trustnote (mil. $)

B-notebalance (mil.

$)Mezzanine

balance (mil. $)

Totaldebt (mil.

$)

One SohoSquare

51.8 5.6 418.2 315.0 - 120.1 905.1

SuperstitionGateway

47.1 5.1 30.0 - - - 77.1

Helios Plaza 40.0 4.3 78.5 - - - 118.5

BJ's WholesaleClub

14.8 1.6 - - - 7.4 22.3

Cross-collateralized and portfolio loans

Eleven loans (25.8% of the pooled trust balance) are secured by portfolios with multipleproperties. They include Signature Office Portfolio II (7.8%; three suburban office properties),Inland Wentworth Self Storage Portfolio (5.5%; 15 self-storage properties), ABX IndustrialPortfolio (2.8%; four industrial properties), Victory Winn-Dixie Portfolio (1.8%; four retailproperties), Bushwick & Ridgewood Multi Portfolio (1.7%; six multifamily properties), Columbus &Indy Industrial (1.5%; three industrial properties), NC Self Storage Portfolio (1.5%; 2 self storageproperties), Hale Office Portfolio (1.1%; two office properties), Texas MHP Portfolio (1.1%; sevenmanufactured housing properties), Oxford Portfolio (0.8%; five multifamily properties), andClasson Wilson Portfolio (0.7%; two multifamily properties). There are zero cross-collateralized orcross-defaulted loans in the pool.

Third-Party Review

We reviewed appraisal, environmental, engineering, and seismic reports on the properties weanalyzed, where applicable. Most of these reports (99.1%) were completed within the past 12months (see table 6).

Three properties (1.0% of the pooled trust balance) are located in seismic zones 3 or 4. Theproperties with the highest overall probable maximum loss (PML) of 12% is U.S. Citizenship andImmigration Services and 109 North Avenue 56. The remaining properties in seismic zones 3 or 4had PMLs of 8.0% or lower, and all three of these properties are required to carry earthquake



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insurance.

Table 6

Third-Party Review

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

Appraisal review within the past 12 months 101 99.1

Environmental review within the past 12 months 101 99.1

Engineering review within the past 12 months 101 99.1

Seismic review for properties in zones 3 or 4 6 2.9

Structural Review

We reviewed structural matters that we believe are relevant to our analysis, as well as the majortransaction documents, including the prospectus, pooling and servicing agreement, and otherrelevant documents and opinions, to understand the transaction's mechanics and its consistencywith applicable criteria. We also conducted a focused structural review of the 10 largest loans inthe pool, as well as all loans with a non-trust pari passu balance over $20.0 million. We note thestructural matters, if any, that we factored into our analyses of these loans in the Top 10 Loanssection below.

S&P Global Ratings' Credit Evaluation

Our analysis of the pool included the following:

- We derived an S&P Global Ratings NCF for 37 of the 60 loans in the pool (84.7% of the pooledtrust balance). For the remaining loans, we extrapolated NCF haircuts according to propertytype and selected capitalization rates for each property. We excluded certain outlier loans fromour extrapolation calculation. (See Appendix I for S&P Global Ratings' NCF variance applied toeach loan in the transaction.)

- We conducted site inspections for five properties across five loans (23.0% of the pooled trustbalance).

- 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 reviewedin the pool.

- We reviewed structural matters that we considered relevant to the analysis of the loans and thetransaction, and we performed a loan-level structural analysis for the 10 largest loans in thepool, as well as all loans with a non-trust pari passu balance over $20.0 million.

S&P Global Ratings' NCF variance

S&P Global Ratings' property-level cash flow analysis derives what it believes to be a property'slong-term sustainable NCF. In our analysis, we considered issuer-provided projections, historicaland projected operating statements, third-party appraisal reports, relevant market data, andassessments of the various properties' competitive positions. On a pool-wide basis, our weightedaverage NCF was 15.8% lower than the issuer's underwritten NCF. (See Appendix I for S&P Global



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Ratings' NCF variance for each loan.)

S&P Global Ratings' DSC

We calculated the pool's 2.11x DSC using the respective loans' contract interest rate and the S&PGlobal Ratings NCF (see table 7).

Table 7

S&P Global Ratings' DSC Range

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

Less than 1.00 - - -

1.00–1.10 - - -

1.10–1.20 1 6.9 0.7

1.20–1.30 7 40.6 4.4

1.30–1.40 2 80.6 8.7

1.40–1.50 3 15.0 1.6

1.50–1.60 10 184.5 20.0

1.60–1.70 5 81.4 8.8

1.70–1.80 4 63.8 6.9

1.80–1.90 2 15.2 1.6

1.90–2.00 1 7.7 0.8

Greater than 2.00 25 425.6 46.2

DSC--Debt service coverage.

S&P Global Ratings' LTV

Based on our analysis, S&P Global Ratings' weighted average beginning LTV ratio is 98.1% and itsending LTV ratio is 92.8%, which reflects the 7.82% weighted average S&P Global Ratingscapitalization rate (see table 8).

Table 8

S&P Global Ratings' LTV Ratios(i)

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

Less than 50 2 17.7 1.9

50–55 - - -

55–60 1 4.0 0.4

60–65 1 5.5 0.6

65–70 1 4.0 0.4

70–75 1 23.4 2.5

75–80 1 7.0 0.8

80–85 4 81.1 8.8



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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

85–90 5 65.5 7.1

90–95 5 104.7 11.4

95–100 8 135.0 14.7

100–105 15 248.0 26.9

105–110 7 73.2 7.9

Greater than 110 9 152.1 16.5

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

Property type

% of pooledtrust

balance

S&P GlobalRatings' DSC

(x)(i)% NCFdiff.(ii)

S&P GlobalRatings' cap

rate (%)

S&P GlobalRatings' weightedaverage LTV ratio

(%)

S&P GlobalRatings' valueper unit/sq. ft.

($)

Office 26.7 2.11 (22.4) 7.55 99.3 302

Retail anchored 23.0 2.28 (9.8) 8.31 90.8 151

Multifamily 16.9 1.82 (11.3) 6.88 101.5 220,052

Self-Storage 11.1 2.59 (11.4) 8.36 99.8 76

Mixed-Use 5.8 1.53 (19.6) 7.80 115.4 595

Industrial 5.1 2.30 (18.6) 8.07 97.7 39

Single tenant - non IG 4.9 1.98 (21.5) 7.68 92.1 935

Manufactured housing 1.9 1.67 (12.6) 8.29 92.9 32,892

Lodging 1.7 1.82 (36.3) 10.25 102.1 91,998

Retail unanchored 1.5 2.46 (10.9) 8.00 70.9 302

Medical office 1.1 1.67 (15.2) 8.00 125.5 368

Single tenant - IG 0.4 1.23 (10.9) 7.25 105.8 245

Total/weightedaverage

100.0 2.11 (15.8) 7.82 98.1 -

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

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

Table 10 summarizes S&P Global Ratings' NCF and valuation assessment of the top 10 loans. We



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provide individual analyses of these loans in the Top 10 Loans section below.

Table 10

Top 10 Loans

Property Property type

% ofpooled

trustbalance

S&P GlobalRatings'

trust DSC(x)(i)

% NCFdiff.(ii)

S&P GlobalRatings'

cap rate (%)

S&P GlobalRatings'LTV (%)

S&P GlobalRatings'

value perunit/sq. ft.

($)

Signature OfficePortfolio II

Office 7.8 1.40 (20.1) 7.75 103.8 154

One Soho Square Office 5.6 3.19 (34.7) 6.50 83.1 718

Inland Wentworth SelfStorage Portfolio

Self-Storage 5.5 2.66 (11.7) 8.24 103.6 62

Superstition Gateway Retailanchored

5.1 1.54 (10.2) 8.00 95.0 164

Havenwood Office Park Office 4.9 1.76 (8.6) 7.50 96.7 194

Helios Plaza Office 4.3 2.10 (32.2) 7.50 114.0 276

12-24 Ford Street Multifamily 3.5 1.64 (18.3) 6.75 106.1 312,472

Bardin Place ShoppingCenter

Retailanchored

3.5 2.46 (8.1) 8.00 91.3 120

384-390 Fulton Street Mixed-Use 3.5 1.51 (19.2) 7.50 121.5 881

ABX Industrial Portfolio Industrial 2.8 2.68 (18.5) 8.00 96.0 28


- 46.6 2.07 (18.5) 7.58 100.6 -

(i)Calculated based on S&P Global Ratings' NCF and the fixed loan interest rate. (ii)The difference between S&P Global Ratings' estimated NCFand the underwriter's estimated NCF as a percentage of the underwriter's estimated NCF only. For pari passu loans, S&P Global Ratings' DSCand LTV are based on the trust and pari passu balance. DSC--Debt service coverage. NCF--Net cash flow. LTV--Loan to value.

Table 11 summarizes S&P Global Ratings' NCF and valuation assessment of loans 11-20. Forthese loans, our weighted average NCF is 11.8% lower than the issuer's underwritten NCF. S&PGlobal Ratings' weighted average beginning LTV ratio is 95.7% for these loans, and we calculateda 2.18x 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 GlobalRatings LTV ratios over 90.0% are outlined in table 12. (See Appendix I for S&P Global Ratings' NCFvariance, LTV ratio, and DSC ratio for all of the loans in the transaction.)

Table 11

Loans 11-20

PropertyPropertytype

% ofpooled

trustbalance

S&PGlobal

Ratings'trust DSC


S&PGlobal

Ratings'cap rate

(%)

S&PGlobal

Ratings'LTV (%)

S&PGlobal

Ratings'value per

unit/sq.ft. ($)

NCFvariance/high

S&P GlobalRatings' LTV

drivers

Los ArcosApartments

Multifamily 2.7 2.58 (11.7) 7.00 85.0 56,885 Vacancy,management fee,

and CapEx.



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Table 11

Loans 11-20 (cont.)

PropertyPropertytype

% ofpooled

trustbalance

S&PGlobal

Ratings'trust DSC


S&PGlobal

Ratings'cap rate

(%)

S&PGlobal

Ratings'LTV (%)

S&PGlobal

Ratings'value per

unit/sq.ft. ($)

NCFvariance/high

S&P GlobalRatings' LTV

drivers

Lower East SideMultifamily Portfolio

Multifamily 2.6 1.54 (6.4) 6.75 112.7 315,967 Vacancy, utilities,management fee,

CapEx

New BraunfelsMarket Place

Retailanchored

2.5 3.97 (6.0) 9.50 74.4 117 Vacancy,management fee,

TILC, and CapEx

Fairway RetailCenter

Retailanchored

1.8 1.54 (11.4) 8.25 99.1 346 GPR gross up ofvacant space,vacancy, and

TI/LCs

Victory Winn-DixiePortfolio

Retailanchored

1.8 1.51 (9.2) 9.50 110.6 62 GPR, vacancy andTIs, vacancy,

expenses andreimbursement %

UW to appraisal,and LCs

Cabelas KC Singletenant - nonIG

1.7 1.62 (14.8) 8.00 88.0 109 Vacancy, expenseplug, and capital

items.

Bushwick &Ridgewood MultiPortfolio

Multifamily 1.7 1.65 (9.9) 7.00 105.0 464,411 Real estate taxes,management fee,

and TI/LC

Mosaic Multifamily 1.6 2.30 (5.5) 7.00 101.6 123,043 Real estate taxes,R&M,

management fee,TI/LC, and CapEx

BJs Wholesale Club Singletenant - nonIG

1.6 2.17 (7.5) 8.00 102.8 146 Vacancy and TILC

714 MadisonAvenue

Singletenant - nonIG

1.6 2.19 (43.1) 7.00 85.7 2,636 PV of abovemarket rent,

vacancy, andcapital items.


- 19.6 2.18 (11.8) 7.80 95.7 -

(i)Calculated based on S&P Global Ratings' NCF and the fixed loan interest rate. (ii)The difference between S&P Global Ratings' estimated NCFand the underwriter's estimated NCF as a percentage of the underwriter's estimated NCF only. For pari passu loans, S&P Global Ratings' DSCand LTV are based on the trust and pari passu balance. DSC--Debt service coverage. NCF--Net cash flow. LTV--Loan to value. CapEx--Capitalexpenditure. 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-alonecredit enhancement (SCE) and diversified credit enhancement (DCE) at the various rating



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categories. These calculations included adjustments to reflect the various loans' amortizationterms and the presence of any subordinated additional debt (See Appendix II for a list of eachloan's SCE and DCE).

Pool diversity

Overall transaction credit enhancement levels at each rating category are directly affected by theloan 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 loansin the pool by normalizing a transaction's loan count to account for unevenly sized loans. Thistransaction has an effective loan count of 32.2, which we consider to be well diversified, resultingin a concentration coefficient of 80.6%.

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 (52.8%)and secondary markets (21.3%).

Transaction-level credit enhancement

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

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

Scenario Analysis

We performed several 'AAA' stress scenario analyses to determine how sensitive the certificatesare 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 mayoccur due to falling rental rates and occupancy levels, changes to operating expenses, or otherfactors that may decrease a property's net income. To analyze the effect of a decline in cash flowson our ratings, we have developed scenarios whereby the NCF from the portfolio decreases by10%-40% from our current cash flow, which is 15.8% 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 7.82%.)

Table 13

Effect Of Declining NCF On S&P Global Ratings

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

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

NCF--Net cash flow.



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Top 10 Loans

1. Signature Office Portfolio II

Table 14

Credit Profile

Loan no. 1 Property type Office

Loan name Signature OfficePortfolio II

Subproperty type Suburban

Pooled trust loan balance ($) 71,500,000 Property sq. ft./no. of units 448,372

% of total pooled trustbalance (%)

7.8 Year built/renovated

City Various Sponsor Abraham Brach

State NJ S&P Global Ratings' amortizationcategory

Partial interest-only

S&P Global Ratings' markettype

Tertiary S&P Global Ratings' amortizationadjustment (%)

(1.25)

S&P Global Ratings' NCF ($) 5,490,000 S&P Global Ratings' subordinate debtcategory

Unsecured Debt (S&P LTV>= 90%)

S&P Global Ratings' NCFvariance (%)

(20.13) S&P Global Ratings' subordinate debtadjustment

(2.50)

S&P Global Ratings' cap rate(%)

7.75 S&P Global Ratings' LTV (%) 103.8

S&P Global Ratings' value(mil. $)

68.9 S&P Global Ratings' DSC (x) 1.40

S&P Global Ratings' valuevariance (%)

(39.0) 'AAA' SCE (%) 57.8

S&P Global Ratings' value persq. ft./unit ($)

154 'AAA' DCE (%) 34.3

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

Strengths and concerns

The loan exhibits the following strengths:

- The trust loan is a mortgage loan secured by the fee-simple interest in a portfolio of threesuburban office properties located in Northern New Jersey totaling 448,372 sq. ft. Theproperties were built between 1989 and 2000 and are located in Northern New Jersey,approximately 25 and 35 miles west of New York City. Two of the properties, 106 and 110 AllenRoad, are located in the same business park in Basking Ridge, N.J., while the third, 121 ChanlonRoad, is located approximately 11 miles away in New Providence, N.J. The sponsor purchasedthe properties in 2016 and 2018 and has since put approximately $6.2 million into tenant andother capital improvements.

- The property benefits from a granular rent roll with a diverse high quality tenant roster. As of



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the Aug. 13, 2021, rent roll, the three properties are 87.1% occupied by 34 unique tenants(excluding the master lease by the sponsor). Approximately 16.9% of the in-place gross rent isderived by investment-grade tenants, as calculated by S&P Global Ratings. The largest tenantsare Regeneron Pharmaceuticals Inc. ('BBB+/stable'; 14.5% of total portfolio NRA; 14.4% ofin-place gross rent, as calculated by S&P Global Ratings; August 2025 lease expiration),Martindale LLC (7.8%; 7.7%; December 2024), Summit Health Management LLC (6.0%; 5.9%;March 2026), Lexicon Pharmaceuticals (New Jersey) Inc. (5.5%; 5.7%; December 2022), andPhoenix Group Holdings LLC (5.1%; 5.4%; November 2023). No other tenant represents morethan 5.1% of the total portfolio NRA or 4.7% of the in-place gross rent.

- The portfolio has demonstrated a stable operating history as the properties have averaged an89.0% occupancy rate since 2011. Additionally, the portfolio's NCF has trended upyear-over-year from $6.3 million in 2018 to $6.7 million in 2019 and $7.3 million in 2020 and theTTM ending April 2021.

- The loan benefits from Abraham Brach's experienced sponsorship. Mr. Brach's reported networth is $525 million with approximately $29.3 million in liquidity. Mr. Brach is the founder andprincipal of Signature Acquisitions, a real estate investment firm located in New Jersey.Signature owns more than 6.0 million sq. ft. of commercial real estate across 26 officeproperties, six retail properties, and several multifamily properties.

- The loan is structured with a hard in-place lockbox and springing cash management, asdetermined by S&P Global Ratings. A cash sweep event occurs upon an event of default or if theDY falls below 7.25%. There are also ongoing reserves for taxes, insurance, capitalexpenditures, and leasing expenses.

- As of Sept. 1, 2021, all tenants in the portfolio's properties are current on their rent paymentsand the loan is not subject to any modification or forbearance requests.

The loan exhibits the following concerns and mitigating factors:

- The loan has high leverage with a 103.8% LTV ratio, based on S&P Global Ratings' valuation.The LTV ratio based on the appraiser's as-is valuation is 63.3%. Our long-term sustainablevalue estimate is 39.0% lower than the appraiser's valuation, primarily driven by our highervacancy rate assumption.

- The loan has a moderately low DSC of 1.40x, calculated using the loan's fixed interest rate andour in-place NCF for the property, which is 20.1% lower than the issuer's NCF. This variance isdriven by our higher vacancy rate assumption of 18.75%.

- In addition to the mortgage loan, the borrower can obtain additional mezzanine debt. Themezzanine loan can be made in an amount resulting in a maximum LTV ratio of 63.6% and aminimum DSC of 1.75x and DY of 10.6%. The borrower's ability to incur additional subordinateddebt exposes the trust loan to a higher default risk. We therefore applied a negative LTVthreshold adjustment at each rating level to account for this risk.

- The loan is interest-only for the first three years of the 10-year term. Loans with aninterest-only component bear a higher refinance risk than loans without an interest-onlycomponent because of the higher loan balance at maturity. We accounted for this lack ofamortization by applying a negative LTV threshold adjustment across the capital structure.

- The loan is a refinancing, and the loan proceeds returned approximately $566,638 (0.8% of thefinancing) of equity to the sponsor. The proceeds will also be used to pay off existing debt of$67.5 million, pay closing costs of $1.0 million, fund an upfront TI/LC reserve of $1.5 million,cover immediate repairs of $85,148 and outstanding TI/LC and free rent owed of $524,475, and



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fund additional reserves for real estate taxes and insurance of $352,213. Based on thesponsor's cost basis of $73.7 million, approximately $2.2 million of cash equity will remain inthe portfolio at closing. The sponsor acquired the properties for approximately $64.1 million($141.86 per sq. ft.) between May 2016 and February 2018.

- According to CoStar, all three properties in the portfolio are located in the Route 78 East officesubmarket. Although we consider this a primary market, the submarket has historically hadvacancy rates above 10.0%. As of the second quarter of 2021, the submarket had vacancy andavailability rates of 18.7% and 27.8%, respectively. The submarket vacancy has trendedupwards from 9.9% in 2016, with a five-year average of 12.8%. CoStar forecasts the vacancy tocontinue increasing over the next five years and stabilizing above 18.0%, with a five-yearaverage of 18.7%. The submarket underperforms the overall Northern New Jersey officemarket, which, as of second-quarter 2021, had vacancy and availability rates of 13.8% and18.7%, respectively. However, the portfolio has historically outperformed the submarket withan average occupancy of 89.0% since 2011. We utilized a 18.8% vacancy rate assumption in ouranalysis to account for this risk.

- The portfolio faces considerable rollover risk as 86.7% of the portfolio NRA, or 93.5% ofin-place gross rent, as calculated by S&P Global Ratings, rolls within the loan term. The roll isconcentrated in the first five years, as 73.9% of the NRA rolls between 2021 and 2026.Additionally, several recent lease renewals at 106 Allen Road were signed at lower contractrents. Although the renewed rents were only about 2.0% lower, there is concern that thetenants with upcoming lease expirations could negotiate lower rents as well. The rollover risk ispartially mitigated by the $1.5 million reserved upfront, which has been set aside to coverfuture TI/LC expenses. Additionally, the loan is structured with on-going annual TI/LC reservesof $1.20 per sq. ft., or $538,046. We increased our capitalization rate to 7.75% account for thisrisk.

2. One SoHo Square

Table 15

Credit Profile


Loan name One Soho Square Subproperty type CBD

Pooled trust loanbalance ($)

51,823,204 Property sq. ft. 786,891


5.6 Year built/renovated 1904-1926/2016

City New York Sponsor Stellar Management

State NY S&P Global Ratings' amortizationcategory

Interest-only

S&P Global Ratings'market type

Primary S&P Global Ratings' amortizationadjustment (%)

(2.50)

S&P Global Ratings' NCF($)

4,560,000(i) S&P Global Ratings' subordinatedebt category

Unsecured Debt (S&P Global Ratings'LTV >= 90.0%)


(34.74) S&P Global Ratings' subordinatedebt adjustment

(2.50)

S&P Global Ratings' caprate (%)

6.50 S&P Global Ratings' LTV (%) 83.1(ii)



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Table 15

Credit Profile (cont.)

S&P Global Ratings'value (mil. $)

62.3(i) S&P Global Ratings' DSC (x) 3.18(ii)

S&P Global Ratings'value variance (%)

(58.1) 'AAA' SCE (%) 49.2

S&P Global Ratings'value per sq. ft./unit ($)

718 'AAA' DCE (%) 10.8

(i)Pari passu adjusted. (ii)The loan is pari passu; the LTV ratio and DSC are calculated based on the $470.0 million senior loan component ($51.8million trust loan and the $417.2 million pari passu companion loan). NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage.SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. CBD--Central business district.



- The $51.8 million trust loan, along with the $417.2 million pari passu companion loan heldoutside the trust, represent a total $470.0 million senior loan component of a $785.0 millionwhole loan. The senior loan component has moderate leverage, with an S&P Global Ratings' LTVratio of 83.1% based on our valuation. The LTV ratio based on the appraiser's as-is valuation is58.2%. Our estimate of the long-term sustainable value is 58.1% lower than appraiser's as-isvaluation. This is primarily driven by our higher vacancy assumption of 10.7%, real estate taxtreatment, TI/LCs, and capitalization rate of 6.50% compared to the appraiser's 4.32% impliedgoing-in capitalization rate.

- The senior loan component has a strong DSC of 3.18x, and the whole loan DSC is 1.91x.,calculated using the fixed interest rate and our NCF for the property, which is 34.7% lower thanthe issuer's NCF.

- The loan is secured by the borrower's fee-simple interest in two recently redeveloped class Aoffice towers, One SoHo Square West and One SoHo Square East, totaling 786,891 sq. ft. andlocated at the northwest corner of Sixth Avenue and Spring Street in the HudsonSquare/Meatpacking District submarket in the Manhattan borough of New York City. Notabletenants in the vicinity of the property include Google, Facebook, and Amazon. The propertyamenities include roof decks with panoramic views, a building management system,destination dispatch elevators, a lobby attended 24/7 with exclusive key card access, a bikeroom, a message center, and an online tenant service request system.

- As of the June 1, 2021, rent roll, the property is 92.5% leased to various institutional tenantsand benefits from investment-grade-rated tenants such as Flatiron Health, a subsidiary ofRoche Group ('AA/Stable'; 29.0% of NRA; 28.7% of in-place gross rental income, as calculatedby S&P Global Ratings; February 2031 lease expiration), Aetna ('BBB/Positive'; 13.5%; 14.5%,July 2029 expiration), MAC ('A+/Stable'; 11.3%; 13.2%; March 2024 expiration), and AvedaInstitute ('A+/Stable'; 2.6%; 3.1%; May 2025 expiration) at the office space, and CVS('BBB/Positive'; 1.7%; 2.9%; January 2034 expiration) at the retail space. The property servesas the corporate headquarters for Flatiron Health, MAC, Warby Parker, Glossier, and DoubleVerify (through November 2023, at which time Flatiron Health will take this space until February2031); together they occupy 59.2% of the NRA and account for 61.1% of the in-place grossrental income, as calculated by S&P Global Ratings.

- Since the sponsor acquired the property in 2012, the property went through a $268 million



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($341 per sq. ft.) re-development plan that resulted in a new common lobby between One SoHoSquare West and One SoHo Square East, nine new destination dispatch elevators, a 24/7concierge, a 10-foot by 30-foot digital media wall, a new public roof deck, and 11 privateterraces with panoramic views. The property condition assessment report noted the property tobe in overall good condition with no immediate/required repairs.

- The property faces limited tenant rollover risk during the seven-year loan term, with 21.7% ofthe total NRA and 21.3% of in-place gross rent, as calculated by S&P Global Ratings, expiringduring the loan term.

- The $785.0 million whole loan is a cash-neutral refinance of the existing debt. There was noequity repatriation returned to the sponsor as a result of the refinancing. Based on thesponsor's cost basis of $907.3 million, $2.3 million of cash equity will remain in the property atclosing.

- The loan is structured with a hard in-place lockbox and springing cash management, asdetermined by S&P Global Ratings, which allows the borrower to control funds until an event ofdefault has occurred, a mezzanine loan event of default has occurred, a DY ratio of 5.0% isbreached for two consecutive quarters, or the required financial reports are not delivered. Atthat 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 willbe deposited into a lender-controlled account.

- The loan benefits from the sponsorship of Stellar Management. Founded in 1985, StellarManagement built its track record on ownership, management, and repositioning ofunder-managed multifamily and office buildings in New York City. Stellar Managementcurrently owns and manages over 12,000 apartments, over two million sq. ft. of office space,and 1.3 million sq. ft. of retail space.

- We visited the subject property on Friday morning, Aug. 20, 2021. During the visit, the buildingwas only partially utilized across all tenant spaces. While this may have been partially relatedto the time of the visit, the building manager also noted that the building was currently only20% utilized during the week. We began the tour by viewing the spaces located in One SohoSquare West, comprising the MAC (floors 10-13), Juul Labs (seven through nine), and FrontierHealth spaces (three, five, and six), among others. The MAC space contains a private balconythat can be leased out for private events and yields impressive views of the Midtown skyline aswell as the Hudson River. The space itself is in exceptional condition. The Juul Labs space wasin as-is condition with no improvements made to the space. It's worth noting that Juul Labs hassole access to a separate lobby entrance located at 233 Spring Street. Additionally, there areseveral entrances to deck space that are not yet built out. The Flatiron Health space in thisportion of the building is currently set aside as employees return to the office and fill in thespace in the East wing. Nevertheless, the space also presented exceptionally well and featuredmodern décor and amenities befitting a class A space. Flatiron Health initially placed all threeof their floors on the sublease market, but has since taken them off after subleasing the thirdfloor and attempting to parcel out half of their rentable space on the fifth floor. Next, we touredOne Soho Square East including the Aetna (floors 12-15), Managed by Q (11), Warby Parker (sixthrough eight), and Flatiron Health (two through five) spaces. All spaces presented well andincluded a generous meeting area and conference space for anyone transacting with thecorporate tenants. The visit concluded with a walk around the periphery of the building wherewe examined the street frontage as well as the loading area on Vandam Street.

- As of Sept. 6, 2021, the property was open and operating, and all tenants are paying their fullcontractual rent and are current on their rental obligations. Only one tenant, Torch & Crown(0.8% of in-place gross rental income, as calculated by S&P Global Ratings) received temporary



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rent deferral until June 2021 due to the COVID-19 pandemic.


- The $51.8 million trust loan, along with the $417.2 million pari passu companion loan heldoutside the trust, represent a total $470.0 million senior loan component of a $785.0 millionwhole loan. The remaining $315.0 million junior non-trust note, along with $1.0 million of thesenior loan component held outside the trust, are the controlling pieces of the whole loan, andincrease our LTV to 138.9% from 83.1%.

- In addition to the mortgage loan, there is a $120.0 million mezzanine loan. The mortgage andmezzanine loans have a combined S&P Global Ratings' LTV ratio of 160.1%. We reduced our LTVrecovery thresholds across the capital structure to account for this risk.

- In addition to the mortgage loan, the borrower can obtain additional subordinate mezzaninedebt of not more than $90.5 million. The mezzanine loan can be made in an amount resulting ina maximum LTV ratio of 67.0%, a minimum DY of 6.8%, and a minimum DSC of 2.22x. Theborrower's ability to incur additional subordinated debt exposes the trust loan to a higherdefault risk. We reduced our LTV recovery thresholds across the capital structure to account forthis risk.

- The loan is interest-only for its entire seven-year term, and there will be no scheduledamortization during the loan term. We reduced our LTV recovery thresholds across the capitalstructure to account for the higher refinancing risk at loan maturity.

- Juul Labs (54,068 sq. ft.; 6.9% of NRA), whose lease commenced in May 2019, has yet to takeoccupancy of its space, and all of its space is currently on the market for sublease. FlatironHealth (228,257 sq. ft.; 29.0% of NRA) currently has approximately 40,890 sq. ft. of its leasedspace for sublease, of which 30,668 sq. ft. has been subleased to Petal for three years atapproximately 35.0% of Flatiron Health's contractual rent. To account for these risks, weconsidered Juul Labs vacant, which equates to a 10.7% vacancy rate.

- Although the property is located in Manhattan, which we consider a primary market, thein-place gross rents at the subject property are 21.5% above the submarket gross rent of$73.33. According to CoStar, the property is within the Hudson Square office submarket. As ofsecond-quarter 2021, the three– to five-star submarket vacancy rate, availability rate, andgross asking rents were 11.7%, 12.2%, and $73.33 per sq. ft., respectively. The submarket'shistorical five-year and 10-year average vacancy rates were 9.4% and 10.0%, respectively, witha 10.0% five-year forecasted vacancy rate. As of the June 1, 2021, rent roll, the subject propertyis 92.5% leased with a weighted average gross rent of $89.09 per sq. ft., as calculated by S&PGlobal Ratings. We are capturing the risk by grossing up the vacant office space at the lowersubmarket rent and assuming a vacancy rate of 10.7% after considering the Juul Labs spacevacant.

- The property currently benefits from a 10-year Industrial and Commercial Abatement Program(ICAP) abatement with New York City. The ICAP abatement commenced in the 2017/18 tax yearand will expire at the end of the 2028/29 tax year. We assumed the fully assessed unabated realestate taxes at the end of the 2026/2027 tax year in our derivation of long-term NCF and addedback the net present value of the savings over the ICAP abatement's remaining term to ourvalue. However, the tax savings are considered a wasting asset, and the present value willdecline with each passing year. If rental income does not increase, or if other expenses increaseor capitalization rates increase in such a way as to offset the loss of yearly tax savings, ouroverall value will continue to decline.

- The sponsor is not reserving unfunded obligations at closing, and instead provided a guaranty



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for outstanding TIs. To account for this risk, we deducted $13.3 million of outstanding free rentsand TIs from our value.

- During alterations to the property, the loan agreement does not require that all collateralposted by the borrower be rated by S&P Global Ratings. Additionally, in our opinion, thethreshold above which collateral must be posted is higher than a de minimis amount. Thisstructure potentially exposes the transaction to risks associated with additional leveragebeyond a de minimis amount and potential additional liens, such as mechanic's liens, some ofwhich may have priority over the mortgage lien.

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

- The borrowers are structured as two tenants-in-common (TIC). If multiple TIC borrowers for aloan declare bankruptcy, it may delay the liquidation and recovery timeframe and result inhigher losses to the loan. However, the TIC agreement is subordinate to the loan agreement andthe TICs have waived their rights to partition, which decreases the risk of serial bankruptcyfilings or litigation among these borrowers.

- The loan agreement allows for insurance coverage from one provider that is not rated by S&PGlobal Ratings and is not required to be replaced with a rated provider at the end of the currentinsurance term. We used lower LTV recovery thresholds at each rating category for this loan toaccount for this risk.

- Following a casualty or condemnation, the loan documents require the lender to disburse to theborrower, without supervision of such funds, insurance proceeds in an amount that exceeds thethreshold, which we view as de minimis. In our view, this structure gives the borrower atypicallyhigh levels of discretion over the restoration process.

3. Inland Wentworth Self Storage Portfolio

Table 16

Credit Profile

Loan no. 3 Property type Self-Storage

Loan name Inland Wentworth SelfStorage Portfolio

Subproperty type Self-Storage



5.5 Year built/renovated Various

City Various Sponsor Inland Private CapitalCorp.

State VR S&P Global Ratings' amortizationcategory

Interest-only



(2.50)

S&P Global Ratings' NCF ($) 4,060,000 S&P Global Ratings' subordinatedebt category

N/A



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Table 16



(11.8) S&P Global Ratings' subordinatedebt adjustment

N/A






(53.4) 'AAA' SCE (%) 55.6


62 'AAA' DCE (%) 15.7

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



- The trust loan is a mortgage loan secured by the fee-simple interest in a 15-property,798,975-sq.-ft., 6,162-unit, self-storage portfolio with an average unit size of 130 net rentablesquare feet per unit. The portfolio is composed of a diverse set of properties with no oneproperty comprising more than 17.0% of NCF, as calculated by S&P Global Ratings, or 16.2% ofallocated loan amount. The properties are located throughout the U.S. in six states. The largeststate concentrations are in Arizona (51.9% of NCF, as calculated by S&P Global Ratings; 50.8%ALA), Texas (26.4%; 27.5%), and Oregon (9.9%; 8.0%).

- The portfolio has exhibited positive historical operating performance. Based on the July 19,2021, rent roll, physical occupancy across the portfolio was 93.2%, with individual propertyoccupancy ranging from 81.1% to 98.1%. The portfolio has recently seen robust NOI growthwith the annualized trailing-three-month NOI ending May 2021 of $4.8 million representing a13.6% premium over TTM NOI (ending May 2021) of $4.2 million. Our sustainable NOIassumption is $4.2 million, which is 13.0% below the portfolio's trailing-three-month NOIending May 2021 NOI.

- The trust loan has a strong DSC of 2.66x, calculated using the loan's fixed interest rate and ourin-place NCF for the property, which is 11.8% lower than the issuer's NCF, a variance primarilydriven by our parking income, bad debt, concessions, and advertising and marketing.

- The mortgage loan is an acquisition and the sponsor contributed $59.3 million of equity as partof the $110.3 million all-in acquisition costs (53.8% of the acquisition costs). The portfolio itselfwas purchased for $102.1 million (92.5% of acquisition costs) and the remaining $8.2 millionwas used to fund closing costs ($1.3 million; 1.2% of acquisition costs), fund replacementreserves ($180,000, .2%), and fund the trust reserve account ($6.8 million, 6.1%). Uponcompletion of the acquisition, the properties will be managed by Life Storage, the fifth-largestowner and manager of self-storage assets in the nation.

- The mortgage loan benefits from the experienced sponsorship of the Inland Private CapitalCorp. (IPCC). As of Dec. 31, 2020, IPCC reported $9.0 billion of assets under management and anet worth of $297.4 million on assets of $772.0 million, of which $112.3 million is consideredliquid.



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- The mortgage loan is structured with ahard springing lockbox, as determined by S&P GlobalRatings, that springs into existence upon the first occurrence of an event of default or if theDSC falls below 1.95x. Cash management is also largely springing, as determined by S&P GlobalRatings. Monthly tax and insurance escrows are required only after the DSC falls below 1.95x,but replacement reserves are in place. During a cash sweep event, all excess cash flow will bedeposited into a lender-controlled account.

- As of Sept. 15, 2021, the borrower provided an aging report showing $122,940 (1.7%underwritten base rent as calculated by the banker) was over 30 days delinquent. The loan isnot subject to any modification or forbearance requests.


- The trust loan has high leverage with a 103.6% LTV ratio, based on S&P Global Ratings'valuation. Our long-term sustainable value estimate is 53.4% lower than the appraiser'svaluation of $105.8 million, which represents a 3.8% premium over the sum of the individuallyappraised values of $101.9 million, and 51.7% lower than the purchase price of the portfolio,$102.1 million. This variance is primarily driven by our weighted average capitalization rate of8.24%, versus the appraiser's weighted average portfolio capitalization rate of 5.74%.

- The loan permits the release of individual properties subject to a release premium equal to120.0% of ALA. However, releases are subject to a DSCR, DY, and LTV test to help ensure thatthe credit characteristics do not deteriorate as properties are released.

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

- The portfolio is mainly concentrated in secondary markets as determined by S&P GlobalRatings. Two of the properties in the pool, Duluth and Norcross (3.7% of NCF and 4.6% of ALA),are located in primary markets. The other 13 properties in the portfolio are all located insecondary markets (96.3% and 95.3% of ALA).

- The average age of the properties is 36 years, making them of a slightly older vintage. Theengineer identified $186,180 in immediate repairs required at 14 of the 15 properties. Thelender required an initial replacement reserve of $180,000 to complete the repairs. The escrowis capped at $180,000 and will be replenished at $0.20 per sq. ft. if drawn upon. The engineerconcluded $0.17 per sq. ft. for annual replacement reserves (un-inflated), and we assumed$0.17 per sq. ft. in our analysis.

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

- The loan does not have a warm body carve-out guarantor. In our view, this limitation generallylessens the disincentive provided by a full nonrecourse carve-out related to "bad acts" orvoluntary bankruptcy.

- Although the SPE borrower is structured with a non-consolidation opinion and one independentdirector, the independent director can be removed without cause with 30 days' notice.

- The borrower is structured as a Delaware statutory trust (DST), which allows multipleindividuals to own interest in the property as owners and not as limited partners. However, the



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DST assigned the master lease of the property to a sponsor affiliated SPE.

4. Superstition Gateway

Table 17

Credit Profile

Loan no. 4 Property type Retail

Loan name Superstition Gateway Subproperty type Anchored



5.1 Year built/renovated 2006

City Mesa Sponsor Daniel Smith

State AZ S&P Global Ratings' amortizationcategory

Partial interest-only


Secondary S&P Global Ratings' amortizationadjustment (%)

(1.25)


N/A



N/A






(27.9) 'AAA' SCE (%) 51.3

S&P Global Ratings' valueper sq. ft./unit ($)

164 'AAA' DCE (%) 23.2

(i)The trust loan is pari passu; LTV and DSC calculated based on the $77.1 million mortgage loan balance. ($47.1 million trust loan plus the $30.0pari passu portion). (ii)Pari passu adjusted. NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt service coverage. SCE--Stand-alone creditenhancement. DCE--Diversified credit enhancement. CBD--Central business district. N/A--Not applicable.



- The trust balance represents a pari passu portion within a larger $77.1 million whole loan. Thewhole loan is secured by the fee-simple interest in Superstition Gateway, a 495,204-sq.-ft.power center located in Mesa, Ariz. The center is located approximately 31 miles from Phoenixand 16 miles from downtown Mesa. It is divided into two sections: Superstition Gateway West(SGW) and Superstition Gateway East (SGE). The property is anchored by LA Fitness and AMCTheatre, shadow anchored by Walmart supercenter (not a part of collateral) and features aKohl's on pad lease. The other major tenants at the property include Ross Dress for Less('BBB+'), Bed, Bath and Beyond ('B+'), Michaels ('B'), Marshalls, and Petsmart ('B').

- The trust loan has a moderate DSC of 1.54x, calculated using the loan's fixed interest rate andour in-place NCF for the property, which is 10.2% lower than the issuer's NCF, a variance



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primarily driven by our vacancy assumption.

- The property has shown a stable historical performance and has maintained an averageoccupancy of 94.2% since its opening in 2008. The 10-year average occupancy at the propertyis 93.3%. The property experienced a dip in occupancy between 2017 and 2020, reporting at anaverage of 87.8%. The dip in occupancy was due to Staples and Best Buy vacating the propertyin December 2016 and December 2017, respectively. In addition, Babies R' Us vacated theproperty post the Toys R'Us vacancy, which further stressed occupancy in 2018. The sponsorwas able to lease up the property over the last three years. Notable tenants that signed newleases at the property include Marshalls, Michaels, and Five Below, all of which were signed ata higher rent per sq. ft. than the previous tenants. The in-place occupancy at the property as ofAugust 2021 is 94.2%.

- The property benefits from a diverse roster of 61 tenants, including national anchors (totalingmore than 50,000 sq. ft.), major retailers (between 10,000 sq. ft. and 50,000 sq. ft.), and in-lineretailers (less than 10,000 sq. ft.), which helps to lower the risk of sudden drops in the loan'scapacity to meet its debt service obligations. The largest tenants at the property include LAFitness (9.1% of NRA and 9.0% of the gross rent as calculated by S&P Global ratings), AMCTheatre (8.5% and 8.3%), Kohl's, on ground lease, ('BBB-', 18.0% and 6.0%), Ross Dress forLess (6.1% and 5.0%), and Bed, Bath and Beyond (5.7% and 4.4%).

- According to CoStar, the property is located in the Gateway Airport Retail submarkets in thePhoenix MSA, which we consider a secondary market. As of third-quarter 2021, the retailsubmarket had average vacancy and availability rates of 4.4% and 4.7%, respectively. The retailsubmarket has shown strong and stable performance historically with vacancy rates below10.0% since 2010. Additionally, CoStar forecasts the average retail vacancy rate to be 4.0%over the next five years. We utilized a weighted average 12.5% vacancy rate on the collateralproperty in our analysis mainly due to the fitness center and theatre anchor tenants, which aregenerally more susceptible to economic disruptions than the national retailers.

- The mortgage loan benefits from Desert Troon Co.'s (DTC) experienced sponsorship. DTC,established for more than 30-years, is based in Scottsdale, Ariz. Their current development andinvestment holdings include over 1.3 million sq. ft. of commercial projects, 3.1 million sq. ft. ofretail projects with 1.6 million currently developed or in progress, 8,000 units in six masterplanned communities, and three fully developed private golf resort communities. It is led byDaniel Smith, who holds all his assets in Deck LLC, which reports a net worth of $23.0 millionand liquidity of $288,929.

- The mortgage loan is structured with a hard in-place lockbox and in-place cash management,as determined by S&P Global Ratings. A cash sweep event occurs upon an event of default, ifthe DSC falls below 1.20x, or the bankruptcy of borrower or manager. There are also ongoingreserves for taxes, insurance, capital expenditures, and leasing expenses.

- We visited the property on Aug. 19, 2021, at 5:30 PM and found the property to have healthyfoot-traffic, primarily at the LA Fitness and the restaurants due to the timing of our tour. Theproperty is spread out across approximately 66 acres and is separated by S. Signal Butte Rd.making it feel like multiple power centers within the one larger property. The west side of theproperty has the junior anchors of Ross, Bed, Bath & Beyond, Marshalls, and PetSmart whilethe east side of the property contains the AMC theater and the LA Fitness. The property is only afew blocks away from Highway 60 and Loop 202 interchange, and we found the property easy toaccess.




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- The loan has high leverage with a 95.0% LTV ratio, based on S&P Global Ratings' valuation. Ourlong-term sustainable value estimate is 27.9% lower than the appraiser's valuation. Thevariation is mainly driven by our capitalization rate of 8.00% compared with the appraiser'scapitalization rate of 6.50%.

- The property is currently open and operating. In April 2020, during the COVID-19 pandemic, over50% of tenants were either not paying or only paying partial rent. The sponsor provided rentabatements and deferrals to tenants accounting for approximately 45.3% of NRA and 49.5% ofgross potential rent as calculated by S&P Global Ratings. Based on the deferral schedule, therent deferrals would be reimbursed through 2024. The remaining rent reimbursement would be33% by end of 2021, 33% by end of 2022, and 10% by end of 2023. We accounted for this risk byapplying a 12.7% vacancy as compared to the property's economic vacancy of 5.4% as of theAugust 2021 rent roll, as calculated by S&P Global Ratings.

- The property faces considerable tenant rollover risk, with 70.8% of the leased NRA and 70.4%of the in-place gross rent, as calculated by S&P Global Ratings, expiring during the loan term.The rollover is concentrated, with 31.3% of NRA and 25.1% of in-place gross rent, as calculatedby S&P Global Ratings, expiring in 2027. The risk is partially mitigated because the rollover isspread across 14 different tenants. Furthermore, 18 tenants (29.5% of NRA; 30.4% of in-placegross rent, as calculated by S&P Global Ratings) have termination options and 16 tenants(43.1%; 39.8%) have co-tenancy clauses in their lease agreements. These termination andco-tenancy clauses subject the property to a domino effect in the event of stress. However, theloan is structured with on-going annual TI/LC reserves of $1.16 per sq. ft. capped at $1.7 millionand a cash flow sweep, which commences if DSC falls below 1.20x. Nevertheless, we accountedfor this risk by increasing the vacancy and capitalization rates in our analysis.

- The two largest tenants at the property that are part of the collateral are LA Fitness and AMCtheatre. We typically consider both of these tenant types as weak tenants as these are moresusceptible to economic disruptions. To account for this risk, we utilized a higher vacancy andcapitalization rate.

- The mortgage loan is a refinancing; however, the sponsor contributed approximately $5.7million (6.9% of the total financing) of equity to the transaction to paydown the existingmortgage of $81.3 million by $4.2 million, fund reserves, and cover the closing costs of $1.5million. The sponsor's total cost basis is $128.1 million including the additional equity, and$50.6 million of cash equity will remain in the transaction at closing.

- During Covid-19, the sponsor requested and was granted a forbearance on the outstandingloan to stabilize the property. Keybank, the servicer, noted that the sponsor was cooperativeduring the negotiations. As of Sept. 10, 2021, the property is open and operating with alltenants paying either full unabated rent or repaying the deferred rent. In addition, the sponsor'sfinancial commitment with $50.6 million of equity outstanding, strong historical occupancy,recent leasing trends that bring the occupancy to 92.4%, and strong submarket metrics furthermitigate this risk.

- The loan is interest-only for the first five years of the 10-year term. Loans with an interest-onlycomponent bear a higher refinance risk than loans without an interest-only componentbecause of the higher loan balance at maturity. To account for this lack of amortization, weapplied negative LTV threshold adjustments across the capital structure.

- During alterations to the property, the loan documents do not require the borrower to postcollateral for alterations whose cost exceeds a certain threshold. This structure potentiallyexposes the transaction to risks associated with additional leverage beyond a de minimisamount and potential additional liens, such as mechanic's liens, some of which may have



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priority over the mortgage lien.

- Although the SPE borrower is structured with a non-consolidation opinion and two independentdirectors, the independent directors can be removed without cause with 30 days' notice.

5. Havenwood Office Park

Table 18

Credit Profile


Loan name Havenwood OfficePark

Subproperty type Suburban


% of total pooled trust balance(%)


City Spring Sponsor Rodrigo PelaezDiaz

State TX S&P Global Ratings' amortizationcategory

Amortizing balloon

S&P Global Ratings' market type Primary S&P Global Ratings' amortizationadjustment (%)

0.00


N/A

S&P Global Ratings' NCF variance(%)


N/A

S&P Global Ratings' cap rate (%) 7.50 S&P Global Ratings' LTV (%) 96.7

S&P Global Ratings' value (mil. $) 46.5 S&P Global Ratings' DSC (x) 1.76


(33.3) 'AAA' SCE (%) 50.9

S&P Global Ratings' value per sq.ft./unit ($)

194 'AAA' DCE (%) 17.9

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



- The trust loan is secured by the fee-simple interest in a four-story, 239,629-sq.-ft., class-A,LEED Silver certified office building. Developed by the sponsor in 2017, the property is locatedalong Interstate 45 in The Woodlands, Tex. Each floor of the property is designed with two30,000-sq.-ft. floor plates interconnected by a common lobby, allowing for flexible bay depthsand efficient space planning options for tenants of all sizes. Amenities include a fitness room,conference room, and an outdoor plaza with seating area. In addition, there is an adjacentfour-level, 1,057-space covered parking garage, which features covered walkways andconvenient visitor parking.



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- As of the July 6, 2021, rent roll, the property was 86.8% occupied by 18 unique tenants. Thethree largest tenants at the property are the General Services Administration (GSA;'AA+/Stable; 25.6% of NRA; 30.4% of gross rental income, as calculated by S&P Global Ratings;June 2036 expiration), the nation's largest public real estate organization, which providesworkspace for more than 1.2 million federal workers and utilizes the property as a branch ofHomeland Security; Med-Data (21.2%; 23.0%; September 2026), a provider oftechnology-enabled revenue cycle management services for the healthcare space; and TheWork Lodge (9.5%; 10.4%; December 2028), a co-working company that provides private officesuites for teams of one to 100, shared workspace, virtual mailbox services, and conferencerooms and training rooms.

- The loan benefits from the experienced sponsorship of Rodrigo Palaez. Mr. Palaez is a partnerand founder of Synergy SAR, an experienced commercial real estate investor and developer inthe greater Woodlands area. Mr. Palaez currently has an ownership interest in sevencommercial office properties encompassing approximately 470,000 sq. ft. His portfolio focuseslargely on traditional and medical office properties. He is also involved in the development of 22single family homes located in the northern Houston area.

- The loan is structured with a hard lockbox and springing cash management, as determined byS&P Global Ratings. A cash sweep event occurs upon an event of default; if the DSC falls below1.15x; or the major tenant has terminated or elected to terminate its space, failed to timelyrenew or extend its lease, declared bankruptcy, or reduced its square footage beyond certainminimum thresholds. There are also ongoing reserves for taxes, insurance, capitalexpenditures, and leasing expenses.

- We visited the property on Sept. 8, 2021. The property appeared modern and well-maintained,and the adjacent parking garage is of a decent size and features electric charging stations.Recent capital improvements include $200,000 on Covid-related installations, such ashands-free water stations and access and ventilation. Coworking tenant Work Lodge wasrelatively busy with several people using office space and the conference room. The tenantspace was a little cozier than the typical coworking space, as it was decorated and designedwith nicer finishes and furniture. Management noted that Work Lodge has performed well sincethe onset of Covid due to their flexible membership options. The property's immediateneighborhood is dominated by automotive shops, restaurants, and general service providers,making the well-manicured property stand out. However, property representatives explainedthat the subject property's location and accessibility to I-45 attracts tenants wishing to pay alower price point compared to The Woodlands, but still be near the neighborhood's amenities.

- As of Sept. 1, 2021, all tenants are current on their rent payments, and the loan is not subject toany modification or forbearance requests.


- The loan has high leverage with a 102.4% LTV ratio, based on S&P Global Ratings' valuation.Our long-term sustainable value estimate is 36.9% lower than the appraiser's valuation.

- The trust loan has a moderately low DSC of 1.35x, calculated using the loan's fixed interest rateand our in-place NCF for the property, which is 13.5% lower than the issuer's NCF, a varianceprimarily driven by our vacancy and capital item assumptions.

- The loan is a refinancing and the loan proceeds paid off existing debt of $34.3 million, funded$500,000 of upfront TI/LC reserves and approximately $1.0 million in rent reserves (GSA, SilverSpring Healthcare, HAR, Synergy SAR), covered $851,293 in closing costs, and returned $7.6million (16.8% of financing) of equity to the sponsor. Based on the sponsor's total cost basis of



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$59.7 million, there is $14.7 million of equity remaining in the property at closing.

- While the property is located in The Woodlands office submarket of Houston, which we considera primary market, according to CoStar, office properties within the submarket exhibitedvacancy and availability rates of 14.9% and 17.5%, respectively, with reported gross askingrents of $32.56 per sq. ft. as of second-quarter 2021. The five- and 10-year average vacancyrates for the submarket are 10.6% and 9.0%, respectively. This compares to the property'svacancy rate of 13.3% (as of the July 6, 2021, rent roll) and average in-place gross rentalincome of $29.31 per sq. ft., as calculated by S&P Global Ratings, which is 10.0% lower than thesubmarket average. To account for the weak submarket vacancy, we applied a 13.6% vacancyrate in our derivation of sustainable net cash flow of the property.

- The property faces considerable tenant rollover risk, with 61.2% of the leased NRA and 69.6%of the in-place gross rental income, as calculated by S&P Global Ratings, expiring during theloan term. The rollover is concentrated in 2026 (31.1% of NRA; 34.7% of in-place gross rent)when six leases, including Med-Data, expire. In addition, Med-Data has a termination option onOctober 2024 with eight months' notice and a fee of five months of gross rent estimated to be$615,759, and Arrow Child & Family Ministries (2.0%; 1.6%; January 2025 expiration) has atermination option on January 2023 with four months' notice and a $25,117 fee for unamortizedTI/LCs and three months of base rent. The rollover risk is partially mitigated by an upfrontgeneral TI/LC reserve of $500,000 ($2.09 per sq. ft.) and on-going TI/LC reserves of $200,004 peryear ($0.83 per sq. ft.) subject to a $1.5 million cap. If Med-Data exercises its five-year renewaloption or Med-Data's space is filled by a new tenant(s) for at least five years, the cap will bereduced to $500,000 going forward. Additionally, an escrow of $167,000 per month willcommence in an event of default, if the DSC falls below 1.15x, if GSA or Med-Data do notexercise their renewal options, or if Med-Data exercises its early termination option. Weaccounted for this risk by assuming a 7.50% capitalization rate in our valuation of the property.

- The property has limited operating history as it was recently developed. However, sincecompleting construction in 2017, the sponsor has executed 18 leases totaling 207,888 sq. ft.,representing 86.8% of NRA. As of the TTM period ended May 2021, the property reached 86.8%occupancy, and is 86.8% occupied as of July 6, 2021.

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

6. Helios Plaza

Table 19

Credit Profile


Loan name Helios Plaza Subproperty type Suburban




City Houston Sponsor AGC Equity Partners


Interest-only



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Table 19



Primary S&P Global Ratings' amortizationadjustment (%)

(2.50)

S&P Global Ratings' NCF ($)(i) 2,470,000 S&P Global Ratings' subordinate debtcategory

N/A



N/A



S&P Global Ratings' value (mil.$)(i)



(43.8) 'AAA' SCE (%) 61.4


276 'AAA' DCE (%) 19.8

(i)Pari passu adjusted. (ii)The trust loan is pari passu; the LTV ratio and DSC are calculated based on the $118.5 million whole loan balance($40.0 million trust loan and the $78.5 million pari passu companion loan ). NCF--Net cash flow. LTV--Loan-to-value. DSC--Debt servicecoverage. SCE--Stand-alone credit enhancement. DCE--Diversified credit enhancement. CBD--Central business district. N/A--Not applicable.



- The whole loan is secured by the borrower's fee-simple interest in a 377,185-sq.-ft., six-story,LEED platinum certified class A office building located in the Energy Corridor of Houston. Theproperty is 100% leased to Amoco Properties Inc. (Amoco), a wholly-owned subsidiary of BPCorp. N.A. Inc. (BP; 'A-/Negative'), which fully guarantees the NNN, executed December 2016through December 2031, five years past the loan date. The lease features 2.0% annual rentescalations and no termination options. The property was constructed in 2009 as a built-to-suitfacility for BP and includes a 1,699-space parking garage adjacent to the property.

- The loan has a strong DSC of 2.10x, calculated using the loan's fixed interest rate and ourin-place NCF for the property, which is 32.2% lower than the issuer's NCF, a variance primarilydriven by our vacancy assumption.

- The loan proceeds financed the sponsor's acquisition of the property for a purchase price of$178.0 million. The sponsor contributed approximately $65.7 million of equity (35.7% of thefinancing) as part of the approximately $184.2 million all-in acquisition costs, including $5.1million paid towards defeasance costs associated with the seller's debt prepayment and $1.1million to fund closing costs.

- BP is one of the largest oil and gas companies in the world and its North Americanheadquarters is located less than half a mile from the property. Helios Plaza serves as amission-critical facility for BP North America and houses several operating centers includingBP North America's gas and power trading operations center, central disaster command center,wind operations center, and remote operations center. The building also includes astate-of-the-art trading floor backed by redundant systems, a 240-person conference center, a17,232-sq.-ft. cafeteria, and an 11,522-sq.-ft. wellness/fitness center. In aggregate, theproperty can support up to 1,100 employees. Additionally, the tenant recently invested $10.2



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million to replace existing gas turbines with a new generator and prefabricated chiller/pumppackage in order to maintain the property's LEED platinum certification.

- This property is strategically located at the heart of Houston's Energy Corridor along Interstate10, approximately half a mile away from BP North America's headquarters. The Energy Corridoris located between Beltway 8 and the Grand Parkway and is home to several operating centersof major energy companies including Citgo, ConocoPhillips, and Shell Oil. The greater Houstonmarket has been called the "Energy Capital of the World" and is the home to over 4,600 energycompanies and employs nearly a third of the nation's jobs in oil and gas extraction, as stated bythe Greater Houston Partnership.

- We visited the property on Sept. 8, 2021, accompanied by the facilities manager. The propertyhas high-quality finishes and amenities befitting a class A office building with an exceptionallylarge fitness center that all BP staff, current and retired, have access to. One entire floor at theproperty is dedicated as a training facility for BP staff, complete with interactive displays,classrooms, and a disaster simulator, which was installed after the Deepwater Horizon disasterand is used to train operators for similar emergencies. The property was nearly empty duringthe tour, but the facilities manager noted that employees were expected to return in October ona hybrid schedule. We also toured the trading floor which features tightly arranged desks andfloor-to-ceiling windows, typical of trading floors at other major financial institutions. Theparking garage is directly connected to the building; it and the building had numerous securityand clearance layers.

- The loan benefits from AGC Equity Partners' (AGC) experienced sponsorship. AGC, establishedin 2009, is a London-based investment company that has more than $6.5 million in assetsunder management. It is led by its two co-CEO's, Walid Abu-Suud and Khalil Amiouni, who eachhave over 30 years of investment and placement experience. AGC's real estate investment armfocuses on landmark and trophy value commercial real estate assets across the U.S., UK, andEurope. Other assets in AGC's portfolio include PWC Headquarters (Dublin) and Citigroup Tower(London).

- The loan is structured with a hard in-place lockbox and in-place cash management, asdetermined by S&P Global Ratings. A trigger period occurs upon an event of default, if the DYfalls below 8.00%, the specified tenant or a major tenant has terminated or elected toterminate its space, declared bankruptcy, or reduced its square footage beyond certainminimum thresholds, or the anticipated repayment date (ARD). There are also ongoing reservesfor taxes and insurance.

- As of Sept. 1, 2021, the tenant is current on their rent payments and the loan is not subject toany modification or forbearance requests.


- The whole loan has high leverage with an S&P Global Ratings' LTV ratio of 114.0%, based on ourvaluation and the whole loan balance. The whole loan LTV ratio based on the appraiser's as-isvaluation is 64.1%. Our estimate of long-term sustainable value is 43.8% lower than theappraiser's as-is valuation. This is primarily driven by our vacancy, TI/LC, and capitalexpenditure assumptions.

- The trust loan is interest-only for the entire five-year period leading up to the ARD, meaningthere will be no scheduled amortization until the ARD date. We accounted for this lack ofamortization by applying a negative LTV threshold adjustment across the capital structure.

- The property is exposed to single-tenant risk. Amoco, a wholly-owned subsidiary of BP, is thesole tenant at the property, and the loan could come under stress if the tenant defaults on its



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lease or goes bankrupt. This lease is mitigated by BP's investment grade rating, BP's guaranteeof the Amoco lease, the mission-critical nature of the facility to BP, the recent $10.2 millioninvestment by the tenant, and the proximity of this property to BP's North Americaheadquarters.

- Although the property is in Houston, which we consider a primary market, office submarketvacancy rates are high. According to CoStar, the property is in Houston's Katy Freeway Westoffice submarket. As of second-quarter 2021, the submarket's class A office vacancy rate,availability rate, and gross rent were 24.3%, 33.3%, and $32.05 per sq. ft., respectively. BP'sin-place gross rent is $27.60 inclusive of the rent step occurring in December 2021. Thesubmarket's five-year and 10-year vacancy rates were 23.1% and 15.3%, respectively, with a24.3% five-year forecasted vacancy rate. Given that the property is 100% leased to BP('A-/Negative') through 2031, the tenant's credit worthiness, the mission-critical nature of theproperty, and its proximity to BP's North American headquarters, we have applied a 12.50%vacancy rate in our analysis.

- According to the appraiser, the Houston office market continues to suffer as a direct result oflow energy-sector office demand following the oil market decline in 2014 and 2015. Coupledwith prolonged depressed oil prices and increased oil price volatility, the Houston submarkethas struggled over the past six years. According to CoStar, the Katy Freeway West submarket'sclass A gross rent has decreased from $35.01 per sq. ft. in fourth-quarter 2014 to $32.06 persq. ft. as of second quarter 2021 and isn't forecasted to reach the $35.00 mark again until early2024. The rental rate risk is partially mitigated by the tenants below market gross rent of$27.60 per sq. ft.

- The loan has no upfront reserves and only two springing monthly reserves, a replacement andTI/LC reserve, that deposit $0.20 and $0.75 per sq. ft., respectively, under the event of a triggerperiod. This concern is partially mitigated given that the property is under a NNN lease to aninvestment-grade tenant and that this tenant is incentivized to keep the property in LEEDplatinum condition as evidenced by the recent $10.2 million investment.


- Although the SPE borrower is structured with a non-consolidation opinion and two independentmanagers, the independent managers can be removed without cause with 10 business days'notice.

- The loan agreement allows for property insurance coverage from a provider that carries a ratingthat is inconsistent with S&P Global Ratings Insurance Criteria. We used lower LTV recoverythresholds at each rating category for this loan to account for this risk.

- 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 moreconclusive and reliable than unaudited statements.

7. 12-24 Ford Street

Table 20

Credit Profile

Loan no. 7 Property type Multifamily



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Table 20


Loan name 12-24 Ford Street Subproperty type Mid Rise

Pooled trust loan balance ($) 32,500,000 Property sq. ft./no. of units 98

% of total pooled trust balance (%) 3.5 Year built/renovated 2017

City Brooklyn Sponsor Anshel Fridman

State NY S&P Global Ratings' amortization category Interest-only


(2.50)


N/A

S&P Global Ratings' NCF variance(%)


N/A



S&P Global Ratings' value variance(%)

(39.1) 'AAA' SCE (%) 57.1


312,472 'AAA' DCE (%) 25.9




- The trust loan has a moderate DSC of 1.64x, calculated using the loan's fixed interest rate andour in-place NCF for the property, which is 18.3% lower than the issuer's NCF. The difference isprimarily driven by our assumption of higher expenses and real estate tax treatment.

- The loan is secured by the borrowers' fee-simple interests in a 98-unit, seven-story multifamilyproperty, located at 12-24 Ford Street in Crown Heights, Brooklyn, NY. The property features amix of studio, one-bedroom, two-bedroom, and three-bedroom residential units, plus an8,350-sq.-ft. commercial unit on the ground floor. The commercial unit is currently fullyoccupied by Seneca Village Montessori, a pre-school, which accounts for less than 5.0% of thegross potential rent, as calculated by S&P Global Ratings. Unit amenities include modern unitfinishes, hardwood floors, and over-sized windows. Property amenities include a fitness center,business center, game/media room, laundry room, billiards, surface parking, and a roof deck.

- The property is a relatively new construction and was completed in 2017. The sponsordeveloped the property at a total cost of $31.0 million after acquiring the land in May 2015 for$3.0 million. The sponsor's total cost basis is estimated to be $35.1 million, inclusive of closingcosts in connection with the subject loan. The sponsor's remaining equity will be approximately$2.6 million as of closing.

- The loan benefits from Anshel Friedman's experienced sponsorship. The sponsor is a realestate professional focused on Brooklyn and currently owns 15 properties containing 500 unitslocated in Brooklyn. As of February 2021, Mr. Friedman has a net reported worth of $52.0



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million and liquidity of $3.5 million.

- We visited the property on Sept. 13, 2021, and found it to be in very good condition. The propertypresented adequately from the curb and appeared secure given the various access entrancessurrounding it. The units had nice layouts and were outfitted with stainless steel appliances,Caesarstone countertops, and hardwood floors. We noted that the property is within a10-minute walk from the Utica Avenue subway station.

- The mortgage loan is structured with a hard lockbox and springing cash management, asdetermined by S&P Global Ratings. A cash sweep event occurs upon an event of default, if theDY falls below 5.75%, or, if in the last 18 months of the loan term, the DY falls below 7.25%.There are ongoing reserves for taxes, insurance, and capital expenditures.

- As of Sept. 1, 2021, all tenants are current on their rent payments, and the loan is not subject toany modification or forbearance requests. It should be noted, however, that Seneca VillageMontessori paid partial rent, as agreed upon with the borrower sponsor, from July 2020 throughMay 2021. Seneca Village Montessori commenced paying full rent in June 2021. The borrowersponsor expects Seneca Village Montessori to pay additional rent over the next 12-18 months inorder to pay back the rent owed


- The trust loan has high leverage with an S&P Global Ratings' LTV ratio of 106.1%, based on ourvaluation. The LTV ratio based on the appraiser's as-is valuation is 64.6%. Our long-termsustainable value estimate is 39.1% lower than the appraiser's valuation, which is primarilydriven by our capitalization rate assumption of 6.75% versus the appraiser's 4.50%capitalization rate.

- The loan is interest-only for its entire 10-year term, and there will be no scheduled amortizationduring the loan term. Compared with an amortizing loan, an interest-only loan bears a higherrefinance risk because of the higher loan balance at maturity. To account for this lack ofamortization, we applied negative LTV threshold adjustments across the capital structure.

- The mortgage loan is a refinancing, and the loan proceeds paid off approximately $31.3 millionof existing debt, paid $485,945 in closing costs, funded $568,425 in performance reserve (asfurther described below), and returned approximately a minimal $52,871 of equity to thesponsors. Based on the sponsor's total cost basis of $35.1 million, there is $2.6 million of equityremaining in the property at closing.

- Although the property is in a primary market, the property was negatively impacted during theglobal pandemic. According to CoStar, the property is located in the Weeksville multifamilysubmarket of the Brooklyn neighborhood, which had a market asking rent of $2,514 per unit(compared to the property's in-place rent of approximately $2,239 per unit, as calculated byS&P Global Ratings) and an average vacancy rate of 3.6% for two-to-four-star properties as ofsecond-quarter 2021, slightly down from 4.0% in first-quarter 2021 and higher than the 3.0%vacancy rate for the overall New York multifamily market. The property's occupancy fell to a lowof 81.0% by January 2021 from 95.9% as of year-end 2019, but the property has rebounded to99.0% occupancy with 97 out of 98 units leased and monthly collections approaching 2019averages by August 2021. The loan is structured with an upfront $568,425 performance reserve,which covers about six months of debt service. Six months after closing, the funds in theperformance reserve will be released upon the property maintaining a minimum of 7.0% NCFDY on an annualized basis trailing six months. We accounted for this risk by utilizing thevacancy rate of 8.0% for the residential component in our analysis.

- The property benefits from 421-a tax exemption and received a 25-year tax abatement on real



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estate taxes that terminates in 2043/2044, with 100% exemption of the project assessed valuein years one through 21. The exemption begins to phase out in 20% increments from years 22through 25. In order to maintain the 421-a benefits, the property must have at least 20% of theunits with an initial rent that does not exceed 30% of the applicable income limits. If the 421-atax abatement is not maintained for the property, the loan will be fully recourse to the borrowerand guarantor. We assumed the fully assessed real estate taxes in our analysis and added backthe net present value of the tax savings over the tax abatement's remaining term to our value,estimated at $8.2 million, and representing approximately 26.7% of our total value. We considerthe tax savings a wasting asset, whose present value will decline with each passing year. Ifrental income does not increase, or even if rental income increases but expenses orcapitalization rates increase, in such a way as to not offset the loss of yearly tax savings, ouroverall value will continue to decline.

- The loan agreement allows for property insurance coverage from one provider that is not ratedby S&P Global Ratings and is not required to be replaced with a rated provider at the end of thecurrent insurance term. We used lower LTV recovery thresholds at each rating category for thisloan to account for this risk.

- As of Sept. 1, 2021, the property is open and operating with 100.0% of tenants having paid theirfull July and August 2021 rent payments. The sole retail tenant, Seneca Village Montessori,accounting for less than 5.0% of the gross potential rent received partial rent deferral duringthe months of July 2020 through May 2021 and commenced paying full rent starting June 2021.The deferred rent is expected to be paid over the next 18 months. As of Sept. 6, 20201, the loanis not subject to any modification or forbearance requests.

8. Bardin Shopping Center

Table 21

Credit Profile

Loan no. 8 Property type Retail

Loan name Bardin Place ShoppingCenter

Subproperty type Anchored




City Arlington Sponsor Vista Property Co.


Interest-only


(2.50)


N/A



N/A


S&P Global Ratings' value (mil.$)




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Table 21



(37.1) 'AAA' SCE (%) 50.7


120 'AAA' DCE (%) 12.2




- The trust loan is a mortgage loan secured by the fee-simple interest in a 294,323-sq.-ft.anchored shopping center in Arlington, Texas, approximately 26 miles southwest of Dallas.Built in 1992 and renovated in 2014 and 2017, the property has two anchors, six major tenants,18 in-line tenants, and is shadow anchored by an adjacent WinCo Foods grocery store. Theproperty has 356 parking spaces and is located on the corner of I-20 and South Cooper Street,approximately five miles south of the Arlington CBD, 15 miles southeast of Fort Worth, and 26miles southwest of Dallas. The subject is also well-located in a major retail corridor, acrossfrom the Parks at Arlington Mall, which is anchored by a Macy's, JC Penney, and AMC Theatre.The neighborhood also includes a Walmart Supercenter, Costco, Home Depot, Kroger, andAlbertsons.

- The loan has a strong DSC of 2.46x, calculated using the loan's fixed interest rate and ourin-place NCF for the property, which is 8.1% lower than the issuer's NCF. The variance isprimarily driven by our higher vacancy rate and real estate tax assumptions.

- The property has maintained strong occupancy historically, with an average occupancy rate of98.1% since 2018. As of the May 1, 2021, rent roll, the property is 100.0% occupied with onemonth-to-month tenant that occupies 0.4% of the NRA. The property is anchored by a96,127-sq.-ft. Hobby Lobby (32.7% of total NRA; 16.7% of in-place gross rent, as calculated byS&P Global Ratings; September 2033 lease expiration) and a 40,000-sq.-ft. Ashley Furniture(13.6%; 12.7; March 2031). The third and fourth largest tenants are PGA Tour Superstore(10.2%; 9.2%; January 2031), and Ross Dress for Less ('BBB+/stable'; 8.2%; 7.7%; January2024). No other tenant represents more than 5.1% of the property NRA, or 6.2% of in-placegross rent. The location also benefits from the WinCo Foods grocery store, which, although notpart of the collateral, shares a parking lot with the subject property and reported sales of $31.2million and $37.7 million in 2019 and 2020, respectively.

- According to CoStar, the property is located in the South Arlington retail submarket, which weconsider to be a primary market. As of the second quarter of 2021, the submarket had anaverage vacancy and availability rate of 6.6% and 7.3%, respectively. This is slightly higher thanthe overall Dallas-Fort Worth retail market, which had average vacancy and availability rates of6.0% and 7.2% as of the second quarter, respectively. CoStar forecasts the submarket vacancyto remain stable over the next five years, with a five-year average vacancy of 6.6%. Thesubmarket average rents as of second-quarter 2021 were $18.28 per sq. ft. The submarket rentis 15.8% higher than the subject property's average in-place gross rent of $15.79 per sq. ft., ascalculated by S&P Global Ratings.

- We visited the subject property on Monday, June 21, 2021, and found the shopping center to be



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in good condition and the foot traffic appeared high. The property benefits from its locationnear the interchange of I-20 and South Cooper Street. The western portion of the shopping mallreceives the greatest amount of traffic due to the location of WinCo Foods and Hobby Lobby.When we visited the property, we found the southern portion of the center to be quieter than therest of the center because of the considerable distance between the grocery anchor and thein-line retail and restaurant tenants. A customer would likely have to traverse most of theshopping center to visit these other tenants, which could make the anchor tenants slightly lessof a draw to the other tenants.

- The mortgage loan benefits from Vista Property Co.'s (Vista) experienced sponsorship. Vistaspecializes in acquiring and developing retail properties and owns 45 assets totaling more than2.5 million sq. ft. of commercial real estate across Texas and Oklahoma. The loan guarantorsreport a combined net worth in excess of $204.1 million and liquidity of $27.5 million.

- As of Sept. 1, 2021, all tenants in the portfolio's properties are current on their rent paymentsand the loan is not subject to any modification or forbearance requests. It should be noted,however, that the borrower provided short term rent deferrals and/or abatements to eighttenants, with the last deferral ending in December 2020 and all deferred rent scheduled to becollected by December 2021.


- The trust loan has high leverage with a 91.3% LTV ratio, based on S&P Global Ratings'valuation. The LTV ratio based on the appraiser's as-is valuation is 57.4%. Our long-termsustainable value estimate is 37.1% lower than the appraiser's valuation. The variance is drivenby our capitalization rate assumption of 8.0% versus the appraiser's 6.0% capitalization rate.

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

- The loan is a refinancing and the loan proceeds returned approximately $1.2 million (3.7% ofthe financing) of equity to the sponsor. The remaining proceeds will be used to pay off existingdebt of $28.8 million, fund closing costs and real estate taxes of $619,782, and fund additionalreserves for outstanding gap rent, TI/LCs, and common area maintenance of $1.7 million.Based on the sponsor's cost basis of $40.2 million, $7.9 million of cash equity will remain in theportfolio at closing. The sponsor acquired the property in 2018 for approximately $40.2 million($137 per sq. ft.), along with the adjacent WinCo Foods, for a total purchase price of $45.5million. Subsequently, the sponsor invested approximately $1.0 million into the properties andsold the WinCo Foods for $9.2 million in November 2019.

- Throughout the loan term, a total of 66.9% of the NRA and 82.5% of the in-place gross rentexpires, as calculated by S&P Global Ratings. The roll is concentrated in 2024 when six leasestotaling 22.7% of the total NRA, or 24.9% of the in-place gross rent, as calculated by S&PGlobal Ratings, rolls. Additionally, it was noted by the appraiser that there is significant newconstruction in the area, making the subject property one of the older properties in the market.This risk is partially mitigated by on-going annual reserves for TI/LCs of $191,310. Weaccounted for this risk by increasing our capitalization rate to 8.0%.

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

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



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conclusive and reliable than unaudited statements.

- The mortgage loan is structured with a hard springing lockbox, as determined by S&P GlobalRatings, that springs into existence upon the first occurrence of an event of default, if the DSCfalls below 1.30x, or the anchor has terminated or elected to terminate its space, declaredbankruptcy or goes dark. There are also ongoing reserves for taxes, insurance, capitalexpenditures, and leasing expenses.

9. 384-390 Fulton Street

Table 22

Credit Profile

Loan no. 9 Property type Mixed Use

Loan name 384-390 FultonStreet

Subproperty type Office/Retail




City Brooklyn Sponsor Sutton Management

State NY S&P Global Ratings' amortizationcategory

Interest-only


(2.50)


N/A



N/A




(48.2) 'AAA' SCE (%) 64.6


881 'AAA' DCE (%) 40.6

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



- The trust loan is a mortgage loan secured by the fee-simple interest in a four-story,29,904-sq.-ft. mixed-use property, comprising of 18,500 sq. ft. of office space and 11,404 sq. ft.of retail space, located within the Downtown Brooklyn submarket of New York City. Theproperty was built in 1925 and last renovated in 2014.

- The loan has a moderate DSC of 1.51x, calculated using the loan's fixed interest rate and ourin-place NCF for the property, which is 19.2% lower than the issuer's NCF, a variance driven by



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our vacancy and TI/LC assumptions.

- The property is located in a primary market. Primary markets generally have higher barriers toentry than secondary and tertiary markets. The property is located within the DowntownBrooklyn submarket according to CoStar. According to CoStar, the submarket has a retailvacancy rate of 5.5%, with asking rents of $91.72 per sq. ft., and an office vacancy rate of 16.9%with asking rents of $48.17 per sq. ft. as of September 2021. The office tenants at the propertypay rents that are in line with CoStar's quoted market rates. While the retail tenant at theproperty appears to be paying rents that are above market, as compared to CoStar. Theappraiser estimated that the retail rents are in line with market rates based on comparablesprovided by the appraiser due to the high visibility corner location of the retail space.

- The property is 100% occupied. The office space is occupied by two tenants, The Hope ProgramInc. and NADAP, while the retail space is solely occupied by Duane Reade. While the lease toDuane Reade expires in August 2031, which is five years after the loan maturity, the leases tothe office tenants expire in late 2024, approximately two years prior to the loan maturity. Wehave accounted for this rollover risk in our higher vacancy assumption of 9.7%.

- The loan benefits from its exposure to a high-quality, investment-grade tenant, Duane Reade.Approximately 75% of the gross rent is derived from Duane Reade, based on our calculations.The lease to Duane Reade expires five years after loan maturity, and has been at the propertysince 1987. Duane Reade is owned by Walgreens Boots Alliance Inc. ('BBB/Negative'). There areno termination options on the lease.

- The tenants demonstrated commitment to the property. As previously noted, Duane Reade hasbeen at the property since 1987. The Hope Program Inc. has been at the property since 2002and has amended their lease five previous times with extension in the lease expiration date, aswell as stable to increasing rental rates. NADAP has been at the property since 2015, occupyingthe third floor, and expanded into the then-vacant office space on the fourth floor in 2016. Itshould also be noted that rental collection rates at the property have been 100% since the startof the pandemic.

- The mortgage loan benefits from Sutton Management's experienced sponsorship, who hasowned the property for over 40 years. Sutton Management is a New York based real estatecompany with a current portfolio of office, retail, and multifamily properties in the NYC areatotaling 475,000 sq. ft. It is led by Abraham Sutton and Samuel Sutton.

- As of Sept. 15, 2021, all tenants are current on their rent payments and the loan is not subjectto any modification or forbearance requests.


- The trust loan has high leverage with a 121.5% LTV ratio, based on S&P Global Ratings'valuation. Our long-term sustainable value estimate is 48.2% lower than the appraiser'svaluation of $50.9 million. This is primarily driven by our higher vacancy assumption, as well asa higher capitalization rate of 7.50%, compared to the appraiser's capitalization rate of 4.50%.

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

- The loan is a refinancing and the loan proceeds returned approximately $9.9 million (31.0% ofthe financing) of equity to the sponsor, after paying off an existing loan on the property and



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funding various cost and reserves. Based on an as-is appraisal value of $50.9 million, $18.9million of implied equity will remain in the property at closing.

- The property exhibits tenant concentration risk as the property is 100% occupied by threetenants, two of which have leases that expire in 2024. The leases that expire in 2024 are limitedto the office tenants, The Hope Program Inc. and NADAP. While they have demonstrated theircommitment to the property via prior lease renewals as well as taking on additional spaces, inthe event the tenants vacate at the lease expiration, re-leasing of the office space may bedifficult due to the weakening office fundamentals in the submarket with vacancy rate of16.9%, as well as the older build-out of the space, which we deemed to be class B office space.We accounted for this risk in our 7.5% capitalization rate as compared to the appraiser's 4.5%capitalization rate.

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


- The borrower is structured as an SPE. However, the entity has no independent directors nordoes the loan agreement require one. To account for this structural deficiency, we appliednegative LTV threshold adjustments across the capital structure.

- The mortgage loan is structured with a hard springing lockbox, as determined by S&P GlobalRatings, that springs into existence upon the first occurrence of an event of default. Triggersinclude if the DSC falls below 1.30x, one of the major tenants has terminated or elected toterminate its space, declared bankruptcy, failed to timely renew, or reduced its square footagebeyond certain minimum thresholds. However, there are also ongoing reserves for taxes,insurance, capital expenditures, and leasing expenses.

10. ABX Industrial Portfolio

Table 23

Credit Profile

Loan no. 10 Property type Industrial

Loan name ABX IndustrialPortfolio

Subproperty type Various



2.8 Year built/renovated

City Various Sponsor New Mountain Net LeaseCorp.

State xx S&P Global Ratings' amortizationcategory

Interest-only



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Table 23




(2.50)


N/A



N/A



S&P Global Ratings' value (mil.$)



(32.5) 'AAA' SCE (%) 53.1


28 'AAA' DCE (%) 13.6




- The trust loan is a mortgage loan secured by the fee-simple interest in four warehouseindustrial properties totaling 972,499 sq. ft. The properties were built between 1963 and 2007and are located in Macedon, New York (65.5% of portfolio NRA), Homer, La. (19.1%),Rhinelander, Wis. (8.1%), and Columbus, Ga. (7.2%). The sponsor is acquiring the properties in asale-leaseback transaction with ABX Innovative Packaging Solutions (ABX), which justpurchased three of the four properties in an acquisition. Combined, ABX and the previous ownerinvested approximately $28.2 million ($29.00 per sq. ft.) into the properties between 2016 and2020 and is planning to invest another $30.6 million ($31.47 per sq. ft.) over the next three yearsinto capital improvements and machinery. All four warehouses are rail-served and housespecific infrastructure to transport resin, incinerators, cooling towers, and state-of-the-artprinting and bag-making equipment.

- The trust loan has a strong DSC of 2.68x, calculated using the loan's fixed interest rate and ourin-place NCF for the property, which is 18.5% lower than the issuer's NCF. The haircut is drivenby the higher vacancy rate and tenant improvement assumptions in our analysis.

- The mortgage loan is an acquisition and the sponsor contributed $14.5 million of equity as partof the $40.5 million all-in acquisition costs (35.8% of the acquisition costs).

- The trust loan is facilitating the sale-leaseback of the four properties from ABX, which recentlyacquired three of the four facilities through an acquisition of Berrys Plastics in November 2020.The facility in Rhinelander was owned by ABX prior to the aforementioned acquisition of Berry'sPlastics. Each property is 100.0% leased to ABX under four newly executed 20-year NNN leasesthrough September 2041. The leases contain 2.0% annual rent escalations and no terminationoptions. ABX is one of the top 10 packaging manufacturers in North America, headquartered inCharlotte, N.C. Their key markets are consumer goods, food and beverage, personal care, andmedical. In 2020, the company achieved $236.8 million in sales and $30.8 million in EBITDAR, a



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13.0% margin. The firm has a stable and diversified customer base with the top customer,Kimberly Clark, representing about 13.0% of total sales. The warehouse in Macedon services allof the Kimberly Clark business, which just renewed their contract with ABX. No other customerrepresents more than 3.0% of revenue.

- The mortgage loan benefits from New Mountain Net Lease Corp.'s experienced sponsorship. Itis an affiliate of New Mountain Finance Corp., an investment firm that manages private andpublic equity as well as credit capital with over $30.0 billion in assets under management. NewMountain Finance Corp. and its affiliates own more than 10.5 million sq. ft. or $805.0 million ofcommercial real estate and has over 22 years of experience.

- As of Sept. 15, 2021, the sole tenant in the portfolio's properties is current on their rentpayments, and the loan is not subject to any modification or forbearance requests.


- The trust loan has high leverage with a 96.0% LTV ratio, based on S&P Global Ratings'valuation. The LTV ratio based on the appraiser's as-is valuation is 64.9%. Our long-termsustainable value estimate is 32.5% lower than the appraiser's valuation. The variance ismainly driven by our higher vacancy and capitalization rates of 10.0% and 8.0%, respectively.This compares to the appraiser's vacancy rate of 0.0% and weighted-average capitalizationrate of 7.09%.

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

- The loan is exposed to single tenant concentration risk as the properties are all 100.0%occupied by ABX through September 2041. ABX has demonstrated commitment to theproperties as they recently purchased them via an acquisition of Berry's Plastics tocomplement their business. ABX obtained a total of six facilities in the acquisition. ABX has alsocommitted their own capital into renovating the properties and plans to invest another $30.6million ($31.47 per sq. ft.) over the next three years. The facilities are mission-critical to ABX'sbusiness. Additionally, the loan is structured with a cash flow sweep should ABX terminatetheir lease early, go dark at more than 50.0% of any individual property or 25.0% of the portfolioin aggregate. We utilized a 10.0% vacancy rate in our analysis to account for this risk.

- All four properties are located in submarkets that we consider tertiary markets. According toCoStar, the Macedon property is located in the Wayne County manufacturing submarket withinthe Rochester – NY market. The submarket has about 7.4 million sq. ft. of industrial space intotal. As of the second quarter of 2021, the submarket had vacancy and availability rates of11.4% and 13.8%, respectively, and an average gross rent of $5.15 per sq. ft. The Columbusproperty is located in the CBD manufacturing CoStar submarket within the Columbus – GAmarket. The submarket only contains approximately 1.5 million sq. ft. of industrial space. As ofthe second quarter of 2021, the submarket had vacancy and availability rates of 0.7% and5.3%, respectively, and an average gross rent of $4.41 per sq. ft. The other two properties, inHomer and Rhinelander, both did not have any CoStar data available due to the small nature ofthe submarkets. However, the appraiser found the Shreveport, La. MSA to have a currentoccupancy of 14.4% and trailing three- and five-year vacancy rates of 11.2% and 14.9%,respectively. Additionally, the appraiser's concluded gross market rent was $2.80 per sq. ft. Asfor Rhinelander, the appraiser found the Oneida County current vacancy rate to be 0.0% withtrailing three- and five-year vacancy rates of 10.0% and 0.0%, respectively. The largefluctuations are due to the low inventory in the market. The appraiser also concluded a grossmarket rent of $3.10 per sq. ft. This compares to the 0.0% vacancy and in-place gross rent on



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the portfolio of $4.08 per sq. ft., as calculated by S&P Global Ratings. We utilized a 10.0%vacancy rate in our analysis due to the single-tenant nature of the portfolio.

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


- Although the SPE borrower is structured with a non-consolidation opinion and one independentdirector, the independent director can be removed without cause with 30 days' notice.


- The mortgage loan is structured with a hard in-place lockbox and springing cash management,as determined by S&P Global Ratings, which allows the borrower to control funds until an eventof default has occurred, a DSC ratio of 2.00x is breached for one quarter, or the sole tenant hasterminated or elected to terminate its space, declared bankruptcy, or reduced its squarefootage beyond certain minimum thresholds. At that point, the borrower will be required tomaintain monthly tax and insurance escrows, replacement reserves, and TI/LC deposits. Duringa cash sweep event, all excess cash flow will be deposited into a lender-controlled account.

Appendices

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

The loan-level credit enhancement levels shown in Appendix II include the SCE and DCE for eachloan at various rating categories. The SCE assumes the loan is part of an undiversified stand-alonetransaction, while the DCE assumes the loan is part of a well-diversified transaction with aneffective loan count of at least 30. To arrive at the transaction credit enhancement levels, wecalculated the weighted average SCE and weighted average DCE at each rating category, and usedthe transaction's effective loan count of 32.2 to ascertain the final transaction creditenhancement level at each rating category relative to the upper and lower ranges established bythe weighted average SCE and DCE. These final transaction credit enhancement levels are subjectto applicable floors, including a 1% floor at the 'B' rating category, and any adjustment for overalltransaction-level considerations.



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Appendix I

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

Loanno. Property name

Propertytype

Markettype

Loanbalance

(mil. $)% ofpool

S&PGlobal

Ratings'net

cashflow

(mil. $)

Netcashflow

variance

Caprate(%)

S&PGlobalRatings'value(mil. $)

Valuevariance

(%)loan-to-value

ratio (%)

Debtservice

coverage(x)

1 SignatureOffice PortfolioII

OF T 71.500 7.8 5.485 (20.1) 7.75 68.904 (39.0) 103.8 1.40

2 One SohoSquare

OF P 51.823 5.6 4.557 (34.7) 6.50 62.338 (58.1) 83.1 3.19

3 InlandWentworthSelf StoragePortfolio

SS T 51.050 5.5 4.062 (11.7) 8.24 49.291 (53.4) 103.6 2.66

4 SuperstitionGateway

RT S 47.125 5.1 3.970 (10.2) 8.00 49.631 (27.9) 95.0 1.54

5 HavenwoodOffice Park

OF P 44.937 4.9 3.535 (8.6) 7.50 46.465 (33.3) 96.7 1.76

6 Helios Plaza OF P 40.000 4.3 2.471 (32.2) 7.50 35.077 (43.8) 114.0 2.10

7 12-24 FordStreet

MF P 32.500 3.5 1.887 (18.3) 6.75 30.622 (39.1) 106.1 1.64

8 Bardin PlaceShoppingCenter

RT P 32.300 3.5 2.832 (8.1) 8.00 35.396 (37.1) 91.3 2.46

9 384-390Fulton Street

MU P 32.000 3.5 1.920 (19.2) 7.50 26.341 (48.2) 121.5 1.51

10 ABX IndustrialPortfolio

IN T 26.000 2.8 2.166 (18.5) 8.00 27.077 (32.5) 96.0 2.68

11 Los ArcosApartments

MF P 24.950 2.7 2.055 (11.7) 7.00 29.353 (30.6) 85.0 2.58

12 Lower EastSideMultifamilyPortfolio

MF P 23.500 2.6 1.408 (6.4) 6.75 20.854 (38.7) 112.7 1.54

13 New BraunfelsMarket Place

RT T 23.400 2.5 2.989 (6.0) 9.50 31.468 (33.0) 74.4 3.97

14 Fairway RetailCenter

RT P 17.033 1.8 1.417 (11.4) 8.25 17.180 (30.3) 99.1 1.54

15 VictoryWinn-DixiePortfolio

RT T 16.166 1.8 1.388 (9.2) 9.50 14.613 (35.9) 110.6 1.51

16 Cabela's KC RT S 15.675 1.7 1.425 (14.8) 8.00 17.815 (38.6) 88.0 1.62

17 Bushwick &RidgewoodMulti Portfolio

MF T 15.600 1.7 1.019 (9.9) 7.00 14.861 (38.2) 105.0 1.65

18 Mosaic MF S 15.000 1.6 1.135 (5.5) 7.00 14.765 (52.4) 101.6 2.30



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Appendix I (cont.)



Propertytype

Markettype

Loanbalance

(mil. $)% ofpool

S&PGlobal

Ratings'net

cashflow

(mil. $)

Netcashflow

variance

Caprate(%)


Valuevariance

(%)loan-to-value

ratio (%)

Debtservice

coverage(x)

19 BJ's WholesaleClub

RT T 14.850 1.6 1.203 (7.5) 8.00 14.451 (41.5) 102.8 2.17

20 714 MadisonAvenue

RT P 14.500 1.6 0.919 (43.1) 7.00 16.923 (56.0) 85.7 2.19

21 Barlow Plaza RT T 13.930 1.5 1.127 (3.6) 8.50 13.258 (34.7) 105.1 1.51

22 225-235 West146th Street

MF P 13.750 1.5 0.940 (10.3) 6.75 13.923 (32.4) 98.8 2.04

23 Columbus &Indy Industrial

IN T 13.477 1.5 1.084 (18.8) 8.25 13.136 (41.6) 102.6 1.60

24 West ParkPromenade

RT T 13.000 1.4 1.211 (19.9) 8.50 14.250 (39.1) 91.2 2.68

25 BeardsleyBuilding

OF T 12.500 1.4 1.021 (17.4) 9.00 10.899 (41.1) 114.7 2.40

26 Freedom SelfStorage

SS T 11.700 1.3 0.969 (3.9) 8.50 11.404 (44.4) 102.6 2.29

27 Main StreetSouth Fulton

RT P 11.350 1.2 0.942 (10.9) 8.25 11.419 (30.8) 99.4 1.55

28 NC SelfStoragePortfolio

SS T 10.725 1.2 0.846 (10.0) 8.50 9.951 (40.8) 107.8 2.05

29 Clima SecurSelf Storage

SS T 10.700 1.2 0.748 (18.6) 8.50 8.805 (43.9) 121.5 1.23

30 SouthlandPlaza

RT P 10.700 1.2 1.555 (10.9) 7.25 21.453 (34.6) 49.9 5.64

31 Viera VillageShoppingCenter

RT T 10.483 1.1 0.964 (10.9) 7.75 12.436 (27.3) 84.3 1.75

32 Fresenius -Queens

OF P 9.839 1.1 0.627 (15.2) 8.00 7.839 (44.4) 125.5 1.67

33 Hale OfficePortfolio

OF T 9.800 1.1 0.888 (15.3) 8.75 10.148 (45.5) 96.6 2.48

34 370 South 4thStreet

MF P 9.750 1.1 0.632 (17.1) 6.86 9.290 (33.2) 104.9 1.22

35 Texas MHPPortfolio

MH T 9.750 1.1 0.932 (7.8) 8.00 11.650 (46.1) 83.7 1.82

36 DynamicsOffice

OF S 9.076 1.0 0.725 (15.3) 8.00 9.058 (25.1) 100.2 1.33

37 Maricopa SelfStorage

SS T 9.000 1.0 0.930 (12.3) 8.50 10.937 (42.9) 82.3 3.57



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Appendix I (cont.)



Propertytype

Markettype

Loanbalance

(mil. $)% ofpool

S&PGlobal

Ratings'net

cashflow

(mil. $)

Netcashflow

variance

Caprate(%)


Valuevariance

(%)loan-to-value

ratio (%)

Debtservice

coverage(x)

38 Fairfield Inn &Suites -Crestview

LO T 7.793 0.8 0.782 (47.2) 10.25 7.630 (35.3) 102.1 1.65

39 Danielle’sCanalIndustrial

IN S 7.780 0.8 0.654 (18.6) 8.00 8.180 (38.8) 95.1 2.24

40 Holiday InnExpress &Suites Banning

LO Var 7.700 0.8 0.854 (25.2) 10.25 7.547 (39.6) 102.0 2.00

41 GreenhouseShops

RT S 7.000 0.8 0.706 (10.9) 8.00 8.822 (24.6) 79.4 3.06

42 Rego Park RT P 7.000 0.8 1.182 (10.9) 7.50 15.765 (54.8) 44.4 3.21

43 OxfordPortfolio

MF T 6.989 0.8 0.540 (8.8) 7.00 7.709 (37.3) 90.7 1.47

44 WoodlandCreek

MF T 6.900 0.7 0.481 (8.8) 7.00 6.876 (34.7) 100.4 1.18

45 903 Sheridan MU P 6.590 0.7 0.474 (18.5) 7.50 6.321 (48.0) 104.3 1.29

46 Classon WilsonPortfolio

MF T 6.300 0.7 0.413 (8.8) 7.00 5.897 (39.2) 106.8 1.71

47 629 BroadStreet

MU T 5.600 0.6 0.431 (22.6) 9.00 4.793 (51.6) 116.8 1.21

48 Metro SelfStorage

SS S 5.490 0.6 0.740 (11.3) 8.25 8.973 (41.5) 61.2 2.78

49 Shoppes atLake Mary

RT S 5.400 0.6 0.481 (10.9) 8.00 6.018 (28.7) 89.7 1.89

50 Waring Park MU S 5.300 0.6 0.453 (20.1) 8.09 5.607 (39.1) 94.5 2.43

51 Food LionLuck’s Lane

RT S 5.000 0.5 0.424 (10.9) 7.25 5.846 (31.5) 85.5 1.52

52 Lakewood RVResort

MH T 4.925 0.5 0.429 (21.1) 9.00 4.765 (46.5) 103.4 1.56

53 AlbanyCrossroads

RT T 4.400 0.5 0.372 (10.9) 8.25 4.512 (23.5) 97.5 1.47

54 1625 ForestAvenue

OF P 4.000 0.4 0.595 (15.3) 10.00 5.945 (49.6) 67.3 4.81

55 EmpireSelf-Storage

SS T 4.000 0.4 0.600 (11.3) 8.50 7.059 (46.9) 56.7 5.19

56 WalgreensLake Station

RT S 3.760 0.4 0.258 (10.9) 7.25 3.554 (39.8) 105.8 1.23

57 The Alexis MU T 3.575 0.4 0.287 (20.1) 8.80 3.260 (40.7) 109.7 1.41

58 Willow MHP MH T 2.375 0.3 0.175 (14.5) 8.00 2.185 (37.6) 108.7 1.29



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Appendix I (cont.)



Propertytype

Markettype

Loanbalance

(mil. $)% ofpool

S&PGlobal

Ratings'net

cashflow

(mil. $)

Netcashflow

variance

Caprate(%)


Valuevariance

(%)loan-to-value

ratio (%)

Debtservice

coverage(x)

59 109 NorthAvenue 56

OF P 2.100 0.2 0.166 (15.3) 8.00 2.075 (46.4) 101.2 1.79

60 LombardShoppingCenter

RT P 1.775 0.2 0.151 (10.9) 10.00 1.508 (42.5) 117.7 1.25


- - 921.191 100.0 75.632 (15.8) 7.82 - (40.1) 98.1 2.11

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

Appendix II

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

AAA AA A

Loanno. Property name Loan balance ($)

'AAA'DF

'BBB'DF SCE DCE SCE DCE SCE DCE

1 Signature Office PortfolioII

71,500,000 59.4 47.3 57.8 34.3 50.6 28.0 43.4 22.3

2 One Soho Square 51,823,204 21.9 17.2 49.2 10.8 40.2 8.1 31.1 5.9

3 Inland Wentworth SelfStorage Portfolio

51,050,000 28.2 22.2 55.6 15.7 48.3 12.7 41.1 9.9

4 Superstition Gateway 47,125,000 45.2 35.8 51.3 23.2 43.4 18.2 35.5 13.8

5 Havenwood Office Park 44,936,586 35.1 27.8 50.9 17.9 43.1 14.1 35.4 10.7

6 Helios Plaza 40,000,000 31.7 25.0 61.4 19.8 54.8 19.8 48.3 19.8

7 12-24 Ford Street 32,500,000 45.3 35.9 57.1 25.9 49.1 20.7 41.1 16.1

8 Bardin Place ShoppingCenter

32,300,000 24.1 19.0 50.7 12.2 42.5 9.5 34.2 7.1

9 384-390 Fulton Street 32,000,000 62.9 50.2 64.6 40.6 58.4 34.3 52.3 28.5

10 ABX Industrial Portfolio 26,000,000 25.6 20.2 53.1 13.6 45.3 10.8 37.5 8.2

11 Los Arcos Apartments 24,950,000 22.5 17.6 46.5 10.4 36.5 7.5 26.5 5.1

12 Lower East SideMultifamily Portfolio

23,500,000 55.5 44.2 57.8 32.1 50.3 26.0 42.8 20.5

13 New Braunfels MarketPlace

23,400,000 19.7 15.4 44.9 8.8 34.8 6.3 24.7 4.2

14 Fairway Retail Center 17,033,151 47.3 37.5 52.1 24.6 44.5 19.6 37.0 15.1

15 Victory Winn-DixiePortfolio

16,166,465 56.2 44.8 57.1 32.1 50.3 26.3 43.5 21.1



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Appendix II (cont.)


AAA AA A


'AAA'DF


16 Cabela's KC 15,675,000 37.7 29.8 49.7 18.7 41.2 14.4 32.7 10.6

17 Bushwick & RidgewoodMulti Portfolio

15,600,000 44.3 35.1 54.7 24.2 46.7 19.2 38.6 14.7

18 Mosaic 15,000,000 27.5 21.7 53.2 14.6 44.9 11.5 36.5 8.9

19 BJ's Wholesale Club 14,850,000 27.8 21.9 58.6 16.3 51.3 13.3 44.0 12.4

20 714 Madison Avenue 14,499,999 22.7 17.9 47.5 10.8 38.7 8.1 30.0 5.8

21 Barlow Plaza 13,930,000 52.6 41.8 56.0 29.4 48.8 23.9 41.7 18.9

22 225-235 West 146thStreet

13,750,000 26.5 20.9 51.9 13.8 43.3 10.7 34.7 7.9

23 Columbus & IndyIndustrial

13,476,634 46.0 36.5 53.7 24.7 46.4 19.8 39.1 15.5

24 West Park Promenade 13,000,000 24.1 19.0 50.7 12.2 42.5 9.5 34.2 7.1

25 Beardsley Building 12,500,000 32.1 25.3 60.8 19.5 54.2 19.3 47.7 19.3

26 Freedom Self Storage 11,700,000 27.8 21.9 56.1 15.6 48.8 12.6 41.5 9.9

27 Main Street South Fulton 11,350,000 46.7 37.1 52.2 24.4 44.7 19.4 37.1 15.0

28 NC Self Storage Portfolio 10,725,000 29.5 23.3 58.2 17.2 51.3 14.2 44.3 14.2

29 Clima Secur Self Storage 10,700,000 88.1 71.1 61.9 54.6 55.8 45.9 49.6 38.1

30 Southland Plaza 10,700,000 14.7 11.6 9.8 1.4 - - - -

31 Viera Village ShoppingCenter

10,482,890 30.5 24.1 43.6 13.3 34.8 9.8 25.9 6.8

32 Fresenius - Queens 9,839,130 54.9 43.7 64.1 35.2 58.2 29.8 52.2 26.3

33 Hale Office Portfolio 9,800,000 25.9 20.4 53.4 13.8 45.6 11.0 37.9 8.4

34 370 South 4th Street 9,750,000 74.3 59.6 53.5 39.8 45.4 31.4 37.4 24.1

35 Texas MHP Portfolio 9,750,000 27.9 22.0 41.8 11.7 31.6 8.1 21.4 5.1

36 Dynamics Office 9,076,385 61.7 49.3 52.6 32.5 45.1 25.9 37.6 20.1

37 Maricopa Self Storage 9,000,000 21.7 17.0 47.7 10.3 38.6 7.7 29.5 5.5

38 Fairfield Inn & Suites -Crestview

7,793,265 42.7 33.9 65.7 28.1 57.4 22.7 49.1 18.1

39 Danielle’s CanalIndustrial

7,780,000 25.3 19.9 52.7 13.3 44.8 10.5 36.9 8.0

40 Holiday Inn Express &Suites Banning

7,700,000 27.5 21.7 65.7 18.1 57.4 14.6 49.0 11.6

41 Greenhouse Shops 7,000,000 20.9 16.4 43.3 9.0 33.8 6.5 24.4 4.4

42 Rego Park 7,000,000 13.7 10.7 - - - - - -

43 Oxford Portfolio 6,988,593 47.0 37.3 44.8 21.1 35.5 15.4 26.1 10.6

44 Woodland Creek 6,900,000 73.7 59.1 50.2 37.0 41.7 28.5 33.2 21.3

45 903 Sheridan 6,590,075 67.7 54.1 54.4 36.8 47.2 29.8 40.1 23.5



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Appendix II (cont.)


AAA AA A


'AAA'DF


46 Classon Wilson Portfolio 6,300,000 42.0 33.3 55.5 23.3 47.6 18.6 39.6 14.3

47 629 Broad Street 5,600,000 85.5 68.9 60.4 51.6 54.0 43.1 47.6 35.4

48 Metro Self Storage 5,489,983 16.8 13.2 25.6 4.3 13.4 1.6 1.1 0.2

49 Shoppes at Lake Mary 5,400,000 27.4 21.6 49.9 13.7 41.5 10.5 33.1 7.8

50 Waring Park 5,300,000 25.3 19.9 52.4 13.3 44.5 10.4 36.5 7.9

51 Food Lion Luck’s Lane 5,000,000 41.7 33.1 45.9 19.2 37.2 14.4 28.4 10.2

52 Lakewood RV Resort 4,925,000 48.3 38.4 52.8 25.5 44.6 20.0 36.4 15.2

53 Albany Crossroads 4,400,000 51.0 40.5 51.3 26.1 43.6 20.6 35.9 15.8

54 1625 Forest Avenue 4,000,000 18.1 14.2 33.1 6.0 22.0 3.6 10.8 1.7

55 Empire Self-Storage 4,000,000 16.0 12.6 20.6 3.3 7.4 0.7 - -

56 Walgreens Lake Station 3,760,000 74.2 59.5 55.1 40.9 48.0 33.2 40.9 26.4

57 The Alexis 3,575,000 62.7 50.1 57.8 36.3 51.0 29.8 44.1 24.0

58 Willow MHP 2,375,000 71.5 57.3 55.2 39.4 47.3 31.4 39.5 24.5

59 109 North Avenue 56 2,100,000 35.5 28.0 55.5 19.7 48.1 15.8 40.7 12.4

60 Lombard ShoppingCenter

1,775,000 82.5 66.4 59.7 49.2 53.3 41.0 46.9 33.7

Total/weighted average 921,191,360 38.9 30.9 52.7 21.3 44.8 17.2 37.1 13.7

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

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

- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk InStructured Finance Transactions, Oct. 9, 2014

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

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



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

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

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Morgan Stanley Capital I Trust 2021-L7