Arroyo Mortgage Trust 2021-1R

Presale:

Arroyo Mortgage Trust 2021-1RJune 24, 2021

Preliminary Ratings

Class Rating(i) Amount ($)Interest rate

(%)(ii)Credit enhancement

(%)(iii) Class type

A-1 AAA (sf) 342,904,000 Fixed 15.60 Senior

A-2 AA+ (sf) 27,628,000 Fixed 8.80 Senior

A-3 AA (sf) 20,923,000 Fixed 3.65 Senior

M-1 BBB (sf) 11,376,000 Fixed 0.85 Mezzanine

B-1 BB (sf) 1,829,000 Fixed 0.40 Subordinate

B-2 B (sf) 812,000 Net WAC 0.20 Subordinate

B-3 NR 813,236 Net WAC 0.00 Subordinate

A-IO-S NR Notional(iv) (v) N/A Excess servicing

XS NR Notional(iv) (vi) N/A Monthly excess cash flow/prepayment premiums

R NR N/A N/A N/A Residual

Note: This presale report is based on information as of June 24, 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 asevidence of final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. (i)The preliminary ratings assignedto the classes address the ultimate payment of interest and principal. (ii)Interest can be deferred on the classes. (iii)This credit enhancementis solely from subordination. Excess spread also provides credit enhancement. (iv)Notional amount will equal the aggregate stated principalbalance of the mortgage loans as of the first day of the related due period. (v)Excess servicing strip. (vi)Receives certain excess amounts,which include prepayment premiums. N/A--Not applicable. NR--Not rated.

Profile

Expected closing date June 29, 2021.

Cut-off date June 1, 2021.

Distribution date The 25th of each month, or the next business day, beginning July 25, 2021.

Stated maturity date Oct. 28, 2048.

Note balance, includingunrated classes

$406.29 million in aggregate.

Collateral type Seasoned, first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans toboth prime and nonprime borrowers (some with interest-only periods) secured bysingle-family residential properties, planned-unit developments, condominiums, and two- tofour-family residential properties. The majority of the loans are non-qualified mortgage loans.

Presale:

Arroyo Mortgage Trust 2021-1RJune 24, 2021

PRIMARY CREDIT ANALYST

Julian He, CFA

New York

+ 1 (212) 438 8154

[email protected]

SECONDARY CONTACTS

Kimball Ng

New York

+1 212-438-2250

[email protected]

Michael J Graffeo

New York

+ 1 (212) 438 2680

[email protected]

ANALYTICAL MANAGER

Vanessa Purwin

New York

+ 1 (212) 438 0455

[email protected]

www.standardandpoors.com June 24, 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.

2678864

mailto: [email protected]








Profile (cont.)

Credit enhancement For each class of rated notes, subordination in the form of notes that are lower in paymentpriority as well as excess spread and excess servicing fees that preserves subordination.

Participants

Issuer Arroyo Mortgage Trust 2021-1R.

Sponsor, depositor, andadministrator

Arroyo Mortgage Acquisition Co. I LLC.

Seller Western Asset Opportunity Fund L.P.

Purchasers Revolving Mortgage Investment Trust REMIT 2015-1QA2 and Revolving MortgageInvestment Trust REMIT 2018-RNA.

Master servicer Nationstar Mortgage LLC.

Paying agent Citibank N.A.

Indenture trustee Citibank N.A.

Owner trustee Wilmington Savings Fund Society FSB.

Custodians The Bank of New York Mellon Trust Co. N.A. and U.S. Bank N.A.

Servicers AmWest Funding Corp, Metro City Bank, East West Bank, Axos Bank, Select PortfolioServicing Inc., and JMAC Lending Inc.

Originators AmWest Funding Corp., Metro City Bank, East West Bank, Axos Bank, City NationalBank, and JMAC Lending Inc.

Originators

Entity By balance (%) Due diligence (%)(i) Originator ranking

AmWest Funding Corp. 40.8 100 N/A

Metro City Bank 25.9 100 N/A

East West Bank 25.8 100 N/A

Axos Bank 4.8 100 N/A

City National Bank 2.6 100 N/A

JMAC Lending Inc. 0.2 100 N/A

(i)Portion of originator's balance. 479 loans were not reviewed for property valuation. N/A--Not applicable.

Servicers

Entity By balance (%) S&P Global Ratings' select servicer Operation

AmWest Funding Corp. 40.8 No Primary Servicer

Metro City Bank 25.9 No Primary Servicer

East West Bank 25.8 No Primary Servicer

Axos Bank 4.8 No Primary Servicer

Select Portfolio Servicing Inc. 2.6 Yes Primary Servicer

JMAC Lending Inc. 0.2 No Primary Servicer



2678864

Presale: Arroyo Mortgage Trust 2021-1R

Servicers (cont.)

Entity By balance (%) S&P Global Ratings' select servicer Operation

Nationstar Mortgage LLC 100.0 Yes Master Servicer

Rationale

The preliminary ratings assigned to Arroyo Mortgage Trust 2021-1R's (ARRW 2021-1R)mortgage-backed notes reflect our view of:

- The pool's collateral composition (see the Collateral Summary section below);

- The transaction's credit enhancement;

- The transaction's associated structural mechanics;

- The transaction's representation and warranty (R&W) framework;

- The geographic concentration;

- The mortgage aggregator, Western Asset Management Co. LLC (Western Asset) as investmentmanager for Western Asset Opportunity Fund L.P.; and

- The impact that the economic stress brought on by the COVID-19 virus is likely to have on theperformance of the mortgage borrowers in the pool (for additional information see "EconomicOutlook U.S. Q2 2021: Let The Good Times Roll," published March 24, 2021) and liquidityavailable in the transaction.

S&P Global Ratings believes there remains high, albeit moderating, uncertainty about theevolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping upand rollouts are gathering pace around the world. Widespread immunization, which will help pavethe way for a return to more normal levels of social and economic activity, looks to be achievableby most developed economies by the end of the third quarter. However, some emerging marketsmay only be able to achieve widespread immunization by year-end or later. We use theseassumptions about vaccine timing in assessing the economic and credit implications associatedwith the pandemic (see our research at www.spglobal.com/ratings). As the situation evolves, wewill update our assumptions and estimates accordingly.

Environmental, Social, And Governance (ESG)

Our rating analysis considers a transaction's potential exposure to ESG credit factors. Forresidential mortgage-backed securities (RMBS), we view the exposure to environmental creditfactors as average, social credit factors as above average, and governance credit factors as belowaverage (see "ESG Industry Report Card: Residential Mortgage-Backed Securities," publishedMarch 31, 2021). In our view, the transaction's exposure to social credit factors is in line with thesector benchmark. For RMBS, we generally consider social credit factors as above averagebecause housing is viewed as one of the most basic human needs, and conduct risk presents adirect social exposure for lenders and servicers because regulators are increasingly focused onensuring fair treatment of borrowers. Social risk is generally factored into our base-caseassumptions for RMBS transactions based on our consideration of the origination platforms, theR&W framework, and the third-party due diligence that informs our view of credit underwritingand compliance with applicable consumer protections.



2678864


In our view, the subject transaction has a relatively higher exposure to governance andenvironmental credit factors than our sector benchmark. The collateral backing the notes hasrelatively higher geographic concentration risk based on loans in each of the core-basedstatistical areas (CBSAs). Although geographic risk exposure may exist due to economicconcentrations or lack of diversification thereof, geographic concentration may also expose atransaction to physical climate risks such as floods, storms, or wildfires, which could severelydamage properties and reduce their value, impacting recoveries if borrowers default, whereaswell-diversified portfolios reduce exposure to extreme whether events. In our view, certain otherfeatures provide mitigants to environmental exposures such as requirements for homeowners orflood insurance.

The transaction's governance risk exposure is higher than our benchmark due to certain limitsrelated to the representations and warranties (R&Ws) framework. By applying certain geographicand R&W pool-level adjustment factors to the transaction, we have accounted for risk related toESG credit factors. Certain other features also provide mitigants to the transaction's governanceand geographic risk exposures including the fact that 100% of the loans in the pool were subjectto a third-party due diligence review (see the Third-Party Due Diligence section for more detail).

Overview

ARRW 2021-1R is Western Asset Management Co.'s (WAMCO's) sixth non-qualified mortgage(non-QM) RMBS transaction. The collateral pool is stronger than most nonprime pools we haverated. Relative to other nonprime borrowers, those underlying this transaction had higher FICOscores and made larger down payments on their homes. Many loans were originated by depositorybanking institutions to borrowers for which there was an ongoing banking relationship. Thistransaction is predominantly backed by seasoned collateral that has been previously securitizedin prior Arroyo transactions.

Noteworthy Features

Seasoned loans

The Arroyo 2021-1R pool consists primarily of seasoned loans previously securitized in Arroyo2018-1. The weighted average seasoning for the pool is approximately 61 months. Based on theseasoning months of each loan in the pool, we adjust its foreclosure frequency downward byphasing out the documentation type adjustment (after two years) and applying our generalseasoning credit (after five years).

Loans in forbearance

On March 27, 2020, the CARES Act enacted COVID-19-related relief for borrowers withgovernment-backed mortgage loans in the form of a temporary forbearance of up to 12 months ofscheduled payments. While non-agency loans do not fall under the CARES Act as it relates to thisforbearance, servicers have been granting forbearance plans to non-agency borrowers as well,typically with some variations to those of the CARES Act (e.g., timeframe, approval requirements).The updates we made on April 17, 2020, to our mortgage outlook and corresponding archetypalforeclosure frequency levels (see "Guidance: Methodology And Assumptions For Rating U.S. RMBSIssued 2009 And Later," published April 17, 2020) account for a portion of the borrowers entering



2678864


COVID-19-related temporary forbearance plans and their impact to the overall credit quality ofcollateralized pools. To the extent a securitization pool exhibits growth levels in forbearance overtime beyond those otherwise expected, additional adjustments may be applied.

To differentiate the credit quality of securitization pools with varying percentages of loans inactive (or recently completed) forbearance or deferment due to the outbreak of the COVID-19 atthe time of issuance, we increased loss coverage levels to account for the potential incrementalrisk. Given our current expectations for temporary forbearance or deferment plans and our marketoutlook, we view the credit quality of a mortgagor on a forbearance or deferment plan as weakerthan one with a current loan but potentially stronger than one with a 30-day delinquent loan thatexhibits payment issues in a normal macroeconomic environment. Our view considers the fact thatforbearance or deferment may have been utilized by some borrowers who could have otherwisemade the payment due, or the forbearance may be related to a temporary furlough or loss ofincome. The adjustment factors we apply to 30- and 60-day delinquent loans are 2.5x and 5.0x,respectively.

As of June 15, 2021, 170 mortgage loans (approximately 21.3% of the pool balance) haveborrowers who have received some level of temporary forbearance and/or deferral from theservicer due to the outbreak of the COVID-19 pandemic. These include 56 loans where theborrowers have completed their forbearance plans and deferment was granted, seven loanswhere the borrower is active in their repayment plan, and 106 loans where the borrowers havecompleted their forbearance plans and have either continued to make full monthly payments dueduring the forbearance period or repaid the forborne amounts in full. For these 169 loans, weapplied a forbearance-related adjustment factor of 1.00x-1.75x, and if the loan exhibiteddelinquency outside of the forbearance period, a delinquency foreclosure frequency-relatedadjustment factor of 1.50x-5.00x, as listed in our criteria. The remaining one loan is in an activeforbearance plan and will begin their repayment plan next month, for which we applied aforbearance-related adjustment factor of 2.0x. Seven loans in the pool, representing 1.5% of thepool balance, were modified, including three that have already received forbearance where thedeferment amounts were capitalized. We considered these in our overall forbearance-relatedadjustment factor. In summary, we applied an overall adjustment factor of 1.10x at the pool level.

When deriving these factors, we considered aspects such as the seasoning of the loans andforbearance plans, payment patterns of those loans before and throughout the forbearance plan,the various stages of forbearance or deferment (see table 1). We also considered our generalexpectations for additional forbearance and deferment from now until securitization closing.

Table 1

Forbearance/Deferment Status

Loan count (no.) % by balance

Never received forbearance or deferment 1,064 78.7

Completed forbearance plan--no missed payments 7 0.6

Completed forbearance plan--repaid past payments in full(i) 99 12.3

Completed forbearance plan and/or deferment granted(i) or active in arepayment plan

63 8.3

Active forbearance(ii) 1 0.1

(i)Includes loans that were delinquent after reinstatement. (ii)Includes loan that have completed forbearance and have not yet made a regularcontractual payment.

We will continue to monitor the credit behavior related to temporary forbearance as the situation



2678864


evolves and more performance information becomes available, and we may adjust our losscoverage levels accordingly, which could affect the ratings. For instance, if we were to change thepool-level adjustment related to the portion of the pool that has received COVID-19-relatedforbearance relief to 1.16x (which is more akin to our adjustment factors for 30-day to 60-daydelinquent loans) from 1.10x, the preliminary ratings could, in some cases, be approximately onenotch lower. We will also continue to monitor macroeconomic and housing conditions and updateour mortgage market outlook and associated archetypal foreclosure frequencies as applicable.

Pre-closing deferred amounts

As of the cut-off date, 56 loans have pre-closing deferred amounts, which are amounts deferredby the servicer prior to the cut-off date and are non-interest-bearing. The pre-closing deferredamounts (which are not part of the pool's stated principal balance) total about $806,538(approximately 0.20% of the closing interest-bearing pool balance). This amount is much like asecond lien and reduces the effective borrower equity in the home. As such, we believe it canaffect the borrower's willingness to pay, and we considered it in our foreclosure frequencyanalysis. The pre-closing deferred amounts are subordinate to interest-bearing principal withrespect to liquidation proceeds, so we did not consider them in our loss severity analysis but didaccount for the missed interest during the liquidation period in our cash flow analysis. Thepre-closing deferred amounts are not part of the pool's stated principal balances, and anypre-closing deferred amounts received will be distributed only to the class XS notes and will notbe available for payment to any other class of notes (see Structural Features section for details).

Geographic concentration in California

The top five CBSAs (four in California and one in the New York-New Jersey metropolitan area)account for roughly 73.5% of the aggregate pool. The Los Angeles, Riverside, and Anaheim CBSAsaccount for 46.3% of the pool balance, and the state of California accounts for 61.7%. We applieda 1.32x adjustment factor to the loss coverages because of this elevated geographic concentrationin specific CBSAs.

Collateral Summary

ARRW 2021-1R's assets consist primarily of seasoned fixed-rate, one-, three-, five-, seven- and10-year adjustable-rate, fully amortizing non-qualified mortgage (non-QM), and ability-to-repay(ATR) exempt loans secured by first liens on residential properties (the mortgage loans). Themortgage pool consists of 1,234 mortgage loans with a principal balance of approximately $406.29million as of the cut-off date. The vast majority of the loans in the pool have 30-year original termsto maturity, and the pool's weighted average seasoning is approximately 61 months fromorigination date.

The collateral pool, from a credit perspective, is weaker than the S&P Global Ratings archetypalprime pool but is generally stronger than other nonprime residential mortgage pools. The 'AAA'loss coverage requirement for the pool was determined to be 8.15%. Certain characteristics of themortgage loans that we considered weaker than the archetypal pool in our analysis (see theStrengths And Weaknesses section) include:

- COVID-19 pandemic-related forbearance for some loans;

- Alternative and other income documentation;



2678864


- Occupancy type;

- Property type;

- Loan type (adjustable-rate mortgage loans, interest-only features);

- Non-QM status on most loans; and

- Geographic concentration.

The mortgage pool has a weighted average current combined loan-to-value (CLTV) ratio of 51.2%.The weighted average current FICO score for the collateral pool is 735, based upon certain S&PGlobal Ratings assumptions (see table 2 for a breakdown of the pool by the borrowers' FICO score).For loans made to foreign borrowers (foreign nationals and non-permanent resident aliens, about12.2% by balance), we applied a 1.5x multiple to the foreclosure frequencies. We also assumed a700 FICO for 61 foreign borrowers who lacked a credit score. Updated FICOs for primary andco-borrowers were provided and used for 1,141 loans, or 92.6% of the pool by balance.

The foreign borrowers in the pool have weighted average seasoning of over seven years andgenerally show clean paystrings. In addition, these borrowers have significant equity in theirhomes, with an average current CLTV ratio of approximately 46.1% (this estimate incorporatescertain updated property values if provided or original property values adjusted to current valuesusing our indexing methodology). We assumed a score of 700 for 61 foreign borrowers withmissing FICOs in our analysis. The score of 700 is based on data presented in the collateral tape.Foreign borrowers with a credit score have an average FICO of 735. Because we understand theunderlying borrower profile to be relatively homogenous, we believe assigning an average FICO,minus one standard deviation, reflects the risk of foreign borrowers lacking FICOs. We also usedthis same methodology for the nine loans to non-foreign borrowers that were missing FICOs.

Mortgage loans backed by properties that are primary residences account for approximately62.1% of the pool by balance. Of the pool balance, 53.8% of the mortgages are backed bysingle-family residences, 17.2% are backed by planned-unit developments, 15.9% are backed bycondominiums, and 13.1% are backed by two- to four-family homes. For more detail on thecharacteristics of the mortgage loans, please see table 1 below.

Compared to prior Arroyo transactions, borrowers in ARRW 2021-1R generally had higher FICOscores and lower current CLTV ratios (driven by the loans seasoning).

Table 1

Collateral Characteristics

ARRW2021-1R

ARRW2020-1

ARRW2019-3

ARRW2019-2

ARRW2019-1

ARRW2018-1

ArchetypalPool(i)

Closing pool balance (mil. $) 406.3 355.7 975.1 945.5 291.8 1,245.3 N/A

Closing loan count (no.) 1,234 899 2,271 2,290 753 3,160 N/A

Avg. loan balance ($) 329,242 395,684 429,356 412,871 387,569 394,085 N/A

WA original CLTV (%) 60.4 66.9 62.4 61.6 60.7 60.8 75

WA current CLTV (%) 51.2 65.9 60.4 59.8 56.9 58.6 75

WA FICO(ii) 735 742 730 734 734 726 725

WA current rate (%) 4.9 5.4 5.4 5.6 5.5 5.3 N/A

WA original term (mos.) 360 360 358 358 359 359 360

WA seasoning (mos.) 61 8 17 16 28 20 0-6



2678864


Table 1

Collateral Characteristics (cont.)

ARRW2021-1R

ARRW2020-1

ARRW2019-3

ARRW2019-2

ARRW2019-1

ARRW2018-1

ArchetypalPool(i)

WA debt-to-income (%) 40.4 37.2 37.7 38.9 38.7 39.8 36

WA DSCR (non-zero) 1.15 1.18 1.25 1.28 1.16 1.15 N/A

Owner occupied (%) 62.1 68.1 64.4 64.8 63.7 72.9 100

Single-family (includingunattached and attached PUD) (%)

71.0 81.2 72.0 75.3 78.0 76.7 100

Adjustable-rate loans (%) 94.7 72.9 85.5 80.8 87.4 96.4 0

Loans with IO payments (%) 1.4 3.1 3.6 2.9 1.9 1.7 0

Purchase (%) 76.0 71.2 68.2 65.6 76.0 79.5 100

Cash-out refinancing (%) 16.5 23.0 22.8 25.0 17.2 13.1 0

Full documentation (%) 41.9 58.1 48.9 44.1 30.4 36.2 100

Alternative/bank statementdocumentation (%)

28.7 38.2 42.8 36.3 37.7 40.7 0

Other/asset depletion/DSCRdocumentation (%)

29.4 3.8 8.3 19.6 31.9 23.1 0

Self-employed borrowers (%) 34.9 39.5 46 41.5 42.0 41.2 0

Loans with co-borrowers (%) 14.2 10.9 14.9 16.8 14.5 15.6 0

Loans to borrowers with multiplemortgages (%)(iii)

0.5 1.0 5.2 7.2 0.6 0.7 N/A

Loans to foreign borrowers(%)(foreign national andnon-permanent resident aliens)

12.2 5.1 11.6 10.5 17.9 9.8 0

Modified loans (%)(iv) 1.5 0 0 0 0 0 0

PCEs (%)(iv) 0 0 3.5 1.7 3 0.2 0

Current (%)(v) 98.8 99.4 100 100 100 100 100

30+ day delinquent (%) 1.2 0.6 0 0 0 0 0

In prior or active forbearance (%) 21.3 10.1 0 0 0 0 0

Length of P&I advancing (mos.)(vi) 6 6 6 6 6 6 Full

Pool-level adjustments (multiplicative factors)

Geographic concentration 1.32 1.19 1.24 1.25 1.25 1.26 1.00

Mortgage operationalassessment

1.00 1.03 1.00 1.00 1.00 1.00 1.00

Representations andwarranties

1.10 1.10 1.10 1.10 1.10 1.10 1.00

Other (i.e. loanmodification/PCE/duediligence)

1.00 1.00 1.00 1.01 1.01 1.02 1.00

Other (due to loans in prior oractive forbearance)

1.10 1.15 N/A N/A N/A N/A N/A

Combined pool-leveladjustments(vii)

1.60 1.55 1.36 1.39 1.39 1.41 1.00



2678864


Table 1

Collateral Characteristics (cont.)

ARRW2021-1R

ARRW2020-1

ARRW2019-3

ARRW2019-2

ARRW2019-1

ARRW2018-1

ArchetypalPool(i)

Loss estimation

'AAA' loss coverage (%) 8.15 15.90 12.90 12.90 11.70 14.80 7.5

'AAA' foreclosure frequency(%)

23.80 32.54 31.66 31.49 29.44 36.05 15

'AAA' loss severity (%) 34.24 48.86 40.75 40.97 39.74 41.05 50

'BBB' loss coverage (%) 2.35 4.45 3.20 3.30 2.90 3.55 1.92

'BBB' foreclosure frequency(%)

11.96 17.11 15.10 15.07 13.94 17.60 6.41

'BBB' loss severity (%) 19.65 26.01 21.19 21.90 20.80 20.17 30

'B' loss coverage (%) 0.75 1.25 0.80 0.80 0.70 0.85 0.65

'B' foreclosure frequency (%) 5.31 7.17 5.44 5.40 4.96 6.38 3.25

'B' loss severity (%) 14.12 17.43 14.71 14.81 14.11 13.32 20

(i)As defined in our Feb. 22, 2018, criteria article. (ii)FICO reflects the most recent scores obtained. For ARRW 2021-1R, we assumed 700 forborrowers who are missing FICO scores. (iii)Limited to borrowers who have multiple mortgage loans or properties included in the securitizedpool. (iv)Limited to modified and PCE loans considered in our analysis. (v)For ARRW 2021-1R, two loans representing 0.41% of the pool bybalance were 30 days delinquent as of cut-off, but are active in a repayment plan and therefore treated as current for this analysis; wereaccounted for in our pool-level adjustment for loans in active or recent COVID-19-related forbearance. (vi)Months of P&I advancing on adelinquent mortgage loan to the extent such advances are deemed recoverable. (vii)Combined pool-level adjustments are the product of eachpool-level adjustment listed above. ARRW--Arroyo Mortgage Trust. WA--Weighted average. CLTV--Combined loan-to-value ratio. DSCR--debtservice coverage ratio. PUD--Planned-unit development. IO--Interest-only. PCEs--Prior credit events. P&I--Principal and interest. N/A--Notapplicable.

Table 2

Credit Score Statistics

FICO score Current balance (%) No. of loans Average used CLTV

750+ 46.37 655 52.62

725-749 12.81 149 54.54

700-724 17.12 197 53.88

675–699 10.63 93 55.64

650–674 4.77 58 53.94

625-649 1.66 21 52.05

600-624 2.68 18 59.74

575–599 1.74 16 55.29

550-574 1.49 14 54.57

Below 550 0.73 13 49.19

Total 100.00 1,234 53.70

CLTV--Combined loan-to-value.

The weighted average seasoning for the pool is approximately 61 months, with the least seasonedloans originated in August 2018. We typically expect to receive updated property valuations for astatistically significant random sample of seasoned loans and all reperforming loans. In this



2678864


transaction, we received updated valuations, including broker price opinions (BPOs), desktopreviews, exterior, and automated valuation models (AVMs), on 93.5% of the loans. 95.4% of theupdated valuations for this transaction were obtained within 180 days from the cut-off date. Wecompared the updated valuations with the FHFA house price index-adjusted original valuationsand found them to be generally inline. We also considered the average age of the updatedvaluations and did not make an additional adjustment for the age of the valuations.

After reviewing the updated property valuations for the entire pool, we used the BPOs and exteriorvaluations (28.1% and 3.4% of the updated valuations, respectively), where provided, to calculatethe current CLTV ratio of the related loans. For the loans where we received an AVM, a desktopreview, or did not received an updated valuation, we used the FHFA house price index-adjustedoriginal valuation to calculate the current CLTV ratio.

Transaction Structure

Chart 1 shows an overview of the transaction's structure.



2678864


Chart 1

The transaction is structured as a sale and pledge of the assets from the seller (Western AssetOpportunity Fund L.P.) to the depositor (Arroyo Mortgage Acquisition Co. I LLC) and from thedepositor to the issuing trust (ARRW 2021-1R). The issuing trust transfers the notes to thedepositor. The depositor sells them to the initial purchasers, who sell them to third-partyinvestors. The non-offered notes, as well as those required to be held to satisfy the risk retentionrules, are sold by the depositor to an affiliate of Arroyo Mortgage Acquisition Co. I LLC, thesponsor.

In rating this transaction, S&P Global Ratings will review the legal matters that it believes arerelevant to its analysis, as outlined in its criteria.



2678864


Strengths And Weaknesses

We believe the following characteristics strengthen the ARRW 2021-1R transaction:

- The mortgage pool generally consists of loans to borrowers with considerable home equity, asdemonstrated by the pool's weighted average original and current CLTV of 60.4% and 51.2%,respectively.

- The weighted average FICO is 735 (which incorporates certain S&P Global Ratings assumptionsfor borrowers lacking FICO), with 59.2% at 725 or higher.

- The weighted average seasoning for the pool is approximately 61 months.

- The third-party due diligence providers-- Clayton Services LLC (Clayton) and Opus CapitalMarkets Consultants LLC (Opus)--are on our list of reviewed providers and generally performedorigination due diligence on 100% of the pool's loans. Their reviews encompassed regulatorycompliance (where applicable), credit (underwriting) compliance, property valuations (exceptfor 479 loans or 25.8% by pool balance, which were not reviewed), and data quality.

- The class A-1, A-2, and A-3 notes (the senior classes) benefit from a credit support floorwherein no principal is paid to the subordinate classes until the class A notes are retired.Additionally, principal is paid sequentially among the senior classes in periods when thecumulative loss or delinquency trigger has failed, further protecting the more-senior classes.

We believe the following factors weaken the ARRW 2021-1R transaction:

- Loans in prior or active forbearance due to the COVID-19 outbreak in the U.S consist of 21.3% ofthe pool. We applied a 1.10x pool level adjustment to account for the risk associated with theseloans.

- Income on certain mortgage loans (58.1% by balance) were verified using "alternative" (e.g.,bank statements and business profit and loss statements) or "other" methods (e.g., assetdepletion). We view income verification using "alternative" and "other" documentation to beweaker than "full" documentation, and consequently, we increased our loss coverages forthese loans by applying an adjustment to the foreclosure frequencies. We applied anadjustment factor generally between 1.75x and 3.00x depending on the length of incomeverification (and higher for some loans), which, depending on the seasoning of the loan,gradually phases out after two years to the foreclosure frequencies.

- Non-QM loans, which have an increased risk of ATR challenges and associated losses, make up54.7% of the pool by balance. We applied an adjustment to loss severities per our criteria toaccount for this risk.

- Nearly 12.2% of the pool exposure is to foreign borrowers. We applied a 1.50x factor to accountfor our view of potentially higher default risk posed by these borrowers.

- The originators are providing R&Ws for this transaction that are consistent with the set ofrepresentations published in our criteria. However, we view the R&W framework to be weak forvarious reasons including the fact that the review mechanism does not require an automaticreview for breaches. Third-party due diligence on the loans somewhat mitigates theweaknesses of the framework. A few representations have certain carve-outs that do not covermortgage loans subject to a COVID-19 pandemic-related forbearance plan, such as a mortgageloan being current or a mortgage loan not being in default, which we do not believe addsincremental risk relative to our overall assessment of the R&W framework. Consequently, weapplied an R&W adjustment that increased our loss expectations at all rating categories by a



2678864


1.10x factor.

- The transaction is geographically concentrated in the urban areas of California and New York.

Credit Analysis And Assumptions

Our analysis of the ARRW 2021-1R collateral pool considered a number of factors, includingcertain loan-level characteristics.

Documentation type

Underyling origination guidelines allow income verification using paystubs, W-2s/W-2 equivalents,tax returns, written verification of employment (WVOE), bank statements, profit and lossstatements, lease agreements, asset depletion, investor-property rental income, or a combinationthereof. Table 3 shows the breakdown of the documentation type used in our analysis.

Table 3

Documentation Type (Income Verification Type/ Length)

Loancount

(no.)Current

balance (%)

Alternative incomeverification length

(WA # of months)

Foreclosurefrequency

adjustment factors(x)

'AAA' foreclosurefrequency without

pool adjustmentfactors (%)

Full documentation

Appendix Q/qualifiedmortgage

- - - 1.00 -

Full (24+ months)excluding WVOE

23 4.4 - 1.00 15.2

Full (24+ months)WVOE

10 1.0 - 1.00 30.2

Full (12-23 months)excluding WVOE

5 0.5 - 1.25 12.1

Full (12-23 months)WVOE

- - - 1.25 -

Full (1-11 months)excluding WVOE

33 2.0 - 1.50 21.4

Full (1-11 months)WVOE

387 34.0 - 1.50 19.5

Alternative documentation

24+ months (primary source)

Business bankstatements

- - - 1.75 -

Personal bankstatements

- - - 1.75 -

Personal or businessbank statements(i)

- - - 1.75 -

P&L statements(ii) - - - 1.75 -

P&L w/ CPA letter 3 0.7 88.8 1.75 32.9



2678864


Table 3

Documentation Type (Income Verification Type/ Length) (cont.)

Loancount

(no.)Current

balance (%)

Alternative incomeverification length

(WA # of months)

Foreclosurefrequency

adjustment factors(x)

'AAA' foreclosurefrequency without

pool adjustmentfactors (%)

CPA letter 7 1.4 41.0 1.75 63.1

12-23 months (primary source)


1 0.1 12.0 2.00 13.0


- - - 2.00 -


- - - 2.00 -

P&L statements(ii) - - - 2.00 -

P&L w/ CPA letter 1 0.1 14.0 2.00 29.0

CPA letter - - - 2.00 -

1-11 months (primary source)


- - - 2.25 -


7 0.9 2.1 2.25 16.0


1 0.04 2.0 2.25 6.5

P&L statements(ii) 5 0.5 - 2.25 19.3

P&L w/ CPA letter 232 24.9 - 2.25 24.3

CPA letter 3 0.1 0.6 2.25 37.0

Other documentation

Other (DSCR) 11 0.9 - 3.15-6.00 43.3

Other (applied 0.00DSCR)

- - - 6.00 -

Other (assetdepletion)

505 28.5 - 3.00 10.0

(i) Account type not provided. (ii)The documentation source may include other secondary documentation types such as a CPA letter orsupporting bank statements. A majority of the P&L statements were CPA prepared. WVOE--Written Verification of employment/employerletter. WA--Weighted average. P&L--Profit and loss.

Traditional (full) documentation was used for fully verifying and calculating the borrower's orborrowers' qualifying income (e.g., WVOE, pay stubs, W2s, personal and business tax returns, andIRS transcripts) on roughly 41.9% of the pool by balance, most of which are WVOE loans. A portionof these borrowers may have qualified for loans that conform to agency guidelines. We applied adocumentation type adjustment factor ranging from 1.00x to 1.50x depending on the length of theincome verification.

WVOE loans consist of 35.0% of the pool by balance. The borrowers for these loans in the poolhave a weighted average FICO of 735 and generally show clean paystrings. In addition, theseborrowers have significant equity in their homes, with an average current CLTV ratio of



2678864


approximately 54.2% (this estimate incorporates original property values adjusted to currentvalues using our indexing methodology).

Income on certain mortgage loans (28.7% by balance) were verified using "alternative" methods.Bank statements were used for income verification on roughly 1.0% of the loans (of the total poolbalance). Profit and loss statements or CPA letters, or both, were used to underwrite theremaining portion of "alternative" loans, sometimes in combination with "full" documentation. Weview income verification using alternative documentation to be weaker than "full" documentation,and consequently, we increased our loss coverages for these loans by applying an adjustment tothe foreclosure frequencies. We applied an adjustment factor of between 1.75x and 2.25x to theforeclosure frequencies depending on length of income verified.

The remaining loans in the pool (29.4% by balance) were underwritten using "other"documentation standards, the majority of which used asset depletion (28.5% of the pool bybalance; originator uses liquid assets and calculates an income stream). The remaining 0.9% ofthe loans used estimated rents for investor property (DSCR). We classified these loans as "other"documentation loans and applied a 3.00x adjustment (or higher for DSCR loans) to the foreclosurefrequencies.

Consistent with our criteria, the final documentation type adjustment factor applied to each loanwas reduced by the applicable phase-out factor to account for its seasoning beyond 24 months.

QM and ATR standards

The Consumer Financial Protection Bureau issued final regulations for mortgage loans withapplications submitted on or after Jan. 10, 2014, specifying the standards for a QM. By balance,about 45.3% of mortgage loans are exempt because they are investor properties. Per thedesignation provided by the issuer, the remaining loans are designated as non-QM/ATR compliant(see table 4 for a QM breakout).

Under the ATR rule, as more fully described in our criteria (see Appendix I of "Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later," published Feb. 22, 2018), theoriginator and any assignee are jointly and severally liable for certain damages that may beincurred from noncompliance with the rule. For each of the loans in the pool subject to the rule, weapplied our criteria, which increased our loss coverage estimates at each rating level. The data theissuer provided to S&P Global Ratings--including additional fields that validate the loan's QMdesignation--were reviewed by the due-diligence firms under the third-party due-diligence firms'scope to verify that documentation exists to support the QM designation. In addition, we reviewedan ATR/QM-specific questionnaire that the aggregator provided in conjunction with our aggregatorreview, and we concluded that the aggregator's processes address the ATR risks.

Table 4

QM Breakout

QM status Pool balance ($) % by pool balance

QM/non-HPML 0 0

QM/HPML 0 0

Non-QM/ATR compliant 222,040,280.6 54.65

Not covered/ATR exempt 184,244,955.9 45.35

Total 406,285,236.5 100.0

QM--Qualified mortgage. HPML--Higher-priced mortgage loan. ATR--Ability to repay.



2678864


Servicer advancing obligations

Servicers must advance delinquent principal and interest (P&I) payments on any delinquentmortgage loan until it is either greater than 180 days delinquent (limited P&I advancing) or suchP&I advance is deemed unrecoverable. To the extent that a servicer fails to make a required P&Iadvance, the master servicer will have an obligation to make the P&I advance; and if a servicer andthe master servicer fails to make a required P&I advance, the paying agent will have an obligationto make the P&I advance. Unlike P&I advances, servicers must always advance delinquent taxesand insurance (and other property preservation advances) until the related property is liquidatedor the servicer deems the advance to be unrecoverable. We adjusted the loss severities to accountfor this limited P&I advancing.

With respect to mortgage loans subject to a forbearance plan due to the COVID-19 virus outbreak,each servicer will advance any delinquent principal or interest payment scheduled to be receivedafter the cut-off date.

Borrowers with multiple loans

Five borrowers have two loans each in the pool, which represents approximately 0.5% of the poolbalance. The exposure to a single borrower did not exceed 0.22%. Since the concentration wasimmaterial, no adjustments to loss coverage and credit enhancements (for tail riskconsiderations) were needed.

Structural Features

Like other nonprime RMBS transactions, this is a mix of pro rata and sequential structures.Principal is paid pro rata among the senior classes (subject to passing a cumulative loss anddelinquency trigger test), and then sequentially to the subordinate classes. In the periods when acumulative loss or delinquency trigger fails, principal is paid sequentially to classes A-1, A-2, andA-3.

The transaction also uses excess monthly cash flow and excess servicing strip to cover currentperiod realized losses and reimburse any previously applied realized loss amounts. This featureallows certain notes (classes A-3, M-1, B-1, and B-2) to have the initial credit enhancementprovided by subordination to be lower than our estimated loss coverage amounts.

The paying agent will make monthly distributions of interest from the interest remittances andprincipal from principal remittances (see tables 5, 6, and 7).

The interest remittance amount includes the interest collected from or advanced on behalf ofborrowers (including interest payments that accompany prepayments, any compensating interestand interest portions of liquidation proceeds [minus expenses], subsequent recoveries,termination prices, and repurchase amounts), minus servicing, master servicing, administrator,trustee, loan data agent fee, and custodial fees, as well as the servicer advance reimbursements,reimbursable expenses incurred by the controlling holder, and extraordinary expenses, which aregenerally capped at $575,000 annually. Although the extraordinary expenses are passed throughas reduced contractual interest due to securityholders, we ran these expenses at their cappedamounts, as described further in the Interest Stresses section below.

Principal remittance amounts include the principal collected from or advanced on behalf ofborrowers (including prepayments, principal portions of liquidation proceeds [minus expenses],



2678864


subsequent recoveries, termination prices, and repurchase amounts) minus fees includingextraordinary trust expenses that could not be paid from interest collections.

Table 5

Interest Payment Waterfall

Priority Payment

1Interest and interest carryforward amounts(i) sequentially to the class A-1, A-2, A-3, M-1, B-1, B-2,and B-3 notes.

2 Any remaining amounts paid as part of monthly excess cashflow.

(i)Interest carryforward amounts are deferred interest payments that accrue interest at the lower of the respective fixed coupon and the netWAC rate. Our preliminary ratings address the full payment of all interest and interest carryforward amounts by the final maturity date.WAC--Weighted average coupon.

Table 6

Principal Payment Waterfall

Priority Payment

1 Interest and interest carryforward amounts sequentially to the class A-1, A-2, and A-3notes.

2 Principal pro rata to the class A-1, A-2, and A-3 notes until reduced to zero.

3 Interest and interest carryforward amounts to the class M-1 notes.

4 Principal to the class M-1 notes until reduced to zero.

5 Interest and interest carryforward amounts to the class B-1 notes.

6 Principal to the class B-1 notes until reduced to zero.





11 Any remaining amounts paid as part of monthly excess cash flows.

If the cumulative loss ordelinquency trigger fails.

The principal proceeds are allocated IPIP, sequentially to the class A-1, A-2, A-3, M-1,B-1, B-2, and B-3 notes until each note is reduced to zero.

IPIP--Interest principal, interestprincipal.

Table 7

Monthly Excess Cash Flow Waterfall

Priority Payment

1(i) Up to the realized loss amount for the current period, sequentially to the class A-1, A-2, A-3, M-1, B-1, B-2,and B-3 notes until each note is reduced to zero.

2a(i) Up to the aggregate applied realized losses, sequentially to the class A-1, A-2, A-3, M-1, B-1, B-2, and B-3notes until each note is reduced to zero.

2b(i) Sequentially, to the class A-1, A-2, A-3, M-1, B-1, B-2, and B-3 notes in that order, to reimburse suchclasses applied realized loss amounts previously allocated thereto (to the extent the applicable noteamount has not been previously written up).

3 To the cap carryover reserve account, which is then distributed to noteholders as applicable.



2678864


Table 7

Monthly Excess Cash Flow Waterfall (cont.)

Priority Payment

4 To the class XS notes.

5 To the transaction parties, pro rata, any fees, expenses, or indemnification amounts not previously paiddue to the application of the annual cap and any subcaps.

6 Any remaining amounts to the class R notes.

(i)The class A-IO-S excess strip, which in simple terms equals 0.75% minus the servicing fees, will first be used for items 1, 2a, and 2b abovebefore distribution to the class A-IO-S note if any such amounts remain unpaid or unallocated after giving effect to the other forms of excesscash flow. In addition, any unpaid portion of the excess servicing strip from a payment date will not be paid to the class A-IO-S notes onsubsequent payment dates.

Interest on classes A-1, A-2, A-3, M-1, and B-1 is based on the lower of the coupon on the notesand the net weighted average coupon (WAC) rate. For classes B-2 and B-3, interest is equal to thenet WAC rate. The net WAC rate is defined as the weighted average of the mortgage interest ratesof the loans, net of fees, and extraordinary trust expenses weighted based on the loans' principalbalances. In line with our ratings definitions, our preliminary ratings address the lower of the fixedcoupon and the net WAC rate (see "S&P Global Ratings Definitions," published Jan. 5, 2021).Under the transaction documents, the issuer can defer interest payments on these securities. Afailure to pay the interest amounts due on the securities will result in the interest being deferred.Deferred interest (interest carryforward amounts) accrues interest at the lower of the fixed rateand net WAC rate for classes A-1, A-2, A-3, M-1, and B-1 and the net WAC rate for classes B-2 andB-3. Our preliminary ratings on the classes address the P&I payments (including interestcarryforward amounts) by the notes' final maturity date.

However, our preliminary ratings do not address the expectation for payment of the cap carryoveramounts (i.e., the difference between the coupon and the net WAC rate where the coupon exceedsthe net WAC rate). These amounts are subordinated in the payment priority. In our view, the initialcoupons on the notes, and the initial net WAC rate, as applicable, are significant, and nonpaymentof the cap carryover amount is not considered an event of default under the transactiondocuments. Therefore, in line with our ratings definitions, we do not consider whether these capcarryover amounts are paid in our cash flow analysis.

The subordinate classes are paid principal sequentially after all senior classes have been paid.Unlike the credit enhancement seen in shifting-interest RMBS structures, which may deplete dueto scheduled and prepaid principal paid to the subordinate classes, the credit enhancementprovided by the subordinate classes in this transaction does not deplete because no principalpayments are made to a mezzanine or subordinate class unless it is the most senior classoutstanding.

Although principal is paid pro rata among the senior classes from the start, and there is nospecific credit enhancement floor that would switch the payment priority of the senior classes tosequential, we believe that the transaction is adequately enhanced for the assigned preliminaryratings. Our view considers any tail risk considerations (see the Large Loan And Tail RiskConsiderations section). The transaction starts with 3.65% enhancement for the senior classes,which then grows as a percentage of the current balance as they are paid down. Additionally, thecumulative loss and delinquency triggers (see tables 8 and 9) protect the more-senior classes intail risk situations if defaults increased much later in the transaction's life (a back-ended defaultcurve) by switching the payment priority among the senior classes to sequential.



2678864


Table 8

Cumulative Loss Trigger Event

Distribution date occurring in the followingperiods

Applied realized loss amounts since closing date as a % of the cut-offdate pool balance

July 2021–June 2024 1.50

July 2024–June 2025 2.50

July 2025–June 2026 3.50

July 2026 and thereafter 4.50

Table 9

Delinquency Trigger Event

Distribution date occurring in thefollowing periods

Six month average of 60+ day DQ plus loans modified in past 12 months as a% of the current pool balance

July 2021–June 2024 12.50

July 2024–June 2026 15.00

July 2026 and thereafter 20.00

If the aggregate class balance of the notes exceeds the pool balance, the resulting excess (theapplied realized loss amount) is applied reverse sequentially to the class B-3, B-2, B-1, M-1, A-3,A-2, and A-1 notes until each class' principal balance has been reduced to zero.

If the pool balance exceeds the aggregate class balance of the notes (after the allocation ofprincipal payments and monthly excess cash flows to pay down the notes), the balances of theclass A-1, A-2, A-3, M-1, B-1, B-2, and B-3 notes will be "written up" to the aggregate amount ofapplied realized losses.

Geographic Concentration

S&P Global Ratings analyzes the pool's geographic concentration risk based on theconcentrations of loans in each of the CBSAs defined by the U.S. Office of Management andBudget (see Appendix II of "Methodology And Assumptions For Rating U.S. RMBS Issued 2009 AndLater," published Feb. 22, 2018). In this transaction, the top five CBSAs account for roughly 73.5%of the aggregate pool. Because of this geographic concentration, we applied a Herfindahladjustment factor (a concentration measure based on the sum of the squared CBSAconcentrations related to a benchmark concentration) of 1.32x to our base loss coverage estimate.

Table 10

Geographic Concentration

CBSA code(i) CBSA State % by balance

31084 Los Angeles-Long Beach-Glendale California 31.6

35614 New York-Jersey City-White Plains New York-New Jersey 22.8

11244 Anaheim-Santa Ana-Irvine California 8.7

40140 Riverside-San Bernardino-Ontario California 5.9

36084 Oakland-Berkeley-Livermore California 4.4



2678864


Table 10

Geographic Concentration (cont.)

CBSA code(i) CBSA State % by balance

Top five -- -- 73.5

(i)CBSA code refers to the metropolitan division code, if available. CBSA--Core-based statistical area (includes metropolitan statistical areasand metropolitan divisions where defined, as well as micropolitan statistical areas).

Large Loans And Tail Risk Considerations

As the number of loans in the transaction decreases, the effect of a single loan's losses becomesgreater. If conditional prepayment rates are slow and collateral pool losses are not realized untillater in a transaction's life (back-loaded losses), pro rata pay mechanisms can then leave thesenior classes exposed to event risk later in the transaction's life (for more information on tail riskin RMBS transactions, see "Older RMBS Transactions Face Increased Tail Risk As Their PoolsShrink," published Aug. 9, 2012).

To mitigate this risk, certain transactions provide for a credit enhancement floor, specifyingprincipal payments not be made to subordinate classes if the credit support available to thesenior classes falls below a threshold. This transaction does not explicitly provide a creditenhancement floor; however, due to the sequential payment mechanism to the subordinateclasses, which make up 3.65% of the capital structure, the 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratedclasses effectively have a floor of 3.65% initially. Since subordination to the senior classes islocked out from receiving any principal payments received on the mortgage loans, the 3.65%should be available to absorb losses in the event defaults begin to occur after an extended periodof benign performance, which is the scenario our tail risk analysis is intended to address. Further,when cumulative losses or delinquencies trip the cumulative loss or the delinquency triggers, thepayment priority becomes fully sequential.

To analyze the appropriateness of this effective credit enhancement floor, we use an approachoutlined in "Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later,"published Feb. 22, 2018. Per this approach, instead of focusing on the largest loans by balance atissuance, we risk-weight the loans in the transaction by focusing on those loans with the largestexpected loss exposure assuming default. The resulting projected losses at the 'AAA (sf)', 'AA+(sf)', and 'AA (sf)' levels are below the 3.65% effective floor provided in the deal.

After considering the enhancement provided in the transaction, the cumulative loss anddelinquency triggers and the expected paydown on the classes, we believe the preliminary-ratedclasses are sufficiently protected from tail risk as the transaction seasons.

Servicing Fee Framework

For this transaction, 75 basis points (bps) is stripped out of the cashflows to cover servicing fees.To the extent actual servicing fees are less than 75 bps, such excess can be used to cover currentand previously allocated realized losses to the extent regular monthly excess cashflow is notadequate to cover such amounts in full. In our analysis, weighted average (WA) servicing fees areapproximately 32 bps on a monthly basis, which leaves around 43 bps in addition to regularmonthly excess to cover losses. Given the seasoning and credit quality of the collateral, we viewthe WA servicing fee of 32 bps as adequate to attract a replacement servicer. However, if higherservicing fees were incurred by a replacement, additional amounts available to cover losses would



2678864


be reduced which could have an impact on credit support.

The WA 32 bps reflects a fixed servicing fee ranging from 10 to 75 bps on 97.4% of the loans andan incentive-servicing fee framework on 2.6% of the loans (by balance), which are serviced bySelect Portfolio Servicing. We reviewed the incentive-servicing fee framework and believe it alignsthe incentive servicer's interests with the cost of servicing a loan in different stages ofperformance and could positively affect collateral performance. Furthermore, in our view, theservicing fees under the incentive-servicing fee framework are adequate to entice a successiveservicer, if the need arises. To address the potential reduction in available funds, we increased theloss severity proportionately for the incentive-serviced mortgage loans.

Mortgage Operational Review

Western Asset Management Co. (WAMCO)

We conducted a mortgage operational assessment (MOA) of WAMCO as an aggregator andassigned AVERAGE rankings to the qualitative and quantitative components and an overallranking of AVERAGE. Based on the results of our MOA, we determined a loss coverage adjustmentfactor of 1.00x was appropriate for WAMCO. We believe the company's experienced managementteam, robust internal controls, thorough seller review and monitoring process, and 100% duediligence on loans prior to purchase are strengths. Weaknesses include a limited post-purchasereview process and a short operating history of purchasing whole loans.

Our qualitative review of aggregators is based on three primary areas: management andorganization, loan purchase and aggregation, and internal controls. For the quantitativecomponent, we reviewed the performance of the loans aggregated and noted that there wereminimal delinquencies and no realized losses.

WAMCO was founded in Los Angeles in October 1971 by United California Bank (which laterbecame First Interstate) before relocating to Pasadena, Calif., where it is currently headquartered.In December 1986, WAMCO was acquired by Franklin Resources Inc. (Franklin Templeton), whichis rated 'A' with a stable outlook. As an independent affiliate of Franklin Templeton, WAMCOoperates as an autonomous investment management company.

WAMCO began investing in agency RMBS in 1974 and non-agency RMBS in 1987. In 2013, thecompany initiated a whole loan program and began purchasing loans in 2014. The portfolio isfinanced with investor funds and levered with repurchase and other lending agreements. Theportfolio has grown from less than $300 million in the first quarter of 2015 to $3.50 billion as of ourreview in December 2018. WAMCO generally purchases in bulk, although the company utilizesflow-like relationships with sellers that provides it with beneficial purchase arrangements. Inaggregate, the company has purchased roughly 10,000 loans (over $4.17 billion by balance) fromeight originators as of our review in December 2018.

As of our review, the company actively purchased loans from seven out of eight approved sellers.WAMCO has a limited number of sellers, which allows for a thorough review process and robustoversight. WAMCO investment management must conduct an on-site visit, complete formalchecklists, and perform background checks of the seller's management, in addition to other formsof diligence. Furthermore, other departments, such as legal, compliance, and risk management,must review and approve new sellers. The risk department, which has an independent reportingline, meets regularly to monitor risk across the company's portfolios.

The company benefits from the stringent internal control processes of a publicly traded company,



2678864


pursuant to Franklin Templeton's internal control framework. External auditors review thecompany's internal controls and financial reporting, in addition to certain audits that are relevantto the asset management industry.

Prior to purchase, WAMCO conducts 100% due diligence on loans using a third-party review firmthat is on S&P Global Ratings' reviewed list (see "S&P Global Ratings Publishes List Of Third-PartyDue Diligence Firms Reviewed For U.S. RMBS As Of Feb. 23, 2018," published Feb. 23, 2018). Thescope of the review, as consistent with market standards, comprises a full underwriting review onthese loans (credit, compliance, and property valuation).

WAMCO's loan performance is relatively short because the whole loan platform was formed in2013 and began purchasing loans in 2014. Although loan performance has shown minimaldelinquencies and no losses, the portfolio has not experienced a housing or economic downturn.

We consider WAMCO's strengths to include:

- An experienced management team averaging over 20 years of industry experience;

- Robust internal control processes as governed by Franklin Templeton, a publicly tradedinvestment-grade company;

- A limited number of sellers, allowing for a thorough review of new sellers and strong oversight;and

- Prior to acquisition, due diligence conducted on 100% of loans, including a full review of credit,compliance, and property valuation.

Partly offsetting the above strengths, in our view, are the following weaknesses:

- Short loan performance history because the portfolio has not yet experienced a housing oreconomic downturn; and

- A limited post-purchase review process.

AmWest Funding Corp.

For this transaction, AmWest originated approximately 40.8% of the loans in the pool by balance.Given the concentration, we conducted a quantitative focused transaction-specific review ofAmWest where we analyzed the AmWest loan performance data provided by the issuer. Inaddition, since the AmWest loans included in this transaction were part of a prior securitizationwith considerable pay history available, we were able to review the actual performance of theAmWest loans being securitized, which has not been the case with more recent transactions thathave included newly originated AmWest loans. We considered the performance of these loans tobe generally in line with the performance of WAMCO's portfolio. As a result, we determined thatthe loss coverage adjustment factor of 1.00x applied for WAMCO was also appropriate for theloans originated by AmWest that are included in this particular RMBS transaction.

East West Bank

For this transaction, East West Bank originated approximately 25.8% of the loans in the pool bybalance. We performed a transaction-specific review of East West Bank and reviewed the EastWest Bank performance data provided by the issuer. As a result of our review, we determined thata loss coverage adjustment factor of 1.00x we used for WAMCO loans is also appropriate for theloans originated by East West that are included in this particular RMBS transaction.



2678864


Metro City Bank (MCB)

For this transaction, MCB originated approximately 25.9% of the loans in the pool by balance. Weperformed a transaction-specific review of MCB and reviewed the MCB performance dataprovided by the issuer. As a result of our review, we determined that a loss coverage adjustmentfactor of 1.00x we used for WAMCO loans is also appropriate for the loans originated by MCB thatare included in this particular RMBS transaction.

Overall, based on our reviews of WAMCO and the above originators, we determined a total MOAloss coverage adjustment factor for the aggregate pool of approximately 1.00x.

Third-Party Due Diligence Review

Clayton and Opus performed third-party origination due diligence on primarily 100% of the loansin the transaction. The scope of their review of the loans encompassed data quality,compliance(where applicable), credit, and valuation reviews (except for 479 loans, 25.8%, whichwere not reviewed for property valuation). Some loans fell within the scope of TILA-RESPAIntegrated Disclosure rule (TRID); for these loans the third-party firms followed the SFIG RMBS 3.0TRID Compliance Review Scope in conducting their final loan reviews (see "Standard & Poor'sComfortable With SFIG Draft Proposal Regarding TRID Due Diligence," published April 25, 2016).According to our published third-party due diligence criteria, we adjust our loss expectationsbased on our view of the firms' findings (see Appendix III of "Methodology And Assumptions ForRating U.S. RMBS Issued 2009 And Later," published Feb. 22, 2018). Since the loans are seasonedwe do not typically expect credit and property valuation reviews but we did review the results ofthe diligence across all areas and accounted for the results in our analysis as described furtherbelow.

Sixty-nine loans received a valuation grade of "C", one loan received a valuation grade "D" and novaluation grade was provided on 479 loans, for which we did not apply any adjustments sincethese loans have seasoned for more than 24 months and updated valuations were provided. Tenloans received a credit grade "D" and one received a credit grade "C", for which we did not applyany adjustments since these loans have seasoned for more than 24 months, and payment historyand refreshed FICOs were provided and used in our analysis. Three loans received a TRID-relatedcompliance grade of "C" and one received a TRID-related compliance grade of "D", for which weapplied an additional $34,000 loss severity adjustment to each loan as we expect such exceptionscould be used as a defense to foreclosure despite the seasoning of the loans. All other loansreceived final credit, valuation, and compliance grades of "A" or "B". After reviewing thethird-party due diligence results, we applied a final neutral due diligence adjustment of 1.00x tothe loss coverage at all rating categories.

In addition, we generally expect the scope of the due diligence review for seasoned andreperforming loans to incorporate a title and tax review, as well as a custodial document review,as outlined in our criteria. Given that there has been no change to the servicer or custodian sinceWAMCO acquired the loans at origination or shortly thereafter, we view this as a mitigant to anyincremental risk, in the absence of such reviews. A tax review, however, was conducted by theservicer on an adverse sample of certain prior delinquent loans. We analyzed the results of thisreview and consequently did not make any additional adjustments to the loss coverage, given theimmaterial findings of six loans with delinquent taxes totaling just 2 bps of the securitized poolbalance.



2678864


R&Ws

The collateral pool consists of loans from various originators sold to an affiliate of the issuer. Inthis transaction, the originators are pledging R&Ws to the trust. The originators may be financiallyunable to repurchase loans if the need arises. While the R&W framework is consistent with otherR&W frameworks utilized in comparable nonprime-rated transactions, we consider it to be weak,because testing for loans that realized a loss (other than any loans showing losses related to ATR)is optional for the controlling holder (the majority owner of the class XS notes and, initially, anaffiliate of the issuer). If a loan was judicially determined to have a TRID finding, it must be curedor repurchased without testing.

Our review of the R&Ws focused on whether the representations made by the originators weresubstantially consistent with the set of representations we published as part of our criteria (seeAppendix IV of "Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later,"published Feb. 22, 2018). In addition, our review of the R&W framework accounts for automaticreview triggers, knowledge qualifiers, "gap" periods, sunset provisions, and enforcementmechanisms. We evaluated the strength of the R&W framework and considered whether anybreach could have a materially adverse impact on the interests of the transaction'ssecurityholders. If the R&Ws and framework do not address the issues in our published R&Wframework, we will determine whether we believe it is appropriate to assess additional creditenhancement. Lastly, we considered the R&W providers' ability to fulfill their obligations in theevent of a breach.

The R&Ws are generally consistent with our published criteria (see "Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later," published Feb. 22, 2018) and willremain in effect for the transaction's life. However, given that the statute of limitations under NewYork law for R&W claims is generally expected to be six years from the date a representation ismade, there is effectively an expiration date on the R&Ws. Additionally, we note that certain R&Wsin this transaction were adjusted to exclude loans that have been granted forbearance due to theCOVID-19 virus outbreak in certain regards for which such assertions could not be made.

The originator must appropriately remedy any ensuing R&W breach if it has a materially adverseimpact on the loan by curing the breach, repurchasing the mortgage loan at the repurchase price,or substituting for the mortgage loan, including paying any required substitution adjustmentamount. The enforcement mechanism for R&W breaches includes provisions for a breach reviewat the option of the controlling holder either by a third-party due diligence firm or by thecontrolling holder itself for any loan (other than any loans showing losses related to ATR) thatexperiences a realized loss. A review is mandatory only for an ATR-related realized loss. If thecontrolling noteholders decline to review a loan, then noteholders constituting 25.0% or more ofthe outstanding note balance may review the loans for breach at their own expense. Disputeresolutions are ultimately subject to arbitration proceedings, if necessary, to determine if abreach occurred. For successful repurchase claims, reasonably incurred costs and expensesrelated to the breach enforcement framework will be incorporated into the repurchase price. Forunsuccessful repurchase claims, reasonably incurred costs and expenses, including an equalshare of the arbitration costs, will ultimately be borne to the trust in the form of extraordinarytrust expenses subject to the yearly cap. If the originator refuses to comply with the arbitrator'sdetermination, the trustee can bring legal action.

Although the MOA's result reflects what is, in our opinion, an adequate aggregation platform, theparties providing the R&Ws may have limited repurchasing ability. Therefore, we applied a 1.10xloss coverage adjustment to compensate for the risk associated with the financial capacities ofthe R&W provider in addition to weaknesses in the R&W framework as described above. We



2678864


believe this adjustment is appropriate in the context of the due diligence performed on the loansand the collateral's credit quality.

Cash Flow And Scenario Analysis

We reviewed the transaction structure and performed a cash flow analysis to simulate variousrating stress scenarios (see table 11) to determine the ratings for each class consistent with ourcriteria, accounting for the available credit enhancement. We analyzed various scenarios for eachrating category/level, including combinations of:

- Front- and back-loaded default timing curves;

- Two-year recovery lag assumptions;

- Fast and slow prepayment assumptions;

- High, low, and forward interest rate curve assumptions;

- WAC deterioration stresses;

- Delinquency assumptions to stress liquidity for limited advancing and potential forbearance;and

- Extraordinary expense.

Table 11

Cash Flow Assumptions

Scenario

'AAA' 'AA+' 'AA' 'BBB' 'BB' 'B'

Recovery lag (mos.) 24 24 24 24 24 24

Prepayments (%)(i)

Low CPR 1 2 3 4 5 6

High CPR 20 20 20 20 20 20

Scenario 1:Delinquent loans (%)

Standard delinquency curve for testing triggerswithout cash flow stress

Scenario 2:Delinquent loans (%)

Delinquencies at 35% for first the six months tostress liquidity and triggers, followed by standard

delinquency curve to test triggers

Foreclosure frequency(%)

23.78 21.99 20.18 11.96 8.68 5.31

Loss severity (%) 34.27 29.56 29.48 19.65 16.71 14.12

Loss coverage (%) 8.15 6.50 5.95 2.35 1.45 0.75

(i)Using a standard prepayment convention. N/A--Not applicable.

Notwithstanding the use of excess interest as credit enhancement within the transactionstructure, we applied front- and back-loaded rather than bulleted (e.g. semiannual or annual lumpsum) default timing curves in our analysis. This reflects our view of the potential volatility of cashflows given the loans are aggregated by a reviewed aggregator, subject to third-party duediligence, and include structural considerations, such as sequential principal allocations amongstall classes and partial P&I advancing by the servicer.



2678864


We applied the foreclosure frequencies, loss severities, and combinations of the stresses notedabove in our cash flow runs, and observed some periodic missed interest due to the liquidity stressassociated with limited advancing. To pass our applicable rating-specific stresses, the interestdeferrals (or interest carry-forward amounts) resulting from any missed interest payments on thesecurities have to be paid in full by the maturity date. All deferred interest was paid back withinterest under the applicable rating-specific stresses in our cash flow projections. The resultsshow that each rated class in the transaction is enhanced to a degree, consistent with theassigned preliminary ratings.

The preliminary rated classes passed the rating stress scenarios commensurate with theirassigned preliminary ratings in our cash flow analysis. Although the class B-1 and B-2 notespassed our 'BB+' and 'BB-' rating stress scenarios, they had less hard credit enhancement thanwe would otherwise expect for preliminary ratings higher than 'BB' and 'B', given the transaction'spool characteristics and the structural features. Therefore, we assigned a 'BB (sf)' and 'B (sf)'preliminary rating to the class B-1 and B-2 notes, respectively.

Table 12

Structural Assessment

Class RatingInitial class

size (%)Initial credit

enhancement (%)Loss coverage

(%)Difference between credit enhancement

and loss coverage

A-1 AAA (sf) 84.40 15.60 8.15 7.45

A-2 AA+ (sf) 6.80 8.80 6.50 2.30

A-3 AA (sf) 5.15 3.65 5.95 (2.30)

M-1 BBB (sf) 2.80 0.85 2.35 (1.50)

B-1 BB (sf) 0.45 0.40 1.45 (1.05)

B-2 B (sf) 0.20 0.20 0.75 (0.55)

B-3 NR 0.20 0.00 N/A N/A

NR--Not rated. N/A--Not applicable.

Servicer stop advance stresses

Although the transaction documents provide for up to six months of P&I advance obligation, weassumed that no P&I advances were being made in our cash flow projections on defaulted loansthat have not yet been liquidated (we assume a 24-month lag between default and liquidation).Our cash flow projections consider this additional liquidity stress and the transaction's ability tomake monthly interest payments and, if necessary, deferred interest payments (interestcarryforward amounts) by the final maturity date on the preliminary rated classes.

To address the potential liquidity stress to cash flows due to loans entering forbearance in light ofthe current COVID-19 virus outbreak, we also applied an additional delinquency stress curve. Weassumed 35.00% of the closing pool balance to be delinquent for the first six months with any P&Ipayments related to this delinquent portion coming back to the transaction after all defaults havebeen passed through to the transaction (approximately 144 months).

WAC deterioration stress

The transaction structure allows excess spread to provide some of the credit enhancement. We



2678864


applied a WAC deterioration stress that steps up linearly from zero basis points (bps) to 95 bpsover 10 years, and remains at that level going forward to address the potential for the pool's WACto decline as higher-coupon loans prepay or default and, thus, stress the excess spread.

Interest stresses

In this transaction, extraordinary trust expense payments reduce the net WAC rate, whicheffectively allocates the extraordinary trust expenses pro rata across all senior and subordinatenoteholders by reducing their interest payments by the amount of the extraordinary trustexpenses paid (subject to the annual cap). Although the extraordinary trust expenses are passedthrough as reduced contractual interest due to noteholders, we ran these expenses from period 13to 60 (four years) at a certain percentage of the capped amounts as specified by our criteria to testany impact on the securities due to the dependence on excess spread as a form of creditenhancement to the securities and the presence of certain structural features, such as limited P&Iadvancing, and because interest payments on the securities are deferrable.

Imputed promises analysis

We impute the interest owed to the security holders when rating U.S. RMBS transactions wherecredit-related events can reduce interest owed to the tranches across the capital structure ratherthan an allocation of that credit-related loss to the available credit support, based on our loanmodification guidance, "Guidance: Methodology And Assumptions For Rating U.S. RMBS Issued2009 And Later," published April 17, 2020. WAC deterioration that occurs because of defaults,repurchases, or prepayments is either already captured or not considered credit-related and,therefore, is not considered as part of this analysis.

Because this transaction provides for credit-related loan modifications and extraordinary trustexpenses to reduce the net WAC at which the transaction's bond coupons are capped, we appliedthe approach outlined in the guidance to assess the maximum potential rating (MPR) that couldapply based on our projected interest reduction amount (PIRA). This pool includes seven loans thatwere previously modified, three of which received an interest rate modification. Our cumulativeinterest reduction amount (CIRA) only considers a reduction in a loan's interest rate postsecuritization, since any modified rate at the time of securitization cut-off is the rate considered inour analysis. Therefore, the CIRA for our analysis was zero.

Consistent with our guidance, we assumed that 50.00% of the loans projected to default under theapplicable rating stress scenario would be modified. We also assumed that 75.00% of theprojected modifications are interest rate modifications, with an interest rate reduction of 2.00%.When added to the extraordinary trust expenses, this resulted in a maximum PIRA on thepreliminary rated notes that is below the 4.50% threshold. We stressed extraordinary trustexpenses by the relevant extraordinary expense application factor over 48 months, starting frommonth 13 through 60 of the transaction's life. Based on the results of our analysis, there was noimpact on the securities' MPR.

Historically, we have observed that extraordinary trust expenses have been both minimal whenthey occur and extremely limited in pre-2009 RMBS transactions. We continue to expect theiractual occurrence in post-2009 transactions to be rare.

Operational risk assessment

Our criteria ("Global Framework For Assessing Operational Risk In Structured Finance



2678864


Transactions," published Oct. 9, 2014) present our methodology and assumptions for assessingcertain operational risks (severity, portability, and disruption risks) associated with asset typesand key transaction parties (KTPs) that provide an essential service to a structured finance issuer.According to the criteria, we cap the ratings on a transaction if we believe operational risk couldlead to credit instability and affect the ratings.

As provided in the operational risk criteria, for severity risk and portability risk, there are threepossible rankings: "high," "moderate," or "low." For disruption risk, there are four possiblerankings: "very high," "high," "moderate," or "low."

According to our criteria, we rank severity and portability risk for nonprime residential mortgagecollateral as moderate and low, respectively. For this transaction, the master servicer, NationstarMortgage LLC, is the KTP. We consider the disruption risk for Nationstar Mortgage LLC as low.Given these risk assessments, our criteria does not cap the ratings on the transaction.

Related Criteria

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

- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates InStructured Finance, Oct. 18, 2019

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

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

- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating StructuredFinance Securities: Methodology And Assumptions, Jan. 30, 2019

- Criteria | Structured Finance | RMBS: U.S. Residential Mortgage Operational AssessmentRanking Criteria, Feb. 22, 2018

- Criteria | Structured Finance | RMBS: Methodology And Assumptions For Rating U.S. RMBSIssued 2009 And Later, Feb. 22, 2018

- Criteria | Structured Finance | RMBS: Assumptions Supplement For Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later, Feb. 22, 2018

- General Criteria: Methodology For Linking Long-Term And Short-Term Ratings, April 7, 2017

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

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

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

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



2678864


Related Research

- S&P Global Ratings Publishes List Of Third-Party Due Diligence Firms Reviewed For U.S. RMBSAs Of May 12, 2021, May 12, 2021

- Economic Outlook U.S. Q2 2021: Let The Good Times Roll, March 24, 2021

- Select Servicer List, June 3, 2021

- S&P Global Ratings Definitions, Jan. 5, 2021

- Servicer Evaluation: Nationstar Mortgage LLC, Dec. 22, 2020

- Servicer Evaluation: Select Portfolio Servicing Inc., July 23, 2020

- S&P Global Ratings Is Assessing The Impact Of COVID-19 On Mortgage Market Outlooks ForGlobal RMBS, April 17, 2020

- Guidance: Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later, April17, 2020

- U.S. Residential Mortgage Input File Format For LEVELS, March 6, 2020

- Credit Rating Model: LEVELS Model For U.S. Residential Mortgage Loans, Aug. 5, 2019

- Key Factors For Assessing U.S. Non-Qualified Mortgage Bank Statement Loans, April 10, 2019

- Credit Rating Model: Intex RMBS Cash Flow Model, April 7, 2017

- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top FiveMacroeconomic Factors, Dec. 16, 2016

- Standard & Poor's Comfortable With SFIG Draft Proposal Regarding TRID Due Diligence, April25, 2016

- Older RMBS Transactions Face Increased Tail Risk As Their Pools Shrink, Aug. 9, 2012



2678864


S&P may receive compensation for its ratings and certain credit-related analyses, normally from issuers or underwriters of securities or from obligors.S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites,www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributedthrough other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available atwww.standardandpoors.com/usratingsfees.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respectiveactivities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has establishedpolicies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed andnot statements of fact. S&P's opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase,hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation toupdate the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment andexperience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not actas a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable,S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-relatedpublications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limitedto, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certainregulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Partiesdisclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damagealleged to have been suffered on account thereof.

Copyright © 2021 Standard & Poor's Financial Services LLC. All rights reserved.

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any partthereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrievalsystem, without the prior written permission of Standard & Poor's Financial Services LLC or its affiliates (collectively, S&P). The Content shall not beused for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees oragents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are notresponsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or forthe security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESSOR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE ORUSE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT'S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THECONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct,indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, withoutlimitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advisedof the possibility of such damages.

Standard & Poor’s | Research | June 24, 2021 30

2678864


Documents

Arroyo Mortgage Trust 2021-1R