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Rating Action:

Moody's assigns provisional ratings to Prime RMBS issued by GS Mortgage-Backed Securities Trust 2020-PJ4

14 Sep 2020

New York, September 14, 2020 -- Moody's Investors Service (Moody's) has assigned provisional ratings to 19 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust (GSMBS) 2020-PJ4. The ratings range from (P)Aaa (sf) to (P)B2 (sf).

GSMBS 2020-PJ4 is the fourth prime jumbo transaction in 2020 issued by Goldman Sachs Mortgage Company (GSMC or sponsor). GSMC is an affiliate of Goldman Sachs & Co. LLC (Goldman Sachs). The certificates are backed by 610 first lien 30-year, fully-amortizing fixed-rate mortgage loans with a total balance of $464,388,676 as of September 1, 2020, the cut-off date. Government sponsored enterprises eligible loans (GSE-eligible loans) comprise $142,900,197 of the pool balance, representing 30.77% of the total pool. All the loans are subject to the Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules and are categorized as QM-Safe Harbor or QM-Agency Safe Harbor.

The mortgage loans for this transaction were acquired by the seller and sponsor, GSMC from United Wholesale Mortgage, LLC (United Wholesale Mortgage) - 19.8%, loanDepot.com, LLC (loanDepot) - 16.4%, Maxex Clearing, LLC (Maxex) - 15.5%, Guaranteed Rate, Inc. (Guaranteed Rate) - 13.1%, and Movement Mortgage, LLC (Movement Mortgage) - 9.6%. The remaining sellers have less than 9% by loan balance of the pool.

The weighted average (WA) loan-to-value (LTV) ratio, WA FICO and WA mortgage rate of the mortgage pool is 70.7%, 772, and 3.7%, respectively, which is in line with the GSMBS 2019-PJ3 and the GSMBS 2019-PJ2 transactions (collectively, GSMBS PJ3 and PJ2), and also with other prime jumbo transactions we have recently rated. Other characteristics of the loans in the pool are also generally comparable to that of GSMBS PJ3 and PJ2, and other recent prime jumbo transactions. .

As of the cut-off date, all of the mortgage loans are current and no borrower has entered into a COVID-19 related forbearance plan with the servicer. Although not disclosed in any transaction documents, the sponsor has indicated that as a matter of practice, they will remove any loan that goes into a COVID-19 related forbearance between the cut-off date and the closing date. In the event that after the closing date a borrower enters into or requests a COVID-19 related forbearance plan, such mortgage loan (and the risks associated with it) will remain in the mortgage pool.

NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service 100% of the pool. The servicing fee for loans serviced by Shellpoint will be 0.04%. We consider the servicing fee charged by Shellpoint low compared to the industry standard of 0.25% for prime fixed rate loans and in the event of a servicing transfer, the successor servicer may not accept such an arrangement. However, the transaction documents provide that any successor servicer to Shellpoint will be paid the successor servicing fee rate of 0.25%, which is not limited to the Shellpoint servicing fee rate.

Wells Fargo Bank, N.A. (Wells Fargo, long term deposit, Aa1; long term debt Aa2) will be the master servicer and securities administrator. U.S. Bank Trust National Association will be the trustee. Pentalpha Surveillance LLC will be the representations and warranties (R&W) breach reviewer.

We analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. In addition, we adjusted our expected losses based on qualitative attributes, including origination quality, the financial strength of the R&W breach provider and third party review (TPR) results.

Distributions of principal and interest and loss allocations are based on a typical shifting interest structure with a five-year lockout period that benefits from a senior and subordination floor. We coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: GS Mortgage-Backed Securities Trust 2020-PJ4

Cl. A-1, Assigned (P)Aaa (sf)

Cl. A-2, Assigned (P)Aaa (sf)

Cl. A-3, Assigned (P)Aa1 (sf)

Cl. A-4, Assigned (P)Aa1 (sf)

Cl. A-5, Assigned (P)Aaa (sf)

Cl. A-6, Assigned (P)Aaa (sf)

Cl. A-7, Assigned (P)Aaa (sf)

Cl. A-8, Assigned (P)Aaa (sf)

Cl. A-9, Assigned (P)Aaa (sf)

Cl. A-10, Assigned (P)Aaa (sf)

Cl. B, Assigned (P)Baa1 (sf)

Cl. B-1, Assigned (P)Aa3 (sf)

Cl. B-1A, Assigned (P)Aa3 (sf)

Cl. B-2, Assigned (P)A3 (sf)

Cl. B-2A, Assigned (P)A3 (sf)

Cl. B-3, Assigned (P)Baa3 (sf)

Cl. B-3A, Assigned (P)Baa3 (sf)

Cl. B-4, Assigned (P)Ba3 (sf)

Cl. B-5, Assigned (P)B2 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Our expected losses in a base case scenario are 0.38% at the mean and 0.18% at the median. Our losses reach 5.18% at a stress level consistent with our Aaa ratings.

The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Our analysis has considered the effect on the performance of residential mortgage loans from the current weak US economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous, and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around our forecasts is unusually high. We regard the coronavirus outbreak as a social risk under our ESG framework, given the substantial implications for public health and safety.

The contraction in economic activity in the second quarter was severe and the overall recovery in the second half of the year will be gradual. However, there are significant downside risks to our forecasts in the event that the pandemic is not contained, and lockdowns have to be reinstated. As a result, the degree of uncertainty around our forecasts is unusually high. We increased our model-derived median expected losses by 15% (9.79% for the mean) and our Aaa losses by 5% to reflect the likely performance deterioration resulting from a slowdown in US economic activity in 2020 due to the coronavirus outbreak.

We base our ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, our assessments of the origination quality and servicing arrangement, strength of the TPR and the R&W framework of the transaction.

Collateral Description

GSMBS 2020-PJ4 is a securitization of a pool of 610 first lien primarily 30-year fully-amortizing fixed-rate mortgage loans with a total balance of $464,388,676 as of the cut-off date, with a WA remaining term to maturity of 353 months and a WA seasoning of 6 months. The WA FICO score of the borrowers in the pool is 772. The WA LTV ratio of the mortgage pool is 70.7%, which is in line with GSMBS PJ3 and PJ2 and J.P. Morgan Mortgage Trust (JPMMT) prime jumbo transactions which had WA LTVs of about 70% on average. Other characteristics of the loans in the pool are also generally comparable to that of GSMBS PJ3 and PJ2, and recent JPMMT prime jumbo transactions. The mortgage loans in the pool were originated mostly in California (47.5% by loan balance).

Approximately 5.25% of the pool balance (40 loans) are appraisal waiver loans. Such loans do not have a traditional appraisal but instead use an estimate of value or sales price, which is typically provided by the seller, for the purposes of underwriting the loan. Such loans are typically assessed by Freddie Mac (via Loan Product Advisor) or Fannie Mae (via Desktop Underwriter) to be identified as eligible for the appraisal waiver program. All the appraisal waiver loans in the pool have an exterior-only inspection residential appraisal report (Form 2055). Since the appraisal waiver product was introduced relatively recently, in a positive macro-economic environment, sufficient time has not passed to determine whether the loan level valuation risk related to a GSE-eligible loan with an appraisal waiver is the same as a GSE-eligible loan with a traditional appraisal due to lack of significant data. To account for the risk associated with this product, we increased our base case and Aaa loss expectations for all such loans to account for the lack of appraisal.

Although there are no loans in the pool that are currently delinquent, there are 17 loans in the pool that have some history of delinquency. Of these 17 delinquent loans, 7 delinquencies were COVID-19 related delinquencies and were under a forbearance plan. Of the remaining 10 loans, 9 loans were delinquent for other reasons and 1 delinquent loan was related to servicer transfer. Of note, there were 4 borrowers that had entered into a COVID-19 forbearance plan but never exercised any forbearance option and were always current. We did not make any adjustment for COVID-19 impacted loans in our analysis as the borrowers paid the delinquent amount, became current, and were thus reinstated. We also did not make any adjustments to non-COVID-19 delinquent loans as a majority of them had one 30-day delinquency over the past 12 months. Although not disclosed in any transaction documents, the sponsor has indicated that as a matter of practice, they will remove any loan that goes into a COVID-19 related forbearance between the cut-off date and the closing date.

Aggregator/Origination Quality

GSMC is the loan aggregator and mortgage seller for the transaction. GSMC's general partner is Goldman Sachs Real Estate Funding Corp. and its limited partner is Goldman Sachs Bank USA. Goldman Sachs Real Estate Funding Corp. is a wholly owned subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital markets group within Goldman Sachs. Senior management averages 16 years of mortgage experience and 15 years of Goldman Sachs tenure.

GSMC generally acquires mortgage loans on a bulk or flow basis. Bulk and flow purchases are made from loan sellers subject to GSMC's counterparty approval process. The loans sold to the trust come from bulk purchases and from unaffiliated third-party originators/sellers. We consider GSMC's aggregation platform to be relatively weaker than that of peers due to the lack of sufficiently available historical performance and limited quality control process. Nevertheless, since these loans were originated to the sellers' underwriting guidelines and we reviewed each of the seller which contributed at least 9% of the loans to the transaction (United Wholesale Mortage, loanDepot, Maxex, Guaranteed Rate, and Movement Mortgage), among other considerations, their underwriting guidelines, performance history, policies and documentation (to the extent available, respectively), we did not apply a separate loss-level adjustment for aggregation quality. Instead, we based our loss-level adjustments on our reviews of each of the sellers.

We generally assess originators whose loans constitute more than 10% of an RMBS portfolio, identifying any business strategies, policies, procedures, and underwriting guidelines that could affect their loans' performance. We might make this assessment in a single deal as a part of relevant transaction analysis or use findings from our previously performed originator (or aggregator) review. United Wholesale Mortgage, loan Depot, Maxex, Guaranteed Rate and Movement Mortgage sold 19.8%, 16.4%, 15.5%, 13.1% and 9.6% of the mortgage loans, respectively. Loans sold by other sellers comprise less than 9% (by loan balance) of the pool. With one exception, we did not make an adjustment for GSE-eligible loans, regardless of the originator, since those loans were underwritten in accordance with agency guidelines.

Because we consider loanDepot and Flagstar Bank, FSB to have adequate residential prime jumbo loan origination practices and to be in line with peers due to: (1) adequate underwriting policies and procedures, (2) consistent performance with low delinquency and repurchase and (3) adequate quality control, we did not make any adjustments to our loss levels for these loans. Furthermore, because we consider Caliber Home Loans Inc. to have stronger residential prime jumbo loan origination practices than their peers due to their strong underwriting processes and solid loan performance, we decreased our base case and Aaa (sf) loss expectations for non-conforming loans sold by Caliber Home Loans. In contrast, after reviewing the underwriting guidelines, quality control processes policies and practices, and available loan performance information, we increased our base case and Aaa loss assumption for the loans originated by United Wholesale Mortgage, Maxex and Movement mortgage. Finally, we increased our base case and Aaa (sf) loss assumption for all of the loans underwritten per Home Point Financial Corporation's guidelines due to limited historical performance data, reduced retail footprint which limits the originator's oversight on originations, and lack of strong controls to support recent rapid growth.

Servicing Arrangement

We consider the overall servicing arrangement for this pool to be adequate, and as a result we did not make any adjustments to our base case and Aaa stress loss assumptions based on the servicing arrangement.

Shellpoint will be the named primary servicer for this transaction and will service 100% of the pool. Shellpoint is an approved servicer in good standing with Ginnie Mae, Fannie Mae and Freddie Mac. Shellpoint's primary servicing location is located in Greenville, South Carolina. Shellpoint services residential mortgage assets for investors that include banks, financial services companies, GSEs and government agencies. As of August 31, 2020, the company's servicing portfolio totaled approximately 1,526,989 loans with an unpaid principal balance of approximately $268 billion. Shellpoint's senior management team has an average of more than 15 years' industry experience, providing a solid base of knowledge and leadership to the company's servicing division.

Shellpoint will be paid a flat servicing fee of 0.04% per annum. We consider the servicing fee charged by Shellpoint as low compared to the industry standard of 0.25% for prime fixed rate loans. In the event of a servicing transfer, the successor servicer may not accept such an arrangement. However, the transaction documents provide that any successor servicer to Shellpoint will be paid the successor servicing fee rate of 0.25%, which is not limited to the Shellpoint servicing fee rate. The holder of 100% of the voting interests in the Class A-IO-S certificates will have the right to terminate Shellpoint and any successor servicer of the mortgage loans at any time subject to the terms of the servicing agreement, the consent of the master servicer and certain other conditions.

Trustee and Master Servicer

The transaction trustee is U.S. Bank Trust National Association (U.S. Bank Trust). U.S. Bank Trust is a national banking association and a wholly owned subsidiary of U.S. Bank National Association, the fifth largest commercial bank in the United States. U.S. Bank Trust has provided owner trustee services since the year 2000.

Wells Fargo will act as master servicer and securities administrator under the sale and servicing agreement and as custodian under the custodial agreement. Wells Fargo is a national banking association and a wholly-owned subsidiary of Wells Fargo & Company. A diversified financial services company, Wells Fargo & Company is a U.S. bank holding company with approximately $1.9 trillion in assets and approximately 266,000 employees as of June 30, 2020. As master servicer, Wells Fargo is responsible for servicer oversight, the termination of servicers and the appointment of successor servicers. We consider the presence of an experienced master servicer such as Wells Fargo to be a mitigant for any servicing disruptions. Wells Fargo is committed to act as successor servicer if no other successor servicer can be engaged.

Third-party Review

Five TPR firms verified the accuracy of the loan-level information that we received from the sponsor. The TPR firms conducted detailed credit, regulatory compliance, property valuation and data integrity reviews on 100% of the mortgage pool. The TPR results indicated compliance with the sellers' underwriting guidelines for the vast majority of loans, no material compliance issues and no material appraisal defects. The loans that had exceptions to the originators' underwriting guidelines had strong documented compensating factors such as significant liquid assets, low LTVs and consistent long-term employment. The TPR firms also identified minor compliance exceptions for reasons such as inadequate RESPA disclosures (which do not have assignee liability) and TILA/RESPA Integrated Disclosure (TRID) violations related to fees that were out of variance but then were cured and disclosed. Furthermore, the majority of the data integrity errors were due to minor discrepancies which were corrected in the final collateral tape and thus we did not make any adjustments to our credit enhancement. As a result, we did not make any adjustments to our expected or stress loss levels due to the TPR results.

Representations & Warranties

GSMBS 2020-PJ4's R&W framework is in line with that of GSMBS PJ3 and PJ2 and JPMMT transactions where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Our review of the R&W framework takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and the R&W enforcement mechanism.

Each of the originators in this pool will make certain R&Ws concerning the mortgage loans (R&W providers). The R&W providers vary in financial strength. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. Because the R&W providers in this transaction are unrated and/or exhibit limited financial flexibility we applied an adjustment to the loans for which these entities provided R&Ws. With respect to certain R&Ws, GSMC will make a "gap" representation covering the period from the date on which the related originator made the related representation and warranty to the cut-off date or closing date, as applicable. GSMC will not backstop any R&W providers who may become financially incapable of repurchasing mortgage loans. In fact, none of the mortgage loan seller, the depositor, the servicer or any other party will backstop the obligations of any originator or aggregator with respect to breaches of the mortgage loan representations and warranties.

The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws we identified for US RMBS. Among other considerations, the R&Ws address property valuation, underwriting, fraud, data accuracy, regulatory compliance, the presence of title and hazard insurance, the absence of material property damage, and the enforceability of the mortgage. Of note, for appraisal waiver loans (5.25% of the pool by balance), the breach reviewer will check if the relevant AUS underwriting documentation, DU-LP underwriter findings report or a loan prospector full feedback certificate marked "Approve/Eligible or "Accept" as applicable, is available and whether the appraisal waiver valuation was obtained within four months prior to the origination date. A test failure would occur only if the required AUS documentation was missing or the appraisal waiver valuation date was more than four months old from the date of origination. The transaction has a number of knowledge qualifiers, which do not appear material. While a few R&Ws sunset after three years, all of these provisions are subject to performance triggers which extend the R&W an additional three years based on the occurrence of certain events of delinquency.

The R&W enforcement mechanism is adequate. We analyzed the triggers for breach review, the scope of the review, the consistency and transparency of the review, and the likelihood that a breached R&W would be put back to the R&W provider. The breach review is systematic, transparent, consistent and independent. The transaction documents prescribe a comprehensive set of tests that the breach reviewer will perform to test whether the R&Ws are breached. The tests, for the most part, are thorough, transparent and consistent because the same tests will be performed for each loan and the breach reviewer will report the results.

The review triggers are fairly strong. Depending on the particular R&W, the breach reviewer performs the review (a) when the mortgage loan is 120 days or more delinquent, (b) if the related servicer determines that future advances are non-recoverable and stops advancing or (c) if the mortgage loan liquidates with a realized loss. In accordance with the R&W review procedures undertaken by the breach reviewer, if the breach reviewer determines that there has been a material test failure of a test in respect of a R&W, a repurchase request will be made of the related responsible party. In such case, the related responsible party may (1) dispute the repurchase request, (2) cure the breach, (3) repurchase the affected mortgage loan from the issuing entity or pay the realized loss amount with respect to such affected mortgage loan, as applicable, or (4) in some circumstances, substitute another mortgage loan. Overall, this remedy mechanism is consistent with GSMBS 2019-PJ3 and JPMMT prime jumbo transactions. Because third-party review was conducted on 100% of the pool with adequate results, this mitigates the risk of future R&W violations.

Tail Risk and Locked Out Percentage

The securitization is a single pool which has a shifting interest structure that benefits from a senior subordination floor and a subordinate floor. For deals in which the issuer does not exercise a clean-up call option, the remaining subordination at the tail end of transaction's life could become insufficient to support high ratings on senior bonds as tranche performance depends highly on the performance of a small number of loans. To address this risk, the transaction has a senior floor of 1.10% and a locked out percentage of 0.80%, both expressed as a percentage of the closing pool balance. The subordinate locked out amount protects both the senior tranches and non-locked subordinate tranches. It diverts allocable principal payments from locked out subordinate tranches to the non-locked subordinate tranches. Of note, other than the subordinate class with the lowest numercial class designation then outstanding, a subordinate tranche is locked out if its outstanding balance plus the outstanding balance of all classes subordinate to it is reduced to or falls below 0.80% of the mortgage balance as of the cut-off date (locked out amount). If the subordinate class with the lowest numerical class designation is paid to zero and the aggregate amount of outstanding subordinate tranches is equal to or less than the locked out amount, than the allocable principal payments from all subordinate tranches are diverted to pay senior tranches until they are paid off.

Transaction Structure

The transaction uses the shifting interest structure in which the senior bonds benefit from a number of protections. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next, principal payments are made to the senior bonds. Next, available distribution amounts are used to reimburse realized losses and certificate write-down amounts for the senior bonds (after subordinate bond have been reduced to zero, i.e. the credit support depletion date). Finally, interest and then principal payments are paid to the subordinate bonds in sequential order.

Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balance of the subordinate bonds is written off, losses from the pool begin to write off the principal balance of the senior support bond, and finally losses are allocated to the super senior bonds.

In addition, the pass-through rate on the bonds is based on the net WAC as reduced by the sum of (i) the reviewer annual fee rate and (ii) the capped trust expense rate. In the event that there is a small number of loans remaining, the last outstanding bonds' rate can be reduced to zero.

COVID-19 Impacted Borrowers

As of the cut-off date, no borrower under any mortgage loan has entered into a COVID-19 related forbearance plan with the servicer. Although not disclosed in any transaction documents, the sponsor has indicated that as a matter of practice, they will remove any loan that goes into a COVID-19 related forbearance between the cut-off date and the closing date. In the event that after the closing date a borrower enters into or requests a COVID-19 related forbearance plan, such mortgage loan (and the risks associated with it) will remain in the mortgage pool.

In the event the servicer enters into a forbearance plan with a COVID-19 impacted borrower, the servicer will report such mortgage loan as delinquent (to the extent payments are not actually received from the borrower) and the servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such loan during the forbearance period (unless the servicer determines any such advances would be a nonrecoverable advance). At the end of the forbearance period, if the borrower is able to make the current payment on such mortgage loan but is unable to make the previously forborne payments as a lump sum payment or as part of a repayment plan, then such principal forbearance amount will be recognized as a realized loss. At the end of the forbearance period, if the borrower repays the forborne payments via a lump sum or repayment plan, advances will be recovered via the borrower payment(s). In an event of modification, Shellpoint will recover advances made during the period of COVID-19 related forbearance from pool level collections.

Any principal forbearance amount created in connection with any modification (whether as a result of a COVID-19 forbearance or otherwise) will result in the allocation of a realized loss and to the extent any such amount is later recovered, will result in the allocation of a subsequent recovery.

Factors that would lead to an upgrade or downgrade of the ratings:

Down

Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud.

Up

Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market.

Methodology

The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1201303. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1245316.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.

At least one ESG consideration was material to the credit rating action(s) announced and described above.

The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Jay H. Thacker
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Sonny Weng
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

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CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND/OR ITS CREDIT RATINGS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY'S (COLLECTIVELY, "PUBLICATIONS") MAY INCLUDE SUCH  CURRENT OPINIONS. MOODY'S INVESTORS SERVICE DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY'S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY'S INVESTORS SERVICE CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS ("ASSESSMENTS"), AND  OTHER OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY'S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY'S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES  ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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Moody's Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody's Corporation ("MCO"), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody's Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody's Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and Moody's investors Service also maintain policies and procedures to address the independence of Moody's Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody's Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading "Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy."

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY'S affiliate, Moody's Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody's Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to "wholesale clients" within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY'S that you are, or are accessing the document as a representative of, a "wholesale client" and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to "retail clients" within the meaning of section 761G of the Corporations Act 2001. MOODY'S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. ("MJKK") is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody's Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody's SF Japan K.K. ("MSFJ") is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization ("NRSRO"). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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