New York, September 24, 2020 -- Moody's Investors Service, ("Moody's") has
assigned provisional ratings to 61 classes of residential mortgage-backed
securities (RMBS) issued by J.P. Morgan Mortgage Trust (JPMMT)
2020-LTV2. The ratings range from (P)Aaa (sf) to (P)B3 (sf).
The certificates are backed by 587 fully-amortizing fixed-rate
mortgage loans with a total balance of $406,244,792
as of the August 31, 2020 cut-off date. The loans
have original terms to maturity of 30 years. Similar to prior JPMMT
transactions, JPMMT 2020-LTV2 includes agency-eligible
mortgage loans (approximately 7.32% by loan balance) underwritten
to the government sponsored enterprises (GSE) guidelines, in addition
to prime jumbo non-agency eligible mortgages purchased by J.P.
Morgan Mortgage Acquisition Corp. (JPMMAC), the sponsor and
mortgage loan seller, from various originators and aggregators.
The characteristics of the mortgage loans underlying the pool are generally
comparable to those of other JPMMT transactions backed by prime mortgage
loans that we have rated. As of the cut-off date,
no borrower under any mortgage loan has entered into a COVID-19
related forbearance plan with the servicer.
United Shore Financial Services, LLC dba United Wholesale Mortgage
and Shore Mortgage (United Shore) originated approximately 73.28%
of the mortgage loans (by balance) in the pool. All other originators
accounted for less than 10% of the pool by balance. With
respect to the mortgage loans, each originator made a representation
and warranty (R&W) that the mortgage loan constitutes a qualified
mortgage (QM) under the QM rule.
United Shore will service about 72.2% (subserviced by Cenlar,
FSB) and loanDepot.com, LLC (loanDepot) will service about
0.7% (subserviced by Cenlar, FSB). JPMorgan
Chase Bank, N.A. (JPMCB) will service 7.4%.
NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage
Servicing (Shellpoint) will service about 19.7% of the mortgage
loans on behalf of JPMorgan Chase Bank, N.A. (JPMCB).
Shellpoint will act as interim servicer for the JPMCB mortgage loans from
the closing date until the servicing transfer date, which is expected
to occur on or about November 1, 2020 (but which may occur after
such date). After the servicing transfer date, these mortgage
loans will be serviced by JPMCB.
The servicing fee for loans serviced by JPMCB (and Shellpoint, until
the servicing transfer date), loanDepot and United Shore will be
based on a step-up incentive fee structure and additional fees
for servicing delinquent and defaulted loans. Nationstar Mortgage
LLC (Nationstar) will be the master servicer and Citibank, N.A.
(Citibank) will be the securities administrator and Delaware trustee.
Pentalpha Surveillance LLC will be the R&W breach reviewer.
Three third-party review (TPR) firms verified the accuracy of the
loan level information. These firms conducted detailed credit,
property valuation, data accuracy and compliance reviews on 100%
of the mortgage loans in the collateral pool.
Distributions of principal and interest (P&I) and loss allocations
are based on a typical shifting interest structure that benefits from
senior and subordination floors. We coded the cash flow to each
of the certificate classes using Moody's proprietary cash flow tool.
In coding the cash flow, we took into account the step-up
incentive servicing fee structure.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2020-LTV2
Cl. A-1, Rating Assigned (P)Aaa (sf)
Cl. A-2, Rating Assigned (P)Aaa (sf)
Cl. A-3, Rating Assigned (P)Aaa (sf)
Cl. A-3-A, Rating Assigned (P)Aaa (sf)
Cl. A-3-X*, Rating Assigned (P)Aaa (sf)
Cl. A-4, Rating Assigned (P)Aaa (sf)
Cl. A-4-A, Rating Assigned (P)Aaa (sf)
Cl. A-4-X*, Rating Assigned (P)Aaa (sf)
Cl. A-5, Rating Assigned (P)Aaa (sf)
Cl. A-5-A, Rating Assigned (P)Aaa (sf)
Cl. A-5-B, Rating Assigned (P)Aaa (sf)
Cl. A-5-X-1*, Rating Assigned (P)Aaa
Cl. A-5-X-2*, Rating Assigned (P)Aaa
Cl. A-6, Rating Assigned (P)Aaa (sf)
Cl. A-6-A, Rating Assigned (P)Aaa (sf)
Cl. A-6-X*, Rating Assigned (P)Aaa (sf)
Cl. A-7, Rating Assigned (P)Aaa (sf)
Cl. A-7-A, Rating Assigned (P)Aaa (sf)
Cl. A-7-X*, Rating Assigned (P)Aaa (sf)
Cl. A-8, Rating Assigned (P)Aaa (sf)
Cl. A-8-A, Rating Assigned (P)Aaa (sf)
Cl. A-8-X*, Rating Assigned (P)Aaa (sf)
Cl. A-9, Rating Assigned (P)Aaa (sf)
Cl. A-9-A, Rating Assigned (P)Aaa (sf)
Cl. A-9-B, Rating Assigned (P)Aaa (sf)
Cl. A-9-X-1*, Rating Assigned (P)Aaa
Cl. A-9-X-2*, Rating Assigned (P)Aaa
Cl. A-10, Rating Assigned (P)Aaa (sf)
Cl. A-10-A, Rating Assigned (P)Aaa (sf)
Cl. A-10-B, Rating Assigned (P)Aaa (sf)
Cl. A-10-X-1*, Rating Assigned (P)Aaa
Cl. A-10-X-2*, Rating Assigned (P)Aaa
Cl. A-11, Rating Assigned (P)Aaa (sf)
Cl. A-11-X*, Rating Assigned (P)Aaa (sf)
Cl. A-11-A, Rating Assigned (P)Aaa (sf)
Cl. A-11-AI*, Rating Assigned (P)Aaa (sf)
Cl. A-11-B, Rating Assigned (P)Aaa (sf)
Cl. A-11-BI*, Rating Assigned (P)Aaa (sf)
Cl. A-12, Rating Assigned (P)Aaa (sf)
Cl. A-13, Rating Assigned (P)Aaa (sf)
Cl. A-14, Rating Assigned (P)Aa1 (sf)
Cl. A-15, Rating Assigned (P)Aa1 (sf)
Cl. A-16, Rating Assigned (P)Aaa (sf)
Cl. A-17, Rating Assigned (P)Aaa (sf)
Cl. A-X-1*, Rating Assigned (P)Aa1 (sf)
Cl. A-X-2*, Rating Assigned (P)Aa1 (sf)
Cl. A-X-3*, Rating Assigned (P)Aaa (sf)
Cl. A-X-4*, Rating Assigned (P)Aa1 (sf)
Cl. B-1, Rating Assigned (P)Aa3 (sf)
Cl. B-1-A, Rating Assigned (P)Aa3 (sf)
Cl. B-1-X*, Rating Assigned (P)Aa3 (sf)
Cl. B-2, Rating Assigned (P)A2 (sf)
Cl. B-2-A, Rating Assigned (P)A2 (sf)
Cl. B-2-X*, Rating Assigned (P)A2 (sf)
Cl. B-3, Rating Assigned (P)Baa3 (sf)
Cl. B-3-A, Rating Assigned (P)Baa3 (sf)
Cl. B-3-X*, Rating Assigned (P)Baa3 (sf)
Cl. B-4, Rating Assigned (P)Ba3 (sf)
Cl. B-5, Rating Assigned (P)B3 (sf)
Cl. B-5-Y, Rating Assigned (P)B3 (sf)
Cl. B-X*, Rating Assigned (P)Baa1 (sf)
*Reflects Interest-Only Classes
Summary Credit Analysis and Rating Rationale
Moody's expected loss for this pool in a baseline scenario-mean
is 1.96%, in a baseline scenario-median is
1.42%, and reaches 16.04% 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.
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 15.00% (11.97% for
the mean) and our Aaa losses by 5.00% to reflect the likely
performance deterioration resulting from of a slowdown in US economic
activity in 2020 due to the coronavirus outbreak.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
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, the strength
of the TPR and the R&W framework of the transaction.
JPMMT 2020-LTV2 is a securitization of a pool of 587 fully-amortizing
fixed-rate mortgage loans with a total balance of $406,244,792
as of the cut-off date, with a weighted average (WA) remaining
term to maturity of 354 months, and a WA seasoning of 6 months.
The WA current FICO score is 751 and the WA original combined loan-to-value
ratio (CLTV) is 87.8%. About 85.8%
of the mortgage loans (by balance) were originated through correspondent
(20.2%) and broker (65.6%) channels.
The borrowers have high monthly income (about $21,201 on
WA. average), and significant liquid cash reserve (about
$112,688 on average), all of which have been verified
as part of the underwriting process and reviewed by the third-party
review firms. The GSE-eligible loans have an average balance
of $725,782 compared to the average GSE balance of approximately
$230,000. The higher conforming loan balance is attributable
to the greater amount of properties located in high-cost areas,
such as the metro areas of Los Angeles, San Francisco and New York
City. The GSE-eligible loans, which make up about
7.3% of the JPMMT 2020-LTV2 pool by loan balance,
were underwritten pursuant to GSE guidelines and were approved by DU/LP.
All the loans are subject to the QM and Ability-to-Repay
Overall, the characteristics of the loans underlying the pool are
generally comparable to those of other JPMMT transactions backed by prime
mortgage loans that we have rated.
We consider JPMMAC's aggregation platform to be adequate and we did not
apply a separate loss-level adjustment for aggregation quality.
In addition to reviewing JPMMAC as an aggregator, we have also reviewed
the originator(s) contributing a significant percentage of the collateral
pool (above 10%). Additionally, we did not make an
adjustment for GSE-eligible loans, since those loans were
underwritten in accordance with GSE guidelines. We increased our
base case and Aaa loss expectations for certain originators of non-conforming
loans where we do not have clear insight into the underwriting practices,
quality control and credit risk management. In addition,
we reviewed the loan performance for some of these originators.
We viewed the loan performance as comparable to the GSE loans due to consistently
low delinquencies, early payment defaults and repurchase requests.
United Shore (originator): Loans originated by United Shore have
been included in several prime jumbo securitizations that we have rated.
United Shore originated approximately 73.28% of the mortgage
loans by pool balance (69.31% for non-conforming
loans and 3.97% for conforming loans). The majority
of these loans were originated under United Shore's High Balance Nationwide
program which are processed using the Desktop Underwriter (DU) automated
underwriting system, and are therefore underwritten to Fannie Mae
guidelines. The loans receive a DU Approve Ineligible feedback
due to the loan amount only. We made a negative origination adjustment
(i.e. we increased our loss expectations) for United Shore's
loans due mostly to 1) the lack of statistically significant program specific
loan performance data and 2) the fact that United Shore's High Balance
Nationwide program is unique and fairly new and no performance history
has been provided to Moody's on these loans. Under this program,
the origination criteria rely on the use of GSE tools (DU/LP) for prime-jumbo
non-conforming loans, subject to Qualified Mortgage (QM)
overlays. More time is needed to assess United Shore's ability
to consistently produce high-quality prime jumbo residential mortgage
loans under this program.
We consider the overall servicing arrangement for this pool to be adequate
given the strong servicing arrangement of the servicers, as well
as the presence of a strong master servicer to oversee the servicers.
The servicers are contractually obligated to the issuing entity to service
the related mortgage loans. However, the servicers may perform
their servicing obligations through sub-servicers. In this
transaction, Nationstar Mortgage LLC (Nationstar Mortgage Holdings
Inc. corporate family rating B2) will act as the master servicer.
The servicers are required to advance P&I on the mortgage loans.
To the extent that the servicers are unable to do so, the master
servicer will be obligated to make such advances. In the event
that the master servicer, Nationstar, is unable to make such
advances, the securities administrator, Citibank (rated Aa3)
will be obligated to do so to the extent such advance is determined by
the securities administrator to be recoverable.
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.
JPMMAC will be removing any mortgage loan with respect to which the related
borrower requests or enters into a COVID-19 related forbearance
plan after the cut-off date but on or prior to the closing date,
which would be a closing date substitution amount treated like a prepayment
at month one. 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
Typically, the borrower must contact the servicer and attest they
have been impacted by a COVID-19 hardship and that they require
payment assistance. The servicer will offer an initial forbearance
period to the borrower, which can be extended if the borrower attests
that they require additional payment assistance.
At the end of the forbearance period, if the borrower is unable
to make the forborne payments on such mortgage loan as a lump sum payment
or does not enter into a repayment plan, the servicer may defer
the missed payments, which could be added as a non-interest-bearing
payment due at the end of the loan term. If the borrower can no
longer afford to make payments in line with the original loan terms,
the servicer would typically work with the borrower to modify the loan
(although the servicer may utilize any other loss mitigation option permitted
under the pooling and servicing agreement with respect to such mortgage
loan at such time or any time thereafter).
However, it should be noted that servicing practices, including
tracking COVID-19-related loss mitigation activities,
may vary among servicers in this particular transaction. These
inconsistencies could impact reported collateral performance and affect
the timing of any breach of performance triggers, servicer advance
recoupment, the extent of servicer fees, and additional expenses
for R&W breach reviews when loans become seriously delinquent.
Servicing Fee Framework
The servicing fee for all loans will be based on a step-up incentive
fee structure with a monthly base fee of $40 per loan and additional
fees for delinquent or defaulted loans.
By establishing a base servicing fee for performing loans that increases
when loans become delinquent, the fee-for-service
structure aligns monetary incentives to the servicer with the costs of
servicing. The servicer receives higher fees for labor-intensive
activities that are associated with servicing delinquent loans,
including loss mitigation, than they receive for servicing a performing
loan, which is less costly and labor-intensive. The
fee-for-service compensation is reasonable and adequate
for this transaction because it better aligns the servicer's costs with
the deal's performance. Furthermore, higher fees for the
more labor-intensive tasks make the transfer of these loans to
another servicer easier, should that become necessary.
The incentive structure includes an initial monthly base servicing fee
of $40 for all performing loans and increases according to a pre-determined
delinquent and incentive servicing fee schedule. The delinquent
and incentive servicing fees will be deducted from the available distribution
amount and Class B-6 net WAC. The transaction does not have
a servicing fee cap, so, in the event of a servicer replacement,
any increase in the base servicing fee beyond the current fee will be
paid out of the available distribution amount.
Three TPR firms, AMC Diligence, LLC (AMC), Clayton Services
LLC (Clayton) and Opus Capital Markets Consultants, LLC (Opus) (collectively,
TPR firms) reviewed 100% of the loans in this transaction for credit,
regulatory compliance, property valuation, and data accuracy.
Each mortgage loan was reviewed by only one of the TPR firms and each
TPR firm produced one or more reports detailing its review procedures
and the related results. The TPR results indicated compliance with
the originators' underwriting guidelines for majority of loans,
no material compliance issues and no material appraisal defects.
Overall, the loans that had exceptions to the originators' underwriting
guidelines had strong documented compensating factors such as low DTIs,
low LTVs, high reserves, high FICOs, or clean payment
histories. 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.
While the transaction benefits from strong TPR results for credit and
compliance, the overall property valuation review for this transaction
is weaker than in most prime jumbo transactions we have rated, which
typically had third-party valuation products, such as desktop
appraisals or field reviews, ordered for the vast majority of the
collateral pool. In this transaction, most of the non-conforming
loans originated under United Shore's High Balance Nationwide program
had a property valuation review only consisting of Fannie Mae Collateral
Underwriter (CU) risk scores (in some instances, combined with an
automated valuation model (AVM)) and no other third-party valuation
product such as a collateral desk appraisal (CDA) and field review.
We consider the use of CU risk scores for non-conforming loans
to be credit negative due to (1) the lack of human intervention which
increases the likelihood of missing emerging risk trends, (2) the
limited track record of the software and limited transparency into the
model and (3) GSE focus on non-jumbo loans which may lower reliability
on jumbo loan appraisals. We applied an adjustment to the loss
for such loans since the statistically significant sample size and valuation
results of the loans that were reviewed using a third-party valuation
product such as a CDA and field review were insufficient.
JPMMT 2020-LTV2's R&W framework is in line with that of other
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 considers the financial strength of
the R&W providers, scope of R&Ws (including qualifiers and
sunsets) and enforcement mechanisms. 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. An investment grade rated R&W
provider lends substantial strength to its R&Ws. We analyze
the impact of less creditworthy R&W providers case by case,
in conjunction with other aspects of the transaction.
We made no adjustments to the loans for which JPMorgan Chase Bank,
N.A. (rated Aa2) provided R&Ws since it is a high-rated
and financially stable entity. Furthermore, the R&W provider,
Quicken Loans, LLC (rated Ba1) has a strong credit profile and is
a financially stable entity. However, we applied an adjustment
to our expected losses to account for the risk that Quicken Loans may
be unable to repurchase defective loans in a stressed economic environment
in which a substantial portion of the loans breach the R&Ws,
given that it is a non-bank entity with a monoline business (mortgage
origination and servicing) that is highly correlated with the economy.
We tempered this adjustment by taking into account Quicken Loans' relative
financial strength relative to other originators in this pool.
We applied an adjustment to all other R&W providers that are unrated
and/or financially weaker entities. For loans that JPMMAC acquired
via the MaxEx (MaxEx Clearing LLC) platform, MaxEx under the assignment,
assumption and recognition agreement with JPMMAC, will make the
R&Ws. The R&Ws provided by MaxEx to JPMMAC and assigned
to the trust are in line with the R&Ws found in other JPMMT transactions.
No other party will backstop or be responsible for backstopping any R&W
providers who may become financially incapable of repurchasing mortgage
loans. With respect to the mortgage loan R&Ws made by such
originators or the aggregator, as applicable, as of a date
prior to the closing date, JPMMAC will make a "gap" representation
covering the period from the date as of which such R&W is made by
such originator or the aggregator, as applicable, to the cut-off
date or closing date, as applicable. Additionally,
no party will be required to repurchase or substitute any mortgage loan
until such loan has gone through the review process.
Trustee and Master Servicer
The transaction Delaware trustee is Citibank. The custodian's functions
will be performed by Wells Fargo Bank, N.A. The paying
agent and cash management functions will be performed by Citibank.
Nationstar, as master servicer, is responsible for servicer
oversight, servicer termination and for the appointment of any successor
servicer. In addition, Nationstar is committed to act as
successor if no other successor servicer can be found. The master
servicer is required to advance P&I if the servicer fails to do so.
If the master servicer fails to make the required advance, the securities
administrator is obligated to make such advance.
Tail Risk & Subordination Floor
This deal has a standard shifting interest structure, with a subordination
floor to protect against losses that occur late in the life of the pool
when relatively few loans remain (tail risk). When the total senior
subordination is less than 1.20% of the original pool balance,
the subordinate bonds do not receive any principal and all principal is
then paid to the senior bonds. The subordinate bonds benefit from
a floor as well. When the total current balance of a given subordinate
tranche plus the aggregate balance of the subordinate tranches that are
junior to it amount to less than 1.00% of the original pool
balance, those tranches that are junior to it do not receive principal
distributions. The principal those tranches would have received
is directed to pay more senior subordinate bonds pro-rata.
In addition, until the aggregate class principal amount of the senior
certificates (other than the interest only certificates) is reduced to
zero, if on any distribution date, the aggregate subordinate
percentage for such distribution date drops below 15.00%
of current pool balance, the senior distribution amount will include
all principal collections and the subordinate principal distribution amount
will be zero.
We calculate the credit neutral floors for a given target rating as shown
in our principal methodology. The senior subordination floor is
equal to an amount which is the sum of the balance of the six largest
loans at closing multiplied by the higher of their corresponding MILAN
Aaa severity or a 35% severity. The credit neutral floor
for Aaa rating is $4,296,594. The senior subordination
floor of 1.20% and subordinate floor of 1.00%
are consistent with the credit neutral floors for the assigned ratings.
The transaction has a 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 (other than
the Class A-R Certificates) 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.
The Class A-11, Class A-11-A, Class A-11-B
Certificates will have a pass-through rate that will vary directly
with the rate of one-month LIBOR and the Class A-11-X
Certificates will have a pass-through rate that will vary inversely
with the rate of one-month LIBOR. If the securities administrator
notifies the depositor that it cannot determine one-month LIBOR
in accordance with the methods prescribed in the sale and servicing agreement
and a benchmark transition event has not yet occurred, one-month
LIBOR for such accrual period will be one-month LIBOR as calculated
for the immediately preceding accrual period. Following the occurrence
of a benchmark transition event, a benchmark other than one-month
LIBOR will be selected for purposes of calculating the pass-through
rate on the Class A-11, Class A-11-A,
Class A-11-B certificates.
Factors that would lead to an upgrade or downgrade of the ratings:
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.
Levels of credit protection that are higher than necessary to protect
investors against current expectations of loss could drive the ratings
of the subordinate bonds 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.
The principal methodology used in rating all classes except interest-only
classes 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.
The methodologies used in rating interest-only classes were "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
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179.
Please see the list of ratings at the top of this announcement to identify
which classes are interest-only (indicated by the *).
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
In addition, Moody's publishes a weekly summary of structured finance
credit ratings and methodologies, available to all registered users
of our website, www.moodys.com/SFQuickCheck.
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_1246482
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
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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.
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Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
JOURNALISTS: 1 212 553 0376
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VP - Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653