Moodys.com
Please Note
We brought you to this page based on your search query. If this isn't what you are looking for, you can continue to Search Results for ""
The maximum number of items you can export is 3,000. Please reduce your list by using the filtering tool to the left.
Close
Close
Email Research
Recipient email addresses will not be used in mailing lists or redistributed.
Recipient's
Email

Use semicolon to separate each address, limit to 20 addresses.
Enter the
characters you see
Close
Email Research
Thank you for your interest in sharing Moody's Research. You have reached the daily limit of Research email sharings.
Close
Thank you!
You have successfully sent the research.
Please note: some research requires a paid subscription in order to access.
Already a customer?
LOG IN
Don't want to see this again?
REGISTER
OR
Accept our Terms of Use to continue to Moodys.com:

PLEASE READ AND SCROLL DOWN!

 

By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

 

Terms of One-Time Website Use

 

1.            Unless you have entered into an express written contract with Moody’s to the contrary, you agree that you have no right to use the Information in a commercial or public setting and no right to copy it, save it, print it, sell it, or publish or distribute any portion of it in any form.               

 

2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

 

3.            To the extent permitted by law, Moody’s and its directors, officers, employees, representatives, licensors and suppliers disclaim liability for: (i) any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with use of the Information; and (ii) any direct or compensatory damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud or any other type of liability that by law cannot be excluded) on the part of Moody’s or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with use of the Information.

 

4.            You agree to read [and be bound by] the more detailed disclosures regarding Moody’s ratings and the limitations of Moody’s liability included in the Information.     

 

5.            You agree that any disputes relating to this agreement or your use of the Information, whether sounding in contract, tort, statute or otherwise, shall be governed by the laws of the State of New York and shall be subject to the exclusive jurisdiction of the courts of the State of New York located in the City and County of New York, Borough of Manhattan.​​​

I AGREE
Rating Action:

Moody's assigns provisional ratings to prime RMBS issued by CIM Trust 2020-INV1

09 Sep 2020

New York, September 09, 2020 -- Moody's Investors Service, ("Moody's") has assigned provisional ratings to 34 classes of residential mortgage-backed securities (RMBS) issued by CIM Trust (CIM) 2020-INV1. The ratings range from (P)Aaa (sf) to (P)B3 (sf).

CIM Trust 2020-INV1 (CIM 2020-INV1) the second rated transaction sponsored by Chimera Investment Corporation (Chimera or the sponsor) in 2020, is a prime RMBS securitization of fixed-rate agency-eligible mortgages secured by first liens on non-owner occupied residential investor properties with original term to maturity of up to 30 years. This transaction represents the first investor prime issuance by the sponsor in 2020. The mortgage loans were acquired by the affiliate of the sponsor, Fifth Avenue Trust (seller) from Bank of America National Association (BANA). BANA acquired the mortgage loans through its whole loan purchase program from various originators.

As of the cut-off date of September 1, 2020, the pool contains 1,009 mortgage loans with an aggregate principal balance of $335,064,756 secured by one- to four family residential properties, planned unit developments and condominiums. The average stated principal balance is $332,076 and the weighted average (WA) current mortgage rate is 4.3%. The mortgage pool has a WA original term of approximately 30 years (359 months). The mortgage pool has a WA seasoning of 7.7 months. The borrowers have a WA credit score of 770, WA combined loan-to-value ratio (CLTV) of 64.3% and WA debt-to-income ratio (DTI) of 35.5%. Approximately 13.1% of the pool balance is related to borrowers with more than one mortgage loan in the pool (a total of 121 loans among 55 unique borrowers).

There are 70 loans (6.4% by stated principal balance) which had at least 1 month delinquency in the past 12 months, of which 22 are coronavirus (or COVID-19) related (1.8% by stated principal balance), and approximately 42 loans (4.2% by stated principal balance) experienced a delinquency due to servicing transfers. As of the cut-off date, no borrower under any mortgage loan is currently in an active COVID-19 related forbearance plan with the servicer. All loans in the pool are current as of the cut-off date.

There are 7 originators in the transaction, the largest of which are United Shore Financial Services, LLC (45.0%), loanDepot.com, LLC (43.1%), and Provident Funding Associates, L.P. (5.7%). Each mortgage loan was represented by the related originator to be secured by an investment property (which includes for such purpose both business purpose loans and personal use loans). None of the "business-purpose" mortgage loans included in this transaction are qualified residential mortgages under U.S. risk retention rules. All of the personal use loans are "qualified mortgages" under Regulation Z as result of the temporary provision allowing qualified mortgage status for loans eligible for purchase, guaranty, or insurance by Fannie Mae and Freddie Mac (and certain other federal agencies). As of the closing date, the sponsor or a majority-owned affiliate of the sponsor will retain an eligible horizontal residual interest with a fair value of at least 5% of the aggregate fair value of the certificates issued by the trust, which is expected to satisfy U.S. risk retention rules.

Shellpoint Mortgage Servicing (Shellpoint), a division of NewRez LLC, f/k/a New Penn Financial, LLC, will service all the mortgage loans in the transaction. Wells Fargo Bank, N.A. (Wells Fargo) will be the master servicer. Three third-party review (TPR) firms verified the accuracy of the loan level information that we received from the sponsor. These firms conducted detailed credit, property valuation, data accuracy and compliance reviews on 100% of the mortgage loans in the collateral pool. The TPR results indicate that there are no material compliance, credit, or data issues and no appraisal defects.

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 the financial strength of the representation and warranties (R&W) provider and TPR results.

CIM 2020-INV1 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. We coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In our analysis of tail risk, we considered the increased risk from borrowers with more than one mortgage in the pool.

The complete rating actions are as follows:

Issuer: CIM Trust 2020-INV1

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

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

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

Cl. A-4, Assigned (P)Aaa (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. A-11, Assigned (P)Aaa (sf)

Cl. A-12, Assigned (P)Aaa (sf)

Cl. A-13, Assigned (P)Aa1 (sf)

Cl. A-14, Assigned (P)Aa1 (sf)

Cl. A-15, Assigned (P)Aaa (sf)

Cl. A-16, Assigned (P)Aaa (sf)

Cl. A-IO1*, Assigned (P)Aaa (sf)

Cl. A-IO2*, Assigned (P)Aaa (sf)

Cl. A-IO3*, Assigned (P)Aaa (sf)

Cl. A-IO4*, Assigned (P)Aaa (sf)

Cl. A-IO5*, Assigned (P)Aaa (sf)

Cl. A-IO6*, Assigned (P)Aaa (sf)

Cl. A-IO7*, Assigned (P)Aaa (sf)

Cl. A-IO8*, Assigned (P)Aa1 (sf)

Cl. A-IO9*, Assigned (P)Aaa (sf)

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

Cl. B-IO1*, Assigned (P)Aa3 (sf)

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

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

Cl. B-IO2*, Assigned (P)A3 (sf)

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

Cl. B-3, Assigned (P)Baa2 (sf)

Cl. B-4, Assigned (P)Ba2 (sf)

Cl. B-5, Assigned (P)B3 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is 1.04%, in a baseline scenario-median is 0.68%, and reaches 9.43% 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% (11.39% 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 COVID-19 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 third-party due diligence and the R&W framework of the transaction.

Collateral Description

We assessed the collateral pool as of the cut-off date of September 1, 2020. As of the cut-off date, the $335,064,756 pool consisted of 1,009 fixed rate agency-eligible mortgage loans secured by first liens on non-owner occupied residential investor properties with original terms to maturity up to 30 years (99.5% of pool balance between 25-30 years). All of the loans were originated in accordance with Freddie Mac and Fannie Mae guidelines, which take into consideration, among other factors, the income, assets, employment and credit score of the borrower. All the loans were run through one of the government sponsored enterprises' (GSE) automated underwriting systems (AUS) and received an "Approve" or "Accept" recommendation.

Pool strengths include the high credit quality of the underlying borrowers. The borrowers in this transaction have high FICO scores and sizeable equity in their properties. The WA original primary borrower credit score is 770 and the CLTV is 64.3%. Only one loan in the pool has an LTV ratio greater than 80%. High LTV loans generally have a higher probability of default and higher loss severity compared to lower LTV loans. Additionally, the borrowers have a high WA total monthly income of $17,921 and significant WA liquid cash reserves of $192,626 (approximately 75.6% of the pool has more than the amount of 12 months of mortgage payments in reserve).

Approximately 73.9% (by loan balance) of the properties backing the mortgage loans are located in five states: California, New York, Washington, Colorado and Arizona, with 54.6% (by loan balance) of the properties located in California. Properties located in the states of New Jersey, Texas, Virginia, Oregon and Florida, round out the top ten states by loan balance. Approximately 87.5% (by loan balance) of the properties backing the mortgage loans included in CIM 2020-INV1 are located in these ten states. The top five MSAs by loan balance are Los Angeles (22.1%), New York (9.0%), San Francisco (8.3%), San Diego (5.5%) and San Jose (4.0%). We made adjustments in our analysis to account for this geographic concentration risk.

Overall, the credit quality of the mortgage loans backing this transaction is in line with other transactions issued by other prime issuers.

There are 70 loans which had at least 1 month delinquency in the past 12 months, of which 22 are COVID-19 related (1.8% by stated principal balance), and approximately 42 loans (4.2% by stated principal balance) experienced a delinquency due to servicing transfers. However, all loans in the pool are current as of the cut-off date. Furthermore, as of the cut-off date, no borrower under any mortgage loan is currently in an active COVID-19 related forbearance plan with the servicer. Certain borrowers under mortgage loans in the mortgage pool (44 loans or 4.5% by stated principal balance) previously have entered into a COVID-19 related forbearance plan loans with the servicer and such borrowers have since been reinstated (of which 1.8%, by stated principal balance, experienced a delinquency in the past 12 months). In the event that after the cut-off date a borrower enters into or requests a COVID-19 related forbearance plan, such mortgage loan will remain in the mortgage pool and the servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such mortgage loan during the forbearance period (to the extent such advances are deemed recoverable). Furthermore, any mortgage loan that becomes subject to a forbearance plan will be reported by the servicer as delinquent with respect to each scheduled monthly payment that is subject to the forbearance plan and not made by the related mortgagor during the related forbearance period.

Origination

The seller acquired the mortgage loans from BANA. BANA acquired the loans in the pool from 7 different originators. The largest originators in the pool with more than 10% by balance are United Shore Financial Services, LLC (44.7%) and LoanDepot.com, LLC (43%). The mortgage loans acquired by the seller pursuant to the CIM 2020-INV1 acquisition criteria. Generally, each mortgage loan must (i) be underwritten to conform to the GSE's underwriting standards and have valid findings and an "Approve" or "Accept" response from the requirements of the DU/LP Programs, (ii) have a representative FICO score of greater than or equal to 680, (iii) have a maximum DTI of 45% and (iv) have a LTV ratio of less than or equal to 80%.

United Shore Financial Services, LLC (United Shore): United Shore was founded in 1986 and is headquartered in Pontiac, Michigan. United Wholesale Mortgage, the company's primary business unit, conducts wholesale mortgage lending. United Shore is licensed to originate loans in all 50 states. United Shore funds loans brokered by its broker clients and buys loans originated by its correspondent clients. Its clients include mortgage banks, smaller lenders, credit unions and mortgage brokers and its loan product offerings include FHA, VA and USDA loans, Fannie Mae and Freddie Mac eligible loans, and certain non-conforming loan products. United Shore underwrites all of the loans of its broker and correspondent clients and such underwriting is performed according to, as applicable, agency, investor, private mortgage insurer and United Shore guidelines, United Shore overlays and United Shore product descriptions.

loanDepot.com, LLC (loanDepot): Headquartered in Foothill Ranch, CA, loanDepot is a national retail focused franchise, non-bank lender which originates both agency and non-agency loans. Founded in 2009 and launched in 2010 by Chairman and CEO Anthony Hsieh, loanDepot has funded approximately $180 billion residential mortgage loans as of FY 2019. After its initial launch, loanDepot's growth strategy included acquiring independent retail platforms across the country and using mobile, licensed lending officers to build a nationwide retail presence. loanDepot is primarily engaged in the origination of residential mortgages and home equity loans. loanDepot has management team of experienced operators and lenders, licensed mortgage lender in all 50 states, 6,600 employee, 2,300+ licensed loan officers, 5 national fulfillment centers, 225 local branch offices across the U.S., and generates 900,000+ new leads each month. The company had $180 billion of loan originations in FY19 and is currently originating around ~$7 billion/month. The company had a compounded growth in originations of 40% annually from FY 2010-Q1 2020. In addition to its core lending activities and established capital markets relationships, loanDepot has also invested in several strategic joint ventures whose services complement its core mortgage lending business such as escrow, settlement, title, closing, new home construction and investment management. Partners range from private to public, national and regional, financial services to homebuilders.

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. We increased our loss assumption for the loans originated by Home Point Financial Corporation (4.4% by stated principal balance) due to limited historical performance data, reduced retail footprints which limits the seller'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 service all the mortgage loans in the transaction. Shellpoint is generally obligated to fund monthly advances of cash (to the extent such advances are deemed recoverable) and to make interest payments to compensate in part for any shortfall in interest payments due to prepayment of the mortgage loans. Shellpoint services a variety of residential mortgage products including conforming first lien mortgages, super-jumbo mortgages, non-conforming first and second lien mortgages and both open and closed home equity lines of credit (HELOCS). Shellpoint is an approved servicer in good standing with Ginnie Mae, Fannie Mae and Freddie Mac. 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.

Wells Fargo, the master servicer, will monitor the performance of the servicer and will be obligated to fund any required advance and interest shortfall payments if a servicer fails in its obligation to do so. We consider the presence of a strong master servicer to be a mitigant for any servicing disruptions. Our evaluation of Wells Fargo as a master servicer takes into account the bank's strong reporting and remittance procedures, servicer compliance and monitoring capabilities and servicing stability. Wells Fargo's oversight encompasses loan administration, default administration, compliance and cash management.

Also, at its option, the controlling holder may engage, at its own expense, an asset manager to review the actions of any party servicing the mortgage loans with respect to their actions (including making determinations regarding whether a servicer is making modifications or servicing the mortgage loans in accordance with the terms of the respective agreement.

We did not make any adjustments to our base case and Aaa stress loss assumptions based on the servicing arrangement. We consider the presence of a strong master servicer and the ability of the controlling holder to appoint an asset manager to review the actions of any party servicing the mortgage loans to be a mitigant against the risk of any servicing disruptions.

Servicing Fee

Shellpoint will be paid a monthly fee calculated as the product of (i) 0.0700% per annum, multiplied by (ii) the stated principal balance of the loans it services as of the first day of the related period divided by (iii) twelve. The per annum servicing fee rate for Shellpoint for any distribution date will not exceed an amount equal to 0.0900% of the aggregate stated principal balance of the mortgage loans as of the first day of the related period.

Wells Fargo will be paid amount equal to the greater of (i) the product of one-twelfth of the master servicing fee rate (0.0265% per annum) and the stated principal balance of each mortgage loan as of the first day of the related due period and (ii) $2,500.

Third Party Review

Three 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. The TPR results indicate that the majority of reviewed loans were in compliance with respective originators' underwriting guidelines, no material compliance or data issues, and no appraisal defects. 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.

The overall property valuation review for this transaction is weaker than other prime 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, for most of the mortgage loans, the original appraisal was evaluated using only an Automatic Valuation Model (AVM). We applied an adjustment to the loss for such loans, since we consider AVMs to be less accurate than desk reviews and field reviews due to inherent data limitations that could adversely impact the reliability of AVM results.

For 29 loans (2.4% by stated principal balance), the file was missing an appraisal because such loan was approved via a property inspection/appraisal waiver program. An appraisal waiver loan is a loan for which a traditional appraisal has been waived. Since the product was only 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. Thus, to account for the risk associated with this product, we increased our base case and Aaa loss expectations for all such loans.

Representation & Warranties

Overall, we assessed R&W framework for this transaction as adequate, consistent with that of other prime transactions for which the breach review process is thorough, transparent and objective, and the costs and manner of review are clearly outlined at issuance. We assessed the R&W framework based on three factors: (a) the financial strength of the remedy provider; (b) the strength of the R&Ws (including qualifiers and sunsets) and (c) the effectiveness of the enforcement mechanisms.

Each originator will provide comprehensive loan level R&Ws for their respective loans. Overall, 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. BANA will assign each originator's R&W to the seller, who will in turn assign to the depositor, which will assign to the trust. To mitigate the potential concerns regarding the originators' ability to meet their respective R&W obligations, the seller (an affiliate of the sponsor) will backstop the R&Ws for all originators loans. The R&W provider's obligation to backstop third party R&Ws will terminate 5 years after the closing date, subject to certain performance conditions. The R&W provider will also provide the gap R&Ws.

The R&W framework is adequate in part because the results of the independent TPRs revealed a high level of compliance with underwriting guidelines and regulations, as well as overall adequate appraisal quality. These results give confidence that the loans do not systemically breach the R&Ws the originators have made and that the originators are unlikely to face material repurchase requests in the future. Furthermore, the transaction has reasonably well-defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent reviewer, when appointed, must review loans for breaches of representations and warranties when certain clearly defined triggers have been breached (review event). A review event will be in effect for a mortgage loan if (i) such mortgage loan has become 120 days or more delinquent, (ii) such mortgage loan is liquidated and such liquidation results in a realized loss, or (iii) the related servicer determines that a monthly advance for a mortgage loan is nonrecoverable. Of note, in a continued effort to focus breach reviews on loans that are more likely to contain origination defects that led to or contributed to the delinquency of the loan, an additional carve out has been in recent transactions we have rated from other issuers relating to the delinquency review trigger. Similarly, in this transaction, exceptions exist for certain excluded disaster mortgage loans that trip the review event. These excluded disaster loans include COVID-19 forbearance loans.

Transaction Structure

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.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 1.40% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 0.70% of the closing pool balance.

Other Considerations

In CIM 2020-INV1, the controlling holder has the option to hire at its own expense the independent reviewer upon the occurrence of a review event. If there is no controlling holder (no single entity holds a majority of the class principal amount of the most subordinate class of certificates outstanding), the trustee shall, upon receipt of a direction of the certificate holders of more than 25% of the aggregate voting interest of all certificates and upon receipt of the deposit, appoint an independent reviewer at the cost of the trust. However, if the controlling holder does not hire the independent reviewer, the holders of more than 50% of the aggregate voting interests of all outstanding certificates may direct (at their expense) the trustee to appoint an independent reviewer. In this transaction, the controlling holder can be the depositor or a seller (or an affiliate of these parties). If the controlling holder is affiliated with the depositor, seller or sponsor, then the controlling holder may not be motivated to discover and enforce R&W breaches for which its affiliate is responsible.

The servicer will not commence foreclosure proceedings on a mortgage loan unless the servicer has notified the controlling holder at least five business days in advance of the foreclosure and the controlling holder has not objected to such action. If the controlling holder objects, the servicer has to obtain three appraisals from the appraisal firms as listed in the pooling and servicing agreement. The cost of the appraisals are borne by the controlling holder. The controlling holder will be required to purchase such mortgage loan at a price equal to the highest of the three appraisals plus accrued and unpaid interest on such mortgage loan as of the purchase date. If the servicer cannot obtain three appraisals there are alternate methods for determining the purchase price. If the controlling holder fails to purchase the mortgage loan within the time frame, the controlling holder forfeits any foreclosure rights thereafter.

We consider this credit neutral because a) the appraiser is chosen by the servicer from the approved list of appraisers, b) the fair value of the property is decided by the servicer, based on third party appraisals, and c) the controlling holder will pay the fair price and accrued interest.

Servicing Arrangement / 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. In the event that after the cut-off date a borrower enters into or requests an active COVID-19 related forbearance plan, such mortgage loan will remain in the mortgage pool and the servicer will be required to make advances in respect of delinquent interest and principal (as well as servicing advances) on such mortgage loan during the forbearance period (to the extent such advances are deemed recoverable) and the mortgage loan will be considered delinquent for all purposes under the transaction documents. At the end of the forbearance period, as with any other modification, to the extent the related borrower is not able to make a lump sum payment of the forborne amount, the servicer may, subject to the servicing matrix, offer the borrower a repayment plan, enter into a modification with the borrower (including a modification to defer the forborne amounts) or utilize any other loss mitigation option permitted under the pooling and servicing agreement.

As with any other modification, it is anticipated that the servicer will reimburse itself at the end of the forbearance period for any advances made by it with respect to such mortgage loan, whether that be from any lump sum payments made by the related borrower, from any increased payments received with respect to any repayment plan entered into by the borrower, or, if modified and capitalized in connection therewith, at the time of such modification as a reimbursement of such capitalized advances from principal collections on all of the mortgage loans. The servicer also has the right to reimburse itself for any advance from all collections on the mortgage loans when such advance is deemed to be non-recoverable. With respect to a mortgage loan that was the subject of a servicing modification, the amount of principal of the mortgage loan, if any, that has been deferred and that does not accrue interest will be treated as 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 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.

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_1242676.

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.

Philip Rukosuev
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

Releasing Office:
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

No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR 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 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 APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S 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.

MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS, AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS OR PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.

MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.

All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing its Publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

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 $5,000,000. 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 JPY550,000,000.

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

Moodys.com