U.S. markets closed
  • S&P 500

    3,841.94
    +73.47 (+1.95%)
     
  • Dow 30

    31,496.30
    +572.20 (+1.85%)
     
  • Nasdaq

    12,920.15
    +196.65 (+1.55%)
     
  • Russell 2000

    2,192.21
    +45.29 (+2.11%)
     
  • Crude Oil

    66.28
    +0.19 (+0.29%)
     
  • Gold

    1,698.20
    -0.30 (-0.02%)
     
  • Silver

    25.30
    +0.01 (+0.03%)
     
  • EUR/USD

    1.1925
    -0.0054 (-0.45%)
     
  • 10-Yr Bond

    1.5540
    +0.0040 (+0.26%)
     
  • GBP/USD

    1.3834
    -0.0060 (-0.43%)
     
  • USD/JPY

    108.3560
    +0.3800 (+0.35%)
     
  • BTC-USD

    50,648.79
    +1,968.52 (+4.04%)
     
  • CMC Crypto 200

    982.93
    +39.75 (+4.21%)
     
  • FTSE 100

    6,630.52
    -20.36 (-0.31%)
     
  • Nikkei 225

    28,864.32
    -65.78 (-0.23%)
     

Freddie Mac STACR REMIC TRUST 2021-HQA1 -- Moody's assigns definitive ratings to credit risk transfer notes issued by Freddie Mac STACR REMIC TRUST 2021-HQA1

·32 min read
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.
  • Oops!
    Something went wrong.
    Please try again later.

Rating Action: Moody's assigns definitive ratings to credit risk transfer notes issued by Freddie Mac STACR REMIC TRUST 2021-HQA1Global Credit Research - 23 Feb 2021New York, February 23, 2021 -- Moody's Investors Service, ("Moody's") Moody's Investors Service, ("Moody's") has assigned definitive ratings to 28 classes of credit risk transfer notes issued by Freddie Mac STACR REMIC TRUST 2021-HQA1. The ratings range from Baa1 (sf) to B3 (sf).Freddie Mac STACR REMIC TRUST 2021-HQA1 (STACR 2021-HQA1) is the first transaction of 2021 in the HQA series issued by the Federal Home Loan Mortgage Corporation (Freddie Mac) to share the credit risk on a reference pool of mortgages with the capital markets. The transaction is structured as a real estate mortgage investment conduit (REMIC). Class coupons of floating rate notes are based on secured overnight financing rate (SOFR) and their respective fixed margin.The notes in STACR 2021-HQA1 receive principal payments as the loans in the reference pool amortize or prepay. Principal payments to the notes are paid from assets in the trust account established from proceeds of the notes issuance. Interest payments to the notes are paid from a combination of investment income from trust assets, an asset of the trust known as the interest-only (IO) Q-REMIC interest, and Freddie Mac. Freddie Mac is responsible to cover (1) any interest owed on the notes not covered by the investment income from the trust assets and the yield on the IO Q-REMIC interest and (2) to reimburse the trust for any investment losses from sales of the trust assets.Investors have no recourse to the underlying reference pool. The credit risk exposure of the notes depends on the actual realized losses and modification losses incurred by the reference pool. Freddie Mac is obligated to pay off the notes in August 2033 if any balances remain outstanding. Of note, this is the first STACR REMIC transaction in the HQA series with 12.5-year stated bullet maturity on the offered notes, instead of 30-year maturity for recent transactions.The complete rating actions are as follows:Issuer: Freddie Mac STACR REMIC TRUST 2021-HQA1Cl. M-1, Assigned Baa1 (sf)Cl. M-2, Assigned Ba1 (sf)Cl. M-2A, Assigned Baa3 (sf)Cl. M-2B, Assigned Ba2 (sf)Cl. M-2R, Assigned Ba1 (sf)Cl. M-2S, Assigned Ba1 (sf)Cl. M-2T, Assigned Ba1 (sf)Cl. M-2U, Assigned Ba1 (sf)Cl. M-2I*, Assigned Ba1 (sf)Cl. M-2AR, Assigned Baa3 (sf)Cl. M-2AS, Assigned Baa3 (sf)Cl. M-2AT, Assigned Baa3 (sf)Cl. M-2AU, Assigned Baa3 (sf)Cl. M-2AI*, Assigned Baa3 (sf)Cl. M-2BR, Assigned Ba2 (sf)Cl. M-2BS, Assigned Ba2 (sf)Cl. M-2BT, Assigned Ba2 (sf)Cl. M-2BU, Assigned Ba2 (sf)Cl. M-2BI*, Assigned Ba2 (sf)Cl. M-2RB, Assigned Ba2 (sf)Cl. M-2SB, Assigned Ba2 (sf)Cl. M-2TB, Assigned Ba2 (sf)Cl. M-2UB, Assigned Ba2 (sf)Cl. B-1, Assigned B2 (sf)Cl. B-1A, Assigned B1 (sf)Cl. B-1AR, Assigned B1 (sf)Cl. B-1AI*, Assigned B1 (sf)Cl. B-1B, Assigned B3 (sf)*Reflects Interest-Only ClassesRATINGS RATIONALESummary Credit Analysis and Rating RationaleMoody's expected loss for this pool in a baseline scenario-mean is 0.70%, in a baseline scenario-median is 0.48%, and reaches 4.88% at a stress level consistent with our Aaa ratings.We calculated losses on the pool using our US Moody's Individual Loan Analysis (MILAN) GSE model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, qualitative adjustments for origination quality and third-party review (TPR) scope.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%, 11.74% for the mean) and our Aaa losses by 5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak.We increased our model-derived median expected losses by 15% (11.74% for the mean) and our Aaa losses by 5% to reflect the likely performance deterioration resulting from of the slowdown in US economic activity due to the coronavirus outbreak.Servicing practices, including tracking coronavirus related loss mitigation activities, may vary among servicers in the transaction. These inconsistencies could impact reported collateral performance and affect the timing of any breach of performance triggers and the amount of modification losses.We may infer and extrapolate from the information provided based on this or other transactions or industry information, or make stressed assumptions.Collateral DescriptionThe reference pool consists of 211,832 prime, fixed-rate, one- to four-unit, first-lien conforming mortgage loans acquired by Freddie Mac. The loans were originated on or after January 1, 2015 with a weighted average seasoning of five months. Each of the loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80% and less than or equal to 97%. 7.4% of the pool are loans underwritten through Home Possible or HomeReady program and 99.1% of loans in the pool are covered by mortgage insurance as of the cut-off date.About 17.1% of loans in this transaction were underwritten through Freddie Mac's Automated Collateral Evaluation (ACE) program. Under ACE program, Freddie Mac assesses whether the estimate of value or sales price of a mortgaged property, as submitted by the seller, is acceptable as the basis for the underwriting of the mortgage loan. If a loan is assessed as eligible for appraisal waiver, the seller will not be required to obtain an appraisal and will be relieved from R&Ws related to value, condition and marketability of the property. A loan originated without a full appraisal will lack details about the property's condition. We consider ACE loans weaker than loans with full appraisal. Specifically, for refinance loans, seller estimated value, which is the basis for calculating LTV, may be biased where there is no arms-length transaction information. Although such value is validated against Freddie Mac's in-house HVE model, there's still possibility for over valuations subject to Freddie Mac's tolerance levels. All ACE loans in this transaction are either rate or term refinance loans where we made haircuts to property values to account for overvaluation risk.Aggregation/Origination QualityWe consider Freddie Mac's overall seller management and aggregation practices to be adequate and we did not apply a separate loss-level adjustment for aggregation quality.UnderwritingFreddie Mac uses a delegated underwriting process to purchase loans. Sellers are required to represent and warrant that loans are made in accordance with negotiated terms or Freddie Mac's guide. Numerous checks in the selling system ensures that loans with the correct characteristics are delivered to Freddie Mac. Sellers are required to cure, make an indemnification payment or repurchase the loans if a material underwriting defect is discovered subject to certain limits. In certain cases, Freddie Mac may elect to waive the enforcements of the repurchase if an alternative such as an indemnification payment is provided.Quality controlFreddie Mac monitors each seller's risk exposure both on an aggregated basis as well as by product lines. A surveillance team reviews sellers' financials at least on an annual basis, monitors exposure limits, risk ratings, lenders QC reports and internal audit results and may adjust credit limits, require additional loan/operational reviews or put the seller on a watch list, as needed.Home Possible or HomeReady programApproximately 7.4% of the loans by cut-off date balance were originated under the Home Possible or HomeReady program. The program is designed to make responsible homeownership accessible to low- to moderate-income homebuyers, by requiring low down payments, lower risk-adjusted pricing, flexibility in sources of income, and, in certain circumstances, lower than standard mortgage insurance coverage.Home Possible and HomeReady loans in STACR 2021-HQA1's reference pool, collectively, have a WA FICO of 748 and WA LTV of 93.9%, versus a WA FICO of 756 and a WA LTV of 90.5% for the rest of the loans in the pool. While our MILAN model takes into account characteristics listed on the loan tape, such as lower FICOs and higher LTVs, there may be risks not captured by our model due to less stringent underwriting, including allowing more flexible sources of funds for down payment and lower risk-adjusted pricing. We applied an adjustment to the loss levels to address the additional risks that Home Possible or HomeReady loans may add to the reference pool.Enhanced Relief Refinance (ERR)The ERR program is designed to provide refinance opportunities to borrowers with existing Freddie Mac's mortgage loans who are current on their mortgage payments but whose LTV ratios exceed the maximum permitted for standard refinance products. The program is intended to offer refinance opportunities to borrowers so they can reduce their monthly payment. STACR 2021-HQA1's reference pool does not include ERR loans at closing, however, transaction documents allow for the replacement of loans in the reference pool with ERR loans in the future. The replacement will not constitute a prepayment on the replaced loan, credit event or a modification event.At closing, we did not make any adjustment to our collateral losses due to the existence of the ERR program. We believe the programs are beneficial for loans in the pool, especially during an economic downturn when limited refinancing opportunities would be available to borrowers with low or negative equity in their properties. However, since such refinanced loans are likely to have later maturities and slower prepayment rates than the rest of the loans, the reference pool is at risk of having a high concentration of high LTV loans at the tail of the transaction's life. We will monitor ERR loans in the reference pool and may make an adjustment in the future if the percentage of them becomes significant after closing.Mortgage insurance99.3% of the loans in the pool were originated with mortgage insurance. 97.6% of the loans benefit from BPMI which is usually terminated when LTV falls below 78% under scheduled amortization, and 2.0% of the loans benefit from LPMI or IPMI which lasts through the life of the loan.Freddie Mac will cover the amount that is reported as payable under any effective mortgage insurance policy , but not received due to a mortgage insurer insolvency or due to a settlement between the mortgage insurer and Freddie Mac. The servicer is required to reimburse Freddie Mac for claim curtailments rejections due to the servicer's violation of the mortgage insurance policy.The MILAN model output accounts for the presence of mortgage insurance backed by Freddie Mac. Our rejection rate assumption is 0% under base case and 1% under Aaa scenario.Servicing arrangementAs master servicer, Freddie Mac has strong servicer oversight and monitoring processes. Generally, Freddie Mac does not itself conduct servicing activities. When a mortgage loan is sold to Freddie Mac, the seller enters into an agreement to service the mortgage loan for Freddie Mac in accordance with a comprehensive servicing guide for servicers to follow. Freddie Mac monitors primary servicer performance and compliance through its Servicer Success Program, scorecard and servicing quality assurance group. Freddie Mac also reviews individual loan files to identify servicing performance gaps and trends.We consider the servicing arrangement to be adequate and we did not make any adjustments to our loss levels based on Freddie Mac's servicer management.Third-party ReviewWe consider the scope of the TPR based on Freddie Mac's acquisition and QC framework to be adequate. We assessed an adjustment to loss at a Aaa stress level due to lack of compliance review on TILA-RESPA Integrated Disclosure (TRID) violations.The results and scope of the pre-securitization third-party, loan-level review (due diligence) suggest a heavier reliance on sellers' representations and warranties (R&Ws) compared with private label securitizations. The scope of the TPR, for example, is weaker because the sample size is small (only 0.40% of the loans in reference pool are included in the sample). To the extent that the TPR firm classifies certain credit or valuation discrepancies as 'findings', Freddie Mac will review and may provide rebuttals to those findings, which could result in the change of event grades by the review firm.The third-party due diligence scope focuses on the following:Compliance: The diligence firm reviewed 400 loans for compliance with federal, state and local high cost Home Ownership and Equity Protection Act (HOEPA) regulations (379 loans were reviewed for compliance plus 21 loans were reviewed for both credit/valuation and compliance). None were determined to be noncompliant.Appraisals: The third-party diligence provider also reviewed property valuation on 1,500 loans in the sample pool (1,479 loans were reviewed for credit/valuation plus 21 loans were reviewed for both credit/valuation and compliance). 34 loans received final valuation grades of "C". 33 of the 34 loans are ACE loans and had Appraisal Desktop with Inspections (ADI) which did not support the original appraised value within the 10% tolerance. The valuation result is in line with the prior STACR transaction in terms of percentage of TPR sample. We didn't make additional adjustment based on this result given we have already made property value haircuts to all ACE loans in the reference pool.Credit: The third-party diligence provider reviewed credit on 1,500 loans in the sample pool. Within these 1,500 loans, the diligence provider reviewed 1,479 loans for credit only, and 21 loans were reviewed for both credit/valuation and compliance. Five loans had final grades of "C" due to underwriting defects. These loans were removed from the transaction. The results were better than prior STACR transactions we rated.Data integrity: The third-party review firm analyzed the sample pool for data calculation and comparison to the imaged file documents. The review revealed 125 data discrepancies on 117 loans.Unlike private label RMBS transactions, a review of TRID violation was not part of Freddie Mac's due diligence scope. A lack of transparency regarding how many loans in the transaction contain material violations of the TRID rule is a credit negative. However, since we expect overall losses on STACR transactions owing to TRID violations to be fairly minimal, we only made a slight qualitative adjustment to losses under a Aaa scenario. Furthermore, lender R&Ws and the GSEs' ability to remove defective loans from the transactions will likely mitigate some of aforementioned concerns.Reps & Warranties FrameworkFreddie Mac is not providing loan level R&Ws for this transaction because the notes are a direct obligation of Freddie Mac. The reference obligations are subject to R&Ws made by the sellers. As such, Freddie Mac commands robust R&Ws from its seller/servicers pertaining to all facets of the loan, including but not limited to compliance with laws, compliance with all underwriting guidelines, enforceability, good property condition and appraisal procedures. Freddie Mac will be responsible for enforcing the R&Ws made by the sellers/lenders in the reference pool. To the extent that Freddie Mac discovers a confirmed underwriting defect or a major servicing defect, the respective loan will be removed from the reference pool. Since Freddie Mac retains a significant portion of the risk in the transaction, it will likely take necessary steps to address any breaches of R&Ws. For example, Freddie Mac undertakes quality control reviews and servicing quality assurance reviews of small samples of the mortgage loans that sellers deliver to Freddie Mac. These processes are intended to determine, among other things, the accuracy of the R&Ws made by the sellers in respect of the mortgage loans that are sold to Freddie Mac. We made no adjustments to the transaction regarding the R&W framework.The notesWe refer to the M-1, M-2A, M-2B, B-1A, B-1B, B-2A and B-2B notes as the original notes, and the M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, M-2UB, B-1, B-2, B-1AR, B-1AI, B-2AR and B-2AI notes as the Modifiable and Combinable REMICs (MACR) notes; together we refer to them as the notes.The M-2 notes can be exchanged for M-2A and M-2B notes, M-2R and M-2I notes, M-2S and M-2I, M-2T and M-2I, and M-2U and M-2I notes.The M-2A notes can be exchanged for M-2AR and M-2AI notes, M-2AS and M-2AI notes, M-2AT and M-2AI, and M-2AU and M-2AI notes.The M-2B notes can be exchanged for M-2BR and M-2BI notes, M-2BS and M-2BI notes, M-2BT and M-2BI notes, and M-2BU and M-2BI notes.Classes M-2I , M-2AI, M-2BI, B-1AI and B-2AI are interest only notes referencing to the balances of Classes M-2, M-2A, M-2B, B-1A and B-2A, respectively.Classes M-2RB, M-2SB, M-2TB and M-2UB are each an exchangeable for two classes that are initially offered at closing. Our ratings of M-2RB, M-2SB, M-2TB and M-2UB reference the rating of Class M-2B only, disregarding the rating of M-2AI. This is the case because Class M-2AI's cash flow represents an insignificant portion of the overall promise. In the event Class M-2B gets written down through losses and Class M-2AI is still outstanding, we would continue to rate Classes M-2RB, M-2SB, M-2TB and M-2UB consistent with Class M-2B's last outstanding rating so long as Classes M-2RB, M-2SB, M-2TB and M-2UB are still outstanding.Transaction StructureCredit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. Realized losses are allocated in a reverse sequential order starting with the Class B-3H reference tranche.Interest due on the notes is determined by the outstanding principal balance and the interest rate of the notes. The interest payment amount is the interest accrual amount of a class of notes minus any modification loss amount allocated to such class on each payment date, or plus any modification gain amount. The modification loss and gain amounts are calculated by taking the respective positive and negative difference between the original accrual rate of the loans, multiplied by the unpaid balance of the loans, and the current accrual rate of the loans, multiplied by the interest-bearing unpaid balance.So long as the senior reference tranche is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches.The STACR 2021-HQA1 transaction allows for principal distribution to subordinate notes by the supplemental subordinate reduction amount even if performance triggers fail. The supplemental subordinate reduction amount equals the excess of the offered reference tranche percentage over 6.15%. The distribution of the supplemental subordinated reduction amount would reduce principal balances of the offered reference tranche and correspondingly limit the credit enhancement of class A-H reference tranche to be always below 6.15% plus the note balance of B-3H. This feature is beneficial to the offered certificates.Credit Events and Modification EventsReference tranche write-downs occur as a result of loan level credit events. A credit event with respect to any loan means any of the following events: (i) a short sale with respect to the related mortgaged property is settled, (ii) a related seriously delinquent mortgage note is sold prior to foreclosure, (iii) the mortgaged property that secured the related mortgage note is sold to a third party at a foreclosure sale, (iv) an REO disposition occurs, or (v) the related mortgage note is charged-off. As a result, the frequency of credit events will be the same as actual loan default frequency, and losses will impact the notes similar to that of a typical RMBS deal.Loans that experience credit events that are subsequently found to have an underwriting defect, a major servicing defect or are deemed ineligible will be subject to a reverse credit event. Reference tranche balances will be written up for all reverse credit events in sequential order, beginning with the most senior tranche that has been subject to a previous write-down. In addition, the amount of the tranche write-up will be treated as an additional principal recovery, and will be paid to noteholders in accordance with the cash flow waterfall.If a loan experiences a forbearance or mortgage rate modification, the difference between the original mortgage rate and the current mortgage rate will be allocated to the reference tranches as a modification loss. The Class B-3H reference tranche, which represents 0.25% of the pool, will absorb modification losses first. The final coupons on the notes will have an impact on the amount of interest available to absorb modification losses from the reference pool.Tail RiskSimilar to prior STACR transactions, the initial subordination level of 3.25% is lower than the deal's minimum credit enhancement trigger level of 3.50%. The transaction begins by failing the minimum credit enhancement test, leaving the subordinate tranches locked out of unscheduled principal payments until the deal builds an additional 0.25% subordination. STACR 2021-HQA1 does not have a subordination floor. This is mitigated by the sequential principal payment structure of the deal, which ensures that the credit enhancement of the subordinate tranches is not eroded early in the life of the transaction.Factors that would lead to an upgrade or downgrade of the ratings:DownLevels 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.UpLevels 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.MethodologyThe 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 DISCLOSURESFor 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.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_1243406.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.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the UK and is endorsed by Moody's Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK 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. Vincent Lai Associate Lead 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 Sang Shin VP - Sr Credit Officer/Manager 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 © 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. ​