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Moody's assigns provisional ratings to Prime RMBS issued by J.P. Morgan Mortgage Trust 2021-4

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Rating Action: Moody's assigns provisional ratings to Prime RMBS issued by J.P. Morgan Mortgage Trust 2021-4Global Credit Research - 26 Mar 2021New York, March 26, 2021 -- Moody's Investors Service, ("Moody's") has assigned provisional ratings to 50 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust (JPMMT) 2021-4. The ratings range from (P)Aaa (sf) to (P)B2 (sf).The certificates are backed by 1,392 fully-amortizing fixed-rate mortgage loans with a total balance of $1,281,490,187 as of the March 01, 2021 cut-off date. The loans have original terms to maturity of up to 30 years. JPMMT 2021-4 includes predominantly prime jumbo non-agency eligible (96.6%) and GSE eligible (3.4%) mortgages purchased by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC), the sponsor and mortgage loan seller, from various originators and MaxEx Clearing, LLC (MaxEx). 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, approximately 0.2% of the borrowers of the mortgage loans have inquired about or requested forbearance plans with the related servicer but subsequently declined to enter into any forbearance plan with such servicer and remain current.Approximately 27.0% of the loans in the pool are purchased from MaxEx. Guaranteed Rate Inc, together with its affiliates Guaranteed Affinity, LLC & Proper Rate, LLC, and Finance of America Mortgage, LLC originated approximately 30.1% and 11.4% of the mortgage loans (by balance), respectively in the pool. All other originators accounted for less than 10% of the pool by balance. With respect to the mortgage loans, each originator and MaxEx, as applicable, made a representation and warranty (R&W) that the mortgage loan constitutes a qualified mortgage (QM) under the QM rule.NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing ("Shellpoint") will interim service approximately about 93.5%, loanDepot.com, LLC (loanDepot) will service about 3.0% (subserviced by Cenlar, FSB), United Wholesale Mortgage, LLC (UWM) will service about 2.4% (subserviced by Cenlar, FSB), Johnson Bank will service about 1.1% and USAA Federal Savings Bank (subserviced by Nationstar Mortgage LLC. d/b/a Mr. Cooper) will service about 0.05% of the mortgage loans. Shellpoint will act as interim servicer from the closing date until the servicing transfer date, which is expected to occur on or about June 1, 2021 (but which may occur after such date). After the servicing transfer date, these mortgage loans will be serviced by JPMorgan Chase Bank, National Association, (JPMCB).The servicing fee for loans serviced by JPMCB (Shellpoint, until the servicing transfer date), loanDepot and UWM will be based on a step-up incentive fee structure with additional fees for servicing delinquent and defaulted loans. Johnson Bank and USAA have a fixed fee servicing framework. 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 representations and warranties breach reviewer.Five 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 2021-4Cl. 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-B, 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-X*, Rating Assigned (P)Aaa (sf)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-X*, Rating Assigned (P)Aaa (sf)Cl. A-10, Rating Assigned (P)Aaa (sf)Cl. A-10-A, Rating Assigned (P)Aaa (sf)Cl. A-10-X*, Rating Assigned (P)Aaa (sf)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)Aaa (sf)Cl. A-15, Rating Assigned (P)Aaa (sf)Cl. A-X-1*, Rating Assigned (P)Aaa (sf)Cl. A-X-2*, Rating Assigned (P)Aaa (sf)Cl. A-X-3*, Rating Assigned (P)Aaa (sf)Cl. A-X-4*, Rating Assigned (P)Aaa (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)A3 (sf)Cl. B-2-A, Rating Assigned (P)A3 (sf)Cl. B-2-X*, Rating Assigned (P)A3 (sf)Cl. B-3, Rating Assigned (P)Baa3 (sf)Cl. B-4, Rating Assigned (P)Ba3 (sf)Cl. B-5, Rating Assigned (P)B2 (sf)*Reflects Interest-Only ClassesRATINGS RATIONALEMoody's expected loss for this pool in a baseline scenario-mean is 0.25%, in a baseline scenario-median is 0.12%, and reaches 2.77% at a stress level consistent with our Aaa ratings.The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around our forecasts. Our analysis has considered the effect on the performance of residential mortgage loans from a gradual and unbalanced recovery in US economic activity.We increased our model-derived median expected losses by 10% (6.27% for the mean) and our Aaa loss by 2.5% to reflect the likely performance deterioration resulting from the slowdown in US economic activity due to the coronavirus outbreak. These adjustments are lower than the 15% median expected loss and 5% Aaa loss adjustments we made on pools from deals issued after the onset of the pandemic until February 2021. Our reduced adjustments reflect the fact that the loan pool in this deal does not contain any loans to borrowers who are not currently making payments. For newly originated mortgage loans, post-COVID underwriting takes into account the impact of the pandemic on a borrower's ability to repay the mortgage. For seasoned mortgage loans, as time passes, the likelihood that borrowers who have continued to make payments throughout the pandemic will now become non-cash flowing due to COVID-19 continues to decline.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 third-party due diligence, and the R&W framework of the transaction.Collateral DescriptionJPMMT 2021-4 is a securitization of a pool of 1,392 fully-amortizing fixed-rate prime jumbo non-conforming (96.6%) and GSE-eligible conforming (3.4%) mortgage loans with a total balance of $1,281,490,187 as of the cut-off date, with a weighted average (WA) remaining term to maturity of 357 months, and a WA seasoning of 2 months. The WA original FICO score is 784 and the WA original combined loan-to-value ratio (CLTV) is 69.3%. About 2.2% and 15.2% (by loan balance) of mortgage loans were originated through correspondent and broker channels, respectively.The borrowers have high monthly income (about $28,623 on a WA basis), and significant liquid cash reserve (about $348,566 on a WA basis), 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 $699,758 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 San Jose. The GSE-eligible loans, which make up about 3.4% of the JPMMT 2021-4 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 (ATR) rules.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.Aggregation/Origination QualityWe 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%) and MaxEx. 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.Servicing ArrangementWe 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, N.A. (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 BorrowersAs of the Cut-Off date, approximately 0.2% of the borrowers of the mortgage loans have inquired about or requested forbearance plans with the related servicer but subsequently declined to enter into any forbearance plan with such servicer and remain current. 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 mortgage pool.Servicing Fee FrameworkThe servicing fee for loans serviced by JPMCB (and Shellpoint, until the servicing transfer date), loanDepot and UWM 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. Johnson Bank and USAA will be paid a monthly flat servicing fee equal to one-twelfth of 0.25% of the remaining principal balance of the mortgage 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.Third-Party ReviewFive TPR firms, AMC Diligence, LLC (AMC), Clayton Services, LLC (Clayton), Inglet Blair LLC (IB), Digital Risk, LLC (DR) 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.The TPR firms compared third-party valuation products to the original appraisals. Property valuation was conducted using a third-party collateral desk appraisal (CDA), field review and automated valuation model (AVM) or a Collateral Underwriter (CU) risk score. For a portion of the mortgage loans in the pool, a CDA or a field review or AVM was not provided and had a CU risk score less than or equal to 2.5. We consider the use of CU risk score 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 did not apply an adjustment to the loss for such loans because (i) 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 is sufficient, (ii) the original appraisal balances for nonconforming loans were not significantly higher than that of appraisal values for GSE-eligible loans and (iii) the borrowers of such loans have strong credit characteristics including high FICO scores, low LTV and adequate reserves.In addition, there are 15 loans (1.3% by balance) that have exterior only appraisal due to COVID-19, instead of full appraisal. Since the exterior-only appraisal only covers the outside of the property there is a risk that the property condition cannot be verified to the same extent had the appraiser been provided access to the interior of the home. Also, 2 loans representing 0.1% of pool balance are appraisal waiver loans. These loans do not have a traditional appraisal but instead an estimate of value or sales price is provided, typically, by the seller. We did not make any specific adjustment for exterior-only appraisal or appraisal waiver loans since they account for a de-minimis portion of the pool.R&W FrameworkJPMMT 2021-4'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 applied an adjustment to all R&W providers that are unrated and/or financially weaker entities.Trustee and Master ServicerThe 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.Transaction StructureThe 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 bonds 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 Certificates will have a pass-through rate that will vary directly with the SOFR rate and the Class A-11-X Certificates will have a pass-through rate that will vary inversely with the SOFR rate.Tail Risk & Subordination FloorThis 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 0.40% 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 0.350076% 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 6.00% 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.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.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 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.Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1273519 .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. Pavan Prema Kumar 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 © 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. 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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. ​