Mortgage Repurchase Agreement Financing Trust Notes, Series 2021-1 -- Moody's assigns provisional ratings to structured notes issued by Mortgage Repurchase Agreement Financing Trust, Series 2021-1

Rating Action: Moody's assigns provisional ratings to structured notes issued by Mortgage Repurchase Agreement Financing Trust, Series 2021-1Global Credit Research - 02 Mar 2021New York, March 02, 2021 -- Moody's Investors Service, ("Moody's") has assigned provisional ratings to two classes of notes issued by Mortgage Repurchase Agreement Financing Trust Notes, Series 2021-1 ("MRAFT 2021-1"). The series has an outstanding balance of $325 million.The complete rating actions are as follows:Issuer: Mortgage Repurchase Agreement Financing Trust Notes, Series 2021-1Class A (Category A-1), Assigned (P)Aa3Class A (Category A-2), Assigned (P)Aa3RATINGS RATIONALEMortgage Repurchase Agreement Financing Trust Notes (Issuer), has issued its thirteenth series (MRAFT 2021-1) backed by a revolving warehouse facility with an expected repayment date of March 10, 2022.Similar to other series issued by MRAFT, in the future, the issuer may increase the principal balance ("Upsize") of MRAFT 2021-1 subject to a number of conditions including (i) the Indenture Trustee receiving prior written notice of the Upsize; (ii) the Indenture Trustee receiving certain opinions of counsel required under the Indenture.In addition, the Buyer's Administrator (Credit Suisse First Boston Mortgage Capital) will also have the right to alter the capital structure of the Issuer in order to divide a series of notes into one or more classes or categories ("Rebalancing"). Rebalancing of notes will be allowed only if it is permitted under its respective indenture supplement and any alteration to the capital structure will preserve the pro-rata pari-passu feature of the notes and series outstanding in the Mortgage Repurchase Agreement Financing Trust. Noteholders' consent will not be required for Rebalancing of notes.Following a note amortization event, each series of note will be paid principal on a pro rata basis. In addition, Class A (Category A-1) and Class A (Category A-2) notes of MRAFT 2021-1 will be paid principal and interest on a pro-rata basis.The proceeds from the issuance of MRAFT 2021-1 series notes will be generally used to finance the purchase of agency eligible, first lien residential mortgage loans from Credit Suisse AG, Cayman Islands Branch (the Seller) under a master repurchase agreement. In addition, the proceeds may also be used for reimbursement/redemption of other series of notes issued by the Issuer and to satisfy the Seller's obligations under other financial arrangements. On or around the closing date, the Issuer is expected to redeem series 2020-1 notes in full. The Seller, a branch of Credit Suisse AG (Credit Suisse, rated Aa3; outlook stable), will periodically sell eligible mortgage loans to, and simultaneously agree to repurchase the same eligible mortgage loans from the Issuer pursuant to a master repurchase agreement (the MRA). The repurchase obligation is full recourse to Credit Suisse, where Credit Suisse is responsible for any face amount shortfall that is not covered by the sale of the eligible mortgage loans.The notes are secured by the Issuer's rights under the MRA as well as the purchased mortgage loans and related repurchase assets. While the Issuer's payment obligations on the notes are not directly guaranteed by Credit Suisse, the payment obligations of the Seller to the Issuer under the MRA match the payment obligations of the Issuer under the indenture. Per the transaction documents, additional series of notes can be issued in the future. Following a note amortization event, each series of notes will be paid principal on a pro-rata basis.Under our ESG framework, this transaction is subject to risks related to the transaction's governance because: 1) no third-party verifies the presence of the collateral documents or their eligibility, 2) the broad eligibility criteria could allow collateral with very poor credit quality, 3) there is no legal opinion confirming the Issuer's exclusive right to the collateral should Credit Suisse become insolvent and 4) the transaction lacks an independent administrator. As a result, our ratings do not reflect any uplift for the mortgage loans purchased through the master repurchase agreement which serves as collateral for the payment of the notes, and instead our initial ratings are primarily based on Credit Suisse AG's Long Term (LT) debt rating.While the initial rating on the notes is primarily based on LT debt rating of Credit Suisse AG, following an indenture event of default, the rating will depend on the likelihood of recovering value from the collateral and/or Credit Suisse's insolvency estate by the Final Stated Maturity Date and could be higher or lower than Credit Suisse's prevailing LT debt rating. The payment obligations of the Seller under the MRA match the payment obligations of the Issuer under the Indenture. Moreover, the Seller is obligated under the MRA to pay all costs and expenses of the Issuer. Because the repurchase obligation is full recourse to Credit Suisse, it is our view that any shortfall to the repurchase facility after the liquidation of the collateral will rank pari-passu with senior unsecured obligations of Credit Suisse.The principal methodology used in these ratings was "Moody's Approach to Rating Repackaged Securities" published in June 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1230078. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.Factors that would lead to an upgrade or downgrade of the ratings:The rating on the note is primarily based on the Long Term (LT) debt rating of Credit Suisse AG. If the LT debt rating of Credit Suisse AG is upgraded (or downgraded) following the closing date, the rating on the note may be upgraded (or downgraded) as well. However, following an indenture event of default, the rating on the note will depend on the likelihood of recovering value from the collateral and/or Credit Suisse's insolvency estate by the Final Stated Maturity Date and could be higher or lower than Credit Suisse's prevailing LT debt rating.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.Moody's did not use any stress scenario simulations in its analysis.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. Jay H. Thacker Asst Vice President - Analyst Structured Finance Group Moody's Investors Service, Inc. 250 Greenwich Street New York, NY 10007 U.S.A. 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