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Rating Action: Moody's upgrades six tranches from TIAA Bank Mortgage Loan Trust 2018-3Global Credit Research - 19 Feb 2021New York, February 19, 2021 -- Moody's Investors Service, ("Moody's") has upgraded the ratings of six tranches from TIAA Bank Mortgage Loan Trust 2018-3. The transaction is backed by a pool of prime quality, fixed rate, first-lien mortgage loans. TIAA, FSB is the primary servicer and Nationstar Mortgage LLC is the master servicer.Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL440912 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and identifies the affected issuer. The link also contains the associated underlying collateral losses.The complete rating actions are as follows:Issuer: TIAA Bank Mortgage Loan Trust 2018-3Cl. A-19, Upgraded to Aaa (sf); previously on Oct 30, 2018 Definitive Rating Assigned Aa1 (sf)Cl. A-20, Upgraded to Aaa (sf); previously on Oct 30, 2018 Definitive Rating Assigned Aa1 (sf)Cl. A-21, Upgraded to Aaa (sf); previously on Oct 30, 2018 Definitive Rating Assigned Aa1 (sf)Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 30, 2019 Upgraded to Aa2 (sf)Cl. B-2, Upgraded to Aa3 (sf); previously on Oct 30, 2019 Upgraded to A1 (sf)Cl. B-3, Upgraded to A2 (sf); previously on Oct 30, 2019 Upgraded to Baa1 (sf)RATINGS RATIONALEToday's rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. In this transaction, high prepayment rates of 40% to 60% over the past year, driven by the low interest rate environment, have benefited the bonds by increasing the paydown and building the credit enhancement.In our analysis we considered the additional risk posed by borrowers enrolled in payment relief programs. We increased our MILAN model-derived median expected losses by 15% and our Aaa losses by 5% to reflect the performance deterioration resulting from a slowdown in US economic activity due to the COVID-19 outbreak. For transactions with more than 4% exposure to loans that are on payment relief and have not been cash-flowing for over three months, we further increased the median expected losses for the respective pools. This loss increase was based on our assessment of the additional losses if 50% of such loans incur a deferral of the missed payments or a modification to the loan terms. However, as of November 2020, TIAA Bank Mortgage Loan Trust 2018-3 did not have more than 4% exposure to such loans.We identified loans granted payment relief based on a review of loan level cashflows over the last few months. In our analysis, we considered loans that: (1) were not liquidated but took a loss in the reporting period (to capture loans with monthly deferrals that were reported as current) or (2) have actual balances that increased or were unchanged in the reporting period, excluding interest-only loans and payahead loans, to be loans under a payment relief program. Based on our analysis, the proportion of borrowers in this prime jumbo pool that have been enrolled in payment relief ranged around 2% to 4% since the start of the pandemic.This transaction has a shifting interest structure that is generally protected against the risk of permanent interest shortfalls as principal collections can be redirected to pay interest. However, given the pervasive financial strains tied to the pandemic, servicers have been making advances on non-cash-flowing loans, sometimes resulting in interest shortfalls due to insufficient funds in subsequent periods when such advances are recouped. The level of delinquencies in this transaction have ranged between 2.5% to 2.7% since the start of the pandemic. In our analysis, we considered the current level of delinquencies, loans in payment relief plans and the risk of interest shortfall to the affected bonds.Our updated loss expectation on the pool incorporates, amongst other factors, our assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicers.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.- Principal MethodologiesThe principal methodology used in these ratings 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. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.In addition, Moody's publishes a weekly summary of structured finance credit ratings and methodologies, available to all registered users of our website, www.moodys.com/SFQuickCheck.Factors that would lead to an upgrade or downgrade of the ratings: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.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 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.Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of this transaction.For more information please see www.moodys.com.REGULATORY DISCLOSURESThe List of Affected Credit Ratings announced here are all solicited credit ratings. Additionally, the List of Affected Credit Ratings includes additional disclosures that vary with regard to some of the ratings. Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL440912 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and provides, for each of the credit ratings covered, Moody's disclosures on the following items: Rating Solicitation Issuer Participation Participation: Access to Management Participation: Access to Internal Documents Disclosure to Rated Entity Endorsement Lead Analyst Releasing Office 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.The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each 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.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.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. 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