Fitch Ratings expects to rate American International Group, Inc.'s (AIG) PSMC 2021-1 Trust (PSMC 2021-1).

RATING ACTIONSENTITY/DEBT	RATING

PSMC 2021-1

A-1

LT	AAA(EXP)sf 	Expected Rating

A-2

LT	AAA(EXP)sf 	Expected Rating

A-3

LT	AAA(EXP)sf 	Expected Rating

A-4

LT	AAA(EXP)sf 	Expected Rating

A-5

LT	AAA(EXP)sf 	Expected Rating

A-6

LT	AAA(EXP)sf 	Expected Rating

A-7

LT	AAA(EXP)sf 	Expected Rating

A-8

LT	AAA(EXP)sf 	Expected Rating

A-9

LT	AAA(EXP)sf 	Expected Rating

A-10

LT	AAA(EXP)sf 	Expected Rating

A-11

LT	AAA(EXP)sf 	Expected Rating

A-12

LT	AAA(EXP)sf 	Expected Rating

A-13

LT	AAA(EXP)sf 	Expected Rating

A-14

LT	AAA(EXP)sf 	Expected Rating

A-15

LT	AAA(EXP)sf 	Expected Rating

A-16

LT	AAA(EXP)sf 	Expected Rating

A-17

LT	AAA(EXP)sf 	Expected Rating

A-18

LT	AAA(EXP)sf 	Expected Rating

A-19

LT	AAA(EXP)sf 	Expected Rating

A-20

LT	AAA(EXP)sf 	Expected Rating

A-21

LT	AAA(EXP)sf 	Expected Rating

A-22

LT	AAA(EXP)sf 	Expected Rating

A-23

LT	AAA(EXP)sf 	Expected Rating

A-24

LT	AAA(EXP)sf 	Expected Rating

A-25

LT	AAA(EXP)sf 	Expected Rating

A-26

LT	AAA(EXP)sf 	Expected Rating

A-X1

LT	AAA(EXP)sf 	Expected Rating

A-X2

LT	AAA(EXP)sf 	Expected Rating

A-X3

LT	AAA(EXP)sf 	Expected Rating

A-X4

LT	AAA(EXP)sf 	Expected Rating

A-X5

LT	AAA(EXP)sf 	Expected Rating

A-X6

LT	AAA(EXP)sf 	Expected Rating

A-X7

LT	AAA(EXP)sf 	Expected Rating

A-X8

LT	AAA(EXP)sf 	Expected Rating

A-X9

LT	AAA(EXP)sf 	Expected Rating

A-X10

LT	AAA(EXP)sf 	Expected Rating

A-X11

LT	AAA(EXP)sf 	Expected Rating

B-1

LT	AA(EXP)sf 	Expected Rating

B-2

LT	A+(EXP)sf 	Expected Rating

B-3

LT	BBB+(EXP)sf 	Expected Rating

B-4

LT	BB+(EXP)sf 	Expected Rating

B-5

LT	B+(EXP)sf 	Expected Rating

B-6

LT	NR(EXP)sf 	Expected Rating

VIEW ADDITIONAL RATING DETAILS

TRANSACTION SUMMARY

The certificates are supported by 514 loans with a total balance of approximately $426.41 million as of the cutoff date. The pool consists of prime fixed-rate mortgages (FRMs) acquired by subsidiaries of American International Group, Inc. (AIG) from various mortgage originators. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, shifting-interest structure.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The pool consists of very high-quality, 30-year fixed-rate, fully amortizing Safe Harbor Qualified Mortgage (SHQM) loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned an average of six months. The pool has a weighted average (WA) original FICO score of 781, which is indicative of very high credit-quality borrowers. Approximately 90.3% of the loans have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan-to-value ratio of 67.0% represents substantial borrower equity in the property and reduced default risk.

Geographic Concentration (Neutral): The pool is geographically diverse and, as a result, no geographic concentration penalty was applied. Approximately 38% of the pool is located in California, which is in line with other recent Fitch-rated transactions. The top three MSAs account for 29.9% of the pool. The largest MSA concentration is in the San Francisco MSA (14.1%), followed by the Los Angeles MSA (8.9%) and the Washington DC MSA (6.8%).

Straightforward Deal Structure (Neutral): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained.

Servicer Advancing (Mixed): The servicer is required to make monthly advances of delinquent P&I payments to the bondholders to the extent that it is deemed recoverable. While this feature provides liquidity to the bonds, it results in higher loss severities as these amounts need to be recouped out of liquidation proceeds. In the event the servicer is unable to make the advances, they will be funded by Wells Fargo as Master Servicer.

CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.95% of the original balance will be maintained for the certificates. Additionally, the stepdown tests do not allow principal prepayments to subordinate bondholders in the first five years following deal closing.

Payment Forbearance (Neutral): As of the cutoff date, none of the borrowers in the pool are on a coronavirus forbearance plan. Additionally, any loan that enters a coronavirus forbearance plan between the cutoff date and the settlement date will be removed from the pool (at par) within 45 days of closing. For borrowers who enter a coronavirus forbearance plan post-closing, the P&I advancing party will advance P&I during the forbearance period. If at the end of the forbearance period, the borrower begins making payments, the advancing party will be reimbursed from any catch-up payment amount. If the borrower does not resume making payments, the loan will likely become modified and the advancing party will be reimbursed from principal collections on the overall pool. This will likely result in writedowns to the most subordinate class, which will be written back up as subsequent recoveries are realized. Since there will be no borrowers on a coronavirus forbearance plan as of the closing date and forbearance requests have significantly declined, Fitch did not increase its loss expectation to address the potential for writedowns due to reimbursement of servicer advances.

No Meaningful Changes From Prior Transactions (Neutral): This transaction is the first securitization this year by this issuer and the fourth since January 2020. All transactions have been collateralized with comparable credit-quality and assets, and have used the identical structure and transaction parties. Fitch's projected asset loss from the transaction's CE is consistent with prior transactions.

Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $300,000 per annum, which can be carried over each year, subject to the cap until paid in full.

Low Operational Risk (Neutral): Operational risk is well controlled in this transaction. AIG has strong operational practices and is an 'Above Average' aggregator. The aggregator has experienced senior management and staff, strong risk management and corporate governance controls, and a robust due diligence process. Primary and master servicing functions will be performed by Cenlar FSB and Wells Fargo Bank, N.A., rated 'RPS2'/Negative and 'RMS1-'/Negative, respectively. Fitch did not apply adjustments to the expected losses as a result of the operational assessments.

Top Tier Representation and Warranty Framework (Positive): The loan-level representation, warranty and enforcement (RW&E) framework is consistent with Tier I quality. Fitch reduced its loss expectations by 13bps at the 'AAAsf' rating category as a result of the Tier 1 framework and the 'A' Fitch-rated counterparty supporting the repurchase obligations of the RW&E providers.

Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction by AMC, Recovco, and EdgeMac. AMC is assessed as 'Acceptable - Tier 1', and Recovco and EdgeMAC are assessed as 'Acceptable - Tier 3' by Fitch. The results of the review identified no material exceptions. Credit exceptions were supported by mitigating factors and compliance exceptions were primarily TRID-related and cured with subsequent documentation. Fitch applied a credit for the high percentage of loan level due diligence, which reduced the 'AAAsf' loss expectation by 15bps.

Macro or Sector Risks (Positive): Consistent with the 'Additional Scenario Analysis' section of Fitch's 'U.S. RMBS Coronavirus-Related Analytical Assumptions' criteria, Fitch will consider applying additional scenario analysis based on stressed assumptions as described in the section to remain consistent with significant revisions to Fitch's macroeconomic baseline scenario or if actual performance data indicates the current assumptions require reconsideration. In response to revisions made to Fitch's macroeconomic baseline scenario, observed actual performance data, and the unexpected development in the health crisis arising from the advancement and availability of COVID vaccines, Fitch reconsidered the application of the Coronavirus-related ERF floors of 2.0 and used ERF Floors of 1.5 and 1.0 for the 'BBsf' and 'Bsf' rating stresses, respectively. Fitch's March 2021 Global Economic Outlook and related base-line economic scenario forecasts have been revised to a 6.2% U.S. GDP growth for 2021 and 3.3% for 2022 following a -3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.8% and 4.7%, respectively, which is down from 8.1% in 2020. These revised forecasts support Fitch reverting back to the 1.5 and 1.0 ERF floors described in Fitch's 'U.S. RMBS Loan Loss Model Criteria.'

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices.

Factors that could, individually or collectively, lead to a negative rating action/downgrade:

This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 8.9% in the base case. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category.

Factors that could, individually or collectively, lead to a positive rating action/upgrade:

This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'.

This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance.

Fitch has added a Coronavirus Sensitivity Analysis that that includes a prolonged health crisis resulting in depressed consumer demand and a protracted period of below-trend economic activity that delays any meaningful recovery to beyond 2021. Under this severe scenario, Fitch expects the ratings to be impacted by changes in its sustainable home price model due to updates to the model's underlying economic data inputs. Any long-term impact arising from coronavirus disruptions on these economic inputs will likely affect both investment and speculative grade ratings.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Recovco and EdgeMac. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation for each loan and is consistent with Fitch criteria. The due diligence companies performed a review on 100% of the loans. The results indicate high quality loan origination practices that are consistent with non-agency prime RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: loans with due diligence received a credit in the loss model. This adjustment reduced the 'AAAsf' expected losses by 15 bps.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'.

ESG CONSIDERATIONS

PSMC 2021-1 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk due to well-controlled operational risk that includes strong R&W framework, transaction due diligence results, an 'Above Average' aggregator, and an 'Above Average' master servicer, all of which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors.

Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg

Additional information is available on www.fitchratings.com

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