Fitch Places 165 U.S. GSE-CRT Classes on Rating Watch Negative.

Fitch Ratings has placed on Rating Watch Negative 165 GSE Credit Risk Transfer (CRT) ratings from 33 transactions following our recent placement of the United States' 'AAA' Long-Term Foreign-Currency Issuer Default Rating on Rating Watch Negative, and subsequent placement of Fannie Mae's and Freddie Mac's 'AAA' Long-Term Issuer Default Rating (IDR) on Rating Watch Negative. The GSE-CRT ratings are all currently rated 'AAAsf' and are either directly dependent on the Fannie Mae and Freddie Mac ratings or are capped at the Fannie Mae and Freddie Mac rating and will be downgraded if the Fannie Mae and Freddie Mac ratings are downgraded.

As government-sponsored enterprises (GSEs), Fannie Mae and Freddie Mac (collectively, the housing GSEs) benefit from implicit government support. Fannie Mae's and Freddie Mac's Long-Term IDRs and GSRs are directly linked to the U.S. sovereign's Long-Term IDRs, based on Fitch's view of the U.S. government's direct financial support of the two housing GSEs.

KEY RATING DRIVERS

The transactions were issued by GSEs Freddie Mac through its Structured Agency Credit Risk (STACR) program or Fannie Mae through its Connecticut Avenue Securities (CAS). The notes are general unsecured obligations of Freddie Mac (Long-Term Issuer Default Rating AAA/RWN) or Fannie Mae Mac (Long-Term Issuer Default Rating AAA/RWN) but are subject to the credit and principal payment risk of a pool of certain residential mortgage loans (reference pool) held in various GSE-guaranteed mortgage-backed securities (MBS).

While the transaction repayment profile is linked to the performance of the reference pool, the notes issued are unsecured obligations of the GSEs and have the same priority as all its other unsecured and unsubordinated debt. Therefore, given the structure and counterparty dependence on Freddie Mac and Fannie Mae, Fitch's rating is based on the lower of the following: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination and the IDR.

RATING SENSITIVITIES

Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade

This defined negative stress sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected decline at the base case. This analysis indicates that there is some potential rating migration with higher MVDs compared with the model projection.

The RMBS Surveillance team is able to consider an additional 5% property value sensitivity as a result of the volatile market environment per the Additional Scenario Analysis section of the U.S. RMBS Loan Loss Model Criteria.

Additionally, because of the counterparty dependence on Fannie Mae and Freddie Mac, Fitch's rating on the notes could be affected by the GSEs' IDR if the IDR were to fall below the credit rating implied by the relationship of CE to expected reference mortgage pool loss.

Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade

This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10.0%. Excluding the senior classes already rated 'AAAsf', as well as classes that are constrained due to qualitative rating caps, the analysis indicates there is potential positive rating migration for all of the other rated classes.

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. For enhanced disclosure of Fitch's stresses and sensitivities, please refer to U.S. RMBS Loss Metrics.

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

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

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.

ESG Considerations

All transactions have an ESG Relevance Score of '4' [+] for Customer Welfare - Fair Messaging, Privacy & Data Security due to compliance risks including fair lending practices, mis-selling, repossession/foreclosure practices, consumer data protection (data security) as well as Human Rights, Community Relations, Access due to accessibility to affordable housingwhich 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

VIEW ADDITIONAL RATING DETAILS

Additional information is available on www.fitchratings.com

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