Fitch Ratings has taken various rating actions on 57 total classes and related exchangeable notes from 15 GSE Credit Risk Transfer (CRT) transactions issued between 2013 and 2015 and one private label CRT transaction issued in 2018.

Fitch has placed six classes on Rating Watch Negative.

Rating Action Summary:

one class Paid-In-Full;

18 classes Downgraded, of which six classes were placed on Rating Watch Negative;

29 classes Affirmed;

nine classes Rating Watch Maintained.

Five classes previously had a Positive or Stable Rating Outlook that is now revised to Negative.

RATING ACTIONS

ENTITY/DEBT	RATING		PRIOR

Structured Agency Credit Risk Debt Notes, Series 2014-DN2

M-3 3137G0AY5

LT	Bsf 	Downgrade		BBBsf

M-3F 3137G0BD0

LT	Bsf 	Downgrade		BBBsf

M-3I 3137G0BE8

LT	Bsf 	Downgrade		BBBsf

MA 3137G0BG3

LT	Bsf 	Downgrade		BBBsf

Connecticut Avenue Securities, Series 2015-C01

1M-2 30711XAT1

LT	BBsf 	Downgrade		A-sf

2M-2 30711XAV6

LT	AAsf 	Affirmed		AAsf

Structured Agency Credit Risk (STACR) Debt Notes, Series 2014-DN3

M-3 3137G0BK4

LT	A-sf 	Rating Watch Maintained		A-sf

M-3F 3137G0BQ1

LT	A-sf 	Rating Watch Maintained		A-sf

M-3I 3137G0BR9

LT	A-sf 	Rating Watch Maintained		A-sf

MA 3137G0BS7

LT	A-sf 	Rating Watch Maintained		A-sf

Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-HQ2

M-12 3137G0FN4

LT	AAAsf 	Affirmed		AAAsf

M-2 3137G0FF1

LT	AAAsf 	Affirmed		AAAsf

M-2F 3137G0FG9

LT	AAAsf 	Affirmed		AAAsf

M-2I 3137G0FH7

LT	AAAsf 	Affirmed		AAAsf

M-3 3137G0FJ3

LT	AAAsf 	Affirmed		AAAsf

M-3F 3137G0FK0

LT	AAAsf 	Affirmed		AAAsf

M-3I 3137G0FL8

LT	AAAsf 	Affirmed		AAAsf

MA 3137G0FP9

LT	AAAsf 	Affirmed		AAAsf

Connecticut Avenue Securities Series 2014-C02

1M-2 30711XAF1

LT	BBsf 	Downgrade		A-sf

2M-2 30711XAH7

LT	AA+sf 	Rating Watch Maintained		AA+sf

L Street Securities, Series 2017-PM1

M-1 693458AC5

LT	PIFsf 	Paid In Full		BBBsf

M-2 693458AD3

LT	CCCsf 	Downgrade		Bsf

M-2A 693458AH4

LT	BBB-sf 	Affirmed		BBB-sf

M-2B 693458AJ0

LT	CCCsf 	Downgrade		BBsf

M-2C 693458AK7

LT	CCCsf 	Downgrade		Bsf

Fannie Mae Connecticut Avenue Securities Series 2014-C01

M-2 30711XAD6

LT	BBBsf 	Downgrade		A+sf

Connecticut Avenue Securities 2015-C03

1M-2 30711XBB9

LT	Bsf 	Downgrade		BBB-sf

2M-2 30711XBD5

LT	A+sf 	Affirmed		A+sf

Structured Agency Credit Risk (STACR) Debt Notes, Series 2014-HQ1

M-3 3137G0BW8

LT	AA+sf 	Affirmed		AA+sf

M-3F 3137G0CB3

LT	AA+sf 	Affirmed		AA+sf

M-3I 3137G0CC1

LT	AA+sf 	Affirmed		AA+sf

MA 3137G0CD9

LT	AA+sf 	Affirmed		AA+sf

Structured Agency Credit Risk (STACR) Debt Notes, Series 2014-HQ2

M-12 3137G0CR8

LT	AAAsf 	Affirmed		AAAsf

M-2 3137G0CG2

LT	AAAsf 	Affirmed		AAAsf

M-2F 3137G0CL1

LT	AAAsf 	Affirmed		AAAsf

M-2I 3137G0CM9

LT	AAAsf 	Affirmed		AAAsf

M-3 3137G0CH0

LT	AAsf 	Affirmed		AAsf

M-3F 3137G0CN7

LT	AAsf 	Affirmed		AAsf

M-3I 3137G0CP2

LT	AAsf 	Affirmed		AAsf

MA 3137G0CQ0

LT	AAsf 	Affirmed		AAsf

Structured Agency Credit Risk Debt Notes, Series 2013-DN2

M-2 3137G0AD1

LT	Bsf 	Downgrade		BBBsf

M-2F 3137G0AG4

LT	Bsf 	Downgrade		BBBsf

M-2I 3137G0AH2

LT	Bsf 	Downgrade		BBBsf

MA 3137G0AJ8

LT	Bsf 	Downgrade		BBBsf

Structured Agency Credit Risk Debt Notes, Series 2014-HQ3

M-3 3137G0DF3

LT	AA+sf 	Affirmed		AA+sf

M-3F 3137G0DL0

LT	AA+sf 	Affirmed		AA+sf

M-3I 3137G0DM8

LT	AA+sf 	Affirmed		AA+sf

MA 3137G0DN6

LT	AA+sf 	Affirmed		AA+sf

Connecticut Avenue Securities, Series 2013-C01

M-2 30711XAB0

LT	BBBsf 	Downgrade		AAsf

Structured Agency Credit Risk Debt Notes, Series 2014-DN4

M-3 3137G0CU1

LT	Asf 	Rating Watch Maintained		Asf

M-3F 3137G0CZ0

LT	Asf 	Rating Watch Maintained		Asf

M-3I 3137G0DA4

LT	Asf 	Rating Watch Maintained		Asf

MA 3137G0DB2

LT	Asf 	Rating Watch Maintained		Asf

Connecticut Avenue Securities, 2014-C03

1M-2 30711XAK0

LT	Bsf 	Downgrade		A-sf

2M-2 30711XAM6

LT	AAsf 	Affirmed		AAsf

Connecticut Avenue Securities Series 2015-C02

1M-2 30711XAX2

LT	Bsf 	Downgrade		BBB-sf

2M-2 30711XAZ7

LT	AA-sf 	Affirmed		AA-sf

VIEW ADDITIONAL RATING DETAILS

KEY RATING DRIVERS

The transactions reviewed include eight Fannie Mae Connecticut Avenue Securities (CAS) transactions, seven Freddie Mac Structured Agency Credit Risk (STACR) transactions, and one PennyMac Credit Risk Transfer transaction. Payments on the notes are subject to the credit and principal payment risk of reference pools of certain prime agency residential mortgage loans held in various guaranteed MBS. All the transactions included in this review follow a set fixed severity schedule for loans that experience a credit event, such as a loan 180 days or more delinquent. The loss severity (LS) applied is predetermined and based on the percentage of loans in the reference pool that have already been marked as credit events. Both Fannie Mae and Freddie Mac transitioned from issuing a fixed LS schedule to an actual loss in 2015.

Borrowers on a forbearance plan are counted as delinquent until the missed payments are fully repaid or borrowers resume the monthly payment with the missed payments deferred as part of the resolution strategies announced by Fannie Mae and Freddie Mac. Under the Coronavirus Aid, Relief, and Economic Security (Cares) Act, borrowers experiencing hardship due to the coronavirus pandemic may request a forbearance term of up to 180 days with an option to extend for an additional 180 days. The downgrade actions reflect bonds 'at risk' of default due to the large increase of loans rolling delinquent and limited credit enhancement (CE) to protect bond from incurring losses.

Later STACR fixed severity transactions STACR 2014-DN3, STACR 2014-DN4, STACR 2014-HQ1, STACR 2014-HQ2, STACR 2014-HQ3, and STACR 2015-HQ2 contain provisions for loans on a forbearance plan as a result of natural disasters including the coronavirus. Affected borrowers have 18 months to bring a loan current before the loan is recognized as a credit event. Bonds in these transactions were all affirmed, and their Outlooks were unchanged.

Four CAS (CAS 2013-C01, CAS 2014-C01, CAS 2014-C02, and CAS 2014-C03) and two STACR (STACR 2013-DN2 and STACR 2014-DN2) fixed severity transactions in this review do not contain language addressing the treatment of loans in forbearance as a result of the coronavirus or any natural disasters or casualty events. As a result, loans to borrowers that are on a forbearance plan due to the coronavirus pandemic will be recognized as a credit event once they are 180 days delinquent and cause write downs to the bonds.

For CAS 2015-C01, CAS 2015-C02, and CAS 2015-C03, and L Street Securities 2017-PM1 fixed severity transactions, a reference obligation that was in a forbearance period due to a casualty event at the time it became a credit event reference obligation will become a reversed credit event reference obligation if the reference obligation has a payment status reported as current at the conclusion of its forbearance period (or up to three months thereafter if necessary). Bonds are at risk of permanent interest loss since the interest paid will be calculated off of the written down bond balance until the reference pool and bonds are written back up if a reversal credit even does occur. Due to the uncertainty in the timing and amount of potential credit event reversals, treatment is not differentiated from earlier CAS deals without any casualty event language.

For the 10 aforementioned deals, the assumed risk of the bond incurring a loss was based on the assumption that the entire current delinquency pipeline (30 days delinquent or more) goes 180-days delinquent and become credit events. Default risk is deemed low, the ratings capped at 'BBBsf', if the current delinquency pipeline may increase by another 50bps-100bps before eroding current CE and causing bond writedowns. Default risk is deemed low but elevated and the ratings capped at 'BBsf', if the future delinquency cushion is between 1bps-50bps before eroding CE and causing bond writedowns. For deals that would require the delinquency pipeline to cure by 1bps-100bps to prevent bond losses, the ratings are capped at 'Bsf'. Default is a real possibility and the ratings capped at 'CCCsf' for those deals requiring the current delinquency pipeline to cure by over 100bps. Tranches are placed on Negative Watch to reflect elevated sensitivity to delinquency rates.

RATING SENSITIVITIES

Fitch's analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely to occur. Given the current economic environment, Fitch applied adjustments to its Economic Risk Factor (ERF) variable in its loss model as well as minimum delinquency assumptions. These adjustments are the main rating drivers in the context of this review.

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 a worsening economic environment above what Fitch is currently assuming. Assuming a higher ERF value above the current floor would result in additional downgrades at the Non-Investment Grade ratings as well as potential downgrades to 'BBBsf'-rated classes if the floor was raised to 2.5 and potential downgrades at 'Asf'-rated classes if the floor was raised to 3.0. Further, a higher percentage of forbearance would lead to more downgrades at 'AAAsf'- and 'AAsf'-rated classes due to a higher risk of temporary interest shortfalls.

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 a more benign economic environment than what is currently assumed. If the ERF floor was lowered to 1.5, the 'BBsf' classes currently impacted would likely be unaffected and if the floor was lowered to 1.0, the 'Bsf' floors would likely be unaffected as well. A decline in the percentage of borrowers with principal forbearance would result in less negative pressure among 'AAAsf'- and 'AAsf'-rated classes as the chance of temporary disruptions would be reduced.

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.

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

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

No third-party due diligence was provided or reviewed 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.

Additional information is available on www.fitchratings.com

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