Fitch Ratings has affirmed Sberbank (Switzerland) AG's (SBS) Long-Term Issuer Default Rating (IDR) at 'BBB' and Gazprombank (Switzerland) Ltd's (GPBS) Long-Term IDR at 'BBB-'.

The Outlooks are Stable.

KEY RATING DRIVERS

SBS and GPBS are fully owned Swiss-based subsidiaries of Sberbank of Russia (BBB/Stable) and Gazprombank (Joint-stock Company) (BBB-/Stable), respectively. Their Long- and Short-Term IDRs are equalised with those of their parents, reflecting Fitch's view that they are highly integrated subsidiaries with important roles in providing services that the parents have identified as either core or complementary to their business.

In addition, Fitch believes that support is highly likely to be made available because of (i) full ownership and common branding; (ii) ongoing capital and funding support from the respective parents; (iii) high reputational risk for the parents from their subsidiaries' defaults; and (iv) the small size of the subsidiaries relative to their parents', limiting the cost of potential support.

Fitch does not assign Viability Ratings (VRs) to SBS and GPBS as their business models are built on high dependence on the parent banks in terms of business origination, underwriting and risk management procedures and funding. Underwriting standards and risk controls are established in line with the parents' practices, with credit risk limits established on a consolidated group levels.

RATING SENSITIVITIES

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

SBS and GPBS IDRs could be upgraded if parents' IDRs were upgraded, which would be likely if the Russia sovereign rating was upgraded.

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

SBS and GPBS IDRs would be downgraded if parents' IDRs were downgraded. A significant weakening of the propensity of parents to provide support (not expected by Fitch at present) to subsidiary entities could result in downgrades of the subsidiaries' ratings.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Financial Institutions and Covered Bond issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three 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 four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. 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

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.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

The ratings of SBS and GPBS are linked to the ratings of Sberbank of Russia and Gazprombank (Joint-stock Company), respectively.

ESG CONSIDERATIONS

Gazprombank (Switzerland) Ltd has an ESG Relevance Score of '4' for Governance Structure, which mirrors that of its parent, Gazprombank (Joint-stock Company). The score reflects weaknesses in governance and controls at the group level, which are also relevant for GPBS, as a highly-integrated subsidiary. This has a negative impact on the credit profile, and is relevant to the rating 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.

RATING ACTIONSENTITY/DEBT	RATING		PRIOR
Sberbank (Switzerland) AG	LT IDR	BBB 	Affirmed		BBB
	ST IDR	F2 	Affirmed		F2
	Support	2 	Affirmed		2
Gazprombank (Switzerland) Ltd	LT IDR	BBB- 	Affirmed		BBB-
	ST IDR	F3 	Affirmed		F3
	Support	2 	Affirmed		2

VIEW ADDITIONAL RATING DETAILS

Additional information is available on www.fitchratings.com

A-3A-IO

LT	AAA(EXP)sf 	Expected Rating

A-4

LT	AAA(EXP)sf 	Expected Rating

A-4-A

LT	AAA(EXP)sf 	Expected Rating

A-4A-IO

LT	AAA(EXP)sf 	Expected Rating

A-5

LT	AAA(EXP)sf 	Expected Rating

A-5-A

LT	AAA(EXP)sf 	Expected Rating

A-5A-IO

LT	AAA(EXP)sf 	Expected Rating

A-6

LT	AAA(EXP)sf 	Expected Rating

A-6-IO

LT	AAA(EXP)sf 	Expected Rating

A-7

LT	AAA(EXP)sf 	Expected Rating

A-8

LT	AAA(EXP)sf 	Expected Rating

A-8-IO

LT	AAA(EXP)sf 	Expected Rating

A-9

LT	AAA(EXP)sf 	Expected Rating

A-9-IO

LT	AAA(EXP)sf 	Expected Rating

A-10

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

Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Morgan Stanley Residential Mortgage Loan Trust 2021-5 (MSRM 2021-5) as indicated above.

This is the eighth post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust shelf; the first transaction was issued in 2014. This is the sixth MSRM transaction that comprises loans from various sellers and acquired by Morgan Stanley in its prime-jumbo aggregation process.

The certificates are supported by 495 prime-quality loans with a total balance of approximately $478.34 million, as of the cutoff date. The pool consists of 100% fixed-rate mortgages from various mortgage originators. The servicer for this transaction is Specialized Loan Servicing LLC. Nationstar Mortgage LLC will be the master servicer.

Of the loans, 100% qualify as safe-harbor qualified mortgage (QM). There are no high-priced QM loans or Non-QM loans in the pool.

There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC), are floating- or inverse floating-rate bonds based off the secured overnight funding rate index, and capped at the net WAC or based on the net WAC.

Like other prime transactions, the transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate fully amortizing loans, seasoned approximately 2.5 months in aggregate as determined by Fitch. Most of the loans were originated through the sellers' retail channels. The borrowers in this pool have strong credit profiles (775 FICO as determined by Fitch) and relatively low leverage (79.9% sustainable loan to value ratio as determined by Fitch). 184 loans are over $1 million, and the largest totals $2.6 million. Fitch considered 100% of the loans in the pool to be fully documented loans. Lastly, 1.9% (13 loans) of the loans in the pool is made up of non-permanent residents. Fitch treats non-permanent residents as investor occupied in its analysis.

Approximately 45% of the pool is concentrated in California with moderate MSA concentration. Based on Fitch's analysis, the largest MSA concentration is in San Francisco MSA (16.8%), followed by the Los Angeles MSA (10.3%) and the Denver MSA (6.4%). The top three MSAs account for 33.6% of the pool. There was no adjustment made for geographic concentration.

Shifting-Interest Structure and Full Advancing(Mixed): 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.

The servicer will provide full advancing for the life of the transaction (the servicer is expected to advance delinquent P&I on loans that enter a coronavirus forbearance plan). Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries.

Nationstar is the master servicer and will advance if the servicer is not able to. If the master servicer is not able to advance, then the securities administrator (Citibank) will advance.

CE Floor (Positive): A CE or senior subordination floor of 1.25% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. A junior subordination floor of 0.80% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration.

Macro or Sector Risk (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 indicate 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-19 vaccines, Fitch reconsidered the application of the coronavirus-related Economic Risk Factor (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 June 2021 'Global Economic Outlook' and related base-line economic scenario forecasts have been revised to a 6.8% U.S. GDP growth for 2021 and 3.9% for 2022, following the negative 3.5% GDP growth in 2020. Additionally, Fitch's U.S. unemployment forecasts for 2021 and 2022 are 5.6% and 4.5%, respectively, down from 8.1% in 2020. These revised forecasts support Fitch reverting to the 1.5 and 1.0 ERF floors described in its '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. Sensitivity analyses were 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 negative rating action/downgrade:

This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected MVD, which is 41.9% in the 'AAAsf' stress. The analysis indicates that there is some potential rating migration with higher MVDs, 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 positive rating action/upgrade:

This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. 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 modelling 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.

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 SitusAMC and Infinity. The third party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis based on the findings. Due to the fact that there was 100% due diligence provided and there were no material findings, Fitch reduced the 'AAAsf' expected loss by 0.24%.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's 'U.S. RMBS Rating Criteria.' SitusAMC and Infinity were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for more detail.

Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted.

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

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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