DBRS Morningstar Takes Rating Actions on 42 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 518 classes from 42 U.S. resecuritizations of real estate mortgage investment conduits (ReREMICs) and residential mortgage-backed security (RMBS) transactions. Of the 518 classes reviewed, DBRS Morningstar upgraded 43 ratings, confirmed 425 ratings, downgraded and withdrew six ratings, and discontinued 44 ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The downgraded and subsequently withdrawn ratings reflect the unlikely recovery of the bonds’ principal loss amount. The discontinued ratings reflect the transactions exercising their cleanup call option or the full repayment of principal to bondholders.

The pools backing the reviewed ReREMIC and RMBS transactions consist of Legacy Prime, Subprime, Alt-A, Scratch and Dent, Option Adjustable-Rate Mortgage, ReREMIC, Manufactured Housing, HELOC, Second Lien, and Prime collateral.

The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output.

-- Agate Bay Mortgage Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- Agate Bay Mortgage Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-4
-- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J1, Mortgage Pass Through Certificates, Series 2014-J1, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J2, Mortgage Pass Through Certificates, Series 2014-J2, Class B-4
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-A
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-X
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-Y
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-Z
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-4
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-5
-- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-4
-- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-5
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-3
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4
-- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-4
-- TIAA Bank Mortgage Loan Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-2
-- TIAA Bank Mortgage Loan Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4
-- TIAA Bank Mortgage Loan Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-3

CORONAVIRUS DISEASE (COVID-19) IMPACT
The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers.

In connection with the economic stress assumed under its baseline scenario (“Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update,” published on December 9, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

The rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on February 21, 2020.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Notes:
The principal methodologies are U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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