DBRS Morningstar Takes Credit Rating Actions on 18 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 752 classes from 18 U.S. residential mortgage-backed securities (RMBS) transactions. The 18 transactions are generally classified as prime transactions. Of the 752 classes reviewed, DBRS Morningstar upgraded 112 credit ratings and confirmed 640 credit ratings.

The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings.

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2023 Update,” published on September 28, 2023 (https://www.dbrsmorningstar.com/research/421227). These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

The credit rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on March 3, 2023.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/416784 (July 4, 2023).

Notes:
The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410498).

Other methodologies referenced in these transactions are listed at the end of this press release.

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/421227.

The credit ratings assigned to the classes below materially deviate from the ratings implied by the predictive model. DBRS Morningstar typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stresses implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviations below varies among tranches having (1) a small remaining mortgage loan count, (2) additional seasoning and/or updated performance being warranted to substantiate a further upgrade, or (3) actual deal or tranche performance not fully reflected in projected cash flows/model output.

The below tranches materially deviate because of a small remaining mortgage loan count:

-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-3
-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-4
-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-5

The below tranches materially deviate because of additional seasoning and/or updated performance being warranted to substantiate a further upgrade:

-- GS Mortgage-Backed Securities Trust 2019-PJ2, Mortgage Pass-Through Certificates, Series 2019-PJ2, Class B-4
-- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-3
-- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-4
-- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-5
-- GS Mortgage-Backed Securities Trust 2020-PJ1, Mortgage Pass-Through Certificates, Series 2020-PJ1, Class B-4
-- GS Mortgage-Backed Securities Trust 2021-PJ10, Mortgage Pass-Through Certificates, Series 2021-PJ10, Class B-5
-- GS Mortgage-Backed Securities Trust 2021-MM1, Mortgage Pass-Through Certificates, Series 2021-MM1, Class B-5
-- Wells Fargo Mortgage Backed Securities 2020-2 Trust, Mortgage Pass-Through Certificates, Series 2020-2, Class B-4
-- Wells Fargo Mortgage Backed Securities 2020-2 Trust, Mortgage Pass-Through Certificates, Series 2020-2, Class B-5

The below tranches materially deviate because actual deal or tranche performance is not fully reflected in projected cash flows/model output:

-- GS Mortgage-Backed Securities Trust 2019-PJ2, Mortgage Pass-Through Certificates, Series 2019-PJ2, Class B-5
-- GS Mortgage-Backed Securities Trust 2020-PJ1, Mortgage Pass-Through Certificates, Series 2020-PJ1, Class B-5

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023)
https://www.dbrsmorningstar.com/research/420108/rmbs-insight-13-us-residential-mortgage-backed-securities-model-and-rating-methodology

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023)
https://www.dbrsmorningstar.com/research/415687

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008

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