DBRS Morningstar Takes Rating Actions on 26 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 449 classes from 26 U.S. residential mortgage-backed security (RMBS) transactions. Of the 449 classes reviewed, DBRS Morningstar upgraded two ratings, confirmed 416 ratings, discontinued 30 ratings, and one rating remained Under Review with Negative Implications.

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 discontinued ratings reflect the transactions exercising their cleanup call option or the full repayment of principal to bondholders. The Under Review with Negative Implications status reflects the negative impact of the coronavirus pandemic on the bonds. For certain bonds, DBRS Morningstar maintained the Under Review with Negative Implications status amid the uncertainty in such transactions’ performance with respect to forbearance and delinquency trends.

The pools backing the reviewed RMBS transactions consist of PRIME, Re-Performing (RPL) and Non-Qualified Mortgage (Non-QM) collateral.

The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation; however, in this case, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade.

-- Angel Oak Mortgage Trust 2020-5, Mortgage-Backed Certificates, Series 2020-5, Class B-1
-- Angel Oak Mortgage Trust 2020-5, Mortgage-Backed Certificates, Series 2020-5, Class B-2
-- Angel Oak Mortgage Trust 2020-6, Mortgage-Backed Certificates, Series 2020-6, Class B-2
-- BRAVO Residential Funding Trust 2020-NQM1, Mortgage Pass-Through Notes, Series 2020-NQM1, Class M-1
-- BRAVO Residential Funding Trust 2020-NQM1, Mortgage Pass-Through Notes, Series 2020-NQM1, Class B-1
-- BRAVO Residential Funding Trust 2020-NQM1, Mortgage Pass-Through Notes, Series 2020-NQM1, Class B-2
-- Galton Funding Mortgage Trust 2020-H1, Mortgage Pass-Through Certificates, Series 2020-H1, Class A3
-- Imperial Fund Mortgage Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-1
-- MFA 2020-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class A-3
-- MFA 2020-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class M-1
-- MFA 2020-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-1
-- MFA 2020-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-2
-- MFA 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class A-3
-- MFA 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class M-1
-- MFA 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class B-1
-- MFA 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class B-2
-- Verus Securitization Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-1
-- Verus Securitization Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-2
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-3
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-3-IO
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-4
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-4-IO
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-7
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-8
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-2
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-2-IO
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-3
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-3-IO
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-5
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-6
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class B-1
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class B-2
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class A-2
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class M-1
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class M-2
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class B-1
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class B-2
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class A-3
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class A-4
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class A-5
-- GS Mortgage-Backed Securities Trust 2020-PJ5, Mortgage Pass-Through Certificates, Series 2020-PJ5, Class B-4
-- GS Mortgage-Backed Securities Trust 2020-PJ5, Mortgage Pass-Through Certificates, Series 2020-PJ5, Class B-5
-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-2
-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-2-A
-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-2-X
-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-3
-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-3-A
-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-3-X
-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-4
-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-5
-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-X
-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-5-Y
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-2
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-2-A
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-2-X
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-4
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-5
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-5-Y
-- J.P. Morgan Mortgage Trust 2020-8, Mortgage Pass-Through Certificates, Series 2020-8, Class B-5
-- J.P. Morgan Mortgage Trust 2020-8, Mortgage Pass-Through Certificates, Series 2020-8, Class B-5-Y
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B-1
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B1-IO1
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B1-IO2
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B1-A
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B1-B
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B2-1
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B2-1-IO1
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B2-1-IO2
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B2-1-A
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B2-1-B
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B-4
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B6-1
-- Wells Fargo Mortgage Backed Securities 2020-5 Trust, Mortgage Pass-Through Certificates, Series 2020-5, Class B-5

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 forebear 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 moderate scenario (see “Global Macroeconomic Scenarios - June 2021 Update,” published on June 18, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

When DBRS Morningstar places a rating Under Review with Negative Implications, DBRS Morningstar seeks to complete its assessment and remove the rating from this status as soon as appropriate. Upon the resolution of the Under Review status, DBRS Morningstar may confirm or downgrade the ratings on the affected classes.

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.

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

Notes:
The principal methodologies are the 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.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

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 [email protected].

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