DBRS Morningstar Takes Rating Actions on 34 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 1200 classes from 34 U.S. residential mortgage-backed security (RMBS) transactions. Of the 1200 classes reviewed, DBRS Morningstar upgraded 211 ratings, confirmed 950 ratings, and discontinued 39 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 discontinued ratings reflect the full repayment of principal to bondholders.

The pools backing the reviewed RMBS transactions consist of seasoned, and prime mortgage 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.

-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through Certificates, Series 2019-1, Class B-2
-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through Certificates, Series 2019-1, Class B-2-A
-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through Certificates, Series 2019-1, Class B-2-X
-- CIM Trust 2019-J1, Mortgage Pass-Through Certificates, Series 2019-J1, Class B-3
-- CIM Trust 2019-J1, Mortgage Pass-Through Certificates, Series 2019-J1, Class B-4
-- CIM Trust 2019-J1, Mortgage Pass-Through Certificates, Series 2019-J1, Class B-5
-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series 2019-J2, Class B-3
-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series 2019-J2, Class B-4
-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series 2019-J2, Class B-5
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-2
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-IO2
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-2A
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-3
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-4
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-5
-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage Pass-Through Certificates, Series 2020-PJ4, Class B-3-A
-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage Pass-Through Certificates, Series 2020-PJ4, Class B-4
-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage Pass-Through Certificates, Series 2020-PJ4, Class B-5
-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage Pass-Through Certificates, Series 2020-PJ4, Class B-3-X
-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage Pass-Through Certificates, Series 2020-PJ4, Class B-3
-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage Pass-Through Certificates, Series 2020-PJ4, Class B
-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-2
-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-2-A
-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-2-X
-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-3
-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-3-A
-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-3-X
-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-4
-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-5
-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-X
-- J.P. Morgan Mortgage Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-5-Y
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-2
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-2-A
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-2-X
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-3
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-3-A
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-3-X
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-4
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-5
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-X
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-5-Y
-- 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 2020-7, 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-3
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-3-A
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-3-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-X
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-5-Y
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-2
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-2-A
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-2-X
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-3
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-3-A
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-3-X
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-4
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-5
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-X
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-5-Y
-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2, Class B-2
-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2, Class B2-IO
-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2, Class B2-A
-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2, Class B-3
-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2, Class B-4
-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2, Class B-5
-- 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 B2-2
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B2-2-IO1
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B2-2-IO2
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B2-2-A
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B2-2-B
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B-3
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B-4
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B-5
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B6-1
-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through Certificates, Series 2016-1, Class B4
-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through Certificates, Series 2016-1, Class B5
-- Wells Fargo Mortgage Backed Securities 2020-5 Trust, Mortgage Pass-Through Certificates, Series 2020-5, Class B-5
-- WinWater Mortgage Loan Trust 2014-3, Mortgage Pass-Through Certificates, Series 2014-3, Class B-4
-- WinWater Mortgage Loan Trust 2015-A, Mortgage Pass-Through Certificates, Series 2015-A, Class B-4
-- GS Mortgage-Backed Securities Trust 2021-PJ7, Mortgage Pass-Through Certificates, Series 2021-PJ7, Class B-2
-- Mello Mortgage Capital Acceptance 2021-MTG3, Mortgage Pass-Through Certificates, Series 2021-MTG3 Class B2
-- Mello Mortgage Capital Acceptance 2021-MTG3, Mortgage Pass-Through Certificates, Series 2021-MTG3 Class B2A
-- Mello Mortgage Capital Acceptance 2021-MTG3, Mortgage Pass-Through Certificates, Series 2021-MTG3 Class BX2
-- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class A-3
-- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class M-1
-- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class B-1
-- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class B-2
-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B2
-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B3
-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B4
-- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B5
-- CIM Trust 2018-R3, Mortgage-Backed Notes, Series 2018-R3, Class B1
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M1
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M2
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class A5
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M1A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M1AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M1B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M1BX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M2A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M2AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M2B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M2BX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1BX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2BX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3BX

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 March 2022 Update,” published on March 24, 2022), 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 methodology is U.S. RMBS Surveillance Methodology (February 21, 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 [email protected].

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