DBRS Morningstar Takes Rating Actions on 78 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 559 classes from 78 U.S. residential mortgage-backed security (RMBS) transactions. Of the 559 classes reviewed, DBRS Morningstar upgraded 40 ratings, confirmed 222 ratings, and discontinued 297 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 transactions exercising their clean-up call option or the full repayment of principal to bondholders.

The pools backing the reviewed RMBS transactions consist of nonqualified mortgage, re-performing, prime, single family rental, agency credit, and subprime 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 actual deal or tranche performance not being fully reflected in the projected cashflows/model output.

-- Angel Oak Mortgage Trust 2019-4, Mortgage-Backed Certificates, Series 2019-4, Class M-1
-- Angel Oak Mortgage Trust 2019-4, Mortgage-Backed Certificates, Series 2019-4, Class B-1
-- Angel Oak Mortgage Trust 2019-4, Mortgage-Backed Certificates, Series 2019-4, Class B-2
-- Bunker Hill Loan Depositary Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class M-1
-- Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class M-1
-- Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B-1
-- Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B-2
-- Verus Securitization Trust 2019-INV2, Mortgage Pass-Through Certificates, Series 2019-INV2, Class M-1
-- Verus Securitization Trust 2019-INV2, Mortgage Pass-Through Certificates, Series 2019-INV2, Class B-1
-- Ajax Mortgage Loan Trust 2019-F, Mortgage-Backed Securities, Series 2019-F, Class A-3
-- Ajax Mortgage Loan Trust 2019-F, Mortgage-Backed Securities, Series 2019-F, Class M-1
-- Ajax Mortgage Loan Trust 2019-F, Mortgage-Backed Securities, Series 2019-F, Class B-1
-- CSMC Trust 2013-IVR4, Mortgage Pass-through Certificates, Series 2013-IVR4, Class A-IO-S
-- CSMC Trust 2013-IVR4, Mortgage Pass-through Certificates, Series 2013-IVR4, Class B-4
-- CSMC Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-4
-- CSMC Trust 2015-3, Mortgage Pass-through Certificates, Series 2015-3, Class A-IO-S
-- CSMLT 2015-1 Trust, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- CSMLT 2015-1 Trust, Mortgage Pass-through Certificates, Series 2015-1, Class A-IO-S
-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B-3
-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B-4
-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B-5
-- Flagstar Mortgage Trust 2018-1, Mortgage Pass-Through Certificates, Series 2018-1, Class B-3
-- Flagstar Mortgage Trust 2018-1, Mortgage Pass-Through Certificates, Series 2018-1, Class B-4
-- Flagstar Mortgage Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4
-- Flagstar Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-2
-- Flagstar Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-4
-- Flagstar Mortgage Trust 2018-5, Mortgage Pass-Through Certificates, Series 2018-5, Class B-2
-- Flagstar Mortgage Trust 2018-5, Mortgage Pass-Through Certificates, Series 2018-5, Class B-3
-- Flagstar Mortgage Trust 2018-5, Mortgage Pass-Through Certificates, Series 2018-5, Class B-4
-- J.P. Morgan Mortgage Trust 2019-6, Mortgage Pass-Through Certificates, Series 2019-6, Class B-2
-- J.P. Morgan Mortgage Trust 2019-6, Mortgage Pass-Through Certificates, Series 2019-6, Class B-3
-- J.P. Morgan Mortgage Trust 2019-6, Mortgage Pass-Through Certificates, Series 2019-6, Class B-4
-- Wells Fargo Mortgage Backed Securities 2019-1 Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class B-3
-- Wells Fargo Mortgage Backed Securities 2019-1 Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class B-4
-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class A-4
-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class M-1

CORONAVIRUS DISEASE (COVID-19) IMPACT
The coronavirus pandemic and the resulting isolation measures 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 forbearances, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. Because the option to forbear mortgage payments was so widely available at the onset of the pandemic, , it drove forbearances to a very high level. When the dust settled, coronavirus-induced forbearances 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 (see “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
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/396929.

Notes:
The principal methodology is the 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.

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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