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

DBRS, Inc. (DBRS Morningstar) reviewed 335 classes from eight U.S. residential mortgage-backed security (RMBS) transactions. Of the 335 classes reviewed, DBRS Morningstar upgraded 23 ratings, confirmed 298 ratings, and discontinued 14 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 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.

-- 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
-- GS Mortgage-Backed Securities Trust 2019-PJ2, Mortgage Pass-Through Certificates, Series 2019-PJ2, Class B-2
-- GS Mortgage-Backed Securities Trust 2019-PJ2, Mortgage Pass-Through Certificates, Series 2019-PJ2, Class B-3
-- GS Mortgage-Backed Securities Trust 2019-PJ2, Mortgage Pass-Through Certificates, Series 2019-PJ2, Class B-4
-- GS Mortgage-Backed Securities Trust 2019-PJ2, Mortgage Pass-Through Certificates, Series 2019-PJ2, Class B-5
-- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-2
-- 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-2
-- GS Mortgage-Backed Securities Trust 2020-PJ1, Mortgage Pass-Through Certificates, Series 2020-PJ1, Class B-3
-- GS Mortgage-Backed Securities Trust 2020-PJ1, Mortgage Pass-Through Certificates, Series 2020-PJ1, Class B-4
-- GS Mortgage-Backed Securities Trust 2020-PJ1, Mortgage Pass-Through Certificates, Series 2020-PJ1, Class B-5
-- J.P. Morgan Mortgage Trust 2020-INV1, Mortgage Pass-Through Certificates, Series 2020-INV1, Class B-2
-- J.P. Morgan Mortgage Trust 2020-INV1, Mortgage Pass-Through Certificates, Series 2020-INV1, Class B-2-A
-- J.P. Morgan Mortgage Trust 2020-INV1, Mortgage Pass-Through Certificates, Series 2020-INV1, Class B-2-X
-- J.P. Morgan Mortgage Trust 2020-INV1, Mortgage Pass-Through Certificates, Series 2020-INV1, Class B-3
-- J.P. Morgan Mortgage Trust 2020-INV1, Mortgage Pass-Through Certificates, Series 2020-INV1, Class B-3-A
-- J.P. Morgan Mortgage Trust 2020-INV1, Mortgage Pass-Through Certificates, Series 2020-INV1, Class B-3-X
-- J.P. Morgan Mortgage Trust 2020-INV1, Mortgage Pass-Through Certificates, Series 2020-INV1, Class B-5
-- J.P. Morgan Mortgage Trust 2020-INV1, Mortgage Pass-Through Certificates, Series 2020-INV1, Class B-X
-- J.P. Morgan Mortgage Trust 2020-INV1, Mortgage Pass-Through Certificates, Series 2020-INV1, Class B-5-Y

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 forbearances, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of the coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearances 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 (see “Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2022 Update,” published on September 19, 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.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no environmental, social, and 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 (May 17, 2022).

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.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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