DBRS Morningstar Takes Rating Actions on 48 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 1,235 classes from 48 U.S. residential mortgage-backed security (RMBS) transactions. Of the 1,235 classes reviewed, DBRS Morningstar upgraded 108 ratings, confirmed 1,104 ratings, and discontinued 23 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.

-- CIM Trust 2018-INV1, Mortgage Pass-Through Certificates, Series 2018-INV1, Class B-3
-- CIM Trust 2018-INV1, Mortgage Pass-Through Certificates, Series 2018-INV1, Class B-4
-- CIM Trust 2018-INV1, Mortgage Pass-Through Certificates, Series 2018-INV1, Class B-5
-- CIM Trust 2019-INV1, Mortgage Pass-Through Certificates, Series 2019-INV1, Class B-4
-- CIM Trust 2019-INV1, Mortgage Pass-Through Certificates, Series 2019-INV1, Class B-5
-- CIM Trust 2020-J2, Mortgage Pass-Through Certificates, Series 2020-J2, Class B-2
-- CIM Trust 2020-J2, Mortgage Pass-Through Certificates, Series 2020-J2, Class B-IO2
-- CIM Trust 2020-J2, Mortgage Pass-Through Certificates, Series 2020-J2, Class B-2A
-- CIM Trust 2020-J2, Mortgage Pass-Through Certificates, Series 2020-J2, Class B-3
-- CIM Trust 2020-J2, Mortgage Pass-Through Certificates, Series 2020-J2, Class B-4
-- CIM Trust 2020-J2, Mortgage Pass-Through Certificates, Series 2020-J2, Class B-5
-- CSMC Trust 2014-IVR1, Mortgage Pass-Through Certificates, Series 2014-IVR1, Class B-3
-- CSMC Trust 2014-IVR1, Mortgage Pass-Through Certificates, Series 2014-IVR1, Class B-4
-- CSMC Trust 2014-IVR1, Mortgage Pass-Through Certificates, Series 2014-IVR1, Class A-IO-S
-- CSMC Trust 2014-IVR2, Mortgage Pass-Through Certificates, Series 2014-IVR2, Class A-IO-S
-- CSMC Trust 2014-IVR2, Mortgage Pass-Through Certificates, Series 2014-IVR2, Class B-3
-- CSMC Trust 2014-IVR2, Mortgage Pass-Through Certificates, Series 2014-IVR2, Class B-4
-- CSMC Trust 2014-IVR3, Mortgage Pass-Through Certificates, Series 2014-IVR3, Class B-3
-- CSMC Trust 2014-IVR3, Mortgage Pass-Through Certificates, Series 2014-IVR3, Class B-4
-- CSMC Trust 2014-IVR3, Mortgage Pass-Through Certificates, Series 2014-IVR3, Class A-IO-S
-- CSMC Trust 2014-OAK1, Mortgage Pass-Through Certificates, Series 2014-OAK1, Class B-3
-- CSMC Trust 2014-OAK1, Mortgage Pass-Through Certificates, Series 2014-OAK1, Class B-4
-- CSMC Trust 2014-SAF1, Mortgage Pass-Through Certificates, Series 2014-SAF1, Class B-3
-- CSMC Trust 2014-SAF1, Mortgage Pass-Through Certificates, Series 2014-SAF1, Class B-4
-- CSMC Trust 2014-SAF1, Mortgage Pass-Through Certificates, Series 2014-SAF1, Class A-IO-S
-- CSMC Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class A-IO-S
-- CSMC Trust 2015-2, Mortgage Pass-Through Certificates, Series 2015-2, Class B-3
-- CSMC Trust 2015-2, Mortgage Pass-Through Certificates, Series 2015-2, Class B-4
-- CSMC Trust 2015-2, Mortgage Pass-Through Certificates, Series 2015-2, Class A-IO-S
-- CSMC Trust 2015-WIN1, Mortgage Pass-Through Certificates, Series 2015-WIN1, Class B-4
-- CSMC Trust 2015-WIN1, Mortgage Pass-through Certificates, Series 2015-WIN1, Class A-IO-S
-- CSMC 2017-HL1 Trust, Mortgage Pass-Through Certificates, Series 2017-HL1, Class B-3
-- CSMC 2017-HL2 Trust, Mortgage Pass-Through Certificates, Series 2017-HL2, Class B-3
-- EverBank Mortgage Loan Trust 2018-1, Mortgage Pass-Through Certificates, Series 2018-1, Class B-2
-- EverBank Mortgage Loan Trust 2018-1, Mortgage Pass-Through Certificates, Series 2018-1, Class B-3
-- Flagstar Mortgage Trust 2017-2, Mortgage Pass-Through Certificates, Series 2017-2, Class B-3
-- Flagstar Mortgage Trust 2017-2, Mortgage Pass-Through Certificates, Series 2017-2, Class B-5
-- Galton Funding Mortgage Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B3
-- Galton Funding Mortgage Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B4
-- Galton Funding Mortgage Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B5
-- GS Mortgage-Backed Securities Trust 2021-PJ1, Mortgage Pass-Through Certificates, Series 2021-PJ1, Class B-2-A
-- GS Mortgage-Backed Securities Trust 2021-PJ1, Mortgage Pass-Through Certificates, Series 2021-PJ1, Class B-4
-- GS Mortgage-Backed Securities Trust 2021-PJ1, Mortgage Pass-Through Certificates, Series 2021-PJ1, Class B-5
-- GS Mortgage-Backed Securities Trust 2021-PJ1, Mortgage Pass-Through Certificates, Series 2021-PJ1, Class B-2-X
-- GS Mortgage-Backed Securities Trust 2021-PJ1, Mortgage Pass-Through Certificates, Series 2021-PJ1, Class B-3-X
-- GS Mortgage-Backed Securities Trust 2021-PJ1, Mortgage Pass-Through Certificates, Series 2021-PJ1, Class B-2
-- GS Mortgage-Backed Securities Trust 2021-PJ2, Mortgage Pass-Through Certificates, Series 2021-PJ2, Class B-4
-- GS Mortgage-Backed Securities Trust 2021-PJ2, Mortgage Pass-Through Certificates, Series 2021-PJ2, Class B-5
-- J.P. Morgan Mortgage Trust 2013-3 Mortgage Pass-Through Certificates, Series 2013-3, Class B-4
-- J.P. Morgan Mortgage Trust 2014-IVR3, Mortgage Pass-Through Certificates, Series 2014-IVR3, Class B-4
-- J.P. Morgan Mortgage Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-3
-- J.P. Morgan Mortgage Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-4
-- J.P. Morgan Mortgage Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-5
-- J.P. Morgan Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-3
-- J.P. Morgan Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-4
-- J.P. Morgan Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-5
-- J.P. Morgan Mortgage Trust 2018-8, Mortgage Pass-Through Certificates, Series 2018-8, Class B-3
-- J.P. Morgan Mortgage Trust 2018-8, Mortgage Pass-Through Certificates, Series 2018-8, Class B-4
-- J.P. Morgan Mortgage Trust 2018-8, Mortgage Pass-Through Certificates, Series 2018-8, Class B-5
-- J.P. Morgan Mortgage Trust 2019-5, Mortgage Pass-Through Certificates, Series 2019-5, Class B-3
-- J.P. Morgan Mortgage Trust 2019-5, Mortgage Pass-Through Certificates, Series 2019-5, Class B-4
-- J.P. Morgan Mortgage Trust 2019-5, Mortgage Pass-Through Certificates, Series 2019-5, Class B-5
-- J.P. Morgan Mortgage Trust 2019-INV3, Mortgage Pass-Through Certificates, Series 2019-INV3, Class B-3
-- J.P. Morgan Mortgage Trust 2019-INV3, Mortgage Pass-Through Certificates, Series 2019-INV3, Class B-3-A
-- J.P. Morgan Mortgage Trust 2019-INV3, Mortgage Pass-Through Certificates, Series 2019-INV3, Class B-3-X
-- J.P. Morgan Mortgage Trust 2019-INV3, Mortgage Pass-Through Certificates, Series 2019-INV3, Class B-4
-- J.P. Morgan Mortgage Trust 2019-INV3, Mortgage Pass-Through Certificates, Series 2019-INV3, Class B-5
-- J.P. Morgan Mortgage Trust 2019-INV3, Mortgage Pass-Through Certificates, Series 2019-INV3, Class B-X
-- J.P. Morgan Mortgage Trust 2019-INV3, Mortgage Pass-Through Certificates, Series 2019-INV3, Class B-5-Y
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through Certificates, Series 2019-LTV1, Class B-3
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through Certificates, Series 2019-LTV1, Class B-4
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through Certificates, Series 2019-LTV1, Class B-5
-- J.P. Morgan Mortgage Trust 2019-LTV2, Mortgage Pass-Through Certificates, Series 2019-LTV2, Class B-5
-- J.P. Morgan Mortgage Trust 2019-LTV3, Mortgage Pass-Through Certificates, Series 2019-LTV3, Class B-5
-- J.P. Morgan Mortgage Trust 2021-LTV2, Mortgage Pass Through Certificates, Series 2021-LTV2, Class M-1
-- J.P. Morgan Mortgage Trust 2021-LTV2, Mortgage Pass Through Certificates, Series 2021-LTV2, Class B-1
-- J.P. Morgan Mortgage Trust 2021-LTV2, Mortgage Pass Through Certificates, Series 2021-LTV2, Class B-2
-- J.P. Morgan Mortgage Trust 2021-LTV2, Mortgage Pass Through Certificates, Series 2021-LTV2, Class A-X-1
-- MFA 2021-AEINV2 Trust, Mortgage Pass-Through Certificates, Series 2021-AEINV2, Class B-5
-- Mello Mortgage Capital Acceptance 2022-INV1, Mortgage Pass-Through Certificates, Series 2022-INV1, Class B-5
-- MetLife Securitization Trust 2020-INV1, Residential Mortgage-Backed Securities, Series 2020-INV1, Class B-2
-- MetLife Securitization Trust 2020-INV1, Residential Mortgage-Backed Securities, Series 2020-INV1, Class B-3
-- OBX 2019-INV2 Trust, Mortgage-Backed Notes, Series 2019-INV2, Class B-3
-- OBX 2019-INV2 Trust, Mortgage-Backed Notes, Series 2019-INV2, Class B-4
-- OBX 2019-INV2 Trust, Mortgage-Backed Notes, Series 2019-INV2, Class B-5
-- RATE Mortgage Trust 2021-HB1, Mortgage Pass-Through Certificates, Class B-X-2

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 2022 Update,” published on September 19, 2022 (https://www.dbrsmorningstar.com/research/402907). 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 rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on February 21, 2020.

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/396929 (May 17, 2022).

Notes:
The principal methodology is the U.S. RMBS Surveillance Methodology (February 21, 2020; https://www.dbrsmorningstar.com/research/357249), 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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