DBRS Morningstar Takes Rating Actions on 24 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 472 classes from 24 U.S. residential mortgage-backed securities (RMBS) and resecuritization of real estate mortgage investment conduit (ReREMIC) transactions. Of the 472 classes reviewed, DBRS Morningstar confirmed 470 ratings and discontinued two ratings.

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 and ReREMIC transactions consist of prime, Alt-A, option adjustable-rate mortgage, and non-Qualified 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.

-- Agate Bay Mortgage Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-4
-- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J1, Mortgage Pass Through Certificates, Series 2014-J1, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J2, Mortgage Pass Through Certificates, Series 2014-J2, Class B-4
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-A
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-X
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-Y
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-Z
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-4
-- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-5
-- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B
-- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-2
-- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-2-A
-- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-2-X
-- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-3
-- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-3-A
-- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-3-X
-- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-4
-- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-5
-- Mello Mortgage Capital Acceptance 2021-MTG2, Mortgage Pass-Through Certificates, Series 2021-MTG2, Class B5
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-3
-- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-4
-- TIAA Bank Mortgage Loan Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-3
-- BCAP LLC 2008-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2008-RR2, Class A-14
-- BCAP LLC 2008-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2008-RR2, Class A-18
-- BCAP LLC 2008-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2008-RR2, Class A-22
-- BCAP LLC 2008-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2008-RR2, Class A-26
-- BCAP LLC 2008-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2008-RR2, Class A-32
-- RUN 2022-NQM1 Trust, Mortgage-Backed Notes, Series 2022-NQM1, Class B-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: December 2022 Update,” published on December 21, 2022 (https://www.dbrsmorningstar.com/research/407678). 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 March 3, 2023.

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 applicable to the ratings is U.S. RMBS Surveillance Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410498).

Other methodologies referenced in these transactions are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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.

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The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (March 3, 2023) https://www.dbrsmorningstar.com/research/410473

Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022)
https://www.dbrsmorningstar.com/research/402153

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