DBRS Morningstar Takes Rating Actions on 42 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 463 classes from 42 U.S. residential mortgage-backed securities (RMBS) transactions. The 42 transactions are generally classified as non-qualified mortgage, seasoned and prime transactions. Of the 463 classes reviewed, DBRS Morningstar upgraded 117 ratings and confirmed 346 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 transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: April 23 Update,” published on April 28, 2023 (https://www.dbrsmorningstar.com/research/413218). 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, AND 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 the 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 .

The credit ratings assigned to the classes below materially deviate from the ratings implied by the predictive model. DBRS Morningstar typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stresses implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviations is additional seasoning being warranted to substantiate a further upgrade.

-- Angel Oak Mortgage Trust 2020-3, Mortgage-Backed Certificates, Series 2020-3, Class B-1
-- Angel Oak Mortgage Trust 2020-3, Mortgage-Backed Certificates, Series 2020-3, Class B-2
-- Angel Oak Mortgage Trust 2020-4, Mortgage-Backed Certificates, Series 2020-4, Class B-1
-- Angel Oak Mortgage Trust 2020-4, Mortgage-Backed Certificates, Series 2020-4, Class B-2
-- Angel Oak Mortgage Trust 2020-5, Mortgage-Backed Certificates, Series 2020-5, Class B-1
-- Angel Oak Mortgage Trust 2020-5, Mortgage-Backed Certificates, Series 2020-5, Class B-2
-- Angel Oak Mortgage Trust 2020-6, Mortgage-Backed Certificates, Series 2020-6, Class M-1
-- Angel Oak Mortgage Trust 2020-6, Mortgage-Backed Certificates, Series 2020-6, Class B-1
-- Angel Oak Mortgage Trust 2020-6, Mortgage-Backed Certificates, Series 2020-6, Class B-2
-- BRAVO Residential Funding Trust 2020-NQM1, Mortgage Pass-Through Notes, Series 2020-NQM1, Class B-1
-- BRAVO Residential Funding Trust 2020-NQM1, Mortgage Pass-Through Notes, Series 2020-NQM1, Class B-2
-- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class A-3
-- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class M-1
-- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class B-1
-- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class B-2
-- GCAT 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class M-1
-- GS Mortgage-Backed Securities Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class M-1
-- GS Mortgage-Backed Securities Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-1
-- GS Mortgage-Backed Securities Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-2
-- Imperial Fund Mortgage Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class M-1
-- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class A-3
-- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class M-1
-- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-1
-- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-2
-- MFA 2020-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-1
-- MFA 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class B-1
-- MFA 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class B-2
-- Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class M-1
-- Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-1
-- Starwood Mortgage Residential Trust 2021-3, Mortgage Pass-Through Certificates, Series 2021-3, Class A-3
-- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class M-1
-- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-1
-- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-2
-- Verus Securitization Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class M-1
-- Verus Securitization Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-1
-- Verus Securitization Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-2
-- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class A-3
-- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class M-1
-- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class B-1
-- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class B-2
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2A
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2AX
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2B
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2BX
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2C
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2CX
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2D
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2DX
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2E
-- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2EX
-- 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 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
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 4-A-2
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class B-1
-- 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-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

The rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

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

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008

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