DBRS Morningstar Takes Rating Actions on 31 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 1,139 classes from 31 U.S. residential mortgage-backed securities (RMBS) transactions. The 31 transactions are generally classified as prime, manufactured housing, small-balance commercial, or seasoned reperforming collateral transactions. Of the 1,139 classes reviewed, DBRS Morningstar upgraded 115 ratings, confirmed 1,022 ratings, and downgraded two 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 rating downgrades reflect the delayed recovery of the bonds’ interest shortfall amount.

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 2023 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, 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.

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 or that actual deal or tranche performance is not fully reflected in projected cash flows/model output.

-- Ajax Mortgage Loan Trust 2022-B, Mortgage-Backed Securities, Series 2022-B, Class M-2
-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through Certificates, Series 2019-1, Class B-3
-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through Certificates, Series 2019-1, Class B-3-A
-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through Certificates, Series 2019-1, Class B-3-X
-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through Certificates, Series 2019-1, Class B-4
-- Chase Home Lending Mortgage Trust 2019-1, Mortgage Pass-Through Certificates, Series 2019-1, Class B-X
-- CIM Trust 2019-J1, Mortgage Pass-Through Certificates, Series 2019-J1, Class B-3
-- CIM Trust 2019-J1, Mortgage Pass-Through Certificates, Series 2019-J1, Class B-4
-- CIM Trust 2019-J1, Mortgage Pass-Through Certificates, Series 2019-J1, Class B-5
-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series 2019-J2, Class B-3
-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series 2019-J2, Class B-4
-- CIM Trust 2019-J2, Mortgage Pass-Through Certificates, Series 2019-J2, Class B-5
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-3
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-4
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-5
-- Flagstar Mortgage Trust 2021-4, Mortgage Pass-Through Certificates, Series 2021-4, Class B-1
-- Flagstar Mortgage Trust 2021-4, Mortgage Pass-Through Certificates, Series 2021-4, Class B-1-A
-- Flagstar Mortgage Trust 2021-4, Mortgage Pass-Through Certificates, Series 2021-4, Class B-1-X
-- Flagstar Mortgage Trust 2021-6INV, Mortgage Pass-Through Certificates, Series 2021-6INV, Class B-5
-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage Pass-Through Certificates, Series 2020-PJ4, Class B-4
-- GS Mortgage-Backed Securities Trust 2020-PJ4, Mortgage Pass-Through Certificates, Series 2020-PJ4, Class B-5
-- GS Mortgage-Backed Securities Trust 2020-PJ5, Mortgage Pass-Through Certificates, Series 2020-PJ5, Class B-5
-- GS Mortgage-Backed Securities Trust 2021-PJ7, Mortgage Pass-Through Certificates, Series 2021-PJ7, Class B-2
-- GS Mortgage-Backed Securities Trust 2021-PJ7, Mortgage Pass-Through Certificates, Series 2021-PJ7, Class B-3
-- GS Mortgage-Backed Securities Trust 2021-PJ7, Mortgage Pass-Through Certificates, Series 2021-PJ7, Class B-5
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-4
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-5
-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-5-Y
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-3
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-3-A
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-3-X
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-4
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-5
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-5-Y
-- J.P. Morgan Mortgage Trust 2020-7, Mortgage Pass-Through Certificates, Series 2020-7, Class B-X
-- J.P. Morgan Mortgage Trust 2020-8, Mortgage Pass-Through Certificates, Series 2020-8, Class B-4
-- J.P. Morgan Mortgage Trust 2020-8, Mortgage Pass-Through Certificates, Series 2020-8, Class B-5
-- J.P. Morgan Mortgage Trust 2020-8, Mortgage Pass-Through Certificates, Series 2020-8, Class B-5-Y
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-3
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-3-A
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-3-X
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-4
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-5
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-5-Y
-- J.P. Morgan Mortgage Trust 2020-INV2, Mortgage Pass-Through Certificates, Series 2020-INV2, Class B-X
-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2, Class B-4
-- OBX 2018-EXP2 Trust, Mortgage-Backed Notes, Series 2018-EXP2, Class B-5
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B-3
-- OBX 2020-EXP3 Trust, Mortgage-Backed Notes, Series 2020-EXP3, Class B-5
-- Shellpoint Co-Originator Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-2
-- Shellpoint Co-Originator Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-3
-- Shellpoint Co-Originator Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through Certificates, Series 2016-1, Class B4
-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through Certificates, Series 2016-1, Class B5
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class A5
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1BX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2BX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3BX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M2
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M2A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M2AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M2B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class M2BX
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M-2
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M2-A
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M2-IO
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M-3
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M3-A
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M3-IO
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M-4
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M4-A
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M4-IO
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M-5
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M5-A
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M5-IO
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M-6
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M6-A
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M6-IO
-- Wells Fargo Mortgage Backed Securities 2019-3 Trust, Mortgage Pass-Through Certificates, Series 2019-3, Class B-3
-- Wells Fargo Mortgage Backed Securities 2019-3 Trust, Mortgage Pass-Through Certificates, Series 2019-3, Class B-4

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.
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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

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].