DBRS Morningstar Takes Credit Rating Actions on 20 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 401 classes from 20 U.S. residential mortgage-backed security (RMBS) transactions. Out of 20 transactions, one transaction is classified as non-QM, and all other transactions are classified as Prime. Of the 401 classes reviewed, DBRS Morningstar upgraded 26 credit ratings and confirmed 375 credit ratings.

The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit 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: September 2023 Update,” published on September 28, 2023 (https://www.dbrsmorningstar.com/research/421227). 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 credit 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 factor(s) 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 (July 4, 2023; https://www.dbrsmorningstar.com/research/416784).

Notes:
All figures are in U.S. dollars unless otherwise noted.

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

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit ratings assigned to the classes listed below materially deviate from the credit 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 stress(es) implied by the predictive model to be a significant factor in evaluating the credit ratings.

The below material deviations are because of additional seasoning and/or updated performance to be measured against a sustainable upgrade loan level cash flow stress:
-- J.P. Morgan Mortgage Trust 2014-IVR3, Mortgage Pass-Through Certificates, Series 2014-IVR3, Class B-4
-- J.P. Morgan Mortgage Trust 2017-6, Mortgage Pass-Through Certificates, Series 2017-6, Class B-5
-- 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-4
-- J.P. Morgan Mortgage Trust 2019-INV3, Mortgage Pass-Through Certificates, Series 2019-INV3, Class B-5
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through Certificates, Series 2019-LTV1, 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

The below material deviations are because of dependency on a counterparty’s credit rating:
-- 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
-- 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

The below material deviations are because of dependency on another rating (such as interest only tranche or exchangeable tranche):
-- J.P. Morgan Mortgage Trust 2019-INV3, Mortgage Pass-Through Certificates, Series 2019-INV3, Class B-5-Y

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

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

This is a solicited credit rating.
DBRS, Inc.
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The credit 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 (August 31, 2023; https://www.dbrsmorningstar.com/research/420108)
-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023; https://www.dbrsmorningstar.com/research/415687)
-- Legal Criteria for U.S. Structured Finance (December 7, 2023; https://www.dbrsmorningstar.com/research/425081)

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