Press Release

Morningstar DBRS Takes Credit Rating Actions on 16 U.S. RMBS Transactions

RMBS
March 08, 2024

DBRS, Inc. (Morningstar DBRS) reviewed 457 classes from 16 U.S. residential mortgage-backed securities (RMBS) transactions. Out of the 16 transactions, 15 are generally classified as prime jumbo transactions and one is classified as an agency credit risk transfer transaction. Of the 457 classes reviewed, Morningstar DBRS upgraded 33 credit ratings and confirmed 424 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 Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update,” published on December 19, 2023 (https://dbrs.morningstar.com/research/425506). These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

The credit rating actions are the result of Morningstar DBRS’ application of its “U.S. RMBS Surveillance Methodology,” published on March 3, 2023.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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 Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427030 (January 23, 2024).

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

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

The credit ratings assigned to the classes below materially deviate from the credit ratings implied by the predictive model. Morningstar DBRS 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 below varies among tranches requiring (1) additional seasoning and/or updated performance to substantiate a further upgrade, (2) certain risks are not fully reflected in the quantitative model output, or (3) a dependency on another tranche’s credit rating (i.e., interest-only (IO) and exchangeable tranches).

The below tranches materially deviate because of additional seasoning and/or updated performance being warranted to substantiate a further upgrade:

-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-4
-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-5
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4

The below tranches materially deviate because certain risks are not fully reflected in the quantitative model output:

-- J.P. Morgan Mortgage Trust 2022-5, Mortgage Pass-Through Certificates, Series 2022-5, Class B-5
-- Mello Mortgage Capital Acceptance 2018-MTG1, Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B4
-- Mello Mortgage Capital Acceptance 2018-MTG1, Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B5
-- Mello Mortgage Capital Acceptance 2021-MTG2, Mortgage Pass-Through Certificates, Series 2021-MTG2, Class B5

The below tranches materially deviate because of a dependency on another tranche’s credit rating such as IO or exchangeable tranches:

-- J.P. Morgan Mortgage Trust 2020-6, Mortgage Pass-Through Certificates, Series 2020-6, Class B-5-Y

The credit ratings were initiated at the request of the rated entity.

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

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

These are solicited credit ratings.

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

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

-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023), https://dbrs.morningstar.com/research/420108

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623

-- Legal Criteria for U.S. Structured Finance (December 7, 2023), https://dbrs.morningstar.com/research/425081

For more information on these credits or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.

Ratings

  • Agate Bay Mortgage Trust 2015-1

  • Agate Bay Mortgage Trust 2015-2

  • Agate Bay Mortgage Trust 2015-3

  • Agate Bay Mortgage Trust 2015-4

  • Agate Bay Mortgage Trust 2015-5

    Date IssuedDebt RatedRatingTrendActionAttributesi
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-10AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-2AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-3AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-4AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-7AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-8AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-9AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-X-1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-X-2AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-X-3AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-X-5AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class A-X-6AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class B-1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-5, Class B-2AAA (sf)--Confirmed
    US
    More
    Less

  • Agate Bay Mortgage Trust 2015-6

    Date IssuedDebt RatedRatingTrendActionAttributesi
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-10AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-2AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-3AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-4AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-7AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-8AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-9AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-X-1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-X-2AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-X-3AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-X-5AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class A-X-6AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2015-6, Class B-1AAA (sf)--Confirmed
    US
    More
    Less

  • CIM Trust 2018-J1

  • Freddie Mac STACR REMIC Trust 2023-DNA1

  • J.P. Morgan Mortgage Trust 2019-6

    Date IssuedDebt RatedRatingTrendActionAttributesi
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-10AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-11AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-11-XAAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-12AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-13AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-14AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-15AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-16AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-17AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-2AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-3AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-5AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-7AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-X-1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-X-2AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-X-3AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class A-X-4AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class B-1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class B-2AAA (sf)--Upgraded
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class B-3AA (sf)--Upgraded
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class B-4AA (low) (sf)--Upgraded
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2019-6, Class B-5BBB (high) (sf)--Upgraded
    US
    More
    Less

  • J.P. Morgan Mortgage Trust 2020-6

  • J.P. Morgan Mortgage Trust 2022-5

  • Mello Mortgage Capital Acceptance 2018-MTG1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class A10AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class A15AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class A16AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class A9AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class AX1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class AX6AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class AX7AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B2AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B3AA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B4AA (low) (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B5BBB (high) (sf)--Confirmed
    US
    More
    Less

  • Mello Mortgage Capital Acceptance 2021-MTG2

  • PSMC 2018-2 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-2, Class A-10AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-2, Class A-15AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-2, Class A-16AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-2, Class A-9AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-2, Class A-X1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-2, Class A-X6AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-2, Class A-X7AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-2, Class B-1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-2, Class B-2AAA (sf)--Upgraded
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-2, Class B-3AA (sf)--Upgraded
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2018-2, Class B-4A (sf)--Upgraded
    US
    More
    Less

  • Shellpoint Asset Funding Trust 2013-1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    08-Mar-24Mortgage Pass-Through Certificates, Series 2013-1, Class A-1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2013-1, Class A-2AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2013-1, Class A-2-IOAAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2013-1, Class A-3AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2013-1, Class A-IOAAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2013-1, Class B-1AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2013-1, Class B-2AAA (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2013-1, Class B-3AA (high) (sf)--Confirmed
    US
    08-Mar-24Mortgage Pass-Through Certificates, Series 2013-1, Class B-4AA (sf)--Upgraded
    US
    More
    Less

  • TIAA Bank Mortgage Loan Trust 2018-2

Agate Bay Mortgage Trust 2015-1
Agate Bay Mortgage Trust 2015-2
Agate Bay Mortgage Trust 2015-3
Agate Bay Mortgage Trust 2015-4
Agate Bay Mortgage Trust 2015-5
Agate Bay Mortgage Trust 2015-6
CIM Trust 2018-J1
Freddie Mac STACR REMIC Trust 2023-DNA1
J.P. Morgan Mortgage Trust 2019-6
J.P. Morgan Mortgage Trust 2020-6
J.P. Morgan Mortgage Trust 2022-5
Mello Mortgage Capital Acceptance 2018-MTG1
Mello Mortgage Capital Acceptance 2021-MTG2
PSMC 2018-2 Trust
Shellpoint Asset Funding Trust 2013-1
TIAA Bank Mortgage Loan Trust 2018-2
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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