Press Release

Morningstar DBRS Takes Credit Rating Actions on 23 U.S. RMBS Transactions

RMBS
June 07, 2024

DBRS, Inc. (Morningstar DBRS) reviewed 939 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed transactions are classified as RMBS backed by prime jumbo mortgages. Of the 939 classes reviewed, Morningstar DBRS upgraded 137 credit ratings and confirmed 802 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 March 2024 Update” published on March 27, 2024 (https://dbrs.morningstar.com/research/430189). 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 (January 23, 2024) at https://dbrs.morningstar.com/research/427030.

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://dbrs.morningstar.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 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) actual deal or tranche performance not fully reflected in projected cash flows/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:

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

The below tranche materially deviates because actual deal or tranche performance is not fully reflected in the projected cash flows/model output.

-- J.P. Morgan Mortgage Trust 2023-4, Mortgage Pass-Through Certificates, Series 2023-4, Class B-5

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

-- J.P. Morgan Mortgage Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, 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.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of these transactions 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 (April 15, 2024), https://dbrs.morningstar.com/research/431205

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

Ratings

  • CIM Trust 2019-J1

  • CIM Trust 2019-J2

    Date IssuedDebt RatedRatingTrendActionAttributesi
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-1AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-10AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-13AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-14AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-15AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-16AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-2AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-5AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-6AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-9AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-IO1AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-IO2AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-IO4AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-IO6AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-IO8AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class A-IO9AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class B-1AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class B-1AAAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class B-IO1AAA (sf)--Confirmed
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class B-2AA (high) (sf)--Upgraded
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class B-2AAA (high) (sf)--Upgraded
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class B-IO2AA (high) (sf)--Upgraded
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class B-3AA (sf)--Upgraded
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class B-4A (high) (sf)--Upgraded
    US
    07-Jun-24Mortgage Pass-Through Certificates, Series 2019-J2, Class B-5BBB (low) (sf)--Upgraded
    US
    More
    Less

  • CIM Trust 2020-J1

  • CSMLT 2015-2 Trust

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

  • Chase Home Lending Mortgage Trust 2019-1

  • Flagstar Mortgage Trust 2021-4

  • Flagstar Mortgage Trust 2021-6INV

  • GS Mortgage-Backed Securities Trust 2020-PJ4

  • GS Mortgage-Backed Securities Trust 2020-PJ5

  • GS Mortgage-Backed Securities Trust 2021-PJ7

  • J.P. Morgan Mortgage Trust 2020-4

  • J.P. Morgan Mortgage Trust 2020-5

  • J.P. Morgan Mortgage Trust 2020-7

  • J.P. Morgan Mortgage Trust 2020-8

  • J.P. Morgan Mortgage Trust 2020-INV2

  • J.P. Morgan Mortgage Trust 2023-4

  • Mello Mortgage Capital Acceptance 2021-INV1

  • Mello Mortgage Capital Acceptance 2021-MTG3

  • OBX 2018-EXP2 Trust

  • OBX 2020-EXP3 Trust

    • Show More Issuers
CIM Trust 2019-J1
CIM Trust 2019-J2
CIM Trust 2020-J1
CSMLT 2015-2 Trust
Chase Home Lending Mortgage Trust 2019-1
Flagstar Mortgage Trust 2021-4
Flagstar Mortgage Trust 2021-6INV
GS Mortgage-Backed Securities Trust 2020-PJ4
GS Mortgage-Backed Securities Trust 2020-PJ5
GS Mortgage-Backed Securities Trust 2021-PJ7
J.P. Morgan Mortgage Trust 2020-4
J.P. Morgan Mortgage Trust 2020-5
J.P. Morgan Mortgage Trust 2020-7
J.P. Morgan Mortgage Trust 2020-8
J.P. Morgan Mortgage Trust 2020-INV2
J.P. Morgan Mortgage Trust 2023-4
Mello Mortgage Capital Acceptance 2021-INV1
Mello Mortgage Capital Acceptance 2021-MTG3
OBX 2018-EXP2 Trust
OBX 2020-EXP3 Trust
Show More Issuers
  • 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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