Morningstar DBRS Takes Credit Rating Actions on 27 U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed 911 classes from 27 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 27 transactions reviewed 26 are classified as prime transactions and one is classified as a mortgage insurance linked note transaction. Of the 911 classes reviewed, Morningstar DBRS upgraded 37 credit ratings and confirmed 874 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 June 2024 Update” published on June 28, 2024 (https://dbrs.morningstar.com/research/435206). 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 June 28, 2024.

Morningstar DBRS’ credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions’ respective press releases at issuance.

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 (August 13, 2024) at https://dbrs.morningstar.com/research/437781.

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 (June 28, 2024) https://dbrs.morningstar.com/research/435291.

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 having (1) risk(s) not fully reflected in the quantitative model output, (2) requiring additional seasoning and/or updated performance to substantiate a further upgrade, or (3) actual deal or tranche performance not fully reflected in projected cash flows/model output.

The below tranches materially deviate because of risk(s) not fully reflected in the quantitative model output:

-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-3
-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-4
-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-5
-- GS Mortgage-Backed Securities Trust 2019-PJ2, Mortgage Pass-Through Certificates, Series 2019-PJ2, Class B-4
-- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-3
-- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-4
-- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-5
-- GS Mortgage-Backed Securities Trust 2020-PJ1, Mortgage Pass-Through Certificates, Series 2020-PJ1, Class B-4
-- GS Mortgage-Backed Securities Trust 2020-PJ1, Mortgage Pass-Through Certificates, Series 2020-PJ1, Class B-5
-- GS Mortgage-Backed Securities Trust 2020-PJ2, Mortgage Pass-Through Certificates, Series 2020-PJ2, Class B-4
-- GS Mortgage-Backed Securities Trust 2021-PJ10, Mortgage Pass-Through Certificates, Series 2021-PJ10, Class B-4
-- GS Mortgage-Backed Securities Trust 2021-PJ10, Mortgage Pass-Through Certificates, Series 2021-PJ10, Class B-5
-- GS Mortgage-Backed Securities Trust 2021-MM1, Mortgage Pass-Through Certificates, Series 2021-MM1, Class B-5
-- GS Mortgage-Backed Securities Trust 2021-PJ2, Mortgage Pass-Through Certificates, Series 2021-PJ2, Class B-4
-- GS Mortgage-Backed Securities Trust 2021-PJ2, Mortgage Pass-Through Certificates, Series 2021-PJ2, Class B-5
-- OBX 2021-INV3 Trust, Mortgage-Backed Notes, Series 2021-INV3, Class B-5

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

-- Wells Fargo Mortgage Backed Securities 2018-1 Trust, Mortgage Pass-Through Certificates, Series 2018-1, Class B-3
-- Wells Fargo Mortgage Backed Securities 2018-1 Trust, Mortgage Pass-Through Certificates, Series 2018-1, Class B-4
-- 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 tranche materially deviates because actual deal or tranche performance is not fully reflected in the projected cash flows/model output:

-- GS Mortgage-Backed Securities Trust 2019-PJ2, Mortgage Pass-Through Certificates, Series 2019-PJ2, Class B-5
-- GS Mortgage-Backed Securities Trust 2020-PJ2, Mortgage Pass-Through Certificates, Series 2020-PJ2, Class B-5

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.

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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 (June 28, 2024), https://dbrs.morningstar.com/research/435279
-- 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.