The
Other than the specified class above, DBRS Morningstar does not rate any other classes in this transaction.
The Trust is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 7,997 loans with a total principal balance of
The mortgage loans, which were purchased from
The portfolio contains 94.4% modified loans. The modifications happened more than two years ago for 64.0% of the modified loans. Within the pool, 2,335 mortgages have aggregate noninterest-bearing deferred amounts of
Approximately 4.3% of the loans in the pool are subject to the Consumer Financial Protection Bureau Ability-to-Repay and Qualified Mortgage (QM) rules. Approximately 3.9% of these loans are designated as either Safe Harbor or Temporary Safe Harbor and 0.4% as non-QM. The remainder of the pool is exempt due to seasoning or loan purpose.
The Seller,
As of the Cut-Off Date, the loans are serviced by an interim servicer. Such servicing will be transferred to
When the aggregate pool balance is reduced to less than 25% of the balance as of the Cut-Off Date, the directing noteholder may purchase all of the mortgage loans and real estate owned properties from the Issuer, as long as the aggregate proceeds meet a minimum price.
The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-1 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired.
Coronavirus Pandemic Impact
The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes.
Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downwards, as forbearance periods come to an end for many borrowers.
For more information regarding the economic stress assumed under its baseline scenario, please see the following DBRS Morningstar commentary: 'Baseline Macroeconomic Scenarios For Rated Sovereigns
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/373262.
Notes:
All figures are in
The principal methodology is RMBS Insight 1.3:
The DBRS
The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.
Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.
The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
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