Morningstar DBRS Takes Credit Rating Actions on 26 U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed 934 classes from 26 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed deals are classified as prime mortgage transactions. Of the 934 classes reviewed, Morningstar DBRS upgraded its credit ratings on 27 classes and confirmed its credit ratings on 907 classes.

CREDIT RATING RATIONALE/DESCRIPTION

The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. 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 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). 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 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, 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 Factors in Credit Ratings (May 16, 2025) at https://dbrs.morningstar.com/research/454196.

Notes:
All figures are in US Dollars unless otherwise noted.
The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (June 28, 2024), https://dbrs.morningstar.com/research/435291.

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 are as follows:

The below tranche materially deviates because additional seasoning and/or updated performance needs to be measured against a sustainable upgrade loan-level cash flow stress.

-- Shellpoint Co-Originator Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4

The below tranches materially deviate because actual deal or tranche performance is not fully reflected in projected cashflows / model output

-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-10
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-14
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-1A
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-2A
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-3
-- Flagstar Mortgage Trust 2021-6INV, Mortgage Pass-Through Certificates, Series 2021-6INV, Class A-18
-- Flagstar Mortgage Trust 2021-6INV, Mortgage Pass-Through Certificates, Series 2021-6INV, Class B-1-A
-- J.P. Morgan Mortgage Trust 2022-7, Mortgage Pass-Through Certificates, Series 2022-7, Class B-4
-- J.P. Morgan Mortgage Trust 2022-7, Mortgage Pass-Through Certificates, Series 2022-7, Class B-5

The below tranches materially deviate due to a dependency on another rating (such as an interest only or exchangeable tranche).

-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-1
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-2
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-5
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-6
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-9
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-13
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-15
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-16
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-IO1
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-IO2
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-IO4
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-IO6
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-IO8
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class A-IO9
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-1
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-IO1
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-2
-- CIM Trust 2020-J1, Mortgage Pass-Through Certificates, Series 2020-J1, Class B-IO2
-- Flagstar Mortgage Trust 2021-6INV, Mortgage Pass-Through Certificates, Series 2021-6INV, Class A-16
-- Flagstar Mortgage Trust 2021-6INV, Mortgage Pass-Through Certificates, Series 2021-6INV, Class A-17
-- Flagstar Mortgage Trust 2021-6INV, Mortgage Pass-Through Certificates, Series 2021-6INV, Class B-1
-- Flagstar Mortgage Trust 2021-6INV, Mortgage Pass-Through Certificates, Series 2021-6INV, Class B-1-X

The credit ratings are initiated at the request of the rated entities.

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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

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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 (Version 1.3.29.0), https://dbrs.morningstar.com/research/445477

-- Interest Rate Stresses for U.S. Structured Finance Transactions (March 27, 2025), https://dbrs.morningstar.com/research/450750

-- Legal Criteria for U.S. Structured Finance (December 3, 2024), https://dbrs.morningstar.com/research/444064

-- Operational Risk Assessment for U.S. RMBS Originators and Servicers (September 30, 2024),
https://dbrs.morningstar.com/research/440086

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