/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/201115.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, November 15, 2020, Vol. 24, No. 319 Headlines BATTALION CLO 17: DBRS Gives Prov. BB(low) Rating on Cl. B-2 Loans BCC FUNDING XVII: DBRS Finalizes B Rating on Class E Notes BRAVO RESIDENTIAL 2020-RPL2: DBRS Finalizes B Rating on B-2 Notes CANADIAN WESTERN: DBRS Finalizes BB(high) Rating on Tier 1 Notes COLD STORAGE 2020-ICE5: DBRS Finalizes B Rating on Class HRR Certs COMM 2020-CX: DBRS Finalizes BB Rating on 2 Cert. Classes DNZN COMMERCIAL 2020-DNZN: DBRS Gives Prov. BB(low) on HRR Debt FAT BRANDS I: DBRS Keeps B Rating on Cl. B2 Notes Under Review FLAGSHIP CREDIT 2020-4: DBRS Finalizes BB(high) Rating on E Notes FREDDIE MAC 2020-3: DBRS Finalizes B(low) Rating on Class M Debt GS MORTGAGE 2020-PJ5: DBRS Finalizes B Rating on Class B-5 Certs GS MORTGAGE 2020-RPL2: DBRS Assigns B Rating on Class B-2 Notes HOME PARTNERS 2020-2: DBRS Gives Prov. BB(low) Rating on F Certs JP MORGAN 2020-8: DBRS Finalizes B Rating on 2 Cert. Classes JP MORGAN 2020-8: DBRS Gives Prov. B Rating on 2 Cert. Classes LENDMARK FUNDING 2020-2: DBRS Finalizes BB(high) Rating on D Notes MCA FUND III: DBRS Finalizes BB Rating on Class C Notes MF1 LTD 2020-FL4: DBRS Gives Prov. B (low) Rating on Class G Notes MFA TRUST 2020-NQM2: DBRS Finalizes B Rating on Class B-2 Certs OAKTOWN RE 2020-2: DBRS Finalizes B(low) Rating on Class M-2 Notes ONDECK ASSET: DBRS Confirms BB(high) Rating on 2 Debt Classes ONEMAIN FINANCIAL: DBRS Confirms BB Rating on 4 Note Classes REGIONAL MANAGEMENT 2018-2: DBRS Confirms BB Rating on Cl. D Notes WELLS FARGO 2020-5: DBRS Finalizes BB Rating on Class B-4 Certs ********* BATTALION CLO 17: DBRS Gives Prov. BB(low) Rating on Cl. B-2 Loans ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings of BBB (low) (sf) to the Funded Class B-1 Loans and BB (low) (sf) to the Funded Class B-2 Loans (together, the Class B Loans) of Battalion CLO 17 Ltd., pursuant to the Revolving Loan Agreement, dated as of September 24, 2020, and amended pursuant to the First Amendment, dated as of November 3, 2020, by and among the following: Brigade Capital Management LP, as the Collateral Manager; Battalion CLO 17 Ltd., as the Borrower; the Lenders from time to time party thereto; Royal Bank of Canada, as the Administrative Agent; and Citibank, N.A., as the Collateral Custodian. The provisional ratings on the Class B Loans address the ultimate payment of interest and the ultimate payment of principal on or before the Facility Maturity Date (as defined in the Revolving Loan Agreement referenced above). The Class B Loans of Battalion CLO 17 Ltd. will be collateralized primarily by a portfolio of U.S. broadly syndicated corporate loans. Brigade Capital Management LP will be the Collateral Manager for this transaction. The provisional ratings reflect the following primary considerations: -- The First Amendment to the Revolving Loan Agreement, dated as of November 3, 2020 -- The integrity of the transaction structure. -- DBRS Morningstar's assessment of the portfolio quality. -- Adequate credit enhancement to withstand DBRS Morningstar's projected collateral loss rates under various cash flow-stress scenarios. -- DBRS Morningstar's assessment of the origination, servicing, and collateralized loan obligation (CLO) management capabilities of Brigade Capital Management LP. As of the date of the provisional ratings, DBRS Morningstar performed a telephone operational risk review of Brigade Capital Management LP. DBRS Morningstar did not perform an on-site operational risk review at the company's offices because of the current Coronavirus Disease (COVID-19) outbreak. DBRS Morningstar found Brigade Capital Management LP to be an acceptable collateral manager. Provisional ratings are not final ratings with respect to the above-mentioned Class B Loans and may be different than the final ratings assigned or may be discontinued. The assignment of final ratings on the above-mentioned Class B Loans is subject DBRS Morningstar receiving all data and/or information and final documentation that is necessary to finalize the ratings for these instruments, including satisfaction of the DBRS Effective Date Condition (as defined in the Revolving Loan Agreement). If the Borrower fails to complete the above conditions, as described in the Revolving Loan Agreement, DBRS Morningstar may not finalize the provisional ratings or finalize them at different ratings than the original provisional ratings. As the coronavirus spreads around the world, certain countries imposed quarantines and lockdowns, including the United States, which accounts for over one-fourth of confirmed cases worldwide. The coronavirus pandemic has negatively affected not only the economies of the countries with the highest infection rates, but also the overall global economy, with diminished demand for goods and services as well as disrupted supply chains. This may result in deteriorated financial conditions for many companies and obligors, some of which will experience the effects of such negative economic trends more than others. At the same time, governments and central banks in multiple regions, including the United States and Europe, have taken significant measures to mitigate the economic fallout from the coronavirus pandemic. In conjunction with DBRS Morningstar's commentary, "Global Macroeconomic Scenarios: Implications for Credit Ratings", published on April 16, 2020, and updated in its "Global Macroeconomic Scenarios: September Update" on September 10, 2020, DBRS Morningstar further considers additional adjustments to assumptions for the CLO asset class that consider the moderate economic scenario outlined in the commentary. The adjustments include a higher default assumption for the weighted-average (WA) credit quality of the current collateral obligation portfolio. To derive the higher default assumption, DBRS Morningstar notches ratings for obligors in certain industries and for obligors at various rating levels based on their perceived exposure to the adverse disruptions caused by the coronavirus. Considering a higher default assumption would result in losses that exceed the original default expectations for the affected classes of notes. DBRS Morningstar may adjust the default expectations further if the duration or severity of the adverse disruptions caused by the coronavirus change. For CLOs with minimally ramped assets at closing, DBRS Morningstar considers whether the Revolving Loan Agreement contains a Collateral Quality Matrix with sufficient rows and columns that would allow for higher stressed DBRS Morningstar Risk Scores and, therefore, a higher default probability on the collateral pool, while still remaining in compliance with the other Collateral Quality Tests, such as WA Spread and Diversity Score. The results of this analysis indicate that the instrument can withstand an additional higher default probability commensurate with a moderate-scenario impact of the coronavirus. Notes: All figures are in U.S. dollars unless otherwise noted. BCC FUNDING XVII: DBRS Finalizes B Rating on Class E Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes (the Notes) issued by BCC Funding XVII LLC (the Issuer): -- $68,770,000 Class A-1 Notes at R-1 (high) (sf) -- $71,944,000 Class A-2 Notes at AAA (sf) -- $38,088,000 Class B Notes at A (high) (sf) -- $8,464,000 Class C Notes at BBB (high) (sf) -- $8,464,000 Class D Notes at BB (high) (sf) -- $5,290,000 Class E Notes at B (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and sufficiency of available credit enhancement, which includes overcollateralization (OC), subordination, and amounts held in the reserve account, to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stressed cash flow scenarios. (2) The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which were last updated on September 10, 2020, and are reflected in DBRS Morningstar's rating analysis. (3) DBRS Morningstar adjusted its expected CNL assumption for the transaction in consideration of its moderate scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021. This moderate scenario primarily considers two economic measures: declining GDP growth and increased unemployment levels for the year. For commercial asset classes, the GDP growth rate is intended to provide the basis for measurement of performance expectations. -- The expected CNL of 4.60% used by DBRS Morningstar in the cash flow analysis was assessed using the actual static pool performance data (by origination channel, key equipment types, and original term bands) for Balboa Capital Corporation (Balboa Capital) and taking into account the expected asset pool's collateral mix with respect to origination channels, equipment types, and amount of originations with obligors with less than two years of business history, as well as the original term profile of the collateral. -- Cash flow assumptions assign no credit to seasoning of the collateral (approximately seven months for the initial discounted pool balance). (4) The concentration limits mitigating the risk of material migration in the collateral pool's composition during the approximately three-month prefunding period. (5) DBRS Morningstar deems Balboa Capital to be an acceptable originator and servicer of equipment-backed leases and loans. In addition, Vervent, Inc. (Vervent), which is an experienced servicer of equipment lease-backed securitizations, is the backup servicer for the transaction. -- The transaction includes a CNL trigger event, the breach of which is considered an Event of Servicing Termination and may cause servicing to be transferred to Vervent. (6) The expected collateral for the transaction is granular with respect to obligor, vendor, and geographical concentrations. More than 79% of the obligors (by aggregate statistical discounted contract balance) have been in business for six or more years and approximately 41% have been in business for 16 or more years. The weighted-average Small Business Scoring Service credit score for the businesses in the expected collateral pool will be at least 195.5. In addition, obligations comprising approximately 67.9% of an aggregate statistical discounted contract balance are supported by personal guarantees, and the payments on obligations accounting for approximately 94.2% are collected through automated clearing house. (7) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Balboa Capital, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Balboa Capital provides equipment and working capital financing to small- and mid-size companies in the United States. It originates leases and loans through four principal channels: (1) vendor financing through partnerships with equipment vendors, (2) small-ticket originations through direct calling, (3) larger small-ticket direct originations to middle-market obligors and (4) a recently initiated broker channel. This transaction includes up to 2.60% of the aggregate statistical discounted contract balance of working capital loans. The rating on the Class A-1 Notes reflects 69.0% of initial hard credit enhancement (as a percentage of collateral balance) provided by the subordinated notes in the pool (62.5%), the reserve account (1.5%), and OC (5.0%). The rating on the Class A-2 Notes reflects 35.0% of initial hard credit enhancement provided by the subordinated notes in the pool (28.5%), the reserve account (1.5%), and OC (5.0%). The ratings on the Class B, Class C, Class D, and Class E Notes reflect 17.0%, 13.0%, 9.0%, and 6.50% of initial hard credit enhancement, respectively. Notes: All figures are in U.S. dollars unless otherwise noted. BRAVO RESIDENTIAL 2020-RPL2: DBRS Finalizes B Rating on B-2 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2020-RPL2 (the Notes) issued by BRAVO Residential Funding Trust 2020-RPL2 (BRAVO 2020-RPL2 or the Trust): -- $251.9 million Class A-1 at AAA (sf) -- $21.6 million Class A-2 at AA (sf) -- $273.6 million Class A-3 at AA (sf) -- $291.8 million Class A-4 at A (sf) -- $309.1 million Class A-5 at BBB (sf) -- $18.3 million Class M-1 at A (sf) -- $17.3 million Class M-2 at BBB (sf) -- $11.2 million Class B-1 at BB (sf) -- $10.4 million Class B-2 at B (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Notes reflects 35.90% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 30.40%, 25.75%, 21.35%, 18.50%, and 15.85% of credit enhancement, respectively. This transaction is a securitization of a portfolio of seasoned reperforming first-lien residential mortgages funded by the issuance of the Notes, which are backed by 2,149 loans with a total principal balance of $393,055,016 as of the Cut-Off Date (September 30, 2020). The loans are approximately 167 months seasoned and contain 90.4% modified loans. The modifications happened more than two years ago for 94.1% of the modified loans. Within the pool, 911 mortgages have non-interest-bearing deferred amounts, which equate to approximately 11.1% of the total principal balance. Additionally, there are twenty loans with Home Affordable Modification Program and proprietary principal forgiveness (PRA) amounts, which comprise less than 0.1% of the total principal balance. These PRA amounts will not be included in the offered note balances and will be allocated separately to the Class PRA Notes. As of the Cut-Off Date, 90.9% of the pool is current, 4.7% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, and 4.4% is in bankruptcy. All bankruptcy loans are either current or 30 days delinquent. Approximately 78.1% and 80.4% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the MBA delinquency method. The majority of the pool (99.5%) is not subject to the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. The remaining 0.5% of the pool may be subject to the ATR rules but a designation was not provided. As such, DBRS Morningstar assumed these loans to be non-QM in its analysis PMIT Residential Funding I LLC. (the Depositor), an affiliate of Loan Funding Structure LLC (the Sponsor), will acquire the loans and will contribute them to the Trust. The Sponsor or one of its majority-owned affiliates will acquire and retain a 5% eligible vertical interest in the offered Notes, consisting of 5% of each class to satisfy the credit risk retention requirements. The mortgage loans will be serviced by Rushmore Loan Management Services LLC. For this transaction, the aggregate servicing fee paid from the Trust will be 0.25%. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner association fees, taxes, and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. When the aggregate pool balance is reduced to less than 10% of the balance as of the Cut-Off Date, the holder of the Trust certificates may purchase all of the mortgage loans and real estate owned (REO) properties from the issuer at a price equal to the sum of principal balance of the mortgage loans; accrued and unpaid interest thereon; the fair market value of REO properties net of liquidation expenses; unpaid servicing advances; and any fees, expenses, or other amounts owed to the transaction parties (optional termination). The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-1 and more subordinate bonds will not be paid from principal proceeds until the Class A-1 and A-2 Notes are retired. Coronavirus Pandemic and Forbearance The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed securities (RMBS) asset classes, some meaningfully. Reperforming Loans (RPL) is a traditional RMBS asset class that consists of securitizations backed by pools of seasoned performing and reperforming residential home loans. Although borrowers in these pools may have experienced delinquencies in the past, the loans have been largely performing for the past six months to 24 months since issuance. Generally, these pools are highly seasoned and contain sizable concentrations of previously modified loans. As a result of the coronavirus pandemic, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: September Update," published on September 10, 2020) for the RPL asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the RPL asset class, while the full effect of the coronavirus pandemic may not occur until a few performance cycles later, DBRS Morningstar generally believes that loans that were previously delinquent, recently modified, or have higher updated loan-to-value ratios (LTVs) may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with previous delinquencies or recent modifications have exhibited difficulty in fulfilling payment obligations in the past and may revert back to spotty payment patterns in the near term. Higher LTV borrowers with lower equity in their properties generally have fewer refinancing opportunities and, therefore, slower prepayments. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, approximately 14.6% of the borrowers are on or have completed a relief plan because the borrowers reported financial hardship related to the pandemic but currently only 2.9% of the borrowers are on an active pandemic-related relief plan. These deferral or forbearance plans allow temporary payment holidays, followed by repayment once the specified period ends. DBRS Morningstar understands that the Servicer generally offers the deferral of the unpaid principal and interest amounts as a main form of payment relief in place of a repayment plan. A deferral creates a non-interest-bearing amount that is due and payable at the maturity of the contract or when the contract is refinanced. The loans for which the deferrals were granted are reported as current for the duration of the deferral period, though the actual payments are not made but deferred. The Servicer may also pursue other loss mitigation options, as applicable. For this transaction, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower principal and interest (P&I) collections and (2) no servicing advances on delinquent P&I payments. These assumptions include: (1) Increased delinquencies for the first 12 months at the AAA (sf) and AA (sf) rating levels. (2) Increased delinquencies for the first nine months at the A (sf) and below rating levels. (3) No voluntary prepayments for the first 12 months for the AAA (sf) and AA (sf) rating levels. (4) No liquidation recovery for the first 12 months for the AAA (sf) and AA (sf) rating levels. Notes: All figures are in U.S. dollars unless otherwise noted. CANADIAN WESTERN: DBRS Finalizes BB(high) Rating on Tier 1 Notes ---------------------------------------------------------------- DBRS Limited finalized its provisional rating of BB (high) with a Negative trend on Canadian Western Bank's (CWB or the Bank) NVCC Additional Tier 1 (AT1) Limited Recourse Capital Notes (the Capital Notes). Following the review of documentation associated with the recent offering, DBRS Morningstar confirmed that the terms of the issuance are consistent with those reviewed at the time the provisional rating was assigned on October 23, 2020. For further details on the provisional rating, please see the DBRS Morningstar press release entitled "DBRS Morningstar Assigns Provisional Rating of BB (high), Negative, to Canadian Western Bank's NVCC Additional Tier 1 (AT1) Limited Recourse Capital Notes." The Bank plans to issue $175 million of Capital Notes on October 30, 2020. The Capital Notes mature on April 30, 2081, and will have an initial five-year fixed rate of 6.00%. DBRS Morningstar notes that the Office of the Superintendent of Financial Institutions granted Tier 1 capital treatment to the Capital Notes. RATING DRIVERS Given the Negative trend, an upgrade is unlikely at this time. The trend could change to Stable if the impact of the current economic crisis on CWB's earnings and credit quality metrics is manageable. Conversely, material losses in the loan portfolio as a result of the oil price shock and a longer-than-expected adverse impact of the Coronavirus Disease (COVID-19) pandemic, or significant pressures on funding and liquidity, could result in a rating downgrade. Notes: All figures are in Canadian dollars unless otherwise noted. COLD STORAGE 2020-ICE5: DBRS Finalizes B Rating on Class HRR Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-ICE5 issued by Cold Storage Trust 2020-ICE5: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class HRR at B (sf) -- Class A-Y at AAA (sf) -- Class A-Z at AAA (sf) -- Class A-IO at AAA (sf) All trends are Stable. The Class A-Y, A-Z, and A-IO are CAST certificates that can be exchanged for other classes of CAST certificates and vice versa. The Cold Storage Trust 2020-ICE5 single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in a portfolio of 46 industrial cold storage facilities in the United States. DBRS Morningstar takes a positive view on the credit characteristics of the collateral and maintains a favorable opinion on the long-term growth and stability of the warehouse and logistics sector, and cold storage is no exception for a variety of reasons. DBRS Morningstar believes cold storage continues to benefit from high barriers to entry, primarily large and experienced operators, and little in the way of speculative development. The portfolio benefits from strong diversity with a Herfindahl score of 30.4 by allocated loan amount (ALA). The collateral spans across 19 states in multiple regions and favorable markets, with approximately 55.9% of the portfolio by trailing 12 months (T-12) EBITDA situated in primary industrial markets near major population centers. The portfolio also exemplifies diversity in terms of income and customer granularity perspectives. The top 10 customer accounts represent 29.9% of total revenue, with the largest account representing just 5.5% of T-12 revenue. The portfolio's EBITDA margin, a key indicator of the health of a cold storage operation, is approximately 41.5% based on T-12 EBITDA. This is considered well within the healthy range by DBRS Morningstar as well as third-party experts, and is higher than other DBRS Morningstar-rated cold storage transactions, including CSMC 2019-ICE4, which had an EBITDA margin of approximately 35.3%. The borrowers amassed the portfolio in phases across seven acquisitions dating from October 2019 to April 2020 and are using whole-loan proceeds to recapitalize the borrowers' interest in the portfolio, which was unencumbered by secured debt. The borrowers lease the properties (except for the Chicago Cold - Bartlett property) to an operating company, Lineage Logistics, LLC, pursuant to six master leases. The rent from the master leases is the sole source of cash flow to pay debt service for the trust loan. The properties are currently subject to six master leases (collectively, the Master Leases) between the borrowers and affiliates of the borrowers. The Master Leases provide for the operation of such properties by the related master tenant (or subtenants of such master tenant) or operators engaged by the master tenant or subtenants. The transaction also benefits in terms of property quality and functionality. The portfolio's properties generally exhibit favorable ceiling heights, loading capacity, and temperature configurations. The portfolio has a WA clear height of over 30 feet and the portfolio benefits from a very high proportion of freezer space (80.4%, based on the appraisal). Freezer space generally commands higher rents and valuations, and is more flexible through down-conversion to refrigeration temperatures when necessary to accommodate customer demand. Cold storage properties require specialized knowledge and expertise in order to operate effectively. Therefore, the pool of potential buyers may be more limited than traditional dry warehouse facilities. Furthermore, a substantial component of the portfolio's value is dependent on Lineage's client roster and extensive industry expertise. Cold storage properties are also associated with increased environmental risk resulting from the hazardous refrigerants (i.e., anhydrous ammonia, freon, and CO2) that are present in industrial cooling systems. The EPA generally requires these facilities to have a risk-management program in place that includes employee training, preventive maintenance, leak detection monitoring, and emergency response/evacuation planning. The properties furthermore have limited alternative use and, given their dependency on the agricultural and food production industries, could be vulnerable to tail-risk style events such as a disease outbreak or widespread contamination. Extreme weather and other market factors, like commodity price volatility, could also affect or disrupt demand. The mortgage loan is IO through the five-year fully extended term and does not benefit from deleveraging through amortization. All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2020-CX: DBRS Finalizes BB Rating on 2 Cert. Classes --------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates (the Certificates) issued by COMM 2020-CX Mortgage Trust (the Issuer): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class HRR at BB (sf) -- Class X at AA (sf) All trends are Stable. The Class X balance is notional. The COMM 2020-CX Mortgage Trust single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in 222 Jacobs Street, a newly constructed, 426,869-sf, nine-story, Class A LEED® Gold (targeted), life-sciences office building in the Kendall Square submarket of Cambridge, Massachusetts. DBRS Morningstar takes a positive view on the credit characteristics of the collateral, which was completed in 2019 and is a component of the larger master-planned Cambridge Crossing Development (CX), which is currently being executed by the sponsor, DivcoWest. When fully built out, CX will consist of approximately 2.1 million sf of science and technology space, 2.4 million sf of residential space, and 100,000 sf of retail space. In total, approximately 1.8 million sf of office and laboratory space are under construction, with approximately 1.7 million sf leased to Philips, Sanofi, Bristol Myers Squibb, and Cerevel. The building benefits from long-term, institutional-grade tenancy with a WA remaining lease term of over 13.2 years, which DBRS Morningstar believes should largely shield the property from any short- or medium-term dislocations in the Cambridge office and life-sciences market resulting from the ongoing Coronavirus Disease (COVID-19) pandemic. The property is currently 97.8% leased with two major tenants, Philips NV and Cerevel Theraputics, LLC, comprising 94.8% of NRA. Philips NV occupies 343,969 sf (80.6% of NRA) as its North American headquarters pursuant to a 15-year NNN lease. Philips is expected to have approximately 2,000 employees work out of 222 Jacobs, which will include electronics lab space with a clean room, as well as all of its traditional business operations, including its C-suite executives. Philips will be relocating its employees from a suburban, corporate campus in Andover, approximately 30 miles north of Boston, with the ultimate intention to fully transition all corporate operations to the property. Cerevel Theraputics occupies 60,867 sf (14.3% of NRA). Cerevel's lab space is on the second floor and consists primarily of wet lab space including wet rooms, freezer farms, tissue culture, and cell culture space, along with common biology and chemistry labs. DBR Investments Co. Limited is expected to originate the 10-year loan that pays fixed-rate interest of 2.69% on an interest-only basis through the initial maturity of the loan, contingent upon final pricing. The $435 million whole loan is composed of a $295 million senior note, a $91,450,000 senior companion note, and a junior note in the trust of $140,000,000. The whole loan proceeds are being used to refinance existing financing, return equity to the sponsor, fund up-front reserves, and pay closing costs. The property is well-located in a prime location in Kendall Square submarket of East Cambridge, one of the world's foremost life-sciences and technology clusters and is in close proximity to MIT, Harvard, and Massachusetts General Hospital. Per Cushman & Wakefield, the East Cambridge lab market has a vacancy rate of 1.5% and also commands the highest rents of any life-sciences cluster in the United States with asking Class A rents of $100 psf NNN. Dutch healthcare technology company, Philips NV, which is investment-grade rated, Fitch: A-, S&P: BBB+, Moody's: Baa1, represents more than three fourths (78.2%) of the building's concluded in-place base rent and qualified for long-term credit tenant (LTCT) treatment in our concluded net cash flow (NCF). Philips originally leased floors three through seven in 2018 as its North American headquarters. Shortly thereafter, the tenant leased floors eight and nine by exercising a right of first offer. After finalizing its space planning, Philips subleased the ninth floor to Thrive Earlier Detection Corp. for 10 years, giving the tenant flexibility to grow into its space in the future. Philips remains liable throughout the term of the lease. The sublease base rent is $80.00 psf NNN (approximately 10% above Philips' in-place rent), increasing 3.0% annually. DivcoWest and Philips share the rental differential less deal costs 50/50. In addition to a large percentage of investment-grade tenancy, there is limited lease rollover during the 10-year loan term. The WA remaining lease term at the property is 13.2 years, which results in a stable, long-term cash flow stream with contractual rent increases built into both Philips' and Cerevel's leases. Philips' lease expires on November 30, 2034, and has three five-year extension options. Cerevel's lease expires on February 28, 2030, and has two five-year extension options. Executed in January 2018, Philips' lease has a blended starting base rent of $64.00 psf, which is 20% below market office rents of $80.00 psf and 36% below market lab rents of $100.00 psf, as referenced by the appraisal. Additionally, Philips' rent represents a 32.6% discount to the sponsor's average asking base rent of $95.00 psf for similar product type in the greater Cambridge Crossing Development. The limited lease rollover provides for minimal opportunity to capture the upside during the 10-year loan term, but the property will likely benefit in the long run from increased rental revenue as leases expire and roll to market. The ongoing coronavirus pandemic continues to pose challenges and risks to virtually all major CRE property types and has created an element of uncertainty around future demand for office space, even in gateway markets that have historically been highly liquid. Despite the disruptions and uncertainty, the collateral has largely been unaffected. No tenants have requested rent relief or are currently subject to any kind of rent deferral, and the Sponsor collected 100% of July rent at the property. The borrower sponsor for the transaction, a JV partnership between DivcoWest and CalSTRS, is partially using loan proceeds to repatriate approximately $58.4 million of equity. DBRS Morningstar views cash-out refinancing transactions as less favorable than acquisition financings because sponsors typically have less incentive to support a property through times of economic stress if less of their own cash equity is at risk. Based on the appraiser's as-completed valuation of $729 million, the sponsor will have approximately $294 million of unencumbered market equity remaining in the transaction. Class X is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. DNZN COMMERCIAL 2020-DNZN: DBRS Gives Prov. BB(low) on HRR Debt ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-DNZN to be issued by DNZN Commercial Mortgage Trust 2020-DNZN (DNZN 2020-DNZN or the Issuer): -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class X at AA (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class HRR at BB (low) (sf) The collateral for DNZN 2020-DNZN includes the borrowers' fee-simple interest in 11 multifamily and mixed-use properties totaling 1,198 multifamily units and 184,179 square feet of commercial space located throughout the Bushwick, Williamsburg, and Bedford-Stuyvesant neighborhoods of Brooklyn, New York. The transaction sponsor acquired or developed all properties in the portfolio between 2005 and 2019, and all properties have been either constructed or renovated since 2010. The largest asset in the portfolio, The Denizen, was delivered by the transaction sponsor in two phases between 2018 and 2019 and comprises two adjoined luxury multifamily properties (54 Noll Street and 123 Melrose Street) totaling 911 units (76.0% of the portfolio's total unit count). The sponsor will use the $652.0 million whole loan to refinance $371.3 million of existing debt on the portfolio, pay down $247.4 million in secured Tel Aviv Stock Exchange (TASE) bonds, fund an $18.0 million economic holdback, cover $15.8 million of closing costs associated with the transaction, finance $11.4 million of reserves, and return $6.0 million of equity to the transaction sponsor. The sponsor is entitled to $1.3 million of partnership distributions while the remaining return of equity must be applied to outstanding unsecured TASE bonds linked to the underlying properties. The sponsors for this transaction are All Year Holdings Limited, All Year Holdings LLC, and Yoel Goldman. All Year Holdings is a New York-based development company that Goldman founded in 2005. Goldman reported ownership and management interests in 131 commercial properties totaling more than $2.4 billion in market value throughout the Brooklyn area. In addition to The Denizen, the sponsor also developed The William Vale hotel as well as The Delmar, The Azure, and The Dean luxury multifamily buildings between 2016 and 2017. The mortgage loan comprises two pari passu senior notes with an aggregate principal balance of $293.9 million, a number of pari passu companion loan notes with an aggregate principal balance of $100.0 million, and two junior notes with an aggregate principal balance of $116.1 million for a total mortgage loan balance of $510.0 million, excluding $160.0 million of mezzanine debt that is subordinate to the senior notes, companion loan notes, and junior notes. The companion loan notes are pari passu with the senior notes in right of payment and, together with the senior notes, are generally senior in right of payment to the junior notes. The Trust Loan is part of the whole mortgage loan balance and consists of the two senior trust notes, including the controlling senior note, and the two junior trust notes for a total trust balance of $410.0 million. The $100.0 million in companion loans will not be assets of the Issuer. DBRS Morningstar's outlook on the stability of multifamily assets in and around the New York Metro area and into the surrounding Brooklyn neighborhoods has historically been positive because the region is considered a top-tier, super-dense urban market and the global epicenter for banking and financial services. The collateral's Kings County submarket has exhibited especially favorable growth trends in recent years, with double-digit inventory growth rates matched by stable absorption over the five-year period ended December 31, 2019, driven by the area's offering of relatively affordable housing compared with Manhattan and proximity to many commuter transit options. Nonetheless, the ongoing Coronavirus Disease (COVID-19) pandemic continues to pose challenges and risks to virtually all major commercial real estate property types. Due in large part to its dense population and prominence as a global destination for business and leisure travel, New York was considered a national epicenter of the coronavirus. The New York City Health Department specifically described Brooklyn as a hotspot for the coronavirus as of October 16, 2020. The coronavirus pandemic has caused a citywide mass exodus with Forbes recognizing a rise in multifamily vacancy rates coupled with a 6.6% drop in the median net rent price in the Manhattan multifamily market in summer 2020. However, whether the pandemic-spurred mass exodus will be sustained remains highly uncertain and Reis, Inc. forecasts that the collateral's submarket will continue to exhibit relatively stable construction/absorption trends and vacancy rates through the five-year period ending December 31, 2024. DBRS Morningstar generally views the asset quality of the underlying properties in this transaction favorably. The Denizen, which represents 76.0% of the portfolio's total unit count, offers superb Class A finishes complemented by a plethora of luxury amenities. While eight properties, representing 16.7% of the portfolio's total residential units, are relatively dated given that they were constructed between 1900 and 1930, the transaction sponsor invested an undisclosed amount of capital into renovating such properties between 2010 and 2013. While DBRS Morningstar was unable to tour the interiors of all units, based on sponsor- and appraisal-provided interior photographs, all properties generally exhibited modernized interior finishes. The sponsor constructed the remaining three assets between 2015 and 2019 and DBRS Morningstar generally found these assets to be of Average or Average (+) property quality. The transaction sponsor's development, ownership, and management experience throughout the Brooklyn area provides additional comfort regarding the portfolio's performance stability as DBRS Morningstar generally takes favorable views on sponsorship with pre-existing knowledge and experience in the asset location. Eight assets, representing 88.6% of portfolio's total unit count, benefit from some form of tax abatement, which poses moderate refinance risk as future rises in tax rates resulting from the loss of such benefits could diminish the value of the underlying collateral as derived through income capability. However, tax abatement benefits throughout the portfolio are generally correlated with the provision of affordable housing units; such units are generally considered to be leased at below-market rates to make them affordable to tenants with limited income. As a result, loss of tax abatement benefits might also result in the ability to lease such affordable units at market-rate rents, potentially offsetting reductions in net cash flow otherwise incurred from a loss of abatement benefits. The portfolio's favorable location in a super-dense urban market, the surrounding Brooklyn multifamily market's strong fundamentals, and the sponsor's experience in the local market all reinforce DBRS Morningstar's comfort in the portfolio's ability to maintain cash flow stability. Class X is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. FAT BRANDS I: DBRS Keeps B Rating on Cl. B2 Notes Under Review -------------------------------------------------------------- DBRS, Inc. maintained the Under Review with Negative Implications status on the BB (sf) and B (sf) ratings on the Class A-2 and Class B-2 Notes, respectively, issued by FAT Brands Royalty I, LLC. Both classes of securities were placed Under Review with Negative Implications on April 22, 2020, and maintained the status of Under Review with Negative Implications on July 28, 2020. For more information on April 22, 2020, rating action, please refer to the press release titled "DBRS Morningstar Takes Rating Actions on Two FAT Brands Royalty I, LLC Securities." For more information on the July 28, 2020, maintenance of status, please refer to the press release titled "DBRS Morningstar Maintains Under Review with Negative Implications Status on FAT Brands Royalty I." Maintaining the Under Review with Negative Implications status on the Notes considers DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19) pandemic, available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which were last updated on September 10, 2020, and are reflected in DBRS Morningstar's analysis. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021. DBRS Morningstar is maintaining the Under Review with Negative Implications status to observe transaction performance and company information amid the continued headwinds from the coronavirus risk to customer dining activity and restaurant operations as well as the integration of the recently acquired Johnny Rockets brand into its portfolio. Systemwide sales and same-store sales have shown signs of improvement from the low levels seen at the onset of the pandemic. The threat of new business closures remains in several states that are experiencing upticks in coronavirus cases, which could potentially hamper overall reopening and revenue recovery efforts, particularly for the restaurant industry, which relies on on-premises dining as an important component to drive revenue generation. Consequently, should this trend continue, the performance of this transaction could be negatively affected. When a rating is placed Under Review with Negative Implications, DBRS Morningstar seeks to complete its assessment and remove the rating from this status as soon as appropriate. Upon the resolution of the Under Review status, DBRS Morningstar may confirm or downgrade the ratings on the affected classes. FLAGSHIP CREDIT 2020-4: DBRS Finalizes BB(high) Rating on E Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by Flagship Credit Auto Trust 2020-4 (the Issuer) -- $203,200,000 Class A Notes at AAA (sf) -- $27,230,000 Class B Notes at AA (sf) -- $37,470,000 Class C Notes at A (sf) -- $22,030,000 Class D Notes at BBB (high) (sf) -- $13,070,000 Class E Notes at BB (high) (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) DBRS Morningstar's projected losses include the assessment of the impact of the Coronavirus Disease (COVID-19). While considerable uncertainty remains with respect to the intensity and duration of the shock, the DBRS Morningstar-projected CNL includes an assessment of the expected impact on consumer behavior. The DBRS Morningstar CNL assumption is 11.90% based on the expected Cut-Off Date pool composition. (3) The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the coronavirus, available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar's rating analysis. The assumptions also take into consideration observed performance during the 2008–09 financial crisis and the possible impact of stimulus. The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021. (4) The consistent operational history of Flagship Credit Acceptance, LLC (Flagship or the Company) and the strength of the overall Company and its management team. -- The Flagship senior management team has considerable experience and a successful track record within the auto finance industry. (5) The capabilities of Flagship with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Flagship and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (6) DBRS Morningstar exclusively used the static pool approach because Flagship has enough data to generate a sufficient amount of static pool projected losses. -- DBRS Morningstar was conservative in the loss forecast analysis performed on the static pool data. (7) The Company indicated that it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against Flagship could take the form of class-action complaints by consumers; however, the Company indicated that there is no material pending or threatened litigation. (8) The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Flagship, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Flagship is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms to purchase late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 36.45% of initial hard credit enhancement provided by subordinated notes in the pool (31.70%), the reserve account (1.00%), and OC (3.75%). The ratings on Class B, C, D, and E Notes reflect 27.80%, 15.90%, 8.90%, and 4.75% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. FREDDIE MAC 2020-3: DBRS Finalizes B(low) Rating on Class M Debt ---------------------------------------------------------------- DBRS, Inc. finalizes a provisional rating on the following Mortgage-Backed Security, Series 2020-3 to be issued by Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2020-3 (the Trust): -- $56.5 million Class M at B (low) (sf) DBRS Morningstar did not rate the other classes in the Trust. This transaction is a securitization of a portfolio of seasoned, reperforming first-lien residential mortgages funded by the issuance of the certificates, which are backed by 11,786 loans with a total principal balance of $1,737,791,771 as of the Cut-Off Date. The mortgage loans were either purchased by Freddie Mac from securitized Freddie Mac Participation Certificates or retained by Freddie Mac in whole-loan form since their acquisition. The loans are currently held in Freddie Mac's retained portfolio and will be deposited into the Trust on the Closing Date. The loans are approximately 157 months seasoned, and most loans (91.1%) have been modified. Each modified mortgage loan was modified under either Government-Sponsored Enterprise (GSE) Home Affordable Modification Program (HAMP) or GSE non-HAMP modification programs. The remaining loans (8.9%) were either never modified or only modified under Freddie Mac's Deferred Payment Modification (DPM) program. Within the pool, 3,540 mortgages have forborne principal amounts as a result of modification, which equates to 7.7% of the total unpaid principal balance as of the Cut-Off Date. For 80.4% of the modified loans, the modifications happened more than two years ago. The loans are all current as of the Cut-Off Date. Furthermore, 78.7% and 46.7% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 12 and 24 months, respectively, under the Mortgage Bankers Association (MBA) delinquency methods. DBRS Morningstar assumed all loans within the pool are exempt from the Qualified Mortgage rules because of their eligibility to be purchased by Freddie Mac. The mortgage loans will be serviced by NewRez LLC, doing business as Shellpoint Mortgage Servicing (64.5%) and Community Loan Servicing, LLC formally known as Bayview Loan Servicing, LLC (35.5%). There will not be any advancing of delinquent principal or interest on any mortgages by the servicers; however, the servicers are obligated to advance to third parties any amounts necessary for the preservation of mortgaged properties or real estate owned (REO) properties acquired by the Trust through foreclosure or a loss mitigation process. Freddie Mac will serve as the Sponsor, Seller, and Trustee of the transaction as well as the Guarantor of the senior certificates (Class HAU, Class HA, Class HA-IO, Class HBU, Class HB, Class HB-IO, Class HTU, Class HT, Class HT-IO, Class HV, Class HZ, Class MAU, Class MA, Class MA-IO, Class MBU, Class MB, Class MB-IO, Class MTU, Class MT, Class MT-IO, Class MV, Class MZ, Class TAU, Class TAW, Class TAY, Class TA, Class TA-IO, Class TBU, Class TBW, Class TBY, Class TB, Class TB-IO, Class TT, Class TT-IO, Class TTU, Class TTW, Class TTY, Class M5AU, Class M5AW, Class M5AY, Class M55A, Class M5AI, Class M5BU, Class M5BW, Class M5BY, Class M55B, Class M5BI, Class M55T, Class M5TI, Class M5TU, Class M5TW, and Class M5TY Certificates). Wilmington Trust, National Association (Wilmington Trust) will serve as the Trust Agent. Wells Fargo Bank, N.A. will serve as the Custodian for the Trust. U.S. Bank National Association will serve as the Securities Administrator for the Trust and will also act as the Paying Agent, Registrar, Transfer Agent, and Authenticating Agent. Freddie Mac, as the Seller, will make certain representations and warranties (R&W) with respect to the mortgage loans. It will be the only party from which the Trust may seek indemnification (or, in certain cases, a repurchase) as a result of a breach of R&Ws. If a breach review trigger occurs during the warranty period, the Trust Agent, Wilmington Trust, will be responsible for the enforcement of R&Ws. The warranty period will only be effective through November 3, 2023 (approximately three years from the Closing Date), for substantially all R&Ws other than the real estate mortgage investment conduit R&W, which will not expire. The mortgage loans will be divided into four loan groups: Group H, Group M, Group M55, and Group T. The Group H loans (3.2% of the pool) were subject to step-rate modifications and had not yet reached their final step rate as of August 31, 2020. As of the Cut-Off Date, the borrower, while still current, has not made any payments accrued at such final step rate. Group M loans (76.3% of the pool) and Group M55 loans (9.1% of the pool) were subject to either fixed-rate modifications or step-rate modifications that have reached their final step rates, and as of the Cut-Off Date, the borrowers have made at least one payment after such mortgage loans reached their respective final step rates. Each Group M loan has a mortgage interest rate less than or equal to 5.5% and has no forbearance or may have forbearance and any mortgage interest rate. Each Group M55 loan has a mortgage interest rate greater than 5.5%. Group T loans (11.4% of the pool) were never modified or were modified only under Freddie Mac's DPM program in which the monthly principal and interest (P&I), interest rate, and term to maturity are unchanged. Each Group T loan has a fixed mortgage rate. P&I on the Guaranteed Certificates will be guaranteed by Freddie Mac. The Guaranteed Certificates will be primarily backed by collateral from each group, respectively. The remaining Certificates, including the subordinate, nonguaranteed, interest-only mortgage insurance and residual Certificates, will be cross-collateralized among the four groups. The transaction employs a pro rata pay cash flow structure among the senior group certificates with a sequential pay feature among the subordinate certificates. Certain principal proceeds can be used to cover interest shortfalls on the rated Class M Certificates. Senior classes, other than Class A-IO, benefit from P&I payments that are guaranteed by the Guarantor, Freddie Mac; however, such guaranteed amounts, if paid, will be reimbursed to Freddie Mac from the P&I collections prior to any allocation to the subordinate certificates. The senior principal distribution amounts vary subject to the satisfaction of a step-down test. Realized losses are allocated reverse sequentially. CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed security (RMBS) asset classes, some meaningfully. Seasoned reperforming loans (RPL) is a traditional RMBS asset class that consists of securitizations backed by pools of seasoned performing and reperforming residential home loans. Although borrowers in these pools may have experienced delinquencies in the past, the loans have been largely performing for at least the past six months to 24 months since modification. Generally, these pools are highly seasoned and contain sizable concentrations of previously modified loans. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario, (see "Global Macroeconomic Scenarios: September Update," published on September 10, 2020), for the RPL asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the RPL asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that loans with previous delinquencies, recent modifications, or higher updated loan-to-value (LTV) ratios may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with previous delinquencies or recent modifications have exhibited difficulty in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and, therefore, slower prepayments. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security (CARES) Act, signed into law on March 27, 2020, approximately 2.0% of the pool balance (approximately 5.3%, 2.0%, 1.1%, and 1.6% of the Group H, Group M, Group T, and Group M55 mortgage loans, respectively, were in an active forbearance plan) are on coronavirus-related forbearance plans because the borrowers reported financial hardship; however, the loans are current as of the Cut-Off-Date. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. The servicers are generally offering borrowers a three-month payment forbearance plan. Beginning in month four, the borrower can repay all the missed mortgage payments at once or opt to go on a repayment plan to catch up on missed payments for a maximum generally of six to 12 months. During the repayment period, the borrower needs to make regular payments and additional amounts to catch up on the missed payments. Generally, the servicers would attempt to contact the borrowers before the expiration of the forbearance period and evaluate the borrowers' capacity to repay the missed amounts. As a result, the servicers, in adherence to the CARES Act and Freddie's Servicing Guide, may offer a repayment plan or other forms of payment relief, such as deferrals of the unpaid P&I amounts or a loan modification, in addition to pursuing other loss mitigation options. For this transaction, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower P&I collections and (2) no servicing advances on delinquent P&I. These assumptions include: Increased delinquencies for the first 12 months. A 25-basis-point weighted-average coupon deterioration stress for the cash flow run. The rating reflects transactional strengths that include the following: -- Current loans with relatively good payment histories; -- Borrower LTV; -- Satisfactory third-party due-diligence review; -- Experienced servicers; and -- Seasoning. The transaction also includes the following challenges: -- R&W standard; and -- No servicer advances of delinquent P&I. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2020-PJ5: DBRS Finalizes B Rating on Class B-5 Certs ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2020-PJ5 (the Certificates) issued by GS Mortgage-Backed Securities Trust 2020-PJ5: -- $351.5 million Class A-1 at AAA (sf) -- $351.5 million Class A-2 at AAA (sf) -- $36.2 million Class A-3 at AAA (sf) -- $36.2 million Class A-4 at AAA (sf) -- $263.6 million Class A-5 at AAA (sf) -- $263.6 million Class A-6 at AAA (sf) -- $87.9 million Class A-7 at AAA (sf) -- $87.9 million Class A-8 at AAA (sf) -- $387.6 million Class A-9 at AAA (sf) -- $387.6 million Class A-10 at AAA (sf) -- $387.6 million Class A-X-1 at AAA (sf) -- $351.5 million Class A-X-2 at AAA (sf) -- $36.2 million Class A-X-3 at AAA (sf) -- $263.6 million Class A-X-5 at AAA (sf) -- $87.9 million Class A-X-7 at AAA (sf) -- $19.2 million Class B at BBB (sf) -- $7.4 million Class B-1 at AA (sf) -- $7.4 million Class B-1-A at AA (sf) -- $7.4 million Class B-1-X at AA (sf) -- $7.0 million Class B-2 at A (sf) -- $7.0 million Class B-2-A at A (sf) -- $7.0 million Class B-2-X at A (sf) -- $4.8 million Class B-3 at BBB (sf) -- $4.8 million Class B-3-A at BBB (sf) -- $4.8 million Class B-3-X at BBB (sf) -- $2.3 million Class B-4 at BB (sf) -- $1.9 million Class B-5 at B (sf) Classes A-X-1, A-X-2, A-X-3, A-X-5, A-X-7, B-1-X, B-2-X, B-3-X, and B-X are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-4, A-6, A-8, A-9, A-10, A-X-2, B-1, B-2, B, B-3, and B-X are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. Classes A-1, A-2, A-5, A-6, A-7, and A-8 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-3 and A-4) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 6.25% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 4.45%, 2.75%, 1.60%, 1.05%, and 0.60% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 480 loans with a total principal balance of $413,476,699 as of the Cut-Off Date (October 1, 2020). The originators for the mortgage pool are United Shore Financial Services, LLC (43.8%), CrossCountry Mortgage, LLC (24.6%), and various other originators, each comprising less than 6.0% of the mortgage loans. Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan Seller of the transaction. For certain originators, the related loans were sold to MAXEX Clearing LLC (5.6%) and SG Capital Partners LLC (0.3%) and were subsequently acquired by the Mortgage Loan Seller. NewRez LLC doing business as Shellpoint Mortgage Servicing will service all mortgage loans within the pool. Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as the Master Servicer, Securities Administrator, and Custodian. U.S. Bank Trust National Association will serve as Delaware Trustee. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) File Reviewer. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of six months. Approximately 14.7% of the pool are conforming, high-balance mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. The remaining 85.3% of the pool are traditional, nonagency, prime jumbo mortgage loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the associated presale. For this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, 23 loans (4.1% of the pool) had been granted forbearance plans because the borrowers reported financial hardship related to the Coronavirus Disease (COVID-19) pandemic. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. As of the Cut-Off Date, all 23 loans satisfied their forbearance plans and are current. Furthermore, none of the loans in the pool are on active coronavirus forbearance plans. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a precrisis structure. Coronavirus Pandemic Impact The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may arise in the coming months for many residential mortgage-backed securities (RMBS) asset classes, some meaningfully. The prime mortgage sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans originated to borrowers with prime credit. Generally, these borrowers have decent FICO scores, reasonable equity, and robust income and liquid reserves. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies and loans on forbearance plans, slower voluntary prepayment rates, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: September Update," published on September 10, 2020), for the prime asset class, DBRS Morningstar assumes a combination of higher unemployment rates and more conservative home price assumptions than what DBRS Morningstar previously used. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the prime asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, satisfactory third-party due-diligence review, structural enhancements, and 100% current loans. The ratings reflect transactional weaknesses that include their R&W framework, borrowers on forbearance plans, entities lacking financial strength or securitization history, and servicer's financial capability. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2020-RPL2: DBRS Assigns B Rating on Class B-2 Notes --------------------------------------------------------------- DBRS, Inc. assigned ratings to the following Mortgaged-Backed Securities, Series 2020-RPL2 (the Notes) issued by GS Mortgage-Backed Securities Trust 2020-RPL2 (GSMBS 2020-RPL2 or the Trust): -- $192.2 million Class A-1 at AAA (sf) -- $192.2 million Class A-1-IO at AAA (sf) -- $204.7 million Class A-2 at AA (sf) -- $204.7 million Class A-2-IO at AA (sf) -- $215.0 million Class A-3 at A (sf) -- $215.0 million Class A-3-IO at A (sf) -- $224.3 million Class A-4 at BBB (sf) -- $224.3 million Class A-4-IO at BBB (sf) -- $192.2 million Class A-5 at AAA (sf) -- $204.7 million Class A-6 at AA (sf) -- $215.0 million Class A-7 at A (sf) -- $224.3 million Class A-8 at BBB (sf) -- $12.5 million Class M-1 at AA (sf) -- $12.5 million Class M-1-IO at AA (sf) -- $10.2 million Class M-2 at A (sf) -- $10.2 million Class M-2-IO at A (sf) -- $9.3 million Class M-3 at BBB (sf) -- $9.3 million Class M-3-IO at BBB (sf) -- $12.5 million Class M-4 at AA (sf) -- $10.2 million Class M-5 at A (sf) -- $9.3 million Class M-6 at BBB (sf) -- $5.8 million Class B-1 at BB (sf) -- $4.1 million Class B-2 at B (sf) Classes A-1-IO, A-2-IO, A-3-IO, A-4-IO, M-1-IO, M-2-IO, and M-3-IO are interest-only notes. The class balances represent notional amounts. The Class A-2, A-2-IO, A-3, A-3-IO, A-4, A-4-IO, A-5, A-6, A-7, A-8, M-4, M-5, and M-6 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect 24.90% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 20.00%, 16.00%, 12.35%, 10.10%, and 8.50% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and reperforming, primarily first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,574 loans with a total principal balance of $269,391,458 as of the Cut-Off Date (September 30, 2020). The portfolio is approximately 167 months seasoned and contains 94.8% modified loans. The modifications happened more than two years ago for 89.5% of the modified loans. Within the pool, 664 mortgages have noninterest-bearing deferred amounts, which equate to approximately 11.4% of the total principal balance. There are no Home Affordable Modification Program (HAMP) and proprietary principal forgiveness amounts included in the deferred amounts. As of the Cut-Off Date, 98.7% of the loans in the pool are current. Approximately 1.3% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, and 0.9% is in bankruptcy (all but one bankruptcy loans are performing or 30 days delinquent). Approximately 74.9% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the MBA delinquency method. The majority of the pool (99.1%) is exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated prior to January 10, 2014, the date on which the rules became applicable. The loans subject to the ATR rules were treated as Non-QM (0.9%). The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC; 90.7% of the loans) and MTGLQ Investors, L.P. (MTGLQ; 9.3% of the loans), acquired the mortgage loans in various transactions prior to the Closing Date from various mortgage loan sellers or from an affiliate, GS Mortgage Securities Corp. (the Depositor), which will contribute the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market. As the Sponsor, GSMC, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Notes) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The loans will be serviced by Select Portfolio Servicing, Inc. (SPS; 100%). The initial aggregate servicing fee for the GSMBS 2020-RPL2 portfolio will be 0.25% per annum. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer are obligated to make advances in respect to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement or judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the Servicer deems such advances recoverable). When the aggregate pool balance of the mortgage loans is reduced to less than 10% of the Cut-Off Date balance, the Directing Noteholder will have the option to purchase all remaining loans and other property of the Issuer at a specified minimum price. The Directing Noteholder will be a beneficial owner of the most subordinate class of Notes then outstanding (other than the Class C Notes, the Class A-IO-S, the Class R and the Class SA Notes). As a loss mitigation alternative, the Directing Noteholder may direct the Servicer to sell mortgage loans that are 90 days or more delinquent under the MBA delinquency method to unaffiliated third-party investors in the secondary whole loan market on arms-length terms and at fair market value to maximize proceeds on such loans on a net present value basis. The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on the Class M-2 Notes and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Excess interest can be used to amortize principal of the notes after paying transaction parties' fees, Net WAC shortfalls, and making deposits on to the breach reserve account. Unlike in prior GSMBS transactions backed by reperforming mortgage loans and rated by DBRS Morningstar, the unpaid interest shortfalls on the Notes do not accrue. When the shortfalls are repaid, the repayment does not include interest on the previously unpaid amounts. The shortfalls are set to accrue at the rates described in the transactions' documents in the other transactions. CORONAVIRUS IMPACT The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed securities (RMBS) asset classes, some meaningfully. Reperforming loan (RPL) is a traditional RMBS asset class that consists of securitizations backed by pools of seasoned performing and reperforming residential home loans. Although borrowers in these pools may have experienced delinquencies in the past, the loans have been largely performing for the past six to 24 months since issuance. Generally, these pools are highly seasoned and contain sizable concentrations of previously modified loans. As a result of the coronavirus pandemic, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affects borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario, (see "Global Macroeconomic Scenarios: September Update," published on September 10, 2020, at https://www.dbrsmorningstar.com/research/366542/global-macroeconomic-scenarios-september-update), for the RPL asset class DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach based on the forecasted unemployment rates and GDP growth outlined in the moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the RPL asset class, while the full effect of the coronavirus pandemic may not occur until a few performance cycles later, DBRS Morningstar generally believes that loans which were previously delinquent, recently modified, or have higher updated loan-to-value ratios (LTVs) may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with previous delinquencies or recent modifications have exhibited difficulty in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and, therefore, slower prepayments. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security (CARES) Act, signed into law on March 27, 2020, 211 borrowers (15.4% of the borrowers by balance) either have completed forbearance plans or are on forbearance plans because the borrowers reported financial hardship related to the coronavirus pandemic. These forbearance plans allow temporary payment holidays, followed by repayment once the forbearance period ends. The Servicer, in collaboration with the Sponsor, is generally offering borrowers a three month payment forbearance plan. Beginning in month four, the borrower can repay all or some of the missed mortgage payments at once, deferring the unpaid missed payments, or opt to go on a repayment plan to catch up on missed payments for several, typically six, months. During the repayment period, the borrower needs to make regular payments and additional amounts to catch up on the missed payments. For the Sponsor's approach to forbearance loans, the Servicer would attempt to contact the borrowers before the expiration of the forbearance period and evaluate the borrowers' capacity to repay the missed amounts. As a result, the Servicer, in collaboration with the Sponsor, may offer an extension of the forbearance period, repayment plan, or other forms of payment relief, such as deferrals of the unpaid P&I amounts or a loan modification, in addition to pursuing other loss mitigation options. For this transaction, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower P&I collections and (2) no servicing advances on delinquent P&I. These assumptions include: Increased delinquencies for the first 12 months at the AAA (sf) and AA (sf) rating levels; Increased delinquencies for the first nine months at the A (sf) and below rating levels; No voluntary prepayments for the first 12 months for the AAA (sf) and AA (sf) rating levels; and No liquidation recovery for the first 12 months for the AAA (sf) and AA (sf) rating levels. The DBRS Morningstar ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS Morningstar ratings of A (sf), BBB (sf), BB (sf), and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. Notes: All figures are in U.S. dollars unless otherwise noted. HOME PARTNERS 2020-2: DBRS Gives Prov. BB(low) Rating on F Certs ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Single-Family Rental Pass-Through Certificates (the Certificates) to be issued by Home Partners of America 2020-2 Trust (HPA 2020-2 or the Issuer): -- $108.3 million Class A at AAA (sf) -- $31.3 million Class B at AA (sf) -- $12.1 million Class C at A (sf) -- $22.8 million Class D at BBB (high) (sf) -- $10.7 million Class E at BBB (low) (sf) -- $27.6 million Class F at BB (low) (sf) The AAA (sf) rating on the Certificates reflects 54.04% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (high) (sf), BBB (low) (sf) and BB (low) (sf) ratings reflect 40.73%, 35.59%, 25.92%, 21.38%, and 9.68% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The HPA 2020-2 Certificates are supported by the income streams and values from 838 rental properties. The properties are distributed across 18 states and 38 metropolitan statistical areas (MSAs) in the United States. DBRS Morningstar maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by value, 49.7% of the portfolio is concentrated in three states: Colorado (23.9%), Washington (14.3%), and Minnesota (11.6%). The average purchase price per property is $338,277, and the average value is $339,962. The average age of the properties is roughly 27 years. The majority of the properties have three or more bedrooms. The Certificates represent a beneficial ownership in an eight-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $235.5 million. As in typical single-borrower, single-family rental transactions, the waterfall has straight sequential payments with reverse sequential losses. DBRS Morningstar estimated the base-case net cash flow (NCF) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. DBRS Morningstar's base-case underwriting yielded an aggregate annualized NCF of approximately $8.9 million. Based on DBRS Morningstar's NCF assumptions outlined in the presale report, the DBRS Morningstar NCF analysis resulted in a minimum debt service coverage ratio of greater than 1.0x. Vacancy data in the single-family rental space is relatively limited. In general, based on performance data in existing securitizations as well as information gathered in annual property-manager reviews, vacancy is considered low in the single-family rental market. However, because of the lease expiration profile, DBRS Morningstar applied a base vacancy rate of 9%, an additional base vacancy adjustment related to the impact of the Coronavirus Disease (COVID-19) pandemic, plus a qualitative adjustment that brought the vacancy rate to 12.5% of the gross income, which is more conservative than the underwritten economic vacancy rate of 4.1% of the Issuer's gross income. As noted in DBRS Morningstar's monthly Single-Family Rental Performance summary (under the Research tab at www.dbrsmorningstar.com), the vacancy rate across issuers is heavily influenced by the number of lease expirations in each month. Generally, the more leases expiring in a given month, the higher the vacancy rate will be. With 70.2% of the properties by count expiring from July 2021 to September 2021, DBRS Morningstar expects vacancy levels to increase around this three-month period. Additionally, DBRS Morningstar applied a stress to the broker price opinions (BPOs) because, in general, a valuation based on a BPO may be less comprehensive than a valuation based on a full appraisal. Independent Settlement Services (ISS) provided full appraisals for 60 properties in the pool, and DBRS Morningstar adjusted its valuation stresses to account for full appraisals. In addition to the BPO stress mentioned above, DBRS Morningstar recently adjusted that stress upward because of the impact of the coronavirus pandemic. The transaction allows for discretionary substitutions of up to 5.0% of the number of properties as of the closing date, as long as certain restrictions are met. The Sponsor intends to satisfy its risk retention obligations under the U.S. Risk Retention Rules by holding the Class G Certificates, either directly or through a majority-owned affiliate. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2020-8: DBRS Finalizes B Rating on 2 Cert. Classes ------------------------------------------------------------ DBRS, Inc. finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2020-8 (the Certificates) issued by J.P. Morgan Mortgage Trust 2020-8 (the Issuer): -- $321.6 million Class A-1 at AAA (sf) -- $301.1 million Class A-2 at AAA (sf) -- $266.7 million Class A-3 at AAA (sf) -- $266.7 million Class A-3-A at AAA (sf) -- $266.7 million Class A-3-X at AAA (sf) -- $200.0 million Class A-4 at AAA (sf) -- $200.0 million Class A-4-A at AAA (sf) -- $200.0 million Class A-4-X at AAA (sf) -- $66.7 million Class A-5 at AAA (sf) -- $66.7 million Class A-5-A at AAA (sf) -- $66.7 million Class A-5-B at AAA (sf) -- $66.7 million Class A-5-X-1 at AAA (sf) -- $66.7 million Class A-5-X-2 at AAA (sf) -- $66.7 million Class A-5-X-3 at AAA (sf) -- $160.6 million Class A-6 at AAA (sf) -- $160.6 million Class A-6-A at AAA (sf) -- $160.6 million Class A-6-X at AAA (sf) -- $106.1 million Class A-7 at AAA (sf) -- $106.1 million Class A-7-A at AAA (sf) -- $106.1 million Class A-7-X at AAA (sf) -- $39.5 million Class A-8 at AAA (sf) -- $39.5 million Class A-8-A at AAA (sf) -- $39.5 million Class A-8-X at AAA (sf) -- $33.3 million Class A-9 at AAA (sf) -- $33.3 million Class A-9-A at AAA (sf) -- $33.3 million Class A-9-B at AAA (sf) -- $33.3 million Class A-9-X-1 at AAA (sf) -- $33.3 million Class A-9-X-2 at AAA (sf) -- $33.3 million Class A-9-X-3 at AAA (sf) -- $33.3 million Class A-10 at AAA (sf) -- $33.3 million Class A-10-A at AAA (sf) -- $33.3 million Class A-10-B at AAA (sf) -- $33.3 million Class A-10-X-1 at AAA (sf) -- $33.3 million Class A-10-X-2 at AAA (sf) -- $33.3 million Class A-10-X-3 at AAA (sf) -- $34.4 million Class A-11 at AAA (sf) -- $34.4 million Class A-11-X at AAA (sf) -- $34.4 million Class A-11-A at AAA (sf) -- $34.4 million Class A-11-AI at AAA (sf) -- $34.4 million Class A-11-B at AAA (sf) -- $34.4 million Class A-11-BI at AAA (sf) -- $34.4 million Class A-12 at AAA (sf) -- $34.4 million Class A-13 at AAA (sf) -- $20.5 million Class A-14 at AAA (sf) -- $20.5 million Class A-15 at AAA (sf) -- $284.9 million Class A-16 at AAA (sf) -- $36.8 million Class A-17 at AAA (sf) -- $321.6 million Class A-X-1 at AAA (sf) -- $321.6 million Class A-X-2 at AAA (sf) -- $34.4 million Class A-X-3 at AAA (sf) -- $20.5 million Class A-X-4 at AAA (sf) -- $9.1 million Class B-1 at AA (low) (sf) -- $9.1 million Class B-1-A at AA (low) (sf) -- $9.1 million Class B-1-X at AA (low) (sf) -- $4.4 million Class B-2 at A (low) (sf) -- $4.4 million Class B-2-A at A (low) (sf) -- $4.4 million Class B-2-X at A (low) (sf) -- $3.4 million Class B-3 at BBB (low) (sf) -- $3.4 million Class B-3-A at BBB (low) (sf) -- $3.4 million Class B-3-X at BBB (low) (sf) -- $855.0 thousand Class B-4 at BB (sf) -- $855.0 thousand Class B-5 at B (sf) -- $16.9 million Class B-X at BBB (low) (sf) -- $855.0 thousand Class B-5-Y at B (sf) Classes A-3-X, A-4-X, A-5-X-1, A-5-X-2, A-5-X-3, A-6-X, A-7-X, A-8-X, A-9-X-1, A-9-X-2, A-9-X-3, A-10-X-1, A-10-X-2, A-10-X-3, A-11-X, A-11-AI, A-11-BI, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, and B-X are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A, A-5-B, A-5-X-1, A-5-X-2, A-5-X-3, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-9-A, A-9-X-3, A-10, A-10-A, A-10-X-3, A-11-A, A-11-AI, A-11-B, A-11-BI, A-12, A-13, A-14, A-16, A-17, A-X-2, A-X-3, B-1, B-2, B-3, B-X, B-5-Y, B-6-Y, and B-6-Z are exchangeable certificates. These classes can be exchanged for combinations of base depositable certificates as specified in the offering documents. DBRS Morningstar does not rate Classes B-6-Y and B-6-Z. Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-5-B, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A, A-9-B, A-10, A-10-A, A-10-B, A-11, A-11-A, A-11-B, A-12, and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 6.00% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (sf) ratings reflect 3.35%, 2.05%, 1.05%, 0.80%, and 0.55% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 403 loans with a total principal balance of $342,167,851 as of the Cut-Off Date (October 1, 2020). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years. Approximately 8.0% of the loans in the pool are conforming mortgage loans predominantly originated by United Shore Financial Services, LLC doing business as United Wholesale Mortgage and Shore Mortgage (United Shore) which were eligible for purchase by Fannie Mae or Freddie Mac. The originators for the aggregate mortgage pool are United Shore (32.8%) and various other originators, each comprising less than 10.0% of the pool. Also, the Seller acquired approximately 14.1% of the loans by balance from MaxEx Clearing LLC (MaxEx). The mortgage loans will be serviced or subserviced by Shellpoint Mortgage Servicing, LLC (SMS; 62.1%), Cenlar FSB (Cenlar; 34.0%), Nationstar Mortgage LLC (Nationstar; 1.9%), and various other servicers, each comprising less than 1.0% of the pool. For Cenlar-subserviced loans, the Servicer is predominantly United Shore and also includes loanDepot and Amerihome Mortgage Company, LLC. For Nationstar subserviced loans, the Servicer is USAA Federal Savings Bank. SMS will transfer servicing to JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS Morningstar) on the servicing transfer date (February 1, 2021, or a later date) as determined by the Issuer and JPMCB. For this transaction, the servicing fee payable for mortgage loans serviced by JPMCB, loanDepot, SMS, and United Shore is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as Securities Administrator and Delaware Trustee. Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. JPMMT 2020-8 is the first prime residential mortgage-backed security (RMBS) transaction where the coupon rates for certain certificates are based on the Secured Overnight Financing Rate SOFR whereas the coupon rates for prior transactions were based on Libor. As of the Cut-Off Date, 3.7% of borrowers were previously enrolled into a Coronavirus Disease (COVID-19)-related forbearance plan with a servicer. However, these borrowers did not miss any payments and since then the relief plans have expired. There are no loans in the pool currently enrolled in a coronavirus-related forbearance plan. In the event a borrower requests or enters into a coronavirus-related forbearance plan after the Cut-Off Date but prior to the Closing Date, the Mortgage Loan Seller will remove such loan from the mortgage pool and remit the related Closing Date substitution amount. Loans that enter a coronavirus-related forbearance plan after the Closing Date will remain in the pool. CORONAVIRUS PANDEMIC IMPACT The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many RMBS asset classes, some meaningfully. The prime mortgage sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans originated to borrowers with prime credit. Generally, these borrowers have decent FICO scores, reasonable equity, and robust income and liquid reserves. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: September Update," published on September 10, 2020), for the prime asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the prime asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas (MSAs) may experience additional stress from extended lockdown periods and the slowdown of the economy. For more information regarding rating methodologies and the coronavirus, please see the following DBRS Morningstar press releases and commentary: "DBRS Morningstar Provides Update on Rating Methodologies in Light of Measures to Contain Coronavirus Disease (COVID-19)," dated March 12, 2020; "DBRS Morningstar Global Structured Finance Rating Methodologies and Coronavirus Disease (COVID-19)," dated March 20, 2020; and "Global Macroeconomic Scenarios: September Update," dated September 10, 2020. The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, a satisfactory third-party due-diligence review, structural enhancements, and 100% current loans. The ratings reflect transactional challenges that include weaknesses in the R&W framework, entities lacking financial strength or securitization history, and servicers' financial capabilities. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2020-8: DBRS Gives Prov. B Rating on 2 Cert. Classes -------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2020-8 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2020-8 (the Issuer): -- $321.6 million Class A-1 at AAA (sf) -- $301.1 million Class A-2 at AAA (sf) -- $266.7 million Class A-3 at AAA (sf) -- $266.7 million Class A-3-A at AAA (sf) -- $266.7 million Class A-3-X at AAA (sf) -- $200.0 million Class A-4 at AAA (sf) -- $200.0 million Class A-4-A at AAA (sf) -- $200.0 million Class A-4-X at AAA (sf) -- $66.7 million Class A-5 at AAA (sf) -- $66.7 million Class A-5-A at AAA (sf) -- $66.7 million Class A-5-B at AAA (sf) -- $66.7 million Class A-5-X-1 at AAA (sf) -- $66.7 million Class A-5-X-2 at AAA (sf) -- $66.7 million Class A-5-X-3 at AAA (sf) -- $160.6 million Class A-6 at AAA (sf) -- $160.6 million Class A-6-A at AAA (sf) -- $160.6 million Class A-6-X at AAA (sf) -- $106.1 million Class A-7 at AAA (sf) -- $106.1 million Class A-7-A at AAA (sf) -- $106.1 million Class A-7-X at AAA (sf) -- $39.5 million Class A-8 at AAA (sf) -- $39.5 million Class A-8-A at AAA (sf) -- $39.5 million Class A-8-X at AAA (sf) -- $33.3 million Class A-9 at AAA (sf) -- $33.3 million Class A-9-A at AAA (sf) -- $33.3 million Class A-9-B at AAA (sf) -- $33.3 million Class A-9-X-1 at AAA (sf) -- $33.3 million Class A-9-X-2 at AAA (sf) -- $33.3 million Class A-9-X-3 at AAA (sf) -- $33.3 million Class A-10 at AAA (sf) -- $33.3 million Class A-10-A at AAA (sf) -- $33.3 million Class A-10-B at AAA (sf) -- $33.3 million Class A-10-X-1 at AAA (sf) -- $33.3 million Class A-10-X-2 at AAA (sf) -- $33.3 million Class A-10-X-3 at AAA (sf) -- $34.4 million Class A-11 at AAA (sf) -- $34.4 million Class A-11-X at AAA (sf) -- $34.4 million Class A-11-A at AAA (sf) -- $34.4 million Class A-11-AI at AAA (sf) -- $34.4 million Class A-11-B at AAA (sf) -- $34.4 million Class A-11-BI at AAA (sf) -- $34.4 million Class A-12 at AAA (sf) -- $34.4 million Class A-13 at AAA (sf) -- $20.5 million Class A-14 at AAA (sf) -- $20.5 million Class A-15 at AAA (sf) -- $284.9 million Class A-16 at AAA (sf) -- $36.8 million Class A-17 at AAA (sf) -- $321.6 million Class A-X-1 at AAA (sf) -- $321.6 million Class A-X-2 at AAA (sf) -- $34.4 million Class A-X-3 at AAA (sf) -- $20.5 million Class A-X-4 at AAA (sf) -- $9.1 million Class B-1 at AA (low) (sf) -- $9.1 million Class B-1-A at AA (low) (sf) -- $9.1 million Class B-1-X at AA (low) (sf) -- $4.4 million Class B-2 at A (low) (sf) -- $4.4 million Class B-2-A at A (low) (sf) -- $4.4 million Class B-2-X at A (low) (sf) -- $3.4 million Class B-3 at BBB (low) (sf) -- $3.4 million Class B-3-A at BBB (low) (sf) -- $3.4 million Class B-3-X at BBB (low) (sf) -- $855.0 thousand Class B-4 at BB (sf) -- $855.0 thousand Class B-5 at B (sf) -- $16.9 million Class B-X at BBB (low) (sf) -- $855.0 thousand Class B-5-Y at B (sf) Classes A-3-X, A-4-X, A-5-X-1, A-5-X-2, A-5-X-3, A-6-X, A-7-X, A-8-X, A-9-X-1, A-9-X-2, A-9-X-3, A-10-X-1, A-10-X-2, A-10-X-3, A-11-X, A-11-AI, A-11-BI, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, and B-X are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A, A-5-B, A-5-X-1, A-5-X-2, A-5-X-3, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-9-A, A-9-X-3, A-10, A-10-A, A-10-X-3, A-11-A, A-11-AI, A-11-B, A-11-BI, A-12, A-13, A-14, A-16, A-17, A-X-2, A-X-3, B-1, B-2, B-3, B-X, B-5-Y, B-6-Y, and B-6-Z are exchangeable certificates. These classes can be exchanged for combinations of base depositable certificates as specified in the offering documents. DBRS Morningstar does not rate Classes B-6-Y and B-6-Z. Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-5-B, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A, A-9-B, A-10, A-10-A, A-10-B, A-11, A-11-A, A-11-B, A-12, and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 6.00% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (sf) ratings reflect 3.35%, 2.05%, 1.05%, 0.80%, and 0.55% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 403 loans with a total principal balance of $342,167,851 as of the Cut-Off Date (October 1, 2020). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years. Approximately 8.0% of the loans in the pool are conforming mortgage loans predominantly originated by United Shore Financial Services, LLC doing business as United Wholesale Mortgage and Shore Mortgage (United Shore) which were eligible for purchase by Fannie Mae or Freddie Mac. The originators for the aggregate mortgage pool are United Shore (32.8%) and various other originators, each comprising less than 10.0% of the pool. Also, the Seller acquired approximately 14.1% of the loans by balance from MaxEx Clearing LLC (MaxEx). The mortgage loans will be serviced or subserviced by Shellpoint Mortgage Servicing, LLC (SMS; 62.1%), Cenlar FSB (Cenlar; 34.0%), Nationstar Mortgage LLC (Nationstar; 1.9%), and various other servicers, each comprising less than 1.0% of the pool. For Cenlar-subserviced loans, the Servicer is predominantly United Shore and also includes loanDepot and Amerihome Mortgage Company, LLC. For Nationstar subserviced loans, the Servicer is USAA Federal Savings Bank. SMS will transfer servicing to JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS Morningstar) on the servicing transfer date (February 1, 2021, or a later date) as determined by the Issuer and JPMCB. For this transaction, the servicing fee payable for mortgage loans serviced by JPMCB, loanDepot, SMS, and United Shore is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as Securities Administrator and Delaware Trustee. Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. JPMMT 2020-8 is the first prime residential mortgage-backed security (RMBS) transaction where the coupon rates for certain certificates are based on the Secured Overnight Financing Rate SOFR whereas the coupon rates for prior transactions were based on Libor. As of the Cut-Off Date, 3.7% of borrowers were previously enrolled into a Coronavirus Disease (COVID-19)-related forbearance plan with a servicer. However, these borrowers did not miss any payments and since then the relief plans have expired. There are no loans in the pool currently enrolled in a coronavirus-related forbearance plan. In the event a borrower requests or enters into a coronavirus-related forbearance plan after the Cut-Off Date but prior to the Closing Date, the Mortgage Loan Seller will remove such loan from the mortgage pool and remit the related Closing Date substitution amount. Loans that enter a coronavirus-related forbearance plan after the Closing Date will remain in the pool. CORONAVIRUS PANDEMIC IMPACT The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many RMBS asset classes, some meaningfully. The prime mortgage sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans originated to borrowers with prime credit. Generally, these borrowers have decent FICO scores, reasonable equity, and robust income and liquid reserves. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: September Update," published on September 10, 2020), for the prime asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the prime asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas (MSAs) may experience additional stress from extended lockdown periods and the slowdown of the economy. The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, a satisfactory third-party due-diligence review, structural enhancements, and 100% current loans. The ratings reflect transactional challenges that include weaknesses in the R&W framework, entities lacking financial strength or securitization history, and servicers' financial capabilities. Notes: All figures are in U.S. dollars unless otherwise noted. LENDMARK FUNDING 2020-2: DBRS Finalizes BB(high) Rating on D Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following notes issued by Lendmark Funding Trust 2020-2 (Lendmark 2020-2 or the Issuer): -- $217,740,000 Class A rated AA (sf) -- $14,650,000 Class B rated A (sf) -- $13,030,000 Class C rated BBB (high) (sf) -- $29,580,000 Class D rated BB (high) (sf) The ratings are based on a review by DBRS Morningstar of the following analytical considerations: -- DBRS Morningstar's projected losses include the assessment of the impact of the Coronavirus Disease (COVID-19). While considerable uncertainty remains with respect to the intensity and duration of the shock, the DBRS Morningstar-projected cumulative net loss (CNL) includes an assessment of the expected impact on consumer behavior. The DBRS Morningstar CNL assumption is 10.80%. -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the coronavirus, available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, and they have been regularly updated. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar's rating analysis. -- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021. -- Transaction capital structure and form and sufficiency of available credit enhancement. -- Credit enhancement in the form of overcollateralization, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support DBRS Morningstar's stressed projected finance yield, principal payment rate, and charge-off assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. -- Lendmark's capabilities with regard to originations, underwriting and servicing. -- DBRS Morningstar has performed an operational review of Lendmark and considers the entity to be an acceptable originator and servicer of unsecured personal loans with an acceptable back-up servicer. -- Lendmark's senior management team has considerable experience and a successful track record within the consumer loan industry. -- The credit quality of the collateral and performance of Lendmark's consumer loan portfolio. DBRS Morningstar has used a hybrid approach in analyzing the Lendmark portfolio that incorporates elements of static pool analysis employed for assets, such as consumer loans, and revolving asset analysis, employed for such assets as credit card master trusts. -- The weighted-average (WA) remaining term of the initial collateral pool is approximately 45 months. -- The WA current BEACON of the initial pool is approximately 617. -- Lendmark's finance yield has averaged approximately 27.00% since 2017. The WA coupon (WAC) of the pool is 25.94% and the transaction includes a Reinvestment Criteria Event if the WAC is less than 24.50%. -- The DBRS Morningstar base-case assumption for the finance yield is 24.50%. -- DBRS Morningstar applied a finance yield haircut of 8.00% for Class A, 6.00% for Class B, 4.67% for Class C, and 2.67% for Class D. While these haircuts are lower than the range described in the DBRS Morningstar "Rating U.S. Credit Card Asset-Backed Securities" methodology, the fixed-rate nature of the underlying loans, lack of interchange fees, and historical yield consistency support these stressed assumptions. -- Principal payment rates for Lendmark's portfolio, as estimated by DBRS Morningstar, have generally averaged between 3.0% and 5.0% over the prior several years. -- The DBRS Morningstar base-case assumption for the principal payment rate is 3.15%. -- DBRS Morningstar applied a payment rate haircut of 40.00% for Class A, 35.00% for Class B, 31.67% for Class C, and 23.33% for Class D. -- Charge-off rates on the Lendmark portfolio have generally ranged between 5.00% and 10.00% over the prior several years. -- The DBRS Morningstar base-case assumption for the charge-off rate is 10.80%. -- DBRS Morningstar has increased the base-case charge-off assumption rate to 10.80% for the Series 2020-2 transaction, which contrasts with the charge-off rate of 9.80% for the 2019-2 transaction. The increase in the assumption is due to the expected economic impact of the coronavirus pandemic. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Lendmark, that the trust has a valid first-priority security interest in the assets, and is consistent with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. MCA FUND III: DBRS Finalizes BB Rating on Class C Notes ------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Class A, B, and C Notes (together, the Notes) issued by MCA Fund III Holding LLC pursuant to the MCA Fund III Indenture dated October 28, 2020, between MCA Fund III Holding LLC, as the Issuer, and Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar), as the Trustee and Calculation Agent: -- Class A Notes at A (sf) -- Class B Notes at BBB (sf) -- Class C Notes at BB (sf) The ratings on the Class A, B, and C Notes address the ultimate payment of interest and the ultimate payment of principal on or before the Final Maturity Date (as defined in the Indenture referenced above). The Notes are backed by a portfolio of limited partnership interests in leveraged buyout, mezzanine debt, secondaries, and venture capital private equity funds. Each class of Notes is able to withstand a percentage of tranche defaults from a Monte Carlo asset analysis commensurate with its respective rating. The ratings reflect the following: (1) The Indenture dated October 28, 2020. (2) The integrity of the transaction's structure. (3) DBRS Morningstar's assessment of the portfolio quality. (4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (5) DBRS Morningstar's assessment of the management capabilities of MEMBERS Capital Advisors, Inc. as the Investment Manager. (6) The transaction assumptions considering DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar's rating analysis. Notes: All figures are in U.S dollars unless otherwise noted. MF1 LTD 2020-FL4: DBRS Gives Prov. B (low) Rating on Class G Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by MF1 2020-FL4, Ltd. (the Issuer): -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. Classes F and G will be privately placed. With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, feeling more immediate effects. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis. For example, DBRS Morningstar may front-load default expectations and/or assess the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. MF1 provided coronavirus and business plan updates for all loans in the pool, confirming that all debt service payments have been received in full for closed loans. Furthermore, no loans are in forbearance or other debt service relief and no loan modifications were requested, except for The Edison (#7; 4.3% of the initial pool balance) and 144 West Street (#21; 1.2% of the initial pool balance). However, these modifications were in response to the loans' approaching maturity. The initial collateral consists of 22 floating-rate mortgage loans secured by 29 transitional multifamily properties totaling $783.3 million (67.8% of the total fully funded balance), excluding $203.7 million of remaining future funding commitments and $168.0 million of pari passu debt. Of the 22 loans, there are three unclosed, delayed-close loans as of October 27, 2020, representing 10.7% of the initial pool balance: Grande at Metro Park (#6), Avilla Paseo (#15), and LA Multifamily Portfolio II (#22). Additionally, the SF Multifamily Portfolio II (#13) and LA Multifamily Portfolio II (#22) loans have delayed-close mortgage assets, which are identified in the data tape and included in the DBRS Morningstar analysis. The Issuer has 45 days post-closing to acquire the delayed-close assets. Additionally, the transaction is structured with a 90-day ramp-up acquisition period, whereby the Issuer plans to acquire up to $166.7 million of additional collateral, and an 18-month reinvestment period. After the 45-day delayed-close asset acquisition period and 90-day ramp-up acquisition period, the Issuer projects a target pool balance of $950.0 million. DBRS Morningstar assessed the ramp loans using a conservative pool construct and, as a result, the ramp loans have expected losses above the pool WA loan expected losses. Reinvestment of principal proceeds during the reinvestment period is subject to Eligibility Criteria which, among other criteria, includes a rating agency no-downgrade confirmation by DBRS Morningstar for all new mortgage assets and funded companion participations exceeding $1.0 million. On the first payment date after the ramp-up completion date, any amounts remaining in the unused proceeds account up to $5.0 million will be deposited into the reinvestment account. Any funds exceeding $5.0 million will be transferred to the payment account and applied as principal proceeds in accordance with the priority of payments. The loans are mostly secured by currently cash flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. Of these loans, 11 have remaining future funding participations totaling $41.8 million, which the Issuer may acquire during the reinvestment period. Please see the chart below for participations that the Issuer will be allowed to acquire. Given the floating-rate nature of the loans, the index DBRS Morningstar used (one-month Libor) was the lower of (1) DBRS Morningstar's stressed rate that corresponded with the remaining fully extended term of the loans and (2) the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate of the loan term. When measuring the cut-off date balances against the DBRS Morningstar As-Is NCF, 19 loans, representing 90.9% of the cut-off date pool balance, had a DBRS Morningstar As-Is DSCR of 1.00x or below, a threshold indicative of default risk. Additionally, the DBRS Morningstar Stabilized DSCR for six loans, representing 33.0% of the initial pool balance, of 1.00x or below, which indicates elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if the other loan structural features are insufficient to support such treatment. Furthermore, even if the structure is acceptable, DBRS Morningstar generally does not assume the assets will stabilize above market levels. The transaction will have a sequential-pay structure. The loans were all sourced by an affiliate of the Issuer, which has strong origination practices and substantial experience in the multifamily industry. Classes F and G and the Preferred Shares (collectively, the Retained Securities; representing 14.9% of the initial pool balance) will be purchased by a wholly owned subsidiary of MF1 REIT II LLC. All loans in the pool are secured by multifamily properties located across 10 states including California, New York, New Jersey, and Arizona. Multifamily properties benefit from staggered lease rollover and generally low expense ratios compared with other property types. While revenue is quick to decline in a downturn because of the short-term nature of the leases, it is also quick to respond when the market improves. Additionally, most loans are secured by traditional multifamily properties, such as garden-style communities or mid-rise/high-rise buildings, with only one loan secured by an independent living/assisted-living/memory care facility (#3, Crestavilla). The loan collateral was generally in very good physical condition as evidenced by the six loans, representing 45.0% of the initial pool balance, secured by properties that DBRS Morningstar deemed to be Above Average in quality. An additional four loans, representing 16.8% of the initial pool balance, are secured by properties with Average (+) quality. Furthermore, only one loan is backed by a property that DBRS Morningstar considered to be Average (-) quality, representing just 2.0% of the initial pool balance. DBRS Morningstar analyzed 18 of the 22 loans in the transaction, representing 94.5% of the pool by allocated cut-off date loan balance. This sample size is substantially larger than other commercial real estate collateralized loan obligation (CRE CLO) deals recently rated by DBRS Morningstar. The pool is moderately diverse by CRE CLO standards with a Herfindahl score of 13.89, but cannot drop below 14.00 after the ramp-up acquisition period is complete, as detailed in the Eligibility Criteria. The transaction will likely be subject to a benchmark rate replacement, which will depend on the availability of various alternative benchmarks. The current selected benchmark is the Secured Overnight Financing Rate (SOFR). Term SOFR, which is expected to be a similar forward-looking term rate compared with Libor, is the first alternative benchmark replacement rate but is currently being developed. There is no assurance Term SOFR development will be completed or that it will be widely endorsed and adopted. This could lead to volatility in the interest rate on the mortgage assets and floating rate notes. The transaction could be exposed to a timing mismatch between the notes and the underlying mortgage assets as a result of the mortgage benchmark rates adjusting on different dates than the benchmark on the notes, or a mismatch between the benchmark and/or the benchmark replacement adjustment on the notes and the benchmark and/or the benchmark replacement adjustment (if any) applicable to the mortgage loans. In order to compensate for differences between the successor benchmark rate and then-current benchmark rate, a benchmark replacement adjustment has been contemplated in the indenture as a way compensate for the rate change. Currently Wells Fargo, National Association in its capacity as Designated Transaction Representative will generally be responsible for handling any benchmark rate change, and will only be held to a gross negligence standard with regard any liability for its actions. The ongoing coronavirus pandemic continues to pose challenges and risks to the CRE sector and, while DBRS Morningstar expects multifamily to fare better than most other property types, the long-term effects on the general economy and consumer sentiment are still unclear. DBRS Morningstar has analyzed the loans to a stabilized cash flow that is, in some instances, above the in-place cash flow. It is possible that the sponsors will not successfully execute their business plans and that the higher stabilized cash flow will not materialize during the loan term, particularly with the ongoing coronavirus pandemic and its impact on the overall economy. A sponsor's failure to execute the business plan could result in a term default or the inability to refinance the fully funded loan balance. The loan agreements for SF Multifamily Portfolio II (#13) and LA Multifamily Portfolio II (#22) allow the related borrower to acquire additional properties as collateral for the mortgage loan. Three loans, representing 17.1% of the initial cut-off date pool balance, have a sponsor with negative credit history and/or limited financial wherewithal, including The Core at Sycamore Highlands (#4), The Edison (#7), and Mark at Midlothian (#11). All loans have floating interest rates and are IO during the initial loan term, which ranges from 24 months to 36 months, creating interest rate risk. MFA TRUST 2020-NQM2: DBRS Finalizes B Rating on Class B-2 Certs --------------------------------------------------------------- DBRS, Inc. finalizes its provisional ratings on the following Mortgage Pass-Through Certificates, Series 2020-NQM2 (the Certificates) to be issued by MFA 2020-NQM2 Trust (MFA 2020-NQM2): -- $405.4 million Class A-1 at AAA (sf) -- $17.7 million Class A-2 at AA (sf) -- $64.4 million Class A-3 at A (sf) -- $27.7 million Class M-1 at BBB (sf) -- $20.0 million Class B-1 at BB (sf) -- $15.1 million Class B-2 at B (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Certificates reflects 28.90% of credit enhancement provided by subordinate certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 25.80%, 14.50%, 9.65%, 6.15%, and 3.50% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,608 mortgage loans with a total principal balance of $570,179,946 as of the Cut-Off Date1 (September 30, 2020). Citadel Servicing Corporation (CSC) is the Originator and Servicer for all loans in this pool. CSC has three programs under which it originates loans. The Non-Prime and Maggi Plus (Maggi+) products are CSC's core mortgage programs with Maggi+ aimed at higher credit profiles. CSC's Outside Dodd-Frank products include loans exempt from the Consumer Financial Protection Bureau's (CFPB) rules. Although the applicable mortgage loans were originated to satisfy the CFPB Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, 62.2% of the loans are designated as non-QM. Approximately 37.8% of the loans are made to investors for business purposes or foreign nationals, which are not subject to the QM/ATR rules. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal residual interest consisting of the Class B-3 and XS Certificates representing at least 5% of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On or after the date when the aggregate unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts and any pre-closing deferred amounts. After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. For this transaction, the Servicer will not fund advances of delinquent principal and interest (P&I) on any mortgage. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Certificates as the more senior outstanding Certificates are paid in full. Furthermore, excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class B-2. CORONAVIRUS DISEASE (COVID-19) IMPACT The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed security (RMBS) asset classes, some meaningfully. The non-QM sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans that may fall outside of the CFPB's ATR rules, which became effective on January 10, 2014. Non-QM loans encompass the entire credit spectrum. They range from high-FICO, high-income borrowers who opt for interest-only (IO) or higher debt-to-income (DTI) ratio mortgages, to near-prime debtors who have had certain derogatory pay histories but were cured more than two years ago, to nonprime borrowers whose credit events were only recently cleared, among others. In addition, some originators offer alternative documentation or bank statement underwriting to self-employed borrowers in lieu of verifying income with W-2s or tax returns. Finally, foreign nationals and real estate investor programs, while not necessarily non-QM in nature, are often included in non-QM pools. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see Global Macroeconomic Scenarios: September Update, dated September 10, 2020.), for the non-QM asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the non-QM asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes loans originated to (1) borrowers with recent credit events, (2) self-employed borrowers, or (3) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with prior credit events have exhibited difficulties in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas (MSAs) may experience additional stress from extended lockdown periods and the slowdown of the economy. In addition, for this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, 29.3% of the borrowers have been granted forbearance or deferral plans because of financial hardship related to coronavirus. In June 2020, the Servicer developed a hardship review process for borrowers requesting relief on their Mortgage Loans as a result of the COVID-19 outbreak. The Servicer will require each borrower to complete a hardship package of employment, financial and credit information. As a result, the Servicer, in conjunction with or at the direction of the Sponsor, may offer a repayment plan or other forms of payment relief, such as a loan modification, in addition to pursuing other loss mitigation options. For this deal, DBRS Morningstar applied additional assumptions to evaluate the impact of potential cash flow disruptions on the rated tranches, stemming from (1) lower P&I collections and (2) no servicing advances on delinquent P&I. These assumptions include: (1) Increasing delinquencies for the AAA (sf) and AA (sf) rating levels for the first 12 months; (2) Increasing delinquencies for the A (sf) and below rating levels for the first nine months; (3) Applying no voluntary prepayments for the AAA (sf) and AA (sf) rating levels for the first 12 months; and (4) Delaying the receipt of liquidation proceeds for the AAA (sf) and AA (sf) rating levels for the first 12 months. Notes: All figures are in U.S. dollars unless otherwise noted. OAKTOWN RE 2020-2: DBRS Finalizes B(low) Rating on Class M-2 Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the Mortgage Insurance-Linked Notes, Series 2020-2 (the Notes) issued by Oaktown Re V Ltd. (OMIR 2020-2 or the Issuer): -- $69.7 million Class M-1A at BBB (low) (sf) -- $78.8 million Class M-1B at BB (low)(sf) -- $78.8 million Class M-2 at B (low) (sf) The BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 4.85%, 3.55%, and 2.25% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. OMIR 2020-2 is National Mortgage Insurance Corporation's (NMI; the ceding insurer) fourth-rated mortgage insurance (MI)-linked note transaction. Payments to the Notes are backed by reinsurance premiums, eligible investments, and related account investment earnings, in each case relating to a pool of MI policies linked to residential loans. The Notes are exposed to the risk arising from losses that the ceding insurer pays to settle claims on the underlying MI policies. As of the cut-off date, the pool of insured mortgage loans consists of 87,967 fully amortizing first-lien fixed- and variable-rate mortgages. They all have been underwritten to a full documentation standard, have original loan-to-value ratios (LTVs) less than or equal to 97%, and have never been reported to the ceding insurer as 60 or more days delinquent. The mortgage loans have MI policies effective on or after July 2019. On the closing date, the Issuer will enter into the Reinsurance Agreement with the ceding insurer. Per the agreement, the ceding insurer will receive protection for the funded portion of the MI losses. In exchange for this protection, the ceding insurer will make premium payments related to the underlying insured mortgage loans to the Issuer. The Issuer is expected to use the proceeds from selling the Notes to purchase certain eligible investments that will be held in the reinsurance trust account. The eligible investments are restricted to AAA or equivalently rated U.S. Treasury money market funds and securities. Unlike other residential mortgage-backed security (RMBS) transactions, cash flow from the underlying loans will not be used to make any payments; rather, in MI-linked note (MILN) transactions, a portion of the eligible investments held in the reinsurance trust account will be liquidated to make principal payments to the noteholders and to make loss payments to the ceding insurer when claims are settled with respect to the MI policy. The Issuer will use the investment earnings on the eligible investments, together with the ceding insurer's premium payments, to pay interest to the noteholders. The calculation of principal payments to the Notes will be based on a reduction in the aggregate exposed principal balance on the underlying MI policy. The subordinate Notes will receive their pro rata share of available principal funds if the minimum credit enhancement test and the delinquency test are satisfied. The minimum credit enhancement test will purposely fail at the closing date, thus locking out the rated classes from initially receiving any principal payments until the subordinate percentage grows to 6.25% from 6.00%. The delinquency test will be satisfied if the three-month average of 60+ days delinquency percentage is below 75% of the subordinate percentage. Unlike earlier rated NMI MILN transactions where the delinquency test is satisfied when the delinquency percentage falls below a fixed threshold, this transaction incorporates a dynamic delinquency test. Interest payments are funded via (1) premium payments that the ceding insurer must make under the Reinsurance Agreement and (2) earnings on eligible investments. On the Closing Date, the ceding insurer will establish a cash and securities account, the premium deposit account. In case of the ceding insurer's default in paying coverage premium payments to the Issuer, the amount available in this account will be used to make interest payments to the noteholders. The presence of this account mitigates certain counterparty exposure that the trust has to the ceding insurer. Unlike prior OMIR transactions, the premium deposit account will not be funded at closing. Instead, the ceding insurer will make a deposit into this account up to the applicable target balance only when one of the premium deposit events occur. Please refer to the related report and/or offering circular for more details. The Notes are scheduled to mature on October 25, 2030 but will be subject to early redemption at the option of the ceding insurer (1) for a 10% clean-up call or (2) on or following the payment date in October 2027, among others. The Notes are also subject to mandatory redemption before the scheduled maturity date upon the termination of the Reinsurance Agreement. NMI will act as the ceding insurer. The Bank of New York Mellon (rated AA (high) with a Stable trend by DBRS Morningstar) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Reinsurance Trustee. The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many RMBS asset classes, some meaningfully. Various MI companies have set up programs to issue MILNs. These programs aim to transfer a portion of the risk related to MI claims on a reference pool of loans to the investors of the MILNs. In these transactions, investors' risk increases with higher MI payouts. The underlying pool of mortgage loans with MI policies covered by MILN reinsurance agreements are typically conventional/conforming loans that follow government-sponsored enterprises' acquisition guidelines and therefore have LTVs above 80%. However, a portion of each MILN transaction's covered loans may not be agency eligible. As a result of the coronavirus pandemic, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under the moderate scenario in its commentary, see Global Macroeconomic Scenarios: September Update, published on September 10, 2020. For the MILN asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. In addition, DBRS Morningstar may assume a portion of the pool (randomly selected) to be on forbearance plans in the immediate future. For these loans, DBRS Morningstar assumes higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the MILN asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that loans with layered risk (low FICO score with high LTV/high debt-to-income ratio) may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Additionally, higher delinquencies might cause a longer lockout period or a redirection of principal allocation away from outstanding rated classes because performance triggers failed. Notes: All figures are in U.S. dollars unless otherwise noted. ONDECK ASSET: DBRS Confirms BB(high) Rating on 2 Debt Classes ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the following classes from the OnDeck Asset Securitization Trust II LLC, Series 2018-1 and 2019-1 transactions: -- Series 2018-1 Asset Backed Notes, Class B at A (sf) -- Series 2019-1 Fixed Rate Asset Backed Notes, Class B at AA (sf) -- Series 2019-1 Fixed Rate Asset Backed Notes, Class C at A (sf) DBRS Morningstar also confirmed its ratings on the following classes and removed them from Under Review with Negative Implications, where they were originally placed on April 20, 2020 and maintained on September 2, 2020: -- Series 2018-1 Asset Backed Notes, Class C at BBB (sf) -- Series 2018-1 Asset Backed Notes, Class D at BB (high) (sf) -- Series 2019-1 Fixed Rate Asset Backed Notes, Class D at BBB (sf) -- Series 2019-1 Fixed Rate Asset Backed Notes, Class E at BB (high) (sf) DBRS Morningstar also discontinued its ratings on the following classes due to repayment: -- Series 2018-1 Asset Backed Notes, Class A -- Series 2019-1 Fixed Rate Asset Backed Notes, Class A The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar's rating analysis. -- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021. -- Significant amount of de-leveraging that has been achieved in these transactions between April 2020 and October 2020, as manifested in the higher breakeven cumulative gross default rate relative to the original cumulative gross default hurdle rate for each class of securities, as of the October 2020 payment date. -- General success of On Deck Capital, Inc. in improving and sustaining collectability rate (vs. scheduled principal and interest payments due on the loans) for its portfolio and increasing its paying customer percentage from the low level in April 2020. -- While a substantial portion of the collateral pool in these transactions continues to exhibit high missed payment factors, the percentage of current loans has been increasing steadily, and obligors for a material portion of delinquent and defaulted receivables continue to make partial or full payments. -- Both Series 2018-1 and Series 2019-1 are currently in rapid amortization, thus, using all available funds to repay the noteholders. ONEMAIN FINANCIAL: DBRS Confirms BB Rating on 4 Note Classes ------------------------------------------------------------ DBRS, Inc. confirmed or upgraded its ratings on the following classes of securities issued by eight OneMain Financial Issuance Trust transactions: -- Series 2015-3, Class A, upgraded to AAA (sf) from AA (sf) -- Series 2015-3, Class B, upgraded to AA (sf) from A (sf) -- Series 2015-3, Class C, upgraded to A (sf) from BBB (sf) -- Series 2015-3, Class D, upgraded to BBB (sf) from BB (sf) -- Series 2016-3 Notes, Class A, confirmed at AA (sf) -- Series 2016-3 Notes, Class B, confirmed at A (sf) -- Series 2016-3 Notes, Class C, confirmed at BBB (sf) -- Series 2016-3 Notes, Class D, confirmed at BB (sf) -- Series 2017-1 Notes, Class A-1, upgraded to AAA (sf) from AA (sf) -- Series 2017-1 Notes, Class A-2, upgraded to AAA (sf) from AA (sf) -- Series 2017-1 Notes, Class B, upgraded to AA (sf) from A (sf) -- Series 2017-1 Notes, Class C, upgraded to A (sf) from BBB (sf) -- Series 2017-1 Notes, Class D, upgraded to BBB (sf) from BB (sf) -- Series 2018-1, Class A, confirmed at AAA (sf) -- Series 2018-1, Class B, confirmed at AA (sf) -- Series 2018-1, Class C, confirmed at A (sf) -- Series 2018-1, Class D, confirmed at BBB (sf) -- Series 2018-1, Class E, confirmed at BB (sf) -- Series 2018-2, Class A, confirmed at AAA (sf) -- Series 2018-2, Class B, confirmed at AA (sf) -- Series 2018-2, Class C, confirmed at A (sf) -- Series 2018-2, Class D, confirmed at BBB (sf) -- Series 2018-2, Class E, confirmed at BB (sf) -- Series 2019-1, Class A, confirmed at AAA (sf) -- Series 2019-1, Class B, confirmed at AA (sf) -- Series 2019-1, Class C, confirmed at A (sf) -- Series 2019-1, Class D, confirmed at BBB (sf) -- Series 2019-1, Class E, confirmed at BB (sf) -- Series 2019-2, Class A, confirmed at AAA (sf) -- Series 2019-2, Class B, confirmed at AAA (sf) -- Series 2019-2, Class C, confirmed at AA (sf) -- Series 2019-2, Class D, confirmed at BBB (high) (sf) -- Series 2020-1, Class A, confirmed at AAA (sf) -- Series 2020-1, Class B, confirmed at AA (sf) -- Series 2020-1, Class C, confirmed at A (sf) The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar's rating analysis. -- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021. Observed performance during the 2008–09 financial crisis and the possible impact from stimulus were also considered in the assumptions. -- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in the reserve funds available in the transactions. Hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar current rating levels listed above. -- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected charge-off assumptions consistent with the expected unemployment levels in the moderate scenario. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. REGIONAL MANAGEMENT 2018-2: DBRS Confirms BB Rating on Cl. D Notes ------------------------------------------------------------------ DBRS, Inc. confirmed its ratings on the following classes of securities issued by Regional Management Issuance Trust 2018-2 and 2019-1 and GIFS Capital Company LLC - Regional Management Corp. II (RLF): -- Regional Management Issuance Trust 2018-2, Class A Asset-Backed Notes, confirmed at AA (sf) -- Regional Management Issuance Trust 2018-2, Class B Asset-Backed Notes, confirmed at A (sf) -- Regional Management Issuance Trust 2018-2, Class C Asset-Backed Notes, confirmed at BBB (sf) -- Regional Management Issuance Trust 2018-2, Class D Asset-Backed Notes, confirmed at BB (sf) -- Regional Management Issuance Trust 2019-1, Class A Notes, confirmed at AA (sf) -- Regional Management Issuance Trust 2019-1, Class B Notes, confirmed at A (sf) -- Regional Management Issuance Trust 2019-1, Class C Notes, confirmed at BBB (sf) -- GIFS Capital Company, LLC, Liquidity Agreement - RLF Class A Loans, confirmed at AA (sf) -- GIFS Capital Company, LLC, Liquidity Agreement - RLF Class B Loans, confirmed at A (high) (sf) The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: September Update," published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar's rating analysis. -- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021. Observed performance during the 2008–09 financial crisis and the possible impact from stimulus were also considered in the assumptions. -- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in reserve fund available in the transaction. Hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar current rating levels listed above. -- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected charge off assumptions consistent with the expected unemployment levels in the moderate scenario. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. WELLS FARGO 2020-5: DBRS Finalizes BB Rating on Class B-4 Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage Pass-Through Certificates, Series 2020-5 (the Certificates) issued by Wells Fargo Mortgage Backed Securities 2020-5 Trust (WFMBS 2020-5): -- $331.9 million Class A-1 at AAA (sf) -- $331.9 million Class A-2 at AAA (sf) -- $248.9 million Class A-3 at AAA (sf) -- $248.9 million Class A-4 at AAA (sf) -- $83.0 million Class A-5 at AAA (sf) -- $83.0 million Class A-6 at AAA (sf) -- $199.2 million Class A-7 at AAA (sf) -- $199.2 million Class A-8 at AAA (sf) -- $132.8 million Class A-9 at AAA (sf) -- $132.8 million Class A-10 at AAA (sf) -- $49.8 million Class A-11 at AAA (sf) -- $49.8 million Class A-12 at AAA (sf) -- $53.9 million Class A-13 at AAA (sf) -- $53.9 million Class A-14 at AAA (sf) -- $29.0 million Class A-15 at AAA (sf) -- $29.0 million Class A-16 at AAA (sf) -- $39.1 million Class A-17 at AAA (sf) -- $39.1 million Class A-18 at AAA (sf) -- $371.0 million Class A-19 at AAA (sf) -- $371.0 million Class A-20 at AAA (sf) -- $371.0 million Class A-IO1 at AAA (sf) -- $331.9 million Class A-IO2 at AAA (sf) -- $248.9 million Class A-IO3 at AAA (sf) -- $83.0 million Class A-IO4 at AAA (sf) -- $199.2 million Class A-IO5 at AAA (sf) -- $132.8 million Class A-IO6 at AAA (sf) -- $49.8 million Class A-IO7 at AAA (sf) -- $53.9 million Class A-IO8 at AAA (sf) -- $29.0 million Class A-IO9 at AAA (sf) -- $39.1 million Class A-IO10 at AAA (sf) -- $371.0 million Class A-IO11 at AAA (sf) -- $6.4 million Class B-1 at AA (sf) -- $7.4 million Class B-2 at A (low) (sf) -- $1.8 million Class B-3 at BBB (high) (sf) -- $1.6 million Class B-4 at BB (sf) -- $781.0 thousand Class B-5 at B (low) (sf) Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8, A-IO9, A-IO10, and A-IO11 are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-9, A-10, A-11, A-13, A-15, A-17, A-19, A-20, A-IO2, A-IO3, A-IO4, A-IO6, and A-IO11 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, and A-16 are super-senior certificates. These classes benefit from additional protection from senior support certificates (Classes A-17 and A-18) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 5.00% of credit enhancement provided by subordinated certificates. The AA (sf), A (low) (sf), BBB (high) (sf), BB (sf), and B (low) (sf) ratings reflect 3.35%, 1.45%, 1.00%, 0.60%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 435 loans with a total principal balance of $390,538,860 as of the Cut-Off Date (October 1, 2020). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average (WA) loan age of three months. All of the mortgage loans were originated by Wells Fargo Bank, N.A. (Wells Fargo; rated AA/R-1 (high) with a Negative trend by DBRS Morningstar) or were acquired by Wells Fargo from its qualified correspondents. In addition, Wells Fargo is the Servicer of the mortgage loans, as well as the Mortgage Loan Seller and Sponsor of the transaction. Wells Fargo will also act as the Master Servicer, Securities Administrator, and Custodian. Wilmington Savings Fund Society, FSB will serve as Trustee. AMC Diligence, LLC (AMC) will act as the Representation and Warranty (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. As of the Cut-Off Date, there are no loans that have entered a Coronavirus Disease (COVID-19)-related forbearance plan with the Servicer. Any loan that enters into a coronavirus-related forbearance plan after the Cut-Off Date and prior to or on the Closing Date will be repurchased within 30 days of the Closing Date. Loans that enter into a coronavirus-related forbearance plan after the Closing Date will remain in the pool. In response to the coronavirus pandemic and for the safety of their borrowers and appraisers, Wells Fargo discontinued the use of interior appraisal inspections in most cases and broadly implemented the use of exterior-only appraisals. For this transaction, 73.2% of the pool had property valuations resulting from exterior-only appraisals. In its analysis, DBRS Morningstar applied property value haircuts to all loans where an exterior-only appraisal was conducted, which resulted in increased expected losses to the Trust. Coronavirus Pandemic Impact The coronavirus pandemic and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar anticipates that delinquencies may continue to rise in the coming months for many residential mortgage-backed security (RMBS) asset classes, some meaningfully. The prime mortgage sector is a traditional RMBS asset class that consists of securitizations backed by pools of residential home loans originated to borrowers with prime credit. Generally, these borrowers have decent FICO scores, reasonable equity, and robust income and liquid reserves. As a result of the coronavirus, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "Global Macroeconomic Scenarios: September Update," published on September 10, 2020), for the prime asset class, DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. Such MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. In addition, for pools with loans on forbearance plans, DBRS Morningstar may assume higher loss expectations above and beyond the coronavirus assumptions. Such assumptions translate to higher expected losses on the collateral pool and correspondingly higher credit enhancement. In the prime asset class, while the full effect of the coronavirus may not occur until a few performance cycles later, DBRS Morningstar generally believes that this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flow generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, financial strength of the counterparties, satisfactory third-party due-diligence review, structural enhancements, and 100% current loans. The ratings reflect transactional challenges that include weaknesses in the R&W framework and a large percentage of loans that employed exterior only appraisals in the property valuations. Notes: All figures are in U.S. dollars unless otherwise noted. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. 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