Classes A-IO, A1-IOA, A1-IOB, A1-
Classes A-1A, A-1B, A-1C, A-1D, A1-IOA, A1-IOB, A1-
The
Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction.
This transaction is a securitization of a seasoned portfolio of performing and re-performing first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 5,910 loans with a total principal balance of
The loans are significantly seasoned with a weighted-average age of 186 months. As of the Cut-Off Date, 90.1% of the pool is current, 8.9% is 30 days delinquent under the
The portfolio contains 47.8% modified loans. The modifications happened more than two years ago for 84.4% of the modified loans. The entire pool is exempt from the
The Seller,
As of the Cut-Off Date, 46.0% of the pool is serviced by
The Seller will have the option to repurchase any loan that becomes 60 or more days delinquent under the MBA method or any real estate owned property acquired in respect of a mortgage loan at a price equal to the principal balance of the loan, provided that such repurchases will be limited to 10% of the principal balance of the mortgage loans as of the
Cut-Off Date.
Unlike other seasoned re-performing loan securitizations, the Servicers in this transaction will advance principal and interest on delinquent mortgages to the extent such advances are deemed recoverable. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure.
The ratings reflect transactional strengths that include underlying assets with significant seasoning, and robust loan attributes with respect to credit scores, product types, and loan-to-value ratios.
The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers, and fewer mortgage loan representations relative to DBRS Morningstar criteria for seasoned pools.
Although limited, third-party due diligence was performed on the pool for regulatory compliance, data integrity, title/lien and payment history. Updated Home Data Index and/or broker price opinions were provided for the pool; however, a reconciliation was not performed on the updated values.
Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS Morningstar believes that the risk of impeding or delaying foreclosure is remote.
The full description of the strengths, challenges, and mitigating factors are detailed in the related rating report.
The DBRS Morningstar ratings 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.
Notes:
All figures are in
The principal methodology is RMBS Insight 1.3:
The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.
Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.
The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.
Ratings
Date Issued Debt Rated Action Rating Trend Issued
i
US =
CA = Canada Issued, NRSRO
EU = EU Issued, NRSRO
E = EU endorsed
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-Participating
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A Provis.-FinalAAA (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A-1 Provis.-FinalAAA (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A-1A Provis.-FinalAAA (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A-1B Provis.-FinalAAA (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A-1C Provis.-FinalAAA (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A-1D Provis.-FinalAAA (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A-IO Provis.-FinalAAA (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A1-IOA Provis.-FinalAAA (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A1-IOB Provis.-FinalAAA (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A1-IOC Provis.-FinalAAA (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A1-IOD Provis.-FinalAAA (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class A-2 Provis.-Final AA (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-1 Provis.-Final AA (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-1A Provis.-Final AA (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-1B Provis.-Final AA (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-1C Provis.-Final AA (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-1D Provis.-Final AA (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B1-IO Provis.-Final AA (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B1-IOA Provis.-Final AA (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B1-IOB Provis.-Final AA (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B1-IOC Provis.-Final AA (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-2 Provis.-Final A (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-2A Provis.-Final A (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-2B Provis.-Final A (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-2C Provis.-Final A (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-2D Provis.-Final A (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B2-IO Provis.-Final A (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B2-IOA Provis.-Final A (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B2-IOB Provis.-Final A (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B2-IOC Provis.-Final A (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-3 Provis.-Final BBB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-3A Provis.-Final BBB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-3B Provis.-Final BBB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-3C Provis.-Final BBB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-3D Provis.-Final BBB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B3-IO Provis.-Final BBB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B3-IOA Provis.-Final BBB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B3-IOB Provis.-Final BBB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B3-IOC Provis.-Final BBB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-4 Provis.-Final BB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-4A Provis.-Final BB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-4B Provis.-Final BB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-4C Provis.-Final BB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B4-IOA Provis.-Final BB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B4-IOB Provis.-Final BB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B4-IOC Provis.-Final BB (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-5 Provis.-Final B (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-5A Provis.-Final B (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-5B Provis.-Final B (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-5C Provis.-Final B (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-5D Provis.-Final B (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B-7 Provis.-Final B (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B5-IOA Provis.-Final B (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B5-IOB Provis.-Final B (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B5-IOC Provis.-Final B (high) (sf) -- US
14-Jan-20 Mortgage-Backed Notes, Series 2020-1, Class B5-IOD Provis.-Final B (high) (sf) -- US
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