Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, M-2UB, B-1, B-1AR, and B-1AI are Modifiable and Combinable STACR Notes (MAC Notes). Classes M-2I, M-2AI, M-2BI, and B-1AI are interest-only MAC Notes.
The BBB (high) (sf), BBB (low) (sf), BB (sf), B (high) (sf), and B (sf) ratings reflect 2.50%, 1.80%, 1.10%, 0.85%, and 0.60% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction.
STACR 2020-DNA2 is the 19th transaction in the STACR DNA series. The Notes are subject to the credit and principal payment risk of a certain reference pool (the
As of the Cut-off Date, the
On the Closing Date, the trust will enter into a Collateral Administration Agreement (CAA) with
The calculation of principal payments to the Notes will be based on actual principal collected on the
The Notes will be scheduled to mature on the payment date in
The sponsor of the transaction will be
If a reference obligation is refinanced under the Enhanced Relief Refinance Program, then the resulting refinanced reference obligation may be included in the
The ratings reflect transactional strengths that include the following:
Seller (or lender)/servicer approval process and quality control platform,
Well-diversified reference pool,
High-quality credit and loan attributes,
Strong alignment of interest, and
Extensive performance history.
The transaction also includes the following challenges:
Representation and warranties framework,
Limited third-party due diligence, and
Counterparty exposure.
The full description of the strengths, challenges, and mitigating factors is detailed in the related report.
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
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-1 Provis.-New BBB (high) (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2A Provis.-New BBB (low) (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2AI Provis.-New BBB (low) (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2AR Provis.-New BBB (low) (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2AS Provis.-New BBB (low) (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2AT Provis.-New BBB (low) (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2AU Provis.-New BBB (low) (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2 Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2B Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2BI Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2BR Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2BS Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2BT Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2BU Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2I Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2R Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2RB Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2S Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2SB Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2T Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2TB Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2U Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class M-2UB Provis.-New BB (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class B-1A Provis.-New B (high) (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class B-1AI Provis.-New B (high) (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class B-1AR Provis.-New B (high) (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class B-1 Provis.-New B (sf) -- US
06-Feb-20 Structured Agency Credit Risk (STACR) REMIC 2020-DNA2 Notes, Class B-1B Provis.-New B (sf) -- US
ALL DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.
(C) 2020 Electronic News Publishing, source