DBRS Morningstar Takes Rating Actions on 11 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 60 classes from 11 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 60 classes reviewed, DBRS Morningstar upgraded 14 ratings and confirmed 46 ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings.

The pools backing the reviewed RMBS transactions consist of Non-Qualified Mortgage collateral.

The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output.

-- Arroyo Mortgage Trust 2021-1R, Mortgage-Backed Notes, Series 2021-1R, Class B-1
-- Arroyo Mortgage Trust 2021-1R, Mortgage-Backed Notes, Series 2021-1R, Class B-2
-- BRAVO Residential Funding Trust 2022-NQM1, Mortgage-Backed Notes, Series 2022-NQM1, Class B-2
-- CHNGE Mortgage Trust 2022-1, Mortgage Pass-Through Certificates, Series 2022-1, Class A-1
-- CHNGE Mortgage Trust 2022-1, Mortgage Pass-Through Certificates, Series 2022-1, Class M-1
-- Homeward Opportunities Fund Trust 2020-2, Class B-1
-- Homeward Opportunities Fund Trust 2020-2, Class B-2
-- Homeward Opportunities Fund Trust 2020-2, Class M-1
-- Imperial Fund Mortgage Trust 2022-NQM1, Mortgage Pass-Through Certificates, Series 2022-NQM1, Class A-2
-- MFA 2021-INV1 Trust, Mortgage Pass-Through Certificates, Series 2021-INV1, Class A-3
-- MFA 2021-INV1 Trust, Mortgage Pass-Through Certificates, Series 2021-INV1, Class B-1
-- MFA 2021-INV1 Trust, Mortgage Pass-Through Certificates, Series 2021-INV1, Class B-2
-- MFA 2021-INV1 Trust, Mortgage Pass-Through Certificates, Series 2021-INV1, Class M-1
-- MFA 2022-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2022-NQM1, Class B-1
-- MFA 2022-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2022-NQM1, Class B-2
-- MFA 2022-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2022-NQM1, Class M-1

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update,” published on December 21, 2022 (https://www.dbrsmorningstar.com/research/407678). These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

The rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on February 21, 2020.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929 (May 17, 2022).

Notes:
The principal methodology applicable to the ratings is U.S. RMBS Surveillance Methodology (February 21, 2020; https://www.dbrsmorningstar.com/research/357249).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020; https://www.dbrsmorningstar.com/research/359116).

Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022; https://www.dbrsmorningstar.com/research/402153).

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].