DBRS Morningstar Takes Rating Actions on 24 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 806 classes from 24 U.S. residential mortgage-backed securities (RMBS) transactions. The 24 transactions are generally classified as prime jumbo, non-QM, and re-performing transactions. Of the 806 classes reviewed, DBRS Morningstar upgraded 51 ratings, confirmed 752 ratings, and discontinued three 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 discontinued ratings reflect the full repayment of principal to bondholders.

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update,” published on June 30, 2023 (https://www.dbrsmorningstar.com/research/416703). 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 March 3, 2023.

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/416784 (July 4, 2023).

On July 31, 2024, Morningstar DBRS amended the rating table of this press release as two classes were inadvertently listed as upgraded, instead of being confirmed. This includes the following two classes from Citigroup Mortgage Loan Trust 2021-INV2: Class B-1-IOW, and Class B-1W. All other credit rating actions and credit ratings in this text were correct at the time of release.

Notes:
The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410498).

Other methodologies referenced in these transactions are listed at the end of this press release.

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.

The credit ratings assigned to the classes below materially deviate from the ratings implied by the predictive model. DBRS Morningstar typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stresses implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviations below vary among tranches being (1) dependent on another tranche’s ratings (i.e., interest-only (IO) and exchangeable tranches), (2) additional seasoning and/or updated performance being warranted to substantiate a further upgrade, or (3) actual deal or tranche performance not fully reflected in projected cash flows/model output.

The below tranches materially deviate because of a dependency on another rating such as (IO) or exchangeable tranches:

-- J.P. Morgan Mortgage Trust 2020-LTV2, Mortgage Pass-Through Certificates, Series 2020-LTV2, Class B-5-Y
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class A2A
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class A2AX
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class A2B
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class A2BX
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class A2C
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class A2CX
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2A
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2AX
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2B
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2BX
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2C
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2CX

The below tranches materially deviate because of additional seasoning and/or updated performance being warranted to substantiate a further upgrade:

-- GS Mortgage-Backed Securities Trust 2021-PJ9, Mortgage Pass-Through Certificates, Series 2021-PJ9, Class B-5
-- GS Mortgage-Backed Securities Trust 2022-LTV2, Mortgage Pass-Through Certificates, Series 2022-LTV2, Class B-5
-- J.P. Morgan Mortgage Trust 2020-LTV2, Mortgage Pass-Through Certificates, Series 2020-LTV2, Class B-5
-- J.P. Morgan Mortgage Trust 2021-11, Mortgage Pass-Through Certificates, Series 2021-11, Class B-4
-- J.P. Morgan Mortgage Trust 2021-11, Mortgage Pass-Through Certificates, Series 2021-11, Class B-5
-- J.P. Morgan Mortgage Trust 2021-12, Mortgage Pass-Through Certificates, Series 2021-12, Class B-5
-- OBX 2021-J3 Trust, Mortgage-Backed Notes, Series 2021-J3, Class B-4
-- OBX 2021-J3 Trust, Mortgage-Backed Notes, Series 2021-J3, Class B-5
-- Wells Fargo Mortgage Backed Securities 2021-2 Trust, Mortgage Pass-Through Certificates, Series 2021-2, Class B-5
-- BRAVO Residential Funding Trust 2022-NQM3, Mortgage-Backed Notes, Series 2022-NQM3, Class B-1
-- BRAVO Residential Funding Trust 2022-NQM3, Mortgage-Backed Notes, Series 2022-NQM3, Class B-2
-- Homeward Opportunities Fund Trust 2022-1, Mortgage Pass-Through Certificates, Series 2022-1, Class A-2
-- GS Mortgage-Backed Securities Trust 2022-RPL4, Mortgage-Backed Securities, Series 2022-RPL4, Class M-1
-- GS Mortgage-Backed Securities Trust 2022-RPL4, Mortgage-Backed Securities, Series 2022-RPL4, Class M-2
-- GS Mortgage-Backed Securities Trust 2022-RPL4, Mortgage-Backed Securities, Series 2022-RPL4, Class B-1
-- GS Mortgage-Backed Securities Trust 2022-RPL4, Mortgage-Backed Securities, Series 2022-RPL4, Class B-2
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class A2
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class B1
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class B2

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

-- WinWater Mortgage Loan Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-4
-- Homeward Opportunities Fund Trust 2022-1, Mortgage Pass-Through Certificates, Series 2022-1, Class B-2

The rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

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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 (August 9, 2023)
https://www.dbrsmorningstar.com/research/418987/rmbs-insight-13-us-residential-mortgage-backed-securities-model-and-rating-methodology

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023)
https://www.dbrsmorningstar.com/research/415687

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008

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