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

DBRS, Inc. (DBRS Morningstar) reviewed 39 classes from six U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of non-Qualified Mortgage and reperforming mortgage collateral. Of the 39 classes reviewed, DBRS Morningstar confirmed all 39 ratings.

The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings.

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).

Notes:
The principal methodology applicable to the 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 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 is additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress.

-- NYMT Loan Trust 2022-INV1, Mortgage-Backed Notes, Series 2022-INV1, Class A-3
-- NYMT Loan Trust 2022-INV1, Mortgage-Backed Notes, Series 2022-INV1, Class M-1
-- Verus Securitization Trust 2022-INV2, Mortgage-Backed Notes, Series 2022-INV2, Class A-3
-- Citigroup Mortgage Loan Trust 2022-RP5, Mortgage-Backed Notes, Series 2022-RP5, Class A-5
-- Citigroup Mortgage Loan Trust 2022-RP5, Mortgage-Backed Notes, Series 2022-RP5, Class M-2
-- Citigroup Mortgage Loan Trust 2022-RP5, Mortgage-Backed Notes, Series 2022-RP5, Class B-1
-- Citigroup Mortgage Loan Trust 2022-RP5, Mortgage-Backed Notes, Series 2022-RP5, Class B-2

The below tranche materially deviates because actual deal or tranche performance is not fully reflected in projected cashflows/model output.

-- Imperial Fund Mortgage Trust 2022-NQM7, Mortgage Pass-Through Certificates, Series 2022-NQM7, Class B-2

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 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.

DBRS, Inc.
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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 31, 2023; https://www.dbrsmorningstar.com/research/420108)

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].