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

DBRS, Inc. (Morningstar DBRS) reviewed 33 classes from six U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of non-Qualified Mortgage and home equity line of credit collateral. Of the 33 classes reviewed, Morningstar DBRS upgraded five credit ratings and confirmed 28 credit ratings.

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

The transaction assumptions consider Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update,” published on December 19, 2023 (https://dbrs.morningstar.com/research/425506). These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

The credit rating actions are the result of Morningstar DBRS’ application of its “U.S. RMBS Surveillance Methodology,” published on March 3, 2023.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at (July 4, 2023), https://dbrs.morningstar.com/research/416784.

Notes:
The principal methodology applicable to the credit ratings are the U.S. RMBS Surveillance Methodology (March 3, 2023), https://dbrs.morningstar.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 credit ratings implied by the predictive model. Morningstar DBRS 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.

-- ACHM Trust 2023-HE1, Mortgage-Backed Notes, Series 2023-HE1, Class B
-- ACHM Trust 2023-HE1, Mortgage-Backed Notes, Series 2023-HE1, Class C
-- BRAVO Residential Funding Trust 2023-NQM1, Mortgage-Backed Notes, Series 2023-NQM1, Class M-1
-- BRAVO Residential Funding Trust 2023-NQM1, Mortgage-Backed Notes, Series 2023-NQM1, Class B-1
-- BRAVO Residential Funding Trust 2023-NQM1, Mortgage-Backed Notes, Series 2023-NQM1, Class B-2
-- 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 2023-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2023-NQM1, Class M-1
-- Imperial Fund Mortgage Trust 2023-NQM1, Mortgage Pass-Through Certificates, Series 2023-NQM1, Class A-3
-- Imperial Fund Mortgage Trust 2023-NQM1, Mortgage Pass-Through Certificates, Series 2023-NQM1, Class M-1
-- MFA 2023-INV1 Trust, Mortgage Pass-Through Certificates, Series 2023-INV1, Class A-3
-- MFA 2023-INV1 Trust, Mortgage Pass-Through Certificates, Series 2023-INV1, Class M-1
-- MFA 2023-INV1 Trust, Mortgage Pass-Through Certificates, Series 2023-INV1, Class B-1
-- MFA 2023-INV1 Trust, Mortgage Pass-Through Certificates, Series 2023-INV1, Class B-2

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

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

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

This is a solicited credit rating.

DBRS, Inc.
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023), https://dbrs.morningstar.com/research/420108

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

-- Legal Criteria for U.S. Structured Finance (December 7, 2023), https://dbrs.morningstar.com/research/425081

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