Press Release
Morningstar DBRS Takes Credit Rating Actions on 14 U.S. RMBS Transactions
RMBSDBRS, Inc. (Morningstar DBRS) reviewed 514 classes from 14 U.S. residential mortgage-backed securities (RMBS) transactions. The 14 transactions are generally classified as prime jumbo and agency credit risk transfer transactions. Of the 514 classes reviewed, Morningstar DBRS upgraded 41 credit ratings and confirmed 473 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 credit 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 Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at (January 23, 2024), https://dbrs.morningstar.com/research/427030.
Notes:
The principal methodology applicable to the credit ratings is 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 below varies among tranches having (1) a small remaining mortgage loan count, (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 small remaining mortgage loan count:
-- Citigroup Mortgage Loan Trust 2014-J1, Mortgage Pass Through Certificates, Series 2014-J1, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J2, Mortgage Pass Through Certificates, Series 2014-J2, Class B-4
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 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-5
-- Mello Mortgage Capital Acceptance 2021-INV3, Mortgage Pass-Through Certificates, Series 2021-INV3, Class B-5
The below tranche materially deviates because actual deal or tranche performance is not fully reflected in projected cash flows/model output:
-- Mello Mortgage Capital Acceptance 2022-INV2, Mortgage Pass-Through Certificates, Series 2022-INV2, Class B-5
The credit ratings were initiated at the request of the rated entity.
The rated entity or its related entities did participate in the credit rating process for these credit rating actions.
Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.
These are solicited credit ratings.
DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277
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 info-DBRS@morningstar.com.
Ratings
Citigroup Mortgage Loan Trust 2013-J1
Citigroup Mortgage Loan Trust 2014-J1
Citigroup Mortgage Loan Trust 2014-J2
Citigroup Mortgage Loan Trust 2022-J1
Connecticut Avenue Securities Trust 2023-R02
Flagstar Mortgage Trust 2019-2
GS Mortgage-Backed Securities Trust 2020-PJ3
GS Mortgage-Backed Securities Trust 2020-PJ6
GS Mortgage-Backed Securities Trust 2021-PJ3
GS Mortgage-Backed Securities Trust 2022-MM1
Mello Mortgage Capital Acceptance 2021-INV3
Mello Mortgage Capital Acceptance 2021-INV4
Mello Mortgage Capital Acceptance 2021-MTG1
Mello Mortgage Capital Acceptance 2022-INV2
ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.
Download This Press Release
Related Documents
Methodology Used:
Other:
Contacts
Sherwin Clarke
Vice President - US RMBS Ratings, Surveillance
+(1) 212 806 3278
sherwin.clarke@morningstar.com- Jan Buckler
Senior Vice President, Sector Lead - Global Structured Finance Ratings
+(1) 212 806 3925
jan.buckler@morningstar.com - Cathlene H. Hyun
Senior Vice President - US RMBS Ratings, Surveillance
+(1) 212 806 3247
cathlene.hyun@morningstar.com - Claire Mezzanotte
Group Managing Director, Global Head of Structured Finance Ratings - Credit Ratings Leadership
+(1) 212 806 3272
claire.mezzanotte@morningstar.com