Press Release

Morningstar DBRS Takes Credit Rating Actions on 21 U.S. RMBS Transactions

RMBS
May 17, 2024

DBRS, Inc. (Morningstar DBRS) reviewed 236 classes from 21 U.S. residential mortgage-backed securities (RMBS) transactions. This review consists of 14 transactions generally classified as Non-QM, 6 transactions generally classified as Prime, and 1 transaction generally classified as Reverse Mortgage. Of the 236 classes reviewed, Morningstar DBRS upgraded 55 credit ratings, confirmed 179 credit ratings, and discontinued 2 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 credit rating discontinuations reflect paid-in-full collateral.

The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update" published on March 27, 2024, (https://dbrs.morningstar.com/research/430189). 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

Environmental (E) Factors
There were no Environmental factor(s) that had a relevant or significant effect on the credit analysis.

Social (S) Factors
There were no Social factor(s) that had a relevant or significant effect on the credit analysis.

Governance (G) Factors
There were no Governance factor(s) that had a relevant or significant 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 (January 23, 2024), https://dbrs.morningstar.com/research/427030.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodologies applicable to the credit ratings are 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 stress(es) implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviations are as follows:

The below tranches materially deviate due to additional seasoning and/or updated performance to be measured against a sustainable upgrade loan level cash flow stress:

-- Angel Oak Mortgage Trust 2020-4, Mortgage-Backed Certificates, Series 2020-4, Class B-2
-- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class M-1
-- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class B-1
-- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class B-2
-- GS Mortgage-Backed Securities Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-2
-- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, 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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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://www.dbrsmorningstar.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)

Rating and Monitoring U.S. Reverse Mortgage Securitizations (July 17, 2023; https://dbrs.morningstar.com/research/417277)

Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024; https://dbrs.morningstar.com/research/428623)

Legal Criteria for U.S. Structured Finance (April 15, 2024; https://dbrs.morningstar.com/research/431205)

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

Ratings

Angel Oak Mortgage Trust 2020-3
Angel Oak Mortgage Trust 2020-4
Angel Oak Mortgage Trust 2020-5
Angel Oak Mortgage Trust 2020-6
BRAVO Residential Funding Trust 2020-NQM1
BRAVO Residential Funding Trust 2021-NQM1
Bunker Hill Loan Depositary Trust 2020-1
CSMC Trust 2013-HYB1
CSMC Trust 2013-IVR3
CSMC Trust 2014-IVR2
CSMC Trust 2015-1
Finance of America Structured Securities Trust, Series 2020-S3
GCAT 2020-NQM2 Trust
GS Mortgage-Backed Securities Trust 2020-NQM1
Imperial Fund Mortgage Trust 2020-NQM1
Imperial Fund Mortgage Trust 2021-NQM1
MFA 2020-NQM1 Trust
MFA 2020-NQM2 Trust
MFA 2022-NQM2 Trust
WinWater Mortgage Loan Trust 2015-5
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  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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.

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