Morningstar DBRS Takes Credit Rating Actions on 26 U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed 568 classes from 26 U.S. residential mortgage-backed securities (RMBS) transactions. This review consists of 18 transactions generally classified as Prime, 5 transactions generally classified as Alt-A, and 1 transaction each generally classified as Investor, Manufactured Housing, and Home Equity. Of the 568 classes reviewed, Morningstar DBRS upgraded 79 credit ratings and confirmed 489 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 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:

-- JP Morgan Mortgage Trust 2017-3, Mortgage Pass-Through Certificates, Series 2017-3, Class B-5
-- JP Morgan Mortgage Trust 2023-6, Mortgage Pass-Through Certificates, Series 2023-6, Class B-5
-- Flagstar Mortgage Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-5
-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through Certificates, Series 2016-1, Class B5
-- Shellpoint Co-Originator Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-3
-- Shellpoint Co-Originator Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- Wells Fargo Mortgage Backed Securities 2019-1 Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class B-4
-- Verus Securitization Trust 2021-5, Mortgage-Backed Notes, Series 2021-5, Class B-2
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3

The below tranches materially deviate due to dependency on another rating (such as interest only tranche or exchangeable tranche):

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B1BX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2BX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3BX

The credit rating was initiated at the request of the rated entity. The credit rating was not initiated at the request of a third party.

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://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)

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.