Morningstar DBRS Finalizes Provisional Credit Ratings on BRAVO Residential Funding Trust 2024-RPL1

DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2024-RPL1 (the Notes) to be issued by BRAVO Residential Funding Trust 2024-RPL1 (BRAVO 2024-RPL1 or the Trust) as follows:

-- $275.1 million Class A1 at AAA (sf)
-- $22.1 million Class A2 at AA (sf)
-- $297.2 million Class A3 at AA (sf)
-- $316.2 million Class A4 at A (sf)
-- $335.5 million Class A5 at BBB (sf)
-- $19.0 million Class M1 at A (sf)
-- $19.2 million Class M2 at BBB (sf)
-- $13.4 million Class B1 at BB (sf)
-- $10.1 million Class B2 at B (sf)

Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction.

The AAA (sf) credit rating on the Class A-1 Notes reflects 32.05% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 26.60%, 21.90%, 17.15%, 13.85%, and 11.35% of credit enhancement, respectively.

This transaction is a securitization of a portfolio of seasoned reperforming, first-lien, residential mortgages funded by the issuance of the Notes. The Notes are backed by 2,024 loans with a total principal balance of $404,919,565 as of the Cut-Off Date (April 30, 2024).

The portfolio is approximately 208 months seasoned on a weighted-average (WA) basis and contains 95.9% modified loans. The modifications happened more than two years ago for 95.3% of the modified loans. Within the pool, 1,397 mortgages have non-interest-bearing deferred amounts, which equates to approximately 16.5% of the total principal balance.

As of the Cut-Off Date, 89.0% of the pool is current, including 249, or 14.2%, that are current and in active bankruptcy, and 11.0% is 30 days delinquent, including 35, or 1.9%, that are active bankruptcy loans under the Mortgage Bankers Association (MBA) delinquency method. Approximately 56.3%, 67.2%, and 75.5% of the mortgage loans by balance have been current for the past 24, 12, and six months, respectively, under the MBA delinquency method.

The majority of the pool (98.6%) is not subject to the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. The remaining 1.4% of the pool may be subject to the ATR rules but a designation was not provided. As such, Morningstar DBRS assumed these loans to be non-QM in its analysis.

PMIT Residential Funding XXV LLC (the Depositor), an affiliate of Loan Funding Structure LLC (the Sponsor), will acquire the loans and will contribute them to the Trust. The Sponsor or one of its majority-owned affiliates will either retain a 5% eligible vertical interest in each class of the offered Notes and the Class X notes or retain an eligible horizontal interest in the Issuer of at least 5% of the aggregate fair value of the Notes, to satisfy the credit risk retention requirements.

The mortgage loans will be serviced by Select Portfolio Servicing, Inc. (SPS; 59.9%) and Nationstar Mortgage LLC doing business as (dba) Rushmore Servicing (Rushmore; 40.1%). For this transaction, the aggregate servicing fee paid from the Trust will be 0.40%.

There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction; however, the Servicers are obligated to make advances in respect of homeowner association fees, taxes, and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties.

When the aggregate pool balance is reduced to less than 10% of the balance as of the Cut-Off Date, the holder of the Trust certificates may purchase all the mortgage loans and real estate owned (REO) properties from the Issuer at a price equal to the sum of principal balance of the mortgage loans plus the accrued and unpaid interest thereon, the fair market value of REO properties net of liquidation expenses, any unpaid servicing advances, and any fees, expenses, or other amounts owed to the transaction parties (Optional Termination Date).

The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A-2 and more subordinate bonds will not be paid from principal proceeds until the Class A-1 note is retired. Class A1 is entitled to receive net weighted-average coupon (WAC) shortfall amounts that would otherwise be used to pay current interest or any interest shortfall amounts to the Class B-3, Class B-4, or Class B-5 notes in sequential reverse.

The credit ratings reflect transactional strengths that include the following:
-- Seasoning,
-- Clean payment history,
-- Sequential-pay structure, and
-- Certain aspects of the third-party due-diligence review.

The transaction also includes the following challenges:
-- Representations and warranties standard,
-- No servicer advances of delinquent principal and interest, and
-- Limitations of the third-party due-diligence review.

The full description of the strengths, challenges, and mitigating factors is detailed in the related report.

Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the Current Interest, Interest Shortfall Amount, and Principal Remittance Amount.

Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit rating on the Class A-1 notes does not address the payment of any net WAC shortfall amount based on its position in the cash flow waterfall.

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 Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024) https://dbrs.morningstar.com/research/427030/morningstar-dbrs-criteria:-approach-to-environmental,-social,-and-governance-risk-factors-in-credit-ratings.

Notes:
All figures are in US Dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023), https://dbrs.morningstar.com/research/420108.

Other methodologies referenced in this transaction are listed at the end of this press release.

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.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

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.

-- Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules (April 28, 2023), https://dbrs.morningstar.com/research/413297

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

-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 8, 2023), https://dbrs.morningstar.com/research/420333

-- Representations and Warranties Criteria for U.S. RMBS Transactions (May 16, 2023), https://dbrs.morningstar.com/research/414076

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

-- Operational Risk Assessment for U.S. RMBS Originators (August 31, 2023), https://dbrs.morningstar.com/research/420106

-- Operational Risk Assessment for U.S. RMBS Servicers (August 31, 2023), https://dbrs.morningstar.com/research/420107

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.