Press Release
Morningstar DBRS Takes Credit Rating Actions on 18 U.S. RMBS Transactions
RMBSDBRS, Inc. (Morningstar DBRS) reviewed 97 classes from 18 U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of Non-Qualified Mortgages. Of the 97 classes reviewed, Morningstar DBRS upgraded 29 credit ratings and confirmed 68 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/baseline-macroeconomic-scenarios-for-rated-sovereigns-march-2024-update) 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/morningstar-dbrs-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.
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/us-rmbs-surveillance-methodology.
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 because of Certain risk(s) are not fully reflected in the quantitative model output:
-- Arroyo Mortgage Trust 2022-2, Mortgage-Backed Notes, Series 2022-2, Class M-1
-- Arroyo Mortgage Trust 2022-2, Mortgage-Backed Notes, Series 2022-2, Class B-1
-- Arroyo Mortgage Trust 2022-2, Mortgage-Backed Notes, Series 2022-2, Class B-2
-- Bunker Hill Loan Depositary Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class M-1
-- Bunker Hill Loan Depositary Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-1
-- Bunker Hill Loan Depositary Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-2
The below tranches materially deviate because of actual deal or tranche performance is not fully reflected in projected cashflows / model output:
-- Deephaven Residential Mortgage Trust 2022-3, Mortgage-Backed Notes, Series 2022-3, Class B-2
The below tranches materially deviate because of Certain structural features are not fully reflected in the quantitative model output:
-- Imperial Fund Mortgage Trust 2022-NQM1, Mortgage Pass-Through Certificates, Series 2022-NQM1, Class B-2
-- Imperial Fund Mortgage Trust 2022-NQM6, Mortgage Pass-Through Certificates, Series 2022-NQM6, Class B-2
The below tranches materially deviate because of additional seasoning and/or updated performance to be measured against a sustainable upgrade loan level cash flow stress:
-- Imperial Fund Mortgage Trust 2021-NQM2, Mortgage Pass-Through Certificates, Series 2021-NQM2, Class B-2
-- CIM Trust 2023-I2, Mortgage-Backed Notes, Series 2023-I2, Class M-1
The credit ratings were 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.
These are solicited credit ratings.
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/rmbs-insight-13-us-residential-mortgage-backed-securities-model-and-rating-methodology)
-- 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/legal-criteria-for-us-structured-finance)
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 2019-4
Arroyo Mortgage Trust 2022-2
Bravo Residential Funding Trust 2021-NQM2
Bunker Hill Loan Depositary Trust 2019-2
CHNGE Mortgage Trust 2022-1
CHNGE Mortgage Trust 2022-2
CHNGE Mortgage Trust 2022-3
CHNGE Mortgage Trust 2022-4
CIM Trust 2023-I2
Deephaven Residential Mortgage Trust 2022-3
Imperial Fund Mortgage Trust 2021-NQM2
Imperial Fund Mortgage Trust 2021-NQM3
Imperial Fund Mortgage Trust 2021-NQM4
Imperial Fund Mortgage Trust 2022-NQM1
Imperial Fund Mortgage Trust 2022-NQM6
MFA 2022-INV2 Trust
Verus Securitization Trust 2019-INV2
Verus Securitization Trust 2023-5
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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Related Documents
Methodology Used:
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Contacts
Cathlene H. Hyun
Senior Vice President - US RMBS Ratings, Surveillance
+(1) 212 806 3247
cathlene.hyun@morningstar.com- Jan Buckler
Senior Vice President, Sector Lead - Global Structured Finance Ratings
+(1) 212 806 3925
jan.buckler@morningstar.com - Claire Mezzanotte
Group Managing Director, Global Head of Structured Finance Ratings - Credit Ratings Leadership
+(1) 212 806 3272
claire.mezzanotte@morningstar.com