Press Release

Morningstar DBRS Takes Credit Rating Actions on 17 U.S. RMBS Transactions

RMBS
August 09, 2024

DBRS, Inc. (Morningstar DBRS) reviewed 713 classes from 17 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 17 transactions reviewed 14 are classified as prime jumbo transactions, two are classified as agency credit risk-transfer transactions and one is classified as a mortgage insurance linked-note transaction. Of the 713 classes reviewed, Morningstar DBRS upgraded 24 credit ratings and confirmed 689 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 June 2024 Update” published on June 28, 2024 (https://dbrs.morningstar.com/research/435206). 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 June 28, 2024.

Morningstar DBRS’ credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions’ respective press releases at issuance.

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 (January 23, 2024) at https://dbrs.morningstar.com/research/427030.

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

The principal methodology applicable to the credit ratings is U.S. RMBS Surveillance Methodology (June 28, 2024) https://dbrs.morningstar.com/research/435291.

Other methodologies referenced in this transaction 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) risk(s) not fully reflected in the quantitative model output, (2) actual deal or tranche performance not fully reflected in projected cash flows/model output, or (3) a dependency on another tranche’s credit rating (i.e., interest-only (IO) and exchangeable tranches).

The below tranches materially deviate because of risk(s) not fully reflected in the quantitative model output:

-- GS Mortgage-Backed Securities Trust 2021-PJ9, Mortgage Pass-Through Certificates, Series 2021-PJ9, Class B-5
-- GS Mortgage-Backed Securities Trust 2022-LTV2, Mortgage Pass-Through Certificates, Series 2022-LTV2, Class B-5
-- OBX 2021-J3 Trust, Mortgage-Backed Notes, Series 2021-J3, Class B-2A
-- OBX 2021-J3 Trust, Mortgage-Backed Notes, Series 2021-J3, Class B-3
-- OBX 2021-J3 Trust, Mortgage-Backed Notes, Series 2021-J3, Class B-4
-- OBX 2021-J3 Trust, Mortgage-Backed Notes, Series 2021-J3, Class B-5

The below tranche materially deviates because actual deal or tranche performance is not fully reflected in the projected cash flows/model output:

-- Flagstar Mortgage Trust 2021-7, Mortgage Pass-Through Certificates, Series 2021-7, Class B-5

The below tranches materially deviate because of a dependency on another tranche’s credit rating such as (IO) or exchangeable tranches:

-- OBX 2021-J3 Trust, Mortgage-Backed Notes, Series 2021-J3, Class B-X-2
-- OBX 2021-J3 Trust, Mortgage-Backed Notes, Series 2021-J3, Class B-2

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 these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.

-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (June 28, 2024), https://dbrs.morningstar.com/research/435279
-- 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 dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.

Ratings

  • Citigroup Mortgage Loan Trust 2021-INV2

  • Citigroup Mortgage Loan Trust 2021-INV3

  • Connecticut Avenue Securities Trust 2022-R09

  • FirstKey Mortgage Trust 2015-1, Mortgage Pass-Through Certificates

    Date IssuedDebt RatedRatingTrendActionAttributesi
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-1AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-10AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-11AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-2AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-3AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-4AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-5AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-6AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-7AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-1AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-2AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-3AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-4AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-5AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-7AAA (sf)--Confirmed
    US
    More
    Less

  • Flagstar Mortgage Trust 2017-2

    Date IssuedDebt RatedRatingTrendActionAttributesi
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-1AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-11AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-12AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-13AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-14AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-2AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-3AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-4AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-7AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-8AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-X-1AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-X-2AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-X-3AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-X-5AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-X-7AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class A-X-8AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class B-1AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class B-2AA (high) (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class B-3AA (sf)--Upgraded
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class B-4A (sf)--Upgraded
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2017-2, Class B-5BBB (high) (sf)--Upgraded
    US
    More
    Less

  • Flagstar Mortgage Trust 2018-3INV

    Date IssuedDebt RatedRatingTrendActionAttributesi
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-1AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-10AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-2AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-3AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-4AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-7AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-8AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-9AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-X-1AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-X-2AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-X-3AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-X-5AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class A-X-6AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2018-3INV, Class RR-AAAA (sf)--Confirmed
    US
    More
    Less

  • Flagstar Mortgage Trust 2021-12

  • Flagstar Mortgage Trust 2021-7

  • Freddie Mac STACR REMIC Trust 2022-HQA3

    Date IssuedDebt RatedRatingTrendActionAttributesi
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-1AA (low) (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-1BBBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2ABB (high) (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2AIBB (high) (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2ARBB (high) (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2ASBB (high) (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2ATBB (high) (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2AUBB (high) (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BIBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BRBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BSBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BTBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BUBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2IBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2RBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2RBBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2SBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2SBBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2TBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2TBBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2UBB (sf)--Confirmed
    US
    09-Aug-24Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2UBBB (sf)--Confirmed
    US
    More
    Less

  • GS Mortgage-Backed Securities Trust 2021-PJ9

  • GS Mortgage-Backed Securities Trust 2022-LTV2

  • Mello Mortgage Capital Acceptance 2021-INV2

  • OBX 2021-J3 Trust

  • Radnor Re 2023-1 Ltd.

    Date IssuedDebt RatedRatingTrendActionAttributesi
    09-Aug-24Mortgage Insurance-Linked Notes, Series 2023-1, Class M-1ABB (high) (sf)--Confirmed
    US
    09-Aug-24Mortgage Insurance-Linked Notes, Series 2023-1, Class M-1BBB (low) (sf)--Confirmed
    US
    09-Aug-24Mortgage Insurance-Linked Notes, Series 2023-1, Class B-1B (sf)--Confirmed
    US
    09-Aug-24Mortgage Insurance-Linked Notes, Series 2023-1, Class M-2B (sf)--Confirmed
    US
    More
    Less

  • Wells Fargo Mortgage Backed Securities 2021-2 Trust

  • WinWater Mortgage Loan Trust 2014-2

    Date IssuedDebt RatedRatingTrendActionAttributesi
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class A-1AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class A-10AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class A-2AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class A-3AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class A-4AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class A-5AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class A-8AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class A-X-1AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class A-X-2AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class A-X-3AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class A-X-5AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class B-1AAA (sf)--Confirmed
    US
    09-Aug-24Mortgage Pass-Through Certificates, Series 2014-2, Class B-2AAA (sf)--Confirmed
    US
    More
    Less

  • WinWater Mortgage Loan Trust 2015-1

Citigroup Mortgage Loan Trust 2021-INV2
Citigroup Mortgage Loan Trust 2021-INV3
Connecticut Avenue Securities Trust 2022-R09
FirstKey Mortgage Trust 2015-1, Mortgage Pass-Through Certificates
Flagstar Mortgage Trust 2017-2
Flagstar Mortgage Trust 2018-3INV
Flagstar Mortgage Trust 2021-12
Flagstar Mortgage Trust 2021-7
Freddie Mac STACR REMIC Trust 2022-HQA3
GS Mortgage-Backed Securities Trust 2021-PJ9
GS Mortgage-Backed Securities Trust 2022-LTV2
Mello Mortgage Capital Acceptance 2021-INV2
OBX 2021-J3 Trust
Radnor Re 2023-1 Ltd.
Wells Fargo Mortgage Backed Securities 2021-2 Trust
WinWater Mortgage Loan Trust 2014-2
WinWater Mortgage Loan Trust 2015-1
  • 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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