Press Release

Morningstar DBRS Takes Credit Rating Actions on 24 U.S. RMBS Transactions

RMBS
August 09, 2024

DBRS, Inc. (Morningstar DBRS) reviewed 161 classes from 24 U.S. residential mortgage-backed securities (RMBS) transactions. Out of the 24 transactions reviewed, 21 are classified as Non-QM and three as reperforming mortgages. Of the 161 classes reviewed, Morningstar DBRS upgraded its credit ratings on 58 classes and confirmed its credit ratings on 103 classes.

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.

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.

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.

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), 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 is U.S. RMBS Surveillance Methodology ( June 28, 2024) https://dbrs.morningstar.com/research/435291.

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 tranche materially deviates because actual deal or tranche performance is not fully reflected in projected cashflows / model output:

-- BRAVO Residential Funding Trust 2022-NQM3, Mortgage-Backed Notes, Series 2022-NQM3, Class A-1

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

-- BRAVO Residential Funding Trust 2021-NQM3, Mortgage-Backed Notes, Series 2021-NQM3, Class B-2
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class B1
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class B2

The below tranches materially deviate because of a dependency on another rating (such as interest only tranche or exchangeable tranche):

-- GS Mortgage-Backed Securities Trust 2022-RPL4, Mortgage-Backed Securities, Series 2022-RPL4, Class A-4
-- GS Mortgage-Backed Securities Trust 2022-RPL4, Mortgage-Backed Securities, Series 2022-RPL4, Class A-5
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2A
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2AX
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2B
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2BX
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2C
-- Towd Point Mortgage Trust 2022-2, Asset-Backed Securities, Series 2022-2, Class M2CX

The below tranches materially deviate because certain risks are not fully reflected in the quantitative model output:

-- GS Mortgage-Backed Securities Trust 2022-RPL4, Mortgage-Backed Securities, Series 2022-RPL4, Class M-1
-- GS Mortgage-Backed Securities Trust 2022-RPL4, Mortgage-Backed Securities, Series 2022-RPL4, Class M-2
-- GS Mortgage-Backed Securities Trust 2022-RPL4, Mortgage-Backed Securities, Series 2022-RPL4, Class B-1
-- GS Mortgage-Backed Securities Trust 2022-RPL4, Mortgage-Backed Securities, Series 2022-RPL4, Class B-2

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.
140 Broadway, 43rd Floor
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://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.comor contact us at info-DBRS@morningstar.com.

Ratings

Angel Oak Mortgage Trust 2019-5
Angel Oak Mortgage Trust 2019-6
Angel Oak Mortgage Trust I 2019-2
Angel Oak Mortgage Trust I, LLC 2018-3
Angel Oak Mortgage Trust I, LLC 2019-1
BRAVO Residential Funding Trust 2021-NQM3
BRAVO Residential Funding Trust 2022-NQM1
BRAVO Residential Funding Trust 2022-NQM3
Barclays Mortgage Loan Trust 2021-NQM1
CHNGE Mortgage Trust 2022-5
CHNGE Mortgage Trust 2022-NQM1
CHNGE Mortgage Trust 2023-1
CHNGE Mortgage Trust 2023-4
CTDL 2020-1 Trust
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2023-1
GCAT 2022-NQM4 Trust
GS Mortgage-Backed Securities Trust 2022-RPL4
Galton Funding Mortgage Trust 2020-H1
Homeward Opportunities Fund Trust 2022-1
J.P. Morgan Mortgage Trust 2023-DSC2
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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

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