Morningstar DBRS Takes Credit Rating Actions on 25 U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed 227 classes in 25 U.S. residential mortgage-backed securities (RMBS) transactions. The 25 transactions are generally classified as reperforming or legacy alt-a. Of the 227 classes reviewed, Morningstar DBRS upgraded its credit ratings on 101 classes and confirmed its credit ratings on the remaining 126 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.

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 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, 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 Factors in Credit Ratings (August 13, 2024) at https://dbrs.morningstar.com/research/437781.

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

The principal methodology applicable to the credit ratings is the 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 stresses 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 actual deal or tranche performance is not fully reflected in projected cashflows / model output:

-- BRAVO Residential Funding Trust 2020-RPL2, Mortgage-Backed Notes, Series 2020-RPL2, Class B-1
-- BRAVO Residential Funding Trust 2020-RPL2, Mortgage-Backed Notes, Series 2020-RPL2, Class B-2
-- BRAVO Residential Funding Trust 2020-RPL2, Mortgage-Backed Notes, Series 2020-RPL2, Class M-1
-- Citigroup Mortgage Loan Trust 2022-RP4, Mortgage-Backed Notes, Series 2022-RP4, Class A-1
-- Impac CMB Grantor Trust 2005-1-1, Collateralized Asset-Backed Grantor Trust Certificates, Series 2005-1, Class M-1
-- Impac CMB Grantor Trust 2005-1-2, Collateralized Asset-Backed Grantor Trust Certificates, Series 2005-1, Class M-2
-- Impac CMB Grantor Trust 2005-1-4, Collateralized Asset-Backed Grantor Trust Certificates, Series 2005-1, Class M-4

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:

-- CIM Trust 2021-R6, Mortgage-Backed Notes, Series 2021-R6, Class B1
-- CIM Trust 2021-R6, Mortgage-Backed Notes, Series 2021-R6, Class B2
-- CSMC 2017-RPL3 Trust, Mortgage-Backed Notes, Series 2017-RPL3, Class B-5
-- PRPM 2021-RPL2, LLC, Asset-Backed Notes, Series 2021-RPL2, Class M-2
-- Towd Point Mortgage Trust 2022-3, Asset-Backed Securities, Series 2022-3, Class B1
-- Towd Point Mortgage Trust 2022-3, Asset-Backed Securities, Series 2022-3, Class B2
-- Towd Point Mortgage Trust 2022-4, Asset-Backed Securities, Series 2022-4, Class B1
-- Towd Point Mortgage Trust 2022-4, Asset-Backed Securities, Series 2022-4, Class B2

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

-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1, Series 2019-1, Class M
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M
-- Impac CMB Trust Series 2005-1, Collateralized Asset-Backed Bonds, Series 2005-1, Class 1-A-1
-- Impac CMB Trust Series 2005-1, Collateralized Asset-Backed Bonds, Series 2005-1, Class 1-A-2
-- Impac CMB Trust Series 2005-1, Collateralized Asset-Backed Bonds, Series 2005-1, Class 2-A-1
-- Impac CMB Trust Series 2005-1, Collateralized Asset-Backed Bonds, Series 2005-1, Class 2-A-2

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

-- BRAVO Residential Funding Trust 2020-RPL2, Mortgage-Backed Notes, Series 2020-RPL2, Class A-4

The credit ratings were initiated at the request of the rated entities.

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.
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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.

-- 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 these credits or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.