Morningstar DBRS Finalizes Provisional Credit Ratings on ATLX 2024-RPL1 Trust

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

-- $364.5 million Class A-1 at AAA (sf)
-- $30.9 million Class A-2 at AA (high) (sf)
-- $27.1 million Class M-1 at A (high) (sf)
-- $25.5 million Class M-2 at BBB (high) (sf)
-- $52.6 million Class M at BBB (high) (sf)
-- $16.9 million Class B-1 at BB (high) (sf)
-- $14.2 million Class B-2 at B (high) (sf)

The Class M Note is exchangeable. This class can be exchanged for combinations of initial exchangeable notes as specified in the offering documents.

The AAA (sf) credit rating on the Notes reflects 32.10% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 26.35%, 21.30%, 16.55%, 13.40%, and 10.75% of credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance the Notes. The Notes are backed by 3,598 loans with a total principal balance of $536,821,418 as of the Cut-Off Date (July 31, 2024).

The mortgage loans are approximately 217 months seasoned. As of the Cut-Off Date, 82.6% of the loans are current (including 0.5% bankruptcy-performing loans), 13.6% of the loans are 30 days delinquent (including 0.2% bankruptcy loans), and 3.15% of the loans are 60+ days delinquent (including 0.13% bankruptcy loans) under the Mortgage Bankers Association (MBA) delinquency method. Under the MBA delinquency method, 49.8% and 61.6% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively.

The portfolio contains 90.6% modified loans as determined by the Issuer. Morningstar DBRS considers the modifications happened more than two years ago for 97.6% of these loans. Within the pool, 2,003 mortgages have an aggregate non-interest-bearing deferred amount of $52,677,168, which comprises 9.8% of the total principal balance.

ATLX 2024-RPL1 represents the first rated securitization of seasoned performing and reperforming residential mortgage loans issued by the Sponsor, Resi IA SPE, LLC

The Sponsor will contribute the loans to the Trust through Atlas Securitization Depositor LLC (the Depositor). As the Sponsor, Resi IA SPE or one of its majority-owned affiliates will acquire and retain a 5% eligible interest of the amounts collected on the mortgage loans to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder.

The loans will be serviced by Select Portfolio Servicing, Inc. , NewRez LLC d/b/a Shellpoint Mortgage Servicing, Selene Finance LP , and Nationstar Mortgage LLC d/b/a Rushmore Loan Management Services LLC. There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the Servicers or any other party to the transaction; however, the Servicers are obligated to make advances in respect of homeowners association fees in super-lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties.

The Controlling Holder will have the option to direct the Servicers to sell any mortgage loan that becomes 90+ days delinquent in a sale conducted by arm's length terms in a commercially reasonable manner to any person, other than the Servicers or an affiliate.

On any Payment Date on or after the date two years after the closing, the Controlling Holder will have the option to purchase all remaining loans and other assets of the Issuer at the Early Repayment Price. The Controlling Holder will be the beneficial owner of more than 50% of the Class XS Notes.

The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A-2 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired.

The credit ratings reflect transactional strengths that include the following:
-- Loan-to-value ratios,
-- Satisfactory third-party due-diligence review,
-- Seasoning, and
-- Structural features.

The transaction also includes the following challenges:
-- Representations and warranties standard,
-- No servicer advances of delinquent principal and interest, and
-- Assignments, endorsements, and missing documents.

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 are the related current interest, any interest shortfall amount, and the related note amount.

Morningstar DBRS' credit rating does not address nonpayment 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 weighted-average coupon shortfall 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.

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

Notes:
All figures are in U.S. 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 (June 28, 2024), https://dbrs.morningstar.com/research/435279.

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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of the final credit ratings on the above-mentioned securities are subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

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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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.

-- Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules (June 28, 2024), https://dbrs.morningstar.com/research/435258

-- 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 (June 28, 2024),
https://dbrs.morningstar.com/research/435282

-- Representations and Warranties Criteria for U.S. RMBS Transactions (June 28, 2024), https://dbrs.morningstar.com/research/435273

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

-- Operational Risk Assessment for U.S. RMBS Originators (June 28, 2024), https://dbrs.morningstar.com/research/435259

-- Operational Risk Assessment for U.S. RMBS Servicers (June 28, 2024), https://dbrs.morningstar.com/research/435261

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.