Morningstar DBRS Takes Credit Rating Actions on 18 U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed 898 classes from 18 U.S. residential mortgage-backed securities (RMBS) transactions. This review consists of 18 transactions generally-classified as Prime. Of the 898 classes reviewed, Morningstar DBRS upgraded 573 credit ratings and confirmed 325 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/baseline-macroeconomic-scenarios-for-rated-sovereigns-june-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 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.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) 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 (13 August 2024) https://dbrs.morningstar.com/research/437781.

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

The principal methodologies applicable to the credit ratings are U.S. RMBS Surveillance Methodology (28 June 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 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 due to requiring additional seasoning and/or updated performance to be measured against a sustainable upgrade loan level cash flow stress:

-- New Residential Mortgage Loan Trust 2016-3, Mortgage-Backed Notes, Series 2016-3, Class B-4
-- New Residential Mortgage Loan Trust 2016-3, Mortgage-Backed Notes, Series 2016-3, Class B-5
-- New Residential Mortgage Loan Trust 2016-4, Mortgage-Backed Notes, Series 2016-4, Class B-4
-- New Residential Mortgage Loan Trust 2016-4, Mortgage-Backed Notes, Series 2016-4, Class B-5
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-4
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-5
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-4
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-5
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-4
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-5
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-4
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-5
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-5
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-5
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-4
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-5
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-5
-- New Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B-5

The below tranches materially deviate due to dependency on another rating (such as interest only tranche or exchangeable tranche):

-- New Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B-5
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-4A
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-5A
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-4A
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-4B
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B4-IOB
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-4C
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B4-IOC
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-5A
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-5B
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B5-IOB
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-5C
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B5-IOC
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-5D
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B5-IOD
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4A
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4B
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B4-IOB
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5A
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5B
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B5-IOB
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-4A
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-4B
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B4-IOB
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-4C
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B4-IOC
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-5A
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-5B
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B5-IOB
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-5C
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B5-IOC
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-5D
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B5-IOD
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-7
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-4A
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-4B
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-4C
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B4-IOA
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B4-IOB
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B4-IOC
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-5A
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-5B
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-5C
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-5D
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B5-IOA
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B5-IOB
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B5-IOC
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B5-IOD
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-7
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4A
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4B
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4C
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B4-IOA
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B4-IOB
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B4-IOC
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5A
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5B
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5C
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5D
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOA
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOB
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOC
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOD
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-7
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-5A
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-5B
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-5C
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-5D
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B5-IOA
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B5-IOB
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B5-IOC
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B5-IOD
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-7
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5A
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5B
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5C
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5D
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5IOA
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5IOB
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5IOC
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5IOD
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-7
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-5A
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-5B
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-5C
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-5D
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B5-IOA
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B5-IOB
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B5-IOC
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B5-IOD
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-7
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-4A
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-4B
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-4C
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B4-IOA
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B4-IOB
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B4-IOC
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-5A
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-5B
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-5C
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-5D
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B5-IOA
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B5-IOB
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B5-IOC
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B5-IOD
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-7
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-5A
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-5B
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-5C
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-5D
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B5-IOA
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B5-IOB
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B5-IOC
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B5-IOD
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-7
-- New Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B-5A
-- New Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B-5B
-- New Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B-5C
-- New Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B-5D
-- New Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B5-IOA
-- New Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B5-IOB
-- New Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B5-IOC
-- New Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B5-IOD
-- New Residential Mortgage Loan Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B-7

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.

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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 (June 28, 2024; https://dbrs.morningstar.com/research/435279/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/interest-rate-stresses-for-us-structured-finance-transactions)

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 dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.