Press Release

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

RMBS
October 10, 2024

DBRS, Inc. (Morningstar DBRS) reviewed 113 classes from nine U.S. residential mortgage-backed securities (RMBS) transactions. Of the nine transactions reviewed seven are classified as Non-Qualified Mortgage, one as Agency Credit and one is classified as a Re-performing transaction. Of the 113 classes reviewed, Morningstar DBRS upgraded eight credit ratings and confirmed 105 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 September 2024 Update" published on September 25, 2024 (https://dbrs.morningstar.com/research/439965). 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 Factors in Credit Ratings (August 13, 2024) at 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 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 are as follows:

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

-- Citigroup Mortgage Loan Trust 2022-RP5, Mortgage-Backed Notes, Series 2022-RP5, Class M-2
-- Citigroup Mortgage Loan Trust 2022-RP5, Mortgage-Backed Notes, Series 2022-RP5, Class B-1

The below tranches materially deviate because additional seasoning and/or updated performance is warranted to substantiate a further upgrade:

-- PRPM 2023-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2023-NQM2, Class B-2

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

-- Citigroup Mortgage Loan Trust 2022-RP5, Mortgage-Backed Notes, Series 2022-RP5, Class A-5

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.
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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 (September 30, 2024; https://dbrs.morningstar.com/research/440090/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)
-- 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

  • BRAVO Residential Funding Trust 2023-NQM7

    Date IssuedDebt RatedRatingTrendActionAttributesi
    10-Oct-24Mortgage-Backed Notes, Series 2023-NQM7, Class A-1AAA (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2023-NQM7, Class A-2AA (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2023-NQM7, Class A-3A (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2023-NQM7, Class M-1BBB (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2023-NQM7, Class B-1BB (high) (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2023-NQM7, Class B-2B (high) (sf)--Confirmed
    US
    More
    Less

  • Citigroup Mortgage Loan Trust 2022-RP5

    Date IssuedDebt RatedRatingTrendActionAttributesi
    10-Oct-24Mortgage-Backed Notes, Series 2022-RP5, Class A-1AAA (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-RP5, Class A-2AA (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-RP5, Class A-3AA (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-RP5, Class A-4A (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-RP5, Class M-1A (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-RP5, Class A-5BBB (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-RP5, Class M-2BBB (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-RP5, Class B-1BB (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-RP5, Class B-2B (sf)--Confirmed
    US
    More
    Less

  • Connecticut Avenue Securities, Series 2023-R07

  • GCAT 2022-NQM5 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM5, Class A-1AAA (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM5, Class A-2A (high) (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM5, Class A-3A (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM5, Class M-1BBB (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM5, Class B-1BB (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM5, Class B-2B (sf)--Confirmed
    US
    More
    Less

  • Imperial Fund Mortgage Trust 2022-NQM7

    Date IssuedDebt RatedRatingTrendActionAttributesi
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM7, Class A-1AAA (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM7, Class A-2AA (low) (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM7, Class A-3A (low) (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM7, Class M-1BBB (low) (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM7, Class B-1BB (low) (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-NQM7, Class B-2B (low) (sf)--Confirmed
    US
    More
    Less

  • MFA 2022-INV3 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-INV3, Class A-1AAA (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-INV3, Class A-2AA (high) (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-INV3, Class A-3A (high) (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-INV3, Class M-1BBB (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-INV3, Class B-1BB (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2022-INV3, Class B-2B (sf)--Confirmed
    US
    More
    Less

  • NYMT Loan Trust 2022-INV1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV1, Class A-1AAA (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV1, Class A-2AA (high) (sf)--Upgraded
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV1, Class A-3A (high) (sf)--Upgraded
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV1, Class M-1A (low) (sf)--Upgraded
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV1, Class B-1BB (high) (sf)--Upgraded
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV1, Class B-2B (high) (sf)--Upgraded
    US
    More
    Less

  • PRPM 2023-NQM2 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    10-Oct-24Mortgage Pass-Through Certificates, Series 2023-NQM2, Class A-1AAA (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2023-NQM2, Class A-2AA (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2023-NQM2, Class A-3A (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2023-NQM2, Class M-1BBB (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2023-NQM2, Class B-1BB (sf)--Confirmed
    US
    10-Oct-24Mortgage Pass-Through Certificates, Series 2023-NQM2, Class B-2B (sf)--Confirmed
    US
    More
    Less

  • Verus Securitization Trust 2022-INV2

    Date IssuedDebt RatedRatingTrendActionAttributesi
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV2, Class A-1AAA (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV2, Class A-2AA (high) (sf)--Upgraded
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV2, Class A-3A (high) (sf)--Upgraded
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV2, Class M-1BBB (high) (sf)--Upgraded
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV2, Class B-1BB (sf)--Confirmed
    US
    10-Oct-24Mortgage-Backed Notes, Series 2022-INV2, Class B-2B (low) (sf)--Confirmed
    US
    More
    Less
BRAVO Residential Funding Trust 2023-NQM7
Citigroup Mortgage Loan Trust 2022-RP5
Connecticut Avenue Securities, Series 2023-R07
GCAT 2022-NQM5 Trust
Imperial Fund Mortgage Trust 2022-NQM7
MFA 2022-INV3 Trust
NYMT Loan Trust 2022-INV1
PRPM 2023-NQM2 Trust
Verus Securitization Trust 2022-INV2
  • 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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