Morningstar DBRS Discontinues Credit Ratings on Nine U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed its credit ratings on 22 classes from nine U.S. residential mortgage-backed securities (RMBS) transactions. Out of the nine transactions, one is classified as Single-Family Rental transaction, one is classified as Mortgage Insurance-Linked Notes, one is classified as ReREMIC of legacy RMBS, one is classified as Non-Qualified Mortgage, one is classified as Agency Credit, one is classified as warehouse facility and three are classified as Legacy RMBS. Morningstar DBRS discontinued its credit ratings on all 22 classes that it reviewed.

The discontinued credit ratings reflect the full repayment of principal to the bondholders.

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.

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/morningstar-dbrs-criteria-approach-to-environmental-social-and-governance-factors-in-credit-ratings.

Notes:
The principal methodologies applicable to the credit ratings are U.S. RMBS Surveillance Methodology (June 28, 2024) https://dbrs.morningstar.com/research/435291/us-rmbs-surveillance-methodology.

Other methodologies referenced in these transactions 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.

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The credit rating methodologies used in the analysis of these transactions can be found at: https://www.dbrsmorningstar.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 these credits or on this industry, visit http://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.