Morningstar DBRS Assigns Provisional Credit Ratings to Morgan Stanley Residential Mortgage Loan Trust 2024-RPL1

DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2024-RPL1 (the Notes) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2024-RPL1 (MSRM 2024-RPL1 or the Trust):

-- $270.3 million Class A-1 at (P) AAA (sf)
-- $16.7 million Class A-2 at (P) AA (high) (sf)
-- $15.0 million Class M-1 at (P) A (high) (sf)
-- $27.7 million Class M at (P) BBB (high) (sf)
-- $12.7 million Class M-2 at (P) BBB (high) (sf)
-- $8.5 million Class B-1 at (P) BBB (low) (sf)

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

The (P) AAA (sf) credit rating on the Notes reflects 23.30% of credit enhancement provided by subordinated notes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), and (P) BBB (low) (sf) credit ratings reflect 18.55%, 14.30%, 10.70%, and 8.30% of credit enhancement, respectively.

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

The Trust is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 2,000 loans with a total principal balance of $352,372,921 as of the Cut-Off Date (September 30, 2024).

The portfolio is approximately 175 months seasoned and contains 70.4% modified loans. The modifications happened more than two years ago for 98.8% of the modified loans. Within the pool, 904 mortgages have non-interest-bearing deferred amounts, which equate to approximately 7.2% of the total principal balance. There are no Government-Sponsored Enterprise Home Affordable Modification Program or proprietary principal forgiveness amounts included in the deferred amounts.

As of the Cut-Off Date, 88.9% of the loans in the pool are current. Approximately 1.4% of the loans are in bankruptcy (approximately 94.2% of the loans in bankruptcy are performing) and 7.5% are 30 days delinquent. Approximately 67.5% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the Mortgage Bankers Association (MBA) delinquency method and 74.4% have been 0x30 for at least the past 12 months under the MBA delinquency method.

Approximately 79.6% of the pool is exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated as investor property loans or were originated prior to January 10, 2014, the date on which the rules became applicable. The loans subject to the ATR rules are designated as non-QM (18.0%) and Safe Harbor (2.4%).

Morgan Stanley Mortgage Capital Holdings LLC (MSMCH) acquired the mortgage loans in various transactions prior to the Closing Date from various mortgage loan sellers. Morgan Stanley Capital I Inc., (the Depositor) will contribute the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market.

The Sponsor of this transaction has elected to retain, either directly or through a majority-owned affiliate, an eligible vertical interest in each class of Offered Notes in the required amount of not less than 5% of each such class.

The servicers of the mortgage loans will be Select Portfolio Servicing, Inc. (SPS; 60.9%), NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint, 34.1%) and Selene Finance LP (Selene, 5.0%; collectively with SPS and Shellpoint, the Servicers).

There will not be any advancing of delinquent principal or interest on any mortgages by the related Servicers or any other party to the transaction; however, the related Servicer is obligated to make advances in respect to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement of judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the related Servicer deems such advances recoverable).

On or after the Payment Date occurring in November 2026, the Certificateholder (the trust certificates issued under the trust agreement) will have the option to purchase all remaining loans and other property of the Issuer at the optional redemption price, as defined in the Private Placement Memorandum.

The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on the Class A-2 Notes and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Excess interest can be used to amortize the principal of the notes after paying transaction parties fees, pay cap carryover amounts on Classes A-1, A-2, M-,1 and M-2, and to make deposits on to the breach reserve account.

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

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 ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are interest payment amount, interest carryforward amount, and note amount.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings on the Class A-1, Class A-2, Class M-1, and Class M-2 Notes do not address the payment of any Cap CarryOver Amounts 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) 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
-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (September 30, 2024), https://dbrs.morningstar.com/research/440090.

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.
140 Broadway, 43rd Floor
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.

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024),
https://dbrs.morningstar.com/research/428623
-- Third-Party Due-Diligence and Representations & Warranties Criteria for U.S. RMBS Transactions (September 30, 2024),
https://dbrs.morningstar.com/research/440091
-- Legal Criteria for U.S. Structured Finance (April 15, 2024),
https://dbrs.morningstar.com/research/431205
-- Operational Risk Assessment for U.S. RMBS Originators and Servicers (September 30, 2024),
https://dbrs.morningstar.com/research/440086

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.