Press Release

Morningstar DBRS Takes Credit Rating Actions on 10 U.S. RMBS Transactions

RMBS
February 12, 2025

DBRS, Inc. (Morningstar DBRS) reviewed 308 classes from 10 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 10 transactions reviewed, three are classified as HELOC, three as re-performing, three as seasoned, and one as prime. Of the 308 classes reviewed, Morningstar DBRS upgraded its credit ratings on 153 classes and confirmed its credit ratings on 155 classes.

CREDIT RATING RATIONALE/DESCRIPTION

The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. 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 December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). 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 (https://dbrs.morningstar.com/research/435291).

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 below varies among tranches having (1) additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress, or (2) dependency on another rating (such as interest only tranche or exchangeable tranche).

The below tranches materially deviate because of additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress.

-- Ajax Mortgage Loan Trust 2019-D, Mortgage-Backed Securities, Series 2019-D, Class B-1
-- Ajax Mortgage Loan Trust 2019-D, Mortgage-Backed Securities, Series 2019-D, Class M-1
-- BRAVO Residential Funding Trust 2021-HE1, Mortgage-Backed Notes, Series 2021-HE1, Class B-2
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-4
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-5
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2

The below tranches materially deviate because of dependency on another rating (such as interest only tranche or exchangeable tranche).

-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-4A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-5A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5A
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5B
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5C
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5D
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOB
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOC
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOD
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-7
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5A
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5B
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5C
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5D
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOA
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOB
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOC
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOD
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-7
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2A
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2AX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2B
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2BX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2C
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2CX

The credit ratings were initiated at the request of the rated entities.

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.
140 Broadway, 43rd Floor
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 (January 2, 2025) https://dbrs.morningstar.com/research/445477

-- 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 (December 3, 2024)
https://dbrs.morningstar.com/research/444064

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

Ratings

  • AJAX Mortgage Loan Trust 2023-A

    Date IssuedDebt RatedRatingTrendActionAttributesi
    12-Feb-25Mortgage-Backed Securities, Series 2023-A, Class A-1AAA (sf)--Confirmed
    US
    12-Feb-25Mortgage-Backed Securities, Series 2023-A, Class A-2AA (high) (sf)--Upgraded
    US
    12-Feb-25Mortgage-Backed Securities, Series 2023-A, Class A-3A (high) (sf)--Upgraded
    US
    12-Feb-25Mortgage-Backed Securities, Series 2023-A, Class M-1A (low) (sf)--Upgraded
    US
    More
    Less

  • Ajax Mortgage Loan Trust 2019-D

    Date IssuedDebt RatedRatingTrendActionAttributesi
    12-Feb-25Mortgage-Backed Securities, Series 2019-D, Class A-1AAA (sf)--Confirmed
    US
    12-Feb-25Mortgage-Backed Securities, Series 2019-D, Class A-2AAA (sf)--Confirmed
    US
    12-Feb-25Mortgage-Backed Securities, Series 2019-D, Class A-3AAA (sf)--Upgraded
    US
    12-Feb-25Mortgage-Backed Securities, Series 2019-D, Class M-1A (high) (sf)--Upgraded
    US
    12-Feb-25Mortgage-Backed Securities, Series 2019-D, Class B-1BBB (sf)--Upgraded
    US
    12-Feb-25Mortgage-Backed Securities, Series 2019-D, Class B-2BB (sf)--Upgraded
    US
    More
    Less

  • BRAVO Residential Funding Trust 2021-HE1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE1, Class A-1AAA (sf)--Confirmed
    US
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE1, Class A-2AAA (sf)--Confirmed
    US
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE1, Class A-3AAA (sf)--Confirmed
    US
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE1, Class M-1AAA (sf)--Upgraded
    US
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE1, Class B-1AA (sf)--Upgraded
    US
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE1, Class B-2A (sf)--Upgraded
    US
    More
    Less

  • BRAVO Residential Funding Trust 2021-HE2

    Date IssuedDebt RatedRatingTrendActionAttributesi
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE2, Class A-1AAA (sf)--Confirmed
    US
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE2, Class A-2AAA (sf)--Confirmed
    US
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE2, Class A-3AAA (sf)--Confirmed
    US
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE2, Class M-1AAA (sf)--Upgraded
    US
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE2, Class B-1AA (sf)--Upgraded
    US
    12-Feb-25Mortgage-Backed Notes, Series 2021-HE2, Class B-2A (sf)--Upgraded
    US
    More
    Less

  • Citigroup Mortgage Loan Trust 2023-RP1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    12-Feb-25Mortgage-Backed Notes, Series 2023-RP1, Class A-1AAA (sf)--Confirmed
    US
    More
    Less

  • GS Mortgage-Backed Securities Trust 2024-PJ2

  • New Residential Mortgage Loan Trust 2017-2

  • New Residential Mortgage Loan Trust 2017-4

  • New Residential Mortgage Loan Trust 2020-2

  • Towd Point HE Trust 2021-HE1

AJAX Mortgage Loan Trust 2023-A
Ajax Mortgage Loan Trust 2019-D
BRAVO Residential Funding Trust 2021-HE1
BRAVO Residential Funding Trust 2021-HE2
Citigroup Mortgage Loan Trust 2023-RP1
GS Mortgage-Backed Securities Trust 2024-PJ2
New Residential Mortgage Loan Trust 2017-2
New Residential Mortgage Loan Trust 2017-4
New Residential Mortgage Loan Trust 2020-2
Towd Point HE Trust 2021-HE1
  • 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.

Related Documents

Methodology Used:

Issuers

Show All

Contacts

Further Inquiries

To speak to members of our Business Development or Media Relations teams, please click here for more information.

More from Morningstar DBRS

Related Events

All Events