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

DBRS, Inc. (Morningstar DBRS) reviewed 46 classes from three U.S. residential mortgage-backed securities (RMBS) transactions. The three transactions reviewed are classified as closed-end second-lien. Of the 46 classes reviewed, Morningstar DBRS confirmed all credit ratings.

CREDIT RATING RATIONALE/DESCRIPTION

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.

-- J.P. Morgan Mortgage Trust 2024-CES1, Mortgage Pass-Through Certificates, Series 2024-CES1, Class A-3
-- J.P. Morgan Mortgage Trust 2024-CES1, Mortgage Pass-Through Certificates, Series 2024-CES1, Class B-1
-- J.P. Morgan Mortgage Trust 2024-CES1, Mortgage Pass-Through Certificates, Series 2024-CES1, Class B-2
-- J.P. Morgan Mortgage Trust 2024-CES1, Mortgage Pass-Through Certificates, Series 2024-CES1, Class M-1
-- Saluda Grade Alternative Mortgage Trust 2024-CES1, Mortgage Pass-Through Certificates, Series 2024-CES1, Class A-2
-- Saluda Grade Alternative Mortgage Trust 2024-CES1, Mortgage Pass-Through Certificates, Series 2024-CES1, Class A-3
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class B1
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class B2
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M1
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M2

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

-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M1A
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M1AX
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M1B
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M1BX
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M1C
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M1CX
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M1D
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M1DX
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M2A
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M2AX
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M2B
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M2BX
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M2C
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M2CX
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M2D
-- Towd Point Mortgage Trust 2024-CES2, Asset Backed Securities Series 2024-CES2, Class M2DX

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.
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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.