Press Release

Morningstar DBRS Takes Credit Rating Actions on 17 U.S. RMBS Transactions

RMBS
March 06, 2025

DBRS, Inc. (Morningstar DBRS) reviewed 548 classes from 17 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 17 transactions reviewed, 15 are classified as prime mortgage transactions, and two are classified as agency credit-risk transfer transactions. Of the 548 classes reviewed, Morningstar DBRS upgraded its credit ratings on 50 classes and confirmed its credit ratings on 498 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 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 02, 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

-- 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.

Ratings

  • Agate Bay Mortgage Trust 2015-1

  • Agate Bay Mortgage Trust 2015-2

  • Agate Bay Mortgage Trust 2015-3

  • Agate Bay Mortgage Trust 2015-4

  • Agate Bay Mortgage Trust 2015-5

    Date IssuedDebt RatedRatingTrendActionAttributesi
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-10AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-2AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-3AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-4AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-7AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-8AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-9AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-X-1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-X-2AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-X-3AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-X-5AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class A-X-6AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class B-1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-5, Class B-2AAA (sf)--Confirmed
    US
    More
    Less
  • Agate Bay Mortgage Trust 2015-6

    Date IssuedDebt RatedRatingTrendActionAttributesi
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-10AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-2AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-3AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-4AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-7AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-8AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-9AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-X-1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-X-2AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-X-3AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-X-5AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class A-X-6AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2015-6, Class B-1AAA (sf)--Confirmed
    US
    More
    Less
  • Connecticut Avenue Securities, Series 2024-R02

  • Freddie Mac STACR REMIC Trust 2023-DNA1

  • GS Mortgage-Backed Securities Trust 2024-PJ3

  • GS Mortgage-Backed Securities Trust 2024-PJ4

  • J.P. Morgan Mortgage Trust 2019-6

    Date IssuedDebt RatedRatingTrendActionAttributesi
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-10AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-11AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-11-XAAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-12AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-13AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-14AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-15AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-16AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-17AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-2AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-3AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-5AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-7AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-X-1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-X-2AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-X-3AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class A-X-4AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class B-1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class B-2AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class B-3AA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class B-4AA (low) (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2019-6, Class B-5A (low) (sf)--Upgraded
    US
    More
    Less
  • J.P. Morgan Mortgage Trust 2020-6

  • J.P. Morgan Mortgage Trust 2022-5

  • Mello Mortgage Capital Acceptance 2018-MTG1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class A10AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class A15AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class A16AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class A9AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class AX1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class AX6AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class AX7AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B2AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B3AA (high) (sf)--Upgraded
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B4AA (sf)--Upgraded
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B5A (high) (sf)--Upgraded
    US
    More
    Less
  • Mello Mortgage Capital Acceptance 2021-MTG2

  • PSMC 2018-2 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-2, Class A-10AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-2, Class A-15AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-2, Class A-16AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-2, Class A-9AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-2, Class A-X1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-2, Class A-X6AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-2, Class A-X7AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-2, Class B-1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-2, Class B-2AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-2, Class B-3AA (high) (sf)--Upgraded
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2018-2, Class B-4AA (sf)--Upgraded
    US
    More
    Less
  • Shellpoint Asset Funding Trust 2013-1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    06-Mar-25Mortgage Pass-Through Certificates, Series 2013-1, Class A-1AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2013-1, Class A-2AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2013-1, Class A-2-IOAAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2013-1, Class A-3AAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2013-1, Class A-IOAAA (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2013-1, Class B-3AA (high) (sf)--Confirmed
    US
    06-Mar-25Mortgage Pass-Through Certificates, Series 2013-1, Class B-4AA (sf)--Confirmed
    US
    More
    Less
Agate Bay Mortgage Trust 2015-1
Agate Bay Mortgage Trust 2015-2
Agate Bay Mortgage Trust 2015-3
Agate Bay Mortgage Trust 2015-4
Agate Bay Mortgage Trust 2015-5
Agate Bay Mortgage Trust 2015-6
Connecticut Avenue Securities, Series 2024-R02
Freddie Mac STACR REMIC Trust 2023-DNA1
GS Mortgage-Backed Securities Trust 2024-PJ3
GS Mortgage-Backed Securities Trust 2024-PJ4
J.P. Morgan Mortgage Trust 2019-6
J.P. Morgan Mortgage Trust 2020-6
J.P. Morgan Mortgage Trust 2022-5
Mello Mortgage Capital Acceptance 2018-MTG1
Mello Mortgage Capital Acceptance 2021-MTG2
PSMC 2018-2 Trust
Shellpoint Asset Funding Trust 2013-1
  • 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.